E Trade Funds – ‘N-CSRS’ for 6/30/06

On:  Monday, 8/28/06, at 12:14pm ET   ·   Effective:  8/28/06   ·   For:  6/30/06   ·   Accession #:  1193125-6-180420   ·   File #:  811-09093

in

this entire Filing. an “Entity” Search.

Show

Documents searched

and

each “hit”. the 1st “hit”.

↓↑Hints

Certified Semi-Annual Shareholder Report of a Management Investment Company   —   Form N-CSR
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-CSRS      E*Trade Funds                                        146    729K 
 3: EX-99.906CERT  906 Certifications                                  2      8K 
 2: EX-99.CERT  302 Certifications                                     4     14K 

N-CSRS   —   E*Trade Funds
Document Table of Contents

N-CSRS
1st Page of 146
TOC
↑Top
Previous
Next
↓Bottom
Just 1st
 
UNITED STATES 
SECURITIES AND EXCHANGE COMMISSION  
Washington, D.C. 20549  

FORM N-CSR  

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT 
INVESTMENT COMPANIES  

Investment Company Act file number 811-09093  

E*TRADE Funds 
----------------------------------------------------- 
(Exact name of registrant as specified in charter)  

4500 Bohannon Drive 
Menlo Park, California 94025  
----------------------------------------------------- 
(Address of principal executive offices) (Zip code) 

Elizabeth Gottfried 
E*TRADE Funds 
4500 Bohannon Drive 
Menlo Park, California 94025  
----------------------------------------------------- 
(Name and address of agent for service) 

Registrant's telephone number, including area code: 1-650-331-6000  

Date of fiscal year end: December 31, 2006  

Date of reporting period: June 30, 2006 

Form N-CSR is to be used by management investment companies to file reports     
with the Commission not later than 10 days after the transmission to            
stockholders of any report that is required to be transmitted to stockholders   
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).   
The Commission may use the information provided on Form N-CSR in its            
regulatory, disclosure review, inspection, and policymaking roles.              

A registrant is required to disclose the information specified by Form N-CSR,   
and the Commission will make this information public. A registrant is not       
required to respond to the collection of information contained in Form N-CSR    
unless the Form displays a currently valid Office of Management and Budget      
("OMB") control number. Please direct comments concerning the accuracy of the   
information collection burden estimate and any suggestions for reducing the     
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,  
Washington, DC 20549-0609. The OMB has reviewed this collection of information  
under the clearance requirements of 44 U.S.C. (S) 3507.                         

N-CSRS
2nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 2nd
Item 1. Reports to Stockholders.                                                

N-CSRS
3rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 3rd
SEMI-ANNUAL LETTER TO SHAREHOLDERS                                              

Dear Shareholder:                                                               

I am pleased to provide you with the Semi-Annual Report of the E*TRADE Index    
Funds (the "Funds") for the period ended June 30, 2006.                         

As always, I hope you will find the report valuable and informative.            

The Funds have continued to provide investors with an easy, affordable way to   
keep pace with the market. The Funds also remain the lowest-cost stock index    
funds in the industry/1/:                                                       

                                                        [Enlarge/Download Table]

                               EXPENSE  CATEGORY                                                       
FUND NAME                      RATIO/1/ AVERAGE/2/                   GIVES INVESTORS                   
-----------------------------  -------  ---------  ----------------------------------------------------
                                                                                                       
E*TRADE S&P 500                 0.09%     0.39%    A simple way to invest in a diversified group       
Index Fund                                         of large-capitalization U.S. stocks while           
                                                   keeping pace with the market                        

E*TRADE Russell 2000            0.22%     0.79%    An affordable way to invest in small-capitalization 
Index Fund                                         U.S. stocks and create a solid diversified portfolio

E*TRADE International           0.09%     0.76%    An easy, low-cost way to take advantage of          
Index Fund/2/                                      strong performance of international stocks          

E*TRADE Technology              0.60%      N/A     An affordable, risk-managed way to invest in        
Index Fund/3/                                      the technology sector                               

For the past five years, the cumulative return for international stocks as      
represented by the MSCI EAFE Index has been nearly three times the return for   
U.S. equities as represented by the S&P 500/4/--one reason that U.S. investors  
are beginning to pay more attention to the benefits of investing                
internationally.                                                                

Against this background, the E*TRADE International Index Fund delivered         
investors an annualized total return of 9.48% for the five years ended June 30, 
2006. The Fund delivered a 26.75% return for the past twelve months and an      
annualized return of 4.35% since inception (10/22/1999) for the period ended    
June 30, 2006.                                                                  

Data quoted represents past performance. Past performance is not an indication  
of future results and mutual fund investment returns and share prices will      
fluctuate on a daily basis. Your investment may be worth more or less than your 
original cost when you redeem your shares. Current performance may be lower or  
higher than the performance data quoted. Performance as of the most recent      
month-end can be obtained at www.etrade.com.                                    

Smart Choice for Retirement Accounts                                            

Because the Funds offer investors one of the most efficient, cost-effective     
ways to invest in stocks, the Funds also represent a smart choice for           
retirement accounts. Besides no commissions, no transaction fees, and no        
account minimum, E*TRADE No-Fee, No-Minimum IRAs and Rollover IRAs allow you to 
trade in your retirement account. (To learn more or open an IRA or rollover     
IRA, visit etrade.com/newira.)                                                  

As always, thank you for your continued investment in the Funds. We look        
forward to serving your financial needs for many years to come.                 

Sincerely,                                                                      

/s/ Elizabeth Gottfried                                                         

Elizabeth Gottfried                                                             
President, E*TRADE Funds                                                        

PLEASE READ THE IMPORTANT DISCLOSURES ON THE BACK OF THIS LETTER  

N-CSRS
4th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 4th
SEMI-ANNUAL LETTER TO SHAREHOLDERS                                              

PLEASE READ THE IMPORTANT DISCLOSURES BELOW 

You should consider the investment objectives, risks, charges and expenses of a 
mutual fund carefully before investing. The Funds' prospectus contains this and 
other important information; read the prospectus carefully before investing.    
For a current prospectus, please visit etradefunds.etrade.com. Read the         
prospectus carefully before investing.                                          

1 Based on a data filter commissioned from Lipper by E*TRADE Asset Management,  
Inc. ("ETAM"), and according to an agreed-upon methodology for analyzing Lipper 
data in accordance with the Lipper-defined universe, ETAM determined that the   
E*TRADE S&P 500 Index Fund, the E*TRADE Russell 2000 Index Fund and the E*TRADE 
International Index Fund ("E*TRADE Index Funds") had the lowest effective       
expenses among their peer universe as of July 3, 2006. To identify the peer     
universe, Lipper compared the E*TRADE Index Funds to other Pure Index Funds in  
the same Lipper Investment Classification/Objective, while excluding            
Institutional Funds and other mutual funds requiring initial minimum            
investments of $100,000 or more and exchange-traded funds. While ETAM may       
review Lipper data, ETAM makes no representation as to the accuracy or          
timeliness of the Lipper data or that the E*TRADE Index Funds will continue to  
have the lowest effective expenses among comparable funds.                      

The E*TRADE Index Funds had the lowest effective expenses because ETAM          
contractually limited their expenses. The expenses of the E*TRADE Index Funds   
prior to the imposition of the contractual limits are, in fact, higher. ETAM    
has agreed contractually to limit the expense ratio for the E*TRADE Index Funds 
until April 30, 2007. Without the contractual limits, the expenses of the       
E*TRADE Index Funds are 0.79% for the S&P 500 Index Fund; 1.11% for the Russell 
2000 Index Fund; and 1.85% for the International Index Fund (based on the most  
recently filed shareholder reports). There is no assurance that ETAM will       
continue these expense limits beyond April 30, 2007.                            

ETAM will charge an Account Maintenance Fee of $2.50 per quarter for Fund       
balances below $5,000. The fee will be waived if your combined E*TRADE Funds    
account assets are $10,000 or more. If Fund shares must be redeemed to pay the  
Account Maintenance Fee, any applicable redemption fee will be waived.          

The fact that a fund has a low expense ratio does not mean it is a suitable     
investment and an investment in an E*TRADE Index Fund may not be suitable for   
all investors. Additional information on the comparison methodology used is     
available on request. The terms "Institutional Fund", "Investment               
Classification/Objective", and "Pure Index Fund" are Lipper defined terms.      

Lipper's data and analyses are for informational purposes only, and do not      
constitute investment advice or an offer to sell or the solicitation of an      
offer to buy any security of any entity in any jurisdiction. No guarantee is    
made that the information is accurate or complete and no warranties are made    
with regard to the results to be obtained from its use. In addition, Lipper     
will not be liable for any loss or damage resulting from information obtained   
from Lipper or any of its affiliates.                                           

2 Investing internationally involves risks such as currency fluctuations,       
political uncertainty, and differing business and accounting practices. Please  
read the prospectus carefully before investing.                                 

3 The E*TRADE Technology Index Fund is the only fund of its type currently in   
existence.                                                                      

4 Source: www.firstinvestors.com.                                               

The E*TRADE FINANCIAL family of companies provides financial services that      
include investing, trading, banking, and lending. Securities products and       
services are offered by E*TRADE Securities LLC, Member NASD/SIPC.               

(C) 2006 E*TRADE FINANCIAL Corp. All rights reserved.                           

N-CSRS
5th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 5th
Fees and Expenses / Shareholder Fee Example (unaudited)                         

As a shareholder, you can incur two types of costs: (1) transaction costs,      
including sales charges (loads) on purchase payments, reinvested dividends, or  
other distributions; redemption fees; and exchange fees and (2) ongoing costs,  
including management fees; distribution and/or service (12b-1) fees; and other  
Fund expenses. This Example is intended to help you understand your ongoing     
costs (in dollars) of investing in the Fund and to compare these costs with the 
ongoing costs of investing in other mutual funds. The Fund does not assess      
sales loads or 12b-1 fees.                                                      

The Example is based on an investment of $1,000 invested at the beginning of    
the period and held for the entire period from January 1, 2006 through June 30, 
2006.                                                                           

Actual Expenses                                                                 

The first line of the Example provides information about actual account values  
and actual expenses. You may use the information in this line, together with    
the amount you invested, to estimate the expenses that you paid over the        
period. Simply divide your account value by $1,000 (for example, an $8,600      
account value divided by $1,000 = 8.6), then multiply the result by the number  
in the first line under the heading entitled "Expenses Paid During the Period   
01/01/06 to 06/30/06" to estimate the expenses you paid on your account during  
this period. This expense estimate does not include redemption fees and account 
maintenance fees because they are not charged to all shareholders. A 1%         
redemption fee is charged to shareholders who redeem shares held for less than  
four months. The 1% redemption fee is calculated as a percentage of the total   
redemption proceeds and would be added to your estimated expenses calculated in 
the table. A quarterly Account Maintenance Fee ("AMF") is charged to            
shareholders with account balances of less than $5,000 at the end of each       
calendar quarter. The AMF is equal to $2.50 per quarter and would be added to   
your estimated expenses calculated in the table. The AMF is not applied to:     
(1) assets held in any retirement plan account, including an IRA, Roth IRA, one 
person SEP-IRA, profit sharing plan, money purchase pension plan or 401(a) or   
401(k) account; (2) assets held in any Coverdell education savings account; or  
(3) shareholders investing in the Fund through means of the Automatic           
Investment Plan privilege, described in the section of the Fund's Prospectus    
entitled "How to Buy, Sell and Exchange Shares -- Automatic Investment Plan."   
Moreover, the AMF is waived if your total E*TRADE Funds assets are $10,000 or   
more.                                                                           

Hypothetical Example for Comparison Purposes                                    

The second line of the Example provides information about hypothetical account  
values and hypothetical expenses based on the Fund's actual expense ratio and   
an assumed rate of return of 5% per year before expenses, which is not the      
Fund's actual return. The hypothetical account values and expenses may not be   
used to estimate the actual ending account balance or expenses you paid for the 
period. You may use this information to compare the ongoing costs of investing  
in the Fund and other funds. To do so, compare this 5% hypothetical example     
with the 5% hypothetical examples that appear in the shareholder reports of the 
other funds. This expense estimate does not include redemption fees and account 
maintenance fees because they are not charged to all shareholders. A 1%         
redemption fee is charged to shareholders who redeem shares held for less than  
four months. The 1% redemption fee is calculated as a percentage of the total   
redemption proceeds and would be added to your estimated expenses calculated in 
the table. A quarterly AMF is charged to shareholders with account balances of  
less than $5,000 at the end of each calendar quarter. The AMF is equal to $2.50 
per quarter and would be added to your estimated expenses calculated in the     
table. The AMF is not applied to: (1) assets held in any retirement plan        
account, including an IRA, Roth IRA, one person SEP-IRA, profit sharing plan,   
money purchase pension plan or 401(a) or 401(k) account; (2) assets held in any 
Coverdell education savings account; or (3) shareholders investing in the Fund  
through means of the Automatic Investment Plan privilege, described in the      
section of the Fund's Prospectus entitled "How to Buy, Sell and Exchange Shares 
-- Automatic Investment Plan." Moreover, the AMF is waived if your total        
E*TRADE Funds assets are $10,000 or more.                                       

N-CSRS
6th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 6th
Please note that the expenses shown in the table are meant to highlight your    
ongoing costs only and do not reflect any transactional costs, such as sales    
charges (loads), redemption fees, or exchange fees. Therefore, the second line  
of the table is useful in comparing ongoing costs only, and will not help you   
determine the relative total costs of owning different funds. In addition, if   
these transactional costs were included, your costs would have been higher.     

                                                        [Enlarge/Download Table]

                                                                                     Annualized   
                                             Beginning  Ending     Expenses Paid    Expense Ratio 
                                              Account  Account   During the Period  Based on the  
                                               Value    Value       01/01/06 to    Period 01/01/06
                                             01/01/06  06/30/06      06/30/06*       to 06/30/06  
                                             --------- --------- ----------------- ---------------
                                                                                                  
E*TRADE Russell 2000 Index Fund                                                                   
   Actual                                    $1,000.00 $1,081.00       $1.13            0.22%     
   Hypothetical (5% return before expenses)  $1,000.00 $1,023.71       $1.10            0.22%     

*   Expenses are equal to the Fund's annualized expense ratio of 0.22%,         
  multiplied by the average account value over the period, multiplied by the
   number of days in the most recent fiscal half-year (to reflect the one-half
year period).                                                           

N-CSRS
7th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 7th
E*TRADE Russell 2000 Index Fund                                                 
Schedule of Investments                                                         
June 30, 2006 (Unaudited)                                                       

                                                       Shares  Value
                                                         ------ --------
COMMON STOCKS--97.0%                                                            
ADVERTISING--0.4%                                                               
ADVO, Inc.                                                    2,495 $ 61,402    
aQuantive, Inc.(a)                                            6,152  155,830    
Catalina Marketing Corp.                                      3,730  106,156    
FTD Group, Inc.(a)                                              800   10,800    
Marchex, Inc.(a)                                              1,695   27,849    
Sitel Corp.(a)                                                4,728   18,534    
ValueVision Media, Inc., Class A(a)                           2,462   27,156    
Vertrue, Inc.(a)                                                607   26,119    
                                                                --------
                                                                 433,846
                                                                --------
AEROSPACE / DEFENSE--0.8%                                                       
AAR Corp.(a)                                                  2,833   62,978    
ARGON ST, Inc.(a)                                             1,031   27,456    
BE Aerospace, Inc.(a)                                         6,258  143,057    
Curtiss-Wright Corp.                                          3,547  109,531    
GenCorp., Inc.(a)                                             4,345   69,650    
HEICO Corp.                                                   1,678   47,571    
Innovative Solutions & Support(a)                               950   13,357    
K & F Industries Holdings, Inc.(a)                            1,401   24,840    
Ladish Co., Inc.(a)                                           1,132   42,416    
MTC Technologies, Inc.(a)                                       802   18,951    
Orbital Sciences Corp.(a)                                     4,433   71,549    
Sequa Corp., Class A(a)                                         551   44,907    
Teledyne Technologies, Inc.(a)                                2,731   89,468    
TransDigm Group, Inc.(a)                                        893   21,387    
United Industrial Corp.                                         724   32,761    
                                                                --------
                                                                 819,879
                                                                --------
AGRICULTURE--0.2%                                                               
Alliance One International, Inc.                              6,910   30,680    
Andersons, Inc. (The)                                         1,060   44,107    
Delta & Pine Land Co.                                         2,846   83,672    
Maui Land & Pineapple Co., Inc.(a)                              285   10,773    
                                                                --------
                                                                 169,232
                                                                --------
AIRLINES--0.7%                                                                  
Airtran Holdings, Inc.(a)                                     7,334  108,983    
Alaska Air Group, Inc.(a)                                     3,252  128,194    
Alaska Communications Systems Group, Inc.                     3,390   42,884    
ExpressJet Holdings, Inc.(a)                                  3,996   27,612    
Frontier Airlines Holdings, Inc.(a)                           2,383   17,181    
JetBlue Airways Corp.(a)                                     14,036  170,397    
Mesa Air Group, Inc.(a)                                       2,580   25,413    
Republic Airways Holdings, Inc.(a)                            2,626   44,695    
SkyWest, Inc.                                                 5,075  125,860    
                                                                --------
                                                                 691,219
                                                                --------
APPAREL--1.0%                                                                   
Cache, Inc.                                                     900   15,606    
Carter's, Inc.(a)                                             3,921  103,632    
Cherokee, Inc.                                                  560   23,162    
Crocs, Inc.(a)                                                  721   18,133    
Deckers Outdoor Corp.(a)                                        810   31,234    
Gymboree Corp.(a)                                             2,647   92,010    
Hartmarx Corp.(a)                                             2,561   15,366    
Iconix Brand Group, Inc.(a)                                   2,833   46,291    
K-Swiss, Inc., Class A                                        1,944   51,905    

The accompanying notes are an integral part of these financial statements.  

N-CSRS
8th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 8th
Maidenform Brands, Inc.(a)                                    1,174    14,475   
Oxford Industries, Inc.                                       1,146    45,164   
Phillips-Van Heusen Corp.                                     4,460   170,193   
Quiksilver, Inc.(a)                                           9,861   120,107   
Russell Corp.                                                 2,566    46,599   
Skechers U.S.A., Inc., Class A(a)                               868    20,927   
Stride Rite Corp.                                             2,822    37,222   
Timberland Co., Class A(a)                                    4,043   105,522   
True Religion Apparel, Inc.(a)                                1,064    18,833   
Volcom, Inc.(a)                                               1,059    33,877   
Warnaco Group, Inc. (The)(a)                                  3,689    68,911   
Weyco Group, Inc.                                               558    12,957   
                                                                 ---------
                                                                 1,092,126
                                                                 ---------
AUTO MANUFACTURERS--0.4%                                                        
A.S.V., Inc.(a)                                               1,687    38,868   
Aftermarket Technology Corp.(a)                               1,700    42,245   
CLARCOR, Inc.                                                 4,227   125,923   
Navistar International Corp.(a)                               5,019   123,518   
Smith (A.O.) Corp.                                            1,654    76,679   
Wabash National Corp.                                         2,426    37,263   
                                                                 ---------
                                                                   444,496
                                                                 ---------
AUTO PARTS & EQUIPMENT--0.8%                                                    
Accuride Corp.(a)                                             1,829    22,808   
American Axle & Manufacturing Holdings                        4,192    71,725   
ArvinMeritor, Inc.                                            5,594    96,161   
Bandag, Inc.                                                    877    32,089   
Commercial Vehicle Group, Inc.(a)                             1,702    35,197   
Cooper Tire & Rubber Co.                                      5,104    56,859   
IMPCO Technologies, Inc.(a)                                   1,808    19,291   
Lear Corporation                                              5,441   120,845   
Modine Manufacturing Co.                                      2,776    64,847   
Noble International, Ltd.                                       750    10,740   
Superior Industries International, Inc.                       1,769    32,355   
Tenneco Automotive, Inc.(a)                                   3,656    95,056   
Titan International, Inc.                                     1,227    22,957   
United Panam Financial Corp.(a)                                 829    25,202   
Visteon Corp.                                                10,268    74,032   
                                                                 ---------
                                                                   780,164
                                                                 ---------
BANKS--9.8%                                                                     
1st Source Corp.                                                853    28,857   
Alabama National Bancorp                                      1,223    83,347   
AMCORE Financial, Inc.                                        1,650    48,362   
Americanwest Bancorp                                            818    18,528   
Ameris Bancorp                                                  943    21,821   
Anchor BanCorp Wisconsin, Inc.                                1,578    47,608   
Apollo Investment Corp.                                       6,560   121,228   
Ares Capital Corp.                                            3,110    52,652   
Arrow Financial Corp.                                           842    23,096   
BancFirst Corp.                                                 592    26,492   
Bancorp, Inc.(a)                                                855    21,384   
BancTrust Financial Group, Inc.                                 787    18,471   
Bank Mutual Corp.                                             4,914    60,049   
Bank of Granite Corp.                                         1,053    21,934   
Bank of the Ozarks, Inc.                                        906    30,170   
BankAtlantic Bancorp, Inc., Class A                           3,814    56,600   
BankFinancial Corp.                                           1,952    33,770   
BankUnited Financial Corp., Class A                           2,415    73,706   
Banner Corp.                                                    982    37,846   
Berkshire Hills Bancorp, Inc.                                   614    21,785   
BFC Financial Corp.(a)                                        1,575    10,899   
Boston Private Financial Holdings, Inc.                       2,738    76,390   
Brookline Bancorp, Inc.                                       4,920    67,748   
Cadence Financial Corp.                                         771    17,170   
Camden National Corp.                                           556    22,184   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
9th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 9th
Capital City Bank Group, Inc.                                1,054  31,831      
Capital Corp of The West                                       637  20,384      
Capital Southwest Corp.                                        200  20,890      
Capitol Bancorp, Ltd.                                        1,083  42,183      
Cardinal Financial Corp.                                     1,941  22,554      
Cascade Bancorp                                              1,846  52,629      
Cass Information Systems, Inc.                                 312  15,191      
Cathay General Bancorp                                       4,161 151,376      
Centennial Bank Holdings, Inc.(a)                            5,016  51,865      
Center Financial Corp.                                         889  21,016      
Centerstate Banks of Florida, Inc.                             728  14,924      
Central Pacific Financial Corp.                              2,422  93,731      
Charter Financial Corp.                                        275  10,852      
Chemical Financial Corp.                                     1,963  60,068      
Chittenden Corp.                                             3,807  98,411      
Citizens Banking Corp.                                       3,445  84,092      
Citizens First Bancorp, Inc.                                   680  18,163      
City Bank                                                      621  28,976      
City Holding Co.                                             1,475  53,307      
Clifton Savings Bancorp, Inc.                                2,153  23,317      
Coastal Financial Corp.                                      1,138  14,840      
CoBiz, Inc.                                                  1,170  26,348      
Columbia Bancorp. (Oregon)                                     798  20,006      
Columbia Banking System, Inc.                                1,220  45,604      
Commercial Capital Bancorp, Inc.                             3,913  61,630      
Community Bancorp (Nevada)(a)                                  430  13,364      
Community Bancorp, Inc. (California)                           403  17,051      
Community Bank System, Inc.                                  2,422  48,852      
Community Banks, Inc.                                        1,856  48,256      
Community Trust Bancorp, Inc.                                1,186  41,427      
Corus Bankshares, Inc.                                       3,155  82,598      
CVB Financial Corp.                                          4,695  73,524      
Dime Community Bancshares                                    2,125  28,836      
Downey Financial Corp.                                       1,699 115,277      
Enterprise Financial Services Corp.                            686  17,459      
Farmers Capital Bank Corp.                                     536  17,554      
Fidelity Bankshares, Inc.                                    2,034  64,722      
First Bancorp North Carolina                                   828  17,388      
First Bancorp Puerto Rico                                    5,462  50,797      
First Busey Corp., Class A                                   1,229  25,158      
First Charter Corp.                                          2,368  58,087      
First Commonwealth Financial Corp.                           5,450  69,215      
First Community Bancorp                                      1,621  95,769      
First Community Bancshares, Inc.                               785  25,897      
First Financial Bancorp                                      2,710  40,406      
First Financial Bankshares, Inc.                             1,674  61,168      
First Financial Corp.                                          996  29,890      
First Financial Holdings, Inc.                                 899  28,768      
First Indiana Corp.                                            973  25,327      
First Merchants Corp.                                        1,476  35,882      
First Midwest Bancorp, Inc.                                  4,042 149,876      
First Niagara Financial Group, Inc.                          8,945 125,408      
First Oak Brook Bancshares, Class A                            436  16,132      
First Place Financial Corp.                                  1,074  24,713      
First Regional Bancorp (California)(a)                         200  17,600      
First Republic Bank                                          1,687  77,265      
First South Bancorp, Inc. (North Carolina)                     658  22,523      
First State Bancorp                                          1,279  30,415      
FirstFed Financial Corp.(a)                                  1,319  76,067      
FirstMerit Corp.                                             6,446 134,978      
Flag Financial Corp.                                         1,136  22,095      
Flagstar Bancorp, Inc.                                       3,278  52,317      
Flushing Financial Corp.                                     1,362  24,462      
FNB Corp.                                                    4,488  70,776      
FNB Corp. (Virginia)                                           581  21,497      
Franklin Bank Corp.(a)                                       1,891  38,179      
Fremont General Corp.                                        5,327  98,869      
Frontier Financial Corp.                                     2,085  70,869      
GB&T Bancshares, Inc.                                        1,011  21,999      
Glacier Bancorp, Inc.                                        2,491  72,912      

The accompanying notes are an integral part of these financial statements.  

N-CSRS
10th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 10th
Great Southern Bancorp, Inc.                                   714  21,798      
Greater Bay Bancorp                                          4,198 120,692      
Greene County Bancshares, Inc.                                 600  18,576      
Hancock Holding Co.                                          2,135 119,559      
Hanmi Financial Corp.                                        3,184  61,897      
Harbor Florida Bancshares, Inc.                              1,621  60,204      
Harleysville National Corp.                                  2,148  45,559      
Harris & Harris Group, Inc.                                  1,400  15,456      
Heartland Financial USA, Inc.                                1,170  31,181      
Heritage Commerce Corp.                                        864  21,419      
Home Federal Bancorp, Inc. (Idaho)                             502   6,857      
Horizon Financial Corp.                                        807  22,136      
IBERIABANK Corp.                                               747  42,982      
Independent Bank Corp. (Massachusetts)                       1,228  39,873      
Independent Bank Corp. (Michigan)                            1,771  46,577      
Integra Bank Corp.                                           1,413  30,733      
Interchange Financial Services Corp.                         1,435  32,288      
International Bancshares Corp.                               3,760 103,325      
Intervest Bancshares Corp.(a)                                  391  15,836      
Investors Bancorp, Inc.(a)                                   4,240  57,452      
Irwin Financial Corp.                                        1,634  31,683      
ITLA Capital Corp.                                             394  20,717      
Kearny Financial Corp.                                       1,500  22,200      
KNBT Bancorp, Inc.                                           2,248  37,137      
Lakeland Bancorp, Inc.                                       1,276  19,995      
Lakeland Financial Corp.                                       943  22,905      
Macatawa Bank Corp.                                          1,280  29,928      
MAF Bancorp, Inc.                                            2,794 119,694      
MainSource Financial Group, Inc.                             1,076  18,755      
MB Financial, Inc.                                           1,752  61,951      
MBT Financial Corp.                                          1,178  18,848      
Medallion Financial Corp.                                    1,186  15,371      
Mercantile Bank Corp.                                          634  25,265      
MetroCorp Bancshares, Inc.                                     374  10,951      
Mid-State Bancshares                                         1,785  49,980      
Midwest Banc Holdings, Inc.                                  1,354  30,127      
Nara Bancorp, Inc.                                           1,606  30,113      
NASB Financial, Inc.                                           230   7,767      
National Penn Bancshares, Inc.                               3,725  73,979      
NBT Bancorp, Inc.                                            2,686  62,396      
Net.Bank, Inc.                                               3,184  21,110      
NewAlliance Bancshares, Inc.                                 8,896 127,301      
Northern Empire Bancshares(a)                                  745  17,880      
Northwest Bancorp, Inc.                                      1,565  41,473      
OceanFirst Financial Corp.                                     592  13,154      
Old National Bancorp (Indiana)                               5,606 111,952      
Old Second Bancorp, Inc.                                     1,076  33,356      
Omega Financial Corp.                                        1,006  31,498      
Oriental Financial Group, Inc.                               1,460  18,630      
Pacific Capital Bancorp                                      3,760 117,011      
Park National Corp.                                            998  98,612      
Partners Trust Financial Group, Inc.                         4,096  46,735      
PennFed Financial Services, Inc.                               564  10,519      
Peoples Bancorp, Inc.                                          747  22,290      
PFF Bancorp, Inc.                                            1,979  65,624      
Pinnacle Financial Partners, Inc.(a)                         1,238  37,672      
Piper Jaffray Cos.(a)                                        1,685 103,139      
Placer Sierra Bancshares                                       946  21,938      
Preferred Bank (California)                                    300  16,083      
Premierwest Bancorp                                          1,050  15,152      
PrivateBancorp, Inc.                                         1,436  59,465      
Prosperity Bancshares, Inc.                                  2,068  68,017      
Provident Bankshares Corp.                                   2,704  98,399      
Provident Financial Services, Inc.                           5,634 101,130      
Provident New York Bancorp                                   3,428  45,318      
R&G Financial Corp., Class B                                 1,935  16,622      
Renasant Corp.                                                 828  33,410      
Republic Bancorp, Inc.                                       6,149  76,186      
Republic Bancorp, Inc., Class A                                443   9,126      
Rockville Financial, Inc.(a)                                   500   7,360      

The accompanying notes are an integral part of these financial statements.  

N-CSRS
11th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 11th
Royal Bancshares of Pennsylvania, Class A                      231      5,609   
S&T Bancorp, Inc.                                            2,072     68,853   
Sanders Morris Harris Group, Inc.                            1,076     16,258   
Sandy Spring Bancorp, Inc.                                   1,142     41,181   
Santander BanCorp                                              347      8,543   
SCBF Financial Corp.                                           593     21,140   
Seacoast Banking Corp. of Florida                            1,040     27,695   
Security Bank Corp.                                          1,026     22,849   
Shore Bancshares, Inc.                                         675     18,313   
Sierra Bancorp                                                 483     12,664   
Signature Bank(a)                                            2,368     76,676   
Simmons First National Corp., Class A                        1,147     33,274   
Smithtown Bancorp, Inc.                                        629     15,197   
Sound Federal Bancorp, Inc.                                    700     14,553   
Southside Bancshares, Inc.                                     666     14,865   
Southwest Bancorp, Inc.                                      1,085     27,668   
State National Bancshares, Inc.                                850     32,394   
Sterling Bancorp (New York)                                  1,402     27,339   
Sterling Bancshares, Inc.                                    3,610     67,688   
Sterling Financial Corp. (Pennsylvania)                      1,992     43,625   
Sterling Financial Corp. (Washington)                        2,759     84,177   
Suffolk Bancorp                                                729     23,875   
Summit Bancshares, Inc. (Texas)                                820     17,392   
Sun Bancorp, Inc. (New Jersey)                                 907     14,730   
Superior Bancorp(a)                                          1,418     15,598   
Susquehanna Bancshares, Inc.                                 3,722     88,956   
SVB Financial Group(a)                                       2,912    132,379   
SY Bancorp, Inc.                                             1,007     27,672   
Taylor Capital Group, Inc.                                     482     19,670   
Texas Capital Bancshares, Inc.(a)                            1,877     43,734   
Texas Regional Bancshares, Inc., Class A                     3,715    140,872   
Texas United Bancshares, Inc.                                  748     21,056   
TierOne Corp.                                                1,414     47,751   
Tompkins Trustco, Inc.                                         543     23,349   
TriCo Bancshares                                             1,114     30,501   
TrustCo Bank Corp. (New York)                                6,004     66,164   
Trustmark Corp.                                              3,880    120,163   
UCBH Holdings, Inc.                                          7,508    124,181   
UMB Financial Corp.                                          2,492     83,083   
Umpqua Holdings Corp.                                        4,481    114,937   
Union Bankshares Corp.                                         698     30,112   
United Bankshares, Inc.                                      3,070    112,454   
United Community Banks, Inc.                                 2,736     83,284   
United Community Financial Corp.                             2,160     25,920   
United Security Bancshares (California)                        599     12,813   
Univest Corp. of Pennsylvania                                  788     21,765   
USB Holding Co., Inc.                                          841     18,923   
Vineyard National Bancorp                                      714     19,207   
Virginia Commerce Bancorp                                    1,259     30,090   
Virginia Financial Group, Inc.                                 571     24,108   
W Holding Co., Inc.                                          8,718     57,975   
Washington Trust Bancorp, Inc.                                 945     26,195   
Wauwatosa Holdings, Inc.(a)                                    694     11,840   
WesBanco, Inc.                                               1,770     54,852   
West Bancorporation                                          1,167     21,788   
West Coast Bancorp                                           1,181     34,804   
Westamerica Bancorp                                          2,539    124,334   
Western Alliance Bancorp(a)                                  1,059     36,832   
Westfield Financial, Inc.                                      223      6,467   
Willow Grove Bancorp, Inc.                                   1,203     19,140   
Wilshire Bancorp, Inc.                                       1,100     19,822   
Wintrust Financial Corp.                                     1,926     97,937   
WSFS Financial Corp.                                           431     26,485   
Yardville National Bancorp                                     787     28,120   
                                                                ----------
                                                                10,320,124
                                                                ----------
BEVERAGES--0.1%                                                                 
Boston Beer Co., Inc., Class A(a)                              770     22,553   
Coca-Cola Bottling Co. Consolidated                            376     19,090   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
12th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 12th
Farmer Brothers Co.                                             430     9,322   
Green Mountain Coffee Roasters, Inc.(a)                         300    12,051   
National Beverage Corp.                                         436     6,257   
Peet's Coffee & Tea, Inc.(a)                                  1,089    32,877   
                                                                 ---------
                                                                   102,150
                                                                 ---------
BIOTECHNOLOGY--1.8%                                                             
Advanced Magnetics, Inc.(a)                                     645    19,492   
ADVENTRX Pharmaceuticals, Inc.(a)                             4,394    13,929   
Alexion Pharmaceuticals, Inc.(a)                              2,449    88,458   
Applera Corp. - Celera Genomics Group(a)                      5,884    76,198   
Arena Pharmaceuticals, Inc.(a)                                3,712    42,985   
Ariad Pharmaceuticals, Inc.(a)                                4,826    21,765   
BioCryst Pharmaceuticals, Inc.(a)                             1,855    26,582   
Cambrex Corp.                                                 2,057    42,847   
Coley Pharmaceutical Group, Inc.(a)                           1,448    16,724   
Cotherix, Inc.(a)                                             1,564    13,466   
Cytokinetics, Inc.(a)                                         2,072    13,033   
deCODE genetics, Inc.(a)                                      4,352    26,939   
Diversa Corp.(a)                                              2,460    23,764   
Encysive Pharmaceuticals, Inc.(a)                             4,783    33,146   
Exelixis, Inc.(a)                                             6,624    66,571   
Genitope Corp.(a)                                             2,130    13,462   
Genomic Health, Inc.(a)                                       1,005    11,829   
GTx, Inc.(a)                                                    605     5,506   
Human Genome Sciences, Inc.(a)                               10,719   114,693   
ICOS Corp.(a)                                                 5,239   115,206   
Illumina, Inc.(a)                                             3,369    99,925   
Incyte Corp.(a)                                               6,633    30,512   
Integra LifeSciences Holdings Corp.(a)                        1,542    59,845   
Kendle International, Inc.(a)                                   991    36,399   
Keryx Biopharmaceuticals, Inc.(a)                             3,483    49,459   
Lexicon Genetics, Inc.(a)                                     4,289    18,829   
Lifecell Corp.(a)                                             2,707    83,700   
Martek Biosciences Corp.(a)                                   2,506    72,549   
Maxygen, Inc.(a)                                              2,380    17,802   
Momenta Pharmaceuticals, Inc.(a)                              1,747    22,204   
Monogram Biosciences, Inc.(a)                                10,385    20,562   
Myogen, Inc.(a)                                               3,431    99,499   
Myriad Genetics, Inc.(a)                                      3,113    78,603   
Nektar Therapeutics(a)                                        7,136   130,873   
Northfield Laboratories, Inc.(a)                              2,042    20,195   
Northstar Neuroscience, Inc.(a)                                 871     9,041   
Panacos Pharmaceuticals, Inc.(a)                              4,068    22,455   
Peregrine Pharmaceuticals, Inc.(a)                           14,167    22,526   
PRA International(a)                                          1,444    32,158   
Regeneron Pharmaceuticals, Inc.(a)                            3,681    47,190   
Sangamo Biosciences, Inc.(a)                                  2,113    12,467   
Savient Pharmaceuticals, Inc.(a)                              4,850    25,463   
Sirna Therapeutics, Inc.(a)                                   3,248    18,514   
Telik, Inc.(a)                                                4,146    68,409   
                                                                 ---------
                                                                 1,885,774
                                                                 ---------
BUILDING MATERIALS--0.8%                                                        
Aaon, Inc.                                                      700    17,962   
Apogee Enterprises, Inc.                                      2,218    32,605   
Builders FirstSource, Inc.(a)                                 1,216    24,758   
Ceradyne, Inc.                                                2,171   107,442   
Drew Industries, Inc.(a)                                      1,496    48,470   
ElkCorp                                                       1,571    43,627   
Genlyte Group, Inc. (The)(a)                                  1,967   142,469   
Goodman Global, Inc.(a)                                       1,903    28,888   
Interline Brands, Inc.                                        2,191    51,226   
LSI Industries, Inc.                                          1,441    24,483   
NCI Building Systems, Inc.(a)                                 1,707    90,761   
Simpson Manufacturing Co., Inc.                               2,977   107,320   
Texas Industries, Inc.                                        1,861    98,819   
Trex Co., Inc.(a)                                               850    22,007   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
13th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 13th
US Concrete, Inc.(a)                                          2,699    29,824   
                                                                 ---------
                                                                   870,661
                                                                 ---------
CHEMICALS--1.9%                                                                 
American Vanguard Corp.                                       1,197    18,530   
Arch Chemicals, Inc.                                          1,842    66,404   
Balchem Corp.                                                   921    20,723   
Bio-Rad Laboratories, Inc., Class A(a)                        1,504    97,670   
Cabot Microelectronics Corp.(a)                               1,925    58,347   
Calgon Carbon Corp.                                           3,209    19,543   
CF Industries Holdings, Inc.                                  4,446    63,400   
Ferro Corp.                                                   3,343    53,354   
Georgia Gulf Corp.                                            2,722    68,104   
Grace (W.R.) & Co.(a)                                         5,339    62,466   
H.B. Fuller Co.                                               2,363   102,956   
Hercules, Inc.(a)                                             9,269   141,446   
Innospec, Inc.                                                  907    23,056   
Kronos Worldwide, Inc.                                          264     7,722   
MacDermid, Inc.                                               2,363    68,054   
Minerals Technologies, Inc.                                   1,637    85,124   
Myers Industries, Inc.                                        2,097    36,047   
Newmarket Corp.                                               1,357    66,574   
NL Industries, Inc.                                             508     5,461   
Nuco2, Inc.(a)                                                1,253    30,122   
Olin Corp.                                                    5,840   104,711   
OM Group, Inc.(a)                                             2,272    70,091   
Omnova Solutions, Inc.(a)                                     3,347    19,011   
Pioneer Cos., Inc.(a)                                           821    22,397   
PolyOne Corp.(a)                                              7,329    64,349   
Raven Industries, Inc.                                        1,299    40,919   
Rockwood Holdings, Inc.(a)                                    2,843    65,417   
Rogers Corp.(a)                                               1,430    80,566   
Schulman (A.), Inc.                                           2,261    51,754   
Spartech Corp.                                                2,570    58,082   
Stepan Co.                                                      497    15,695   
SurModics, Inc.(a)                                            1,205    43,513   
Symyx Technologies, Inc.(a)                                   2,602    62,838   
Terra Industries, Inc.(a)                                     7,415    47,234   
Tronox, Inc. Class B                                          3,147    41,446   
UAP Holding Corp.                                             4,113    89,705   
Valley National Gases, Inc.                                     196     5,125   
Zoltek Cos., Inc.(a)                                          1,142    34,134   
                                                                 ---------
                                                                 2,012,090
                                                                 ---------
COAL--0.2%                                                                      
Alpha Natural Resources, Inc.(a)                              4,178    81,973   
International Coal Group, Inc.(a)                             9,179    65,997   
James River Coal Co.(a)                                       1,345    35,629   
Westmoreland Coal Co.(a)                                        542    12,856   
                                                                 ---------
                                                                   196,455
                                                                 ---------
COMMERCIAL SERVICES--5.7%                                                       
Aaron Rents, Inc.                                             3,437    92,387   
ABM Industries, Inc.                                          3,534    60,431   
ACCO Brands Corp.(a)                                          3,639    79,694   
Ace Cash Express, Inc.(a)                                       906    26,519   
Actuant Corp., Class A                                        2,195   109,640   
Administaff, Inc.                                             1,845    66,069   
Advance America Cash Advance                                  5,446    95,523   
Advisory Board (The) Co.(a)                                   1,531    73,626   
Albany Molecular Research, Inc.(a)                            2,067    22,076   
Alderwoods Group, Inc.(a)                                     3,199    62,253   
Ambassadors International, Inc.                                 577    13,415   
Arbitron, Inc.                                                2,507    96,093   
Bankrate, Inc.(a)                                               885    33,418   
Barrett Business Services(a)                                    562    10,313   
BearingPoint, Inc.(a)                                        15,056   126,019   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
14th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 14th
Bowne & Co., Inc.                                             2,561  36,622     
Bright Horizons Family Solutions, Inc.(a)                     2,160  81,410     
CBIZ, Inc.                                                    4,852  35,953     
CDI Corp.                                                       975  28,275     
Central Parking Corp.                                           808  12,928     
Cenveo, Inc.(a)                                               4,217  75,695     
Clark, Inc.                                                   1,416  18,691     
CMGI, Inc.(a)                                                38,491  46,574     
Coinmach Service Corp., Class A                               1,915  19,629     
Coinstar, Inc.(a)                                             2,216  53,051     
Consolidated Graphics, Inc.(a)                                  925  48,156     
Core-Mark Holding Co., Inc. (a)                                 801  28,676     
Corinthian Colleges, Inc.(a)                                  7,054 101,295     
Cornell Cos, Inc.(a)                                            922  14,162     
CorVel Corp.(a)                                                 334   8,350     
CoStar Group, Inc.(a)                                         1,297  77,600     
CRA International, Inc.(a)                                      865  39,046     
Cross Country Healthcare, Inc.(a)                             2,513  45,711     
Darling International, Inc.(a)                                4,372  19,805     
Deluxe Corp.                                                  4,145  72,455     
DeVry, Inc.(a)                                                4,779 104,995     
DiamondCluster International, Inc.(a)                         2,000  15,840     
Dollar Financial Corp.(a)                                       777  13,986     
DynCorp International, Inc., Class A(a)                       2,022  20,988     
Educate, Inc.(a)                                              1,300   9,958     
Electro Rent Corp.(a)                                         1,432  22,941     
Euronet Worldwide, Inc.(a)                                    2,834 108,741     
Exponent, Inc.(a)                                             1,272  21,497     
First Consulting Group, Inc.(a)                               1,741  15,390     
FTI Consulting, Inc.(a)                                       3,114  83,362     
Gartner Inc. Class A(a)                                       4,434  62,963     
Gevity HR, Inc.                                               2,156  57,242     
Global Cash Access, Inc.(a)                                   2,690  42,045     
GSI Commerce, Inc.(a)                                         3,163  42,795     
H&E Equipment Services, Inc.(a)                                 914  26,917     
Harris Interactive, Inc.(a)                                   4,376  24,943     
Healthcare Services Group, Inc.                               2,175  45,566     
Healthspring, Inc.(a)                                         1,368  25,650     
Heartland Payment Systems, Inc.(a)                            1,124  31,337     
Heidrick & Struggles International, Inc.(a)                   1,520  51,437     
Home Solutions of America, Inc.(a)                            3,041  18,763     
Hudson Highland Group, Inc.(a)                                1,872  20,199     
Huron Consulting Group, Inc.(a)                               1,406  49,337     
ICT Group, Inc.(a)                                              546  13,393     
Interactive Data Corp.(a)                                     2,897  58,201     
inVentiv Health, Inc.(a)                                      2,226  64,064     
j2 Global Communications, Inc.(a)                             3,892 121,508     
Jackson Hewitt Tax Service                                    2,891  90,633     
Kelly Services, Inc., Class A                                 1,634  44,396     
Kenexa Corp.(a)                                               1,266  40,322     
Kforce, Inc.(a)                                               2,565  39,732     
Korn/Ferry International(a)                                   3,424  67,076     
Labor Ready, Inc.(a)                                          4,368  98,935     
Landauer, Inc.                                                  698  33,434     
LECG Corp.                                                    1,969  36,367     
Lincoln Educational Services, Inc.(a)                           200   3,418     
Magellan Health Services, Inc.(a)                             2,989 135,431     
MAXIMUS, Inc.                                                 1,732  40,096     
McGrath Rentcorp                                              1,641  45,636     
Midas, Inc.(a)                                                1,138  20,939     
Mobile Mini, Inc.(a)                                          2,747  80,377     
Monro Muffler Brake, Inc.                                       837  27,253     
Morningstar, Inc.(a)                                          1,136  47,121     
MPS Group, Inc.(a)                                            8,506 128,100     
Navigant Consulting Co.(a)                                    3,435  77,803     
Net 1 UEPS Technologies, Inc.(a)                              3,879 106,091     
NetRatings, Inc.(a)                                             907  12,598     
On Assignment, Inc.(a)                                        2,108  19,373     
PeopleSupport, Inc.(a)                                        1,495  20,123     
Perficient, Inc.(a)                                           1,420  17,551     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
15th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 15th
PHH Corp.(a)                                                  4,313   118,780   
Plexus Corp.(a)                                               3,754   128,424   
Pre-Paid Legal Services, Inc.                                   779    26,876   
Providence Service Corp. (The)(a)                               860    23,418   
QC Holdings, Inc.(a)                                            400     5,404   
Rent-A-Center, Inc.(a)                                        5,610   139,464   
Resources Connection, Inc.(a)                                 3,904    97,678   
Rewards Network, Inc.(a)                                      2,141    17,492   
Rollins, Inc.                                                 2,242    44,033   
Senomyx, Inc.(a)                                              2,409    34,762   
SFBC International, Inc.(a)                                   1,330    20,163   
Sotheby's Holdings, Inc., Class A(a)                          4,884   128,205   
Source Interlink Cos., Inc.(a)                                2,633    31,333   
SOURCECORP, Inc.(a)                                           1,110    27,517   
Spherion Corp.(a)                                             4,806    43,831   
Stamps.com, Inc.                                              1,507    41,925   
Standard Parking Corp.(a)                                       412    11,157   
Stewart Enterprises, Inc., Class A(a)                         8,723    50,157   
Strayer Education, Inc.                                       1,158   112,465   
Synagro Technologies, Inc.                                    4,962    19,501   
TeleTech Holdings, Inc.(a)                                    2,655    33,612   
TNS, Inc.(a)                                                  1,946    40,263   
Trimeris, Inc.(a)                                             1,125    12,926   
Tyler Technologies, Inc.(a)                                   2,817    31,550   
Universal Technical Institute, Inc.(a)                        1,706    37,566   
Valassis Communications, Inc.(a)                              3,861    91,081   
Viad Corp.                                                    1,736    54,337   
Volt Information Sciences, Inc.(a)                              585    27,261   
Watson Wyatt & Co. Holdings                                   3,450   121,233   
Wireless Facilities, Inc.(a)                                  3,884    10,681   
World Fuel Services Corp.                                     2,160    98,690   
Wright Express Corp.                                          3,206    92,140   
                                                                 ---------
                                                                 6,012,348
                                                                 ---------
COMPUTERS--4.1%                                                                 
3D Systems Corp.(a)                                             884    17,760   
Advanced Digital Information Corp.(a)                         4,976    58,568   
Advent Software, Inc.(a)                                      1,683    60,706   
Agile Software Corp.(a)                                       4,142    26,260   
ANSYS, Inc.(a)                                                2,662   127,297   
Aspen Technology, Inc.(a)                                     3,343    43,860   
BISYS Group, Inc. (The)(a)                                    9,732   133,328   
Black Box Corp.                                               1,312    50,289   
Brocade Communications Systems, Inc.(a)                      22,034   135,289   
CACI International, Inc., Class A (a)                         2,468   143,958   
CIBER, Inc.(a)                                                4,409    29,055   
COMSYS IT Partners, Inc.(a)                                   1,214    18,356   
Concur Technologies, Inc.(a)                                  2,313    35,782   
Covansys Corp.(a)                                             2,402    30,193   
Dendrite International, Inc.(a)                               3,143    29,041   
Digital River, Inc.(a)                                        3,239   130,823   
Digitas, Inc.(a)                                              7,119    82,723   
DSP Group, Inc.(a)                                            2,404    59,739   
Echelon Corp.(a)                                              2,018    15,115   
Eclipsys Corp.(a)                                             3,653    66,338   
eCollege.com, Inc.(a)                                         1,450    30,653   
Electronics For Imaging, Inc.(a)                              4,677    97,656   
Epicor Software Corp.(a)                                      4,229    44,531   
Extreme Networks, Inc.(a)                                     8,996    37,423   
FalconStor Software, Inc.(a)                                  2,991    20,847   
Gateway, Inc.(a)                                             22,888    43,487   
Hypercom Corp.(a)                                             4,438    41,495   
Hyperion Solutions Corp.(a)                                   4,788   132,149   
iGATE Corp.(a)                                                1,313     8,390   
IHS Inc., Class A(a)                                          1,887    55,912   
Imation Corp.                                                 2,760   113,298   
infoUSA, Inc.(a)                                              2,609    26,899   
Integral Systems, Inc.                                          755    20,257   
Intergraph Corp.(a)                                           2,372    74,694   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
16th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 16th
Internet Security Systems, Inc.(a)                            3,368    63,487   
Interwoven, Inc.(a)                                           3,296    28,280   
Jack Henry & Associates, Inc.                                 6,425   126,316   
Kanbay International, Inc.(a)                                 2,678    38,938   
Komag, Inc.(a)                                                2,452   113,233   
Kronos, Inc.(a)                                               2,631    95,269   
Lionbridge Technologies, Inc.(a)                              4,119    22,778   
Manhattan Associates, Inc.(a)                                 2,043    41,452   
Maxwell Technologies, Inc.(a)                                 1,159    22,751   
MICROS Systems, Inc.(a)                                       3,120   136,282   
Mobility Electronics, Inc.(a)                                 1,800    13,068   
MTS Systems Corp.                                             1,542    60,924   
Neoware, Inc.(a)                                              1,600    19,664   
NetScout Systems, Inc.(a)                                     1,670    14,896   
Packeteer, Inc.(a)                                            2,700    30,618   
Palm, Inc.                                                    7,405   119,221   
Perot Systems Corp., Class A(a)                               6,719    97,291   
Progress Software Corp.(a)                                    3,168    74,163   
QAD, Inc.                                                       695     5,386   
Quantum Corp.(a)                                             15,267    40,000   
Quest Software, Inc.(a)                                       5,524    77,557   
Rackable Systems, Inc.(a)                                     2,236    88,300   
Radiant Systems, Inc.(a)                                      1,936    20,464   
RadiSys Corp.(a)                                              1,730    37,991   
RSA Security, Inc.(a)                                         6,194   168,415   
Safeguard Scientifics, Inc.(a)                                9,709    20,971   
SafeNet, Inc.(a)                                              2,226    39,445   
Sapient Corp.(a)                                              5,951    31,540   
ScanSource, Inc.(a)                                           1,974    57,878   
Secure Computing Corp.                                        3,899    33,531   
SI International, Inc.(a)                                     1,036    31,764   
Sigma Designs, Inc.(a)                                        1,838    17,332   
Silicon Storage Technology, Inc.(a)                           7,009    28,457   
Sonic Solutions, Inc.(a)                                      1,937    31,961   
SonicWALL, Inc.(a)                                            5,205    46,793   
Stratasys, Inc.(a)                                              833    24,540   
Sykes Enterprises, Inc.(a)                                    2,361    38,154   
Synaptics, Inc.(a)                                            2,020    43,228   
Synnex Corp.(a)                                               1,008    19,112   
Syntel, Inc.                                                    504    10,312   
Take-Two Interactive Software, Inc.(a)                        5,779    61,604   
Transaction Systems Architects, Inc.(a)                       3,092   128,905   
TTM Technologies, Inc.(a)                                     3,292    47,635   
                                                                 ---------
                                                                 4,312,077
                                                                 ---------
COMPUTERS, PERIPHERAL & SOFTWARE--0.6%                                          
Access Integrated Technologies, Inc., Class A (a)             1,085    10,644   
Actuate Corp.(a)                                              4,554    18,398   
Art Technology Group, Inc.(a)                                 9,003    26,829   
Bottomline Technologies, Inc.(a)                              1,658    13,496   
Chordiant Software, Inc.(a)                                   6,405    19,407   
Digi International, Inc.(a)                                   1,600    20,048   
ENGlobal Corp.(a)                                             1,302    10,143   
i2 Technologies, Inc.(a)                                      1,144    14,494   
Knot, Inc. (The)(a)                                           1,175    24,593   
McDATA Corp., Class A(a)                                     12,380    50,511   
Merge Technologies, Inc.(a)                                   1,340    16,495   
Move, Inc.(a)                                                 8,096    44,366   
Ness Technologies, Inc.(a)                                    2,216    23,822   
Netgear, Inc.(a)                                              2,539    54,970   
Open Solutions, Inc.(a)                                       1,521    40,474   
Phase Forward, Inc.(a)                                        2,741    31,576   
Raser Technologies, Inc.(a)                                   1,640    15,810   
Rightnow Technologies, Inc.(a)                                1,212    20,216   
Smith Micro Software, Inc.(a)                                 1,623    26,000   
Ultimate Software Group, Inc.(a)                              1,926    36,902   
VA Software Corp.(a)                                          5,040    19,555   
Vignette Corp.(a)                                             2,268    33,067   
WebSideStory, Inc.(a)                                         1,413    17,239   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
17th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 17th
Witness Systems, Inc.(a)                                      2,495  50,324     
                                                               -------
                                                               639,379
                                                               -------
COSMETICS/PERSONAL CARE--0.1%                                                   
Chattem, Inc.(a)                                              1,386  42,093     
Elizabeth Arden, Inc.(a)                                      1,983  35,456     
Inter Parfums, Inc.                                             258   4,443     
Parlux Fragrances, Inc.(a)                                      800   7,752     
Revlon, Inc., Class A(a)                                     11,578  14,588     
                                                               -------
                                                               104,332
                                                               -------
DISTRIBUTION/WHOLESALE--0.9%                                                    
Advanced Energy Industries, Inc.(a)                           2,847  37,694     
Aviall, Inc.(a)                                               2,745 130,442     
Beacon Roofing Supply, Inc.(a)                                3,537  77,849     
Bluelinx Holdings, Inc.                                       1,012  13,186     
Building Materials Holdings Corp.                             2,220  61,871     
Central European Distribution Corp.(a)                        2,566  64,561     
Columbus Mckinnon Corp. (NY)(a)                               1,478  32,132     
Comfort Systems USA, Inc.                                     3,146  44,956     
Directed Electronics, Inc.(a)                                   681   8,935     
Keystone Automotive Industries, Inc.(a)                       1,228  51,846     
LKQ Corp.(a)                                                  3,612  68,628     
MWI Veterinary Supply, Inc.(a)                                  300  10,929     
Owens & Minor, Inc.                                           3,258  93,179     
United Stationers, Inc.(a)                                    2,552 125,865     
Watsco, Inc.                                                  2,251 134,656     
                                                               -------
                                                               956,729
                                                               -------
DIVERSIFIED FINANCIAL SERVICES--2.3%                                            
Abington Community Bancorp, Inc.                                562   8,419     
Accredited Home Lenders Holding Co.(a)                        1,371  65,548     
Advanta Corp., Class B                                        1,480  53,206     
Asset Acceptance Capital Corp.(a)                             1,349  26,710     
Asta Funding, Inc.                                              949  35,540     
Calamos Asset MGMT-A(a)                                       1,793  51,979     
Capital Title Group, Inc.                                     2,079  15,322     
Charter Municipal Mortgage Acceptance Co.                     4,209  78,750     
Clayton Holdings, Inc.(a)                                       696   9,083     
Cohen & Steers, Inc.                                          1,047  24,709     
Compass Diversified Trust                                     1,058  15,098     
CompuCredit Corp.(a)                                          1,623  62,388     
Credit Acceptance Corp.(a)                                      787  21,359     
Darwin Professional Underwriters, Inc.(a)                       421   7,435     
Digital Insight Corp.(a)                                      2,861  98,104     
Doral Financial Corp.                                         6,872  44,050     
Federal Agricultrural Mortgage Corp., Class C                   874  24,210     
Financial Federal Corp.                                       2,085  57,984     
Forrester Research, Inc.(a)                                   1,121  31,366     
Friedman, Billings, Ramsey Group, Inc.                       11,869 130,203     
GAMCO Investors, Inc., Class A                                  569  20,916     
GFI Group, Inc.(a)                                              963  51,954     
Gladstone Capital Corp.                                         901  19,272     
Gladstone Investment Corp.                                    1,100  16,500     
Greenhill & Co, Inc.                                          1,423  86,461     
International Securities Exchange, Inc.                       3,074 117,027     
INVESTools, Inc.(a)                                           3,652  28,997     
Knight Capital Group, Inc.(a)                                 8,434 128,450     
LaBranche & Co, Inc.(a)                                       4,305  52,134     
Marketaxess Holdings, Inc.(a)                                 2,124  23,385     
Marlin Business Services, Inc.(a)                               956  21,567     
MCG Capital Corp.                                             4,125  65,588     
Meadowbrook Insurance Group, Inc.(a)                          2,032  16,906     
MVC Capital, Inc.                                             1,382  18,574     
National Financial Partners Co.                               3,059 135,544     
NCO Group, Inc.(a)                                            2,633  69,617     
Ocwen Financial Corp.(a)                                      2,744  34,876     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
18th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 18th
OptionsXpress Holdings., Inc.                                1,607    37,459    
Penson Worldwide, Inc.(a)                                      603    10,378    
Phoenix Companies, Inc.                                      9,236   130,043    
Portfolio Recovery Associates, Inc.(a)                       1,214    55,480    
Resource America, Inc., Class A                              1,239    23,603    
S1 Corp.(a)                                                  5,599    26,875    
SCPIE Holdings, Inc.(a)                                        812    18,879    
StarTek, Inc.                                                  700    10,465    
Stifel Financial Corp.(a)                                      960    33,898    
SWS Group, Inc.                                              1,225    29,547    
Technology Investment Capital Corp.                          1,409    20,642    
Thomas Weisel Partners Group, Inc.(a)                          436     8,288    
Waddell & Reed Financial, Inc.                               6,848   140,794    
World Acceptance Corp.(a)                                    1,515    53,813    
                                                               ---------
                                                               2,369,395
                                                               ---------
ELECTRIC--1.5%                                                                  
Allete, Inc.                                                 2,022    95,742    
Avista Corp.                                                 3,781    86,320    
Black Hills Corp.                                            2,686    92,210    
CH Energy Group, Inc.                                        1,257    60,336    
Cleco Corp.                                                  3,981    92,558    
Duquesne Light Holdings, Inc.                                6,363   104,608    
El Paso Electric Co.(a)                                      3,809    76,789    
Empire District Electric Co. (The)                           2,420    49,731    
IDACORP, Inc.                                                3,462   118,712    
Integrated Electrical Services, Inc.(a)                      1,238    21,628    
ITC Holdings Corp.                                           1,153    30,647    
MGE Energy, Inc.                                             1,594    49,653    
Northwestern Corp.                                           2,841    97,588    
Ormat Technologies, Inc.                                       665    25,370    
Otter Tail Corp.                                             2,327    63,597    
Pike Electric Corp.(a)                                       1,266    24,383    
Plug Power, Inc.(a)                                          5,845    27,296    
PNM Resources, Inc.                                          5,561   138,803    
Portland General Electric Co.                                2,171    54,210    
UIL Holdings Corp.                                           1,141    64,227    
UniSource Energy Corp.                                       2,757    85,881    
Westar Energy, Inc.                                          7,040   148,192    
                                                               ---------
                                                               1,608,481
                                                               ---------
ELECTRICAL COMPONENTS & EQUIPMENT--0.7%                                         
American Superconductor Corp.(a)                             2,549    22,508    
Anadigics, Inc.(a)                                           3,812    25,617    
Belden CDT, Inc.                                             3,458   114,287    
Bookham, Inc.(a)                                             4,685    15,742    
Capital Senior Living Corp.(a)                               1,756    18,052    
Capstone Turbine Corp.(a)                                    8,301    18,926    
Color Kinetics, Inc.(a)                                      1,041    19,685    
Eagle Test Systems, Inc.(a)                                    592     8,300    
Encore Wire Corp.(a)                                         1,879    67,531    
Enersys(a)                                                   3,775    78,898    
GrafTech International Ltd.(a)                               7,788    45,170    
Greatbatch, Inc.(a)                                          1,722    40,639    
Micron Technology, Inc.(a)                                      --         7    
Medis Technologies Ltd.(a)                                   1,660    33,665    
Microtune, Inc.(a)                                           4,275    26,762    
MoSys, Inc.(a)                                               1,821    14,240    
Natus Medical, Inc.(a)                                       1,503    14,865    
Nextest Systems Corp.(a)                                       486     7,878    
Power-One, Inc.(a)                                           5,814    38,372    
Sirenza Microdevices, Inc.(a)                                2,007    24,365    
Spectranetics Corp.(a)                                       2,471    26,489    
Superior Essex, Inc.(a)                                      1,626    48,666    
                                                               ---------
                                                                 710,664
                                                               ---------
ELECTRONICS--3.5%                                                               

The accompanying notes are an integral part of these financial statements.  

N-CSRS
19th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 19th
Actel Corp.(a)                                               2,008  28,815      
Aeroflex, Inc.(a)                                            5,954  69,483      
Agilysys, Inc.                                               2,496  44,928      
American Science & Engineering, Inc.(a)                        637  36,895      
Analogic Corp.                                               1,068  49,779      
ATMI, Inc.(a)                                                2,964  72,974      
Badger Meter, Inc.                                           1,122  30,294      
Barnes Group, Inc.                                           3,008  60,010      
Bel Fuse, Inc., Class B                                        915  30,021      
Benchmark Electronics, Inc.(a)                               5,130 123,736      
Brady Corp., Class A                                         3,382 124,593      
Checkpoint Systems, Inc.(a)                                  3,019  67,052      
Cogent, Inc.(a)                                              3,494  52,655      
Coherent, Inc.(a)                                            2,457  82,875      
CTS Corp.                                                    2,865  42,660      
Cubic Corp.                                                  1,104  21,649      
Cymer, Inc.(a)                                               3,185 147,975      
Daktronics, Inc.                                             3,133  90,450      
Diodes, Inc.(a)                                              1,596  66,138      
EDO Corp.                                                    1,263  30,741      
Electro Scientific Industries, Inc.(a)                       2,226  40,046      
Energy Conversion Devices, Inc.(a)                           3,155 114,937      
Exar Corp.(a)                                                2,806  37,236      
Excel Technology, Inc.(a)                                      939  28,095      
Fargo Electronics, Inc.(a)                                   1,036  26,304      
FEI Co.(a)                                                   1,862  42,230      
FuelCell Energy, Inc.(a)                                     4,292  41,117      
General Cable Corp.(a)                                       4,121 144,235      
Herley Industries, Inc.(a)                                   1,031  11,558      
Hutchinson Technology, Inc.(a)                               1,969  42,589      
II-VI, Inc.(a)                                               1,840  33,672      
International Displayworks, Inc.(a)                          3,283  17,072      
Ionatron, Inc.(a)                                            2,468  15,672      
KEMET Corp.(a)                                               6,743  62,170      
Littelfuse, Inc.(a)                                          1,881  64,669      
Lojack Corp.(a)                                              1,447  27,290      
Mattson Technology, Inc.(a)                                  4,238  41,405      
Measurement Specialties, Inc.(a)                             1,116  24,853      
Mentor Graphics Corp.(a)                                     6,235  80,930      
Mercury Computer Systems, Inc.(a)                            1,462  22,500      
Methode Electronics, Inc., Class A                           2,902  30,500      
Metrologic Instruments, Inc.(a)                              1,060  15,911      
Micrel, Inc.(a)                                              5,871  58,769      
Microsemi Corp.(a)                                           5,715 139,332      
MKS Instruments, Inc.(a)                                     2,940  59,153      
Molecular Devices Corp.(a)                                   1,249  38,169      
Moog, Inc., Class A(a)                                       2,992 102,386      
Multi-Fineline Electronix, Inc.(a)                             593  19,682      
OSI Systems, Inc.(a)                                         1,095  19,458      
Park Electrochemical Corp.                                   1,557  40,093      
Photon Dynamics, Inc.(a)                                     1,349  16,889      
Photronics, Inc.(a)                                          3,189  47,197      
Power Integrations, Inc.(a)                                  2,345  40,991      
RAE Systems, Inc.(a)                                         3,113  12,452      
Rofin-Sinar Technologies, Inc.(a)                            1,176  67,585      
Rudolph Technologies, Inc.(a)                                1,766  25,607      
Silicon Image, Inc.(a)                                       6,308  68,000      
Supertex, Inc.(a)                                              969  38,702      
Taser International, Inc.(a)                                 4,763  37,675      
Technitrol, Inc.                                             3,229  74,751      
Triumph Group, Inc.(a)                                       1,239  59,472      
Universal Display Corp.(a)                                   1,987  26,447      
Universal Electronics, Inc.(a)                               1,081  19,145      
Varian, Inc.(a)                                              2,496 103,609      
Vicor Corp.                                                  1,372  22,734      
Viisage Technology, Inc.(a)                                  1,801  27,303      
Watts Water Technologies, Inc., Class A                      1,949  65,389      
Woodward Governor Co.                                        2,355  71,851      
X-Rite, Inc.                                                 1,687  18,540      
Zoran Corp.(a)                                               4,021  97,871      

The accompanying notes are an integral part of these financial statements.  

N-CSRS
20th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 20th
Zygo Corp.(a)                                         1,459    23,913           
                                                 ---------
                                                 3,681,879
                                                 ---------
ENERGY--ALTERNATE SOURCES--0.5%                                                 
Allis-Chalmers Energy, Inc.(a)                        1,106    15,031           
Dawson Geophysical Co.(a)                               608    18,708           
Evergreen Solar, Inc.(a)                              5,398    70,066           
Exploration Co. of Delaware, Inc. (The)(a)            2,357    25,126           
Headwaters, Inc.(a)                                   3,393    86,725           
KCS Energy, Inc.(a)                                   4,088   121,413           
KFX, Inc.(a)                                          5,734    87,615           
Pacific Ethanol, Inc.(a)                              1,733    40,067           
Quantum Fuel Systems Technologies Worldwide, Inc.(a)  3,100    10,540           
Rentech, Inc.(a)                                     11,166    51,922           
Syntroleum Corp.(a)                                   3,116    18,914           
Warrior Energy Service Corp.(a)                         781    19,002           
                                                 ---------
                                                   565,129
                                                 ---------
ENGINEERING & CONSTRUCTION--0.5%                                                
Ampco-Pittsburgh Corp.                                  580    16,617           
EMCOR Group, Inc.(a)                                  2,519   122,600           
Granite Construction, Inc.                            2,841   128,611           
Infrasource Services, Inc.(a)                         2,156    39,261           
Layne Christensen Co.(a)                                966    27,386           
Perini Corp.(a)                                       1,757    39,533           
Washington Group International, Inc.                  2,378   126,843           
                                                 ---------
                                                   500,851
                                                 ---------
ENTERTAINMENT--1.7%                                                             
24/7 Real Media, Inc.(a)                              3,915    34,374           
Ambassadors Group, Inc.                               1,668    48,172           
Ameristar Casinos, Inc.                               1,951    37,947           
Bally Technologies, Inc.(a)                           4,077    67,148           
Blue Coat Systems, Inc.(a)                            1,169    19,709           
Blue Nile, Inc.(a)                                    1,181    37,981           
Carmike Cinemas, Inc.                                   982    20,701           
Century Casinos, Inc.(a)                              1,641    17,575           
Churchill Downs, Inc.                                   620    23,219           
Cybersource Corp.(a)                                  2,465    28,841           
Dover Downs Gaming & Entertainment, Inc.              1,117    21,938           
Dover Motorsports, Inc.                               1,031     6,052           
Equinix, Inc.(a)                                      2,311   126,780           
Gaylord Entertainment Co.(a)                          3,293   143,706           
Great Wolf Resorts, Inc.(a)                           2,033    24,416           
Internap Network Services Corp.(a)                   24,710    25,946           
Internet Capital Group, Inc.(a)                       2,700    24,300           
Ipass, Inc.(a)                                        5,246    29,378           
Isle of Capri Casinos, Inc.(a)                        1,265    32,447           
Lakes Entertainment, Inc.(a)                          1,848    22,342           
Live Nation, Inc.(a)                                  5,155   104,956           
Macrovision Corp.(a)                                  4,025    86,618           
Magna Entertainment Corp., Class A(a)                 3,229    16,985           
Martha Stewart Living Omnimedia Inc., Class A(a)      2,043    34,139           
Marvel Entertainment, Inc.(a)                         3,805    76,100           
MTR Gaming Group, Inc.(a)                             1,579    14,811           
Patten Corp.(a)                                       1,653    18,943           
Pinnacle Entertainment, Inc.(a)                       3,854   118,125           
Progressive Gaming International Corp.(a)             2,500    19,500           
RealNetworks, Inc.(a)                                 8,534    91,314           
Redback Network, Inc.(a)                              4,480    82,163           
Shuffle Master, Inc.                                  2,916    95,586           
Six Flags, Inc.(a)                                    5,746    32,293           
Speedway Motorsports, Inc.                            1,199    45,250           
Steinway Musical Instruments, Inc.(a)                   513    12,579           
Travelzoo, Inc.(a)                                      200     6,068           
Trump Entertainment Resorts, Inc.(a)                  2,262    45,579           
Vail Resorts, Inc.(a)                                 2,446    90,747           

The accompanying notes are an integral part of these financial statements.  

N-CSRS
21st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 21st
World Wrestling Entertainment, Inc.                          1,729    29,203    
                                                               ---------
                                                               1,813,931
                                                               ---------
ENVIRONMENTAL CONTROL--0.7%                                                     
Aleris International, Inc.(a)                                2,525   115,771    
American Ecology Corp.                                       1,258    33,337    
Basin Water, Inc.(a)                                           484     4,850    
Casella Waste Systems, Inc., Class A(a)                      1,774    23,222    
Clean Harbors, Inc.(a)                                       1,267    51,073    
Metal Management, Inc.                                       2,105    64,455    
Mine Safety Appliances Co.                                   2,495   100,299    
Team, Inc.(a)                                                  513    12,851    
Tetra Tech, Inc.(a)                                          4,637    82,260    
Thermogenesis(a)                                             4,307    17,745    
Waste Connections, Inc.(a)                                   3,598   130,966    
Waste Industries USA, Inc.                                     601    13,631    
Waste Services, Inc.(a)                                      2,427    21,819    
Waste Services, Inc.(a)                                      1,433    12,886    
                                                               ---------
                                                                 685,165
                                                               ---------
FOOD--2.2%                                                                      
Applebees International, Inc.                                6,001   115,338    
Arden Group, Inc., Class A                                      91    10,298    
BJ'S Restaurants, Inc.(a)                                    1,025    22,899    
CEC Entertainment, Inc.(a)                                   2,803    90,032    
Chiquita Brands International, Inc.                          3,422    47,155    
Diamond Foods, Inc.                                          1,265    20,329    
Flowers Foods, Inc.                                          4,114   117,824    
Gold Kist, Inc.(a)                                           4,015    53,681    
Great Atlantic & Pacific Tea Co.(a)                          1,394    31,672    
Hain Celestial Group, Inc.(a)                                2,509    64,632    
IHOP Corp.                                                   1,465    70,437    
Imperial Sugar Co.                                             913    21,656    
Ingles Markets, Inc., Class A                                  949    16,133    
J & J Snack Foods Corp.                                        999    33,037    
Jack in the Box, Inc.(a)                                     2,837   111,210    
Jones Soda Co.(a)                                            1,787    16,083    
Lance, Inc.                                                  2,325    53,522    
Landry's Restaurants, Inc.                                   1,211    39,297    
M&F Worldwide Corp.(a)                                         700    11,270    
MGP Ingredients, Inc.                                          771    17,903    
Nash Finch Co.                                               1,048    22,312    
P.F. Chang's China Bistro, Inc.(a)                           2,038    77,485    
Papa John's International, Inc.(a)                           1,967    65,304    
Pathmark Stores, Inc.(a)                                     4,204    39,560    
Performance Food Group Co.(a)                                2,812    85,429    
Pilgrim's Pride Corp.                                        3,269    84,340    
Premium Standard Farms, Inc.                                 1,116    18,113    
Ralcorp Holdings, Inc.(a)                                    2,173    92,418    
Rare Hospitality International, Inc.(a)                      2,737    78,716    
Ruddick Corp.                                                3,215    78,800    
Sanderson Farms, Inc.                                        1,427    39,942    
Seaboard Corp.                                                  28    35,840    
Sensient Technologies Corp.                                  3,769    78,810    
Sonic Corp.(a)                                               6,934   144,157    
Spartan Stores, Inc.(a)                                      1,659    24,271    
Tejon Ranch Co.(a)                                             880    36,221    
Tootsie Roll Industries, Inc.                                2,873    83,690    
TreeHouse Foods, Inc.(a)                                     2,512    60,012    
United Natural Foods, Inc.(a)                                3,353   110,716    
Village Super Market, Class A                                  132     8,629    
Weis Markets, Inc.                                             770    31,724    
Wild Oats Markets, Inc.(a)                                   2,228    43,669    
                                                               ---------
                                                               2,304,566
                                                               ---------
FOREST PRODUCTS & PAPER--0.7%                                                   
American Woodmark Corp.                                        903    31,641    

The accompanying notes are an integral part of these financial statements.  

N-CSRS
22nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 22nd
Bowater, Inc.                                                4,589 104,400      
Buckeye Technologies, Inc.(a)                                3,043  23,249      
Caraustar Industries, Inc.(a)                                1,922  17,298      
Chesapeake Corp.                                             1,572  25,797      
Deltic Timber Corp.                                            783  44,138      
Glatfelter Co.                                               3,509  55,688      
Mercer International, Inc.-Sbi(a)                            1,900  16,492      
Neenah Paper Inc.                                            1,178  35,870      
Potlatch Corp.                                               3,085 116,458      
Rock-Tenn Co., Class A                                       2,351  37,498      
Schweitzer-Mauduit International, Inc.                       1,106  23,945      
Universal Forest Products, Inc.                              1,354  84,936      
Wausau-Mosinee Paper Corp.                                   3,390  42,206      
Xerium Technologies, Inc.                                    1,593  15,006      
                                                             -------
                                                             674,622
                                                             -------
GAS--0.3%                                                                       
EnergySouth, Inc.                                              557  17,395      
Laclede Group, Inc. (The)                                    1,645  56,522      
Nicor, Inc.                                                  3,621 150,272      
Peoples Energy Corp.                                         3,119 112,003      
                                                             -------
                                                             336,192
                                                             -------
HAND/MACHINE TOOLS--0.3%                                                        
Baldor Electric Co.                                          2,647  82,825      
Franklin Electric Co., Inc.                                  1,823  94,140      
Powell Industries, Inc.(a)                                     622  14,884      
Regal-Beloit Corp.                                           2,484 109,668      
                                                             -------
                                                             301,517
                                                             -------
HEALTH CARE--5.5%                                                               
Abiomed, Inc.(a)                                             1,888  24,487      
Adeza Biomedical Corp.(a)                                    1,215  17,034      
Affymetrix, Inc.(a)                                          5,451 139,545      
Air Methods Corp.(a)                                           838  21,939      
Akorn, Inc.(a)                                               3,597  14,316      
Alliance Imaging, Inc.(a)                                      825   5,280      
Amedisys, Inc.(a)                                            1,234  46,769      
American Medical Systems Holdings, Inc.(a)                   5,667  94,356      
American Retirement Corp.(a)                                 2,852  93,460      
AMERIGROUP Corp.(a)                                          4,176 129,623      
AMN Healthcare Services, Inc.(a)                             2,625  53,288      
AmSurg Corp.(a)                                              2,354  53,554      
Andrx Corp.(a)                                               6,005 139,256      
Angiodynamics, Inc.(a)                                         988  26,725      
Apria Healthcare Group, Inc.(a)                              3,382  63,920      
Arrow International, Inc.                                    1,838  60,415      
ArthroCare Corp.(a)                                          2,144  90,069      
Aspect Medical Systems, Inc.(a)                              1,297  22,620      
Auxilium Pharmaceuticals, Inc.(a)                            1,751  13,623      
BioMarin Pharmaceutical, Inc.(a)                             6,897  99,110      
Biosite, Inc.(a)                                             1,317  60,134      
Bruker BioSciences Corp.(a)                                  2,470  13,239      
Candela Corp.(a)                                             1,802  28,580      
Centene Corp.(a)                                             3,481  81,908      
Cepheid, Inc.(a)                                             4,408  42,802      
Cerus Corp.(a)                                               2,242  15,985      
Chemed Corp.                                                 2,075 113,150      
Compx International, Inc.                                      100   1,790      
Conceptus, Inc.(a)                                           1,841  25,111      
CONMED Corp.(a)                                              2,344  48,521      
Cyberonics, Inc.(a)                                          1,698  36,201      
Datascope Corp.                                                933  28,774      
Dexcom, Inc.(a)                                              1,359  18,455      
DHB Industries, Inc.(a)                                      1,898   3,644      
Diagnostic Products Corp.                                    2,007 116,747      
Dionex Corp.(a)                                              1,665  91,009      

The accompanying notes are an integral part of these financial statements.  

N-CSRS
23rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 23rd
DJ Orthopedics, Inc.(a)                                      1,839  67,730      
Emeritus Corp.(a)                                              399   7,481      
Encore Medical Corp.(a)                                      3,977  19,129      
Enzo Biochem, Inc.(a)                                        2,211  33,342      
Enzon Pharmaceuticals, Inc.(a)                               3,079  23,216      
ev3, Inc.(a)                                                 1,225  18,142      
Five Star Quality Care, Inc.(a)                              2,550  28,229      
Flir Systems, Inc.(a)                                        5,585 123,205      
Foxhollow Technologies, Inc.(a)                              1,507  41,171      
Genesis HealthCare Corp.(a)                                  1,545  73,187      
Gentiva Health Services, Inc.(a)                             1,939  31,082      
Haemonetics Corp.(a)                                         2,124  98,787      
Healthtronics, Inc.(a)                                       2,300  17,595      
Healthways, Inc.(a)                                          2,721 143,232      
Hologic, Inc.(a)                                             3,684 181,841      
Horizon Health Corp.(a)                                      1,212  25,307      
Hythiam, Inc.(a)                                             2,116  14,749      
ICU Medical, Inc.(a)                                         1,103  46,591      
Immucor, Inc.(a)                                             5,592 107,534      
Intermagnetics General Corp.(a)                              3,281  88,521      
Intralase Corp.(a)                                           1,731  28,977      
Invacare Corp.                                               2,433  60,533      
Inverness Medical Innovations, Inc.(a)                       2,235  63,094      
IRIS International, Inc.(a)                                  1,269  16,700      
Kensey Nash Corp.(a)                                           933  27,524      
Kindred Healthcare, Inc.(a)                                  2,860  74,360      
Kyphon, Inc.(a)                                              3,573 137,060      
Laserscope(a)                                                1,605  49,450      
LCA-Vision, Inc.                                             1,669  88,307      
LHC Group, Inc.(a)                                             895  17,828      
Luminex Corp.(a)                                             2,583  44,918      
Matria Healthcare, Inc.(a)                                   1,683  36,050      
Medcath Corp.(a)                                               639  12,039      
Medical Action Industries, Inc.(a)                             742  16,391      
Mentor Corp.                                                 3,122 135,807      
Meridian Bioscience, Inc.                                    1,697  42,340      
Merit Medical Systems, Inc.(a)                               2,200  30,272      
Molina Healthcare, Inc.(a)                                     986  37,517      
National Healthcare Corp.                                      490  21,830      
Neurometrix, Inc.(a)                                         1,007  30,673      
Nighthawk Radiology Holdings, Inc.(a)                          457   8,199      
NxStage Medical, Inc.(a)                                       374   3,265      
Oakley, Inc.                                                 1,940  32,689      
Odyssey Healthcare, Inc.(a)                                  2,689  47,246      
Option Care, Inc.                                            2,113  25,314      
OraSure Technologies, Inc.(a)                                3,708  35,300      
Palomar Medical Technologies, Inc.(a)                        1,346  61,418      
PolyMedica Corp.                                             1,923  69,151      
PSS World Medical, Inc.(a)                                   5,304  93,616      
Psychiatric Solutions, Inc.(a)                               4,178 119,741      
Quidel Corp.(a)                                              2,428  23,066      
Radiation Therapy Services, Inc.(a)                            882  23,735      
RehabCare Group, Inc.(a)                                     1,219  21,186      
Res-Care, Inc.(a)                                            1,612  32,240      
Sirona Dental Systems, Inc.                                  1,351  53,527      
SonoSite, Inc.(a)                                            1,229  47,980      
Stereotaxis, Inc.(a)                                         1,892  20,415      
Steris Corp.                                                 5,467 124,976      
Sun Healthcare Group, Inc.(a)                                1,869  16,242      
Sunrise Senior Living, Inc.(a)                               3,588  99,208      
Symbion, Inc.(a)                                             1,261  26,178      
Symmetry Medical, Inc.(a)                                    2,818  43,397      
Thoratec Corp.(a)                                            4,175  57,907      
TriPath Imaging, Inc.(a)                                     2,080  13,770      
United Surgical Partners International, Inc.(a)              3,548 106,688      
Ventana Medical Systems, Inc.(a)                             2,329 109,882      
Viasys Healthcare, Inc.(a)                                   2,488  63,693      
Visicu, Inc.(a)                                                557   9,831      
VistaCare, Inc., Class A(a)                                    621   7,514      
Vital Images, Inc.(a)                                          954  23,564      

The accompanying notes are an integral part of these financial statements.  

N-CSRS
24th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 24th
Vital Sign, Inc.                                               552    27,341    
West Pharmaceutical Services, Inc.                           2,610    94,691    
Wright Medical Group, Inc.(a)                                2,764    57,851    
Young Innovations, Inc.                                        282     9,935    
Zoll Medical Corp.(a)                                          697    22,834    
                                                               ---------
                                                               5,730,770
                                                               ---------
HOLDING COMPANIES--0.1%                                                         
Navigators Group, Inc.(a)                                    1,054    46,186    
Star Maritime Acquisition Corp.(a)                           1,373    13,950    
Triarc Companies, Inc.                                       4,973    77,728    
                                                               ---------
                                                                 137,864
                                                               ---------
HOME BUILDERS--0.7%                                                             
Amrep Corp.                                                    135     7,333    
Brookfield Homes Corp.                                       1,005    33,115    
Cavco Industries, Inc.(a)                                      513    22,798    
Champion Enterprises, Inc.(a)                                6,039    66,671    
Fleetwood Enterprises, Inc.(a)                               4,953    37,346    
Hovnanian Enterprises, Inc., Class A (a)                     4,029   121,191    
Levitt Corp., Class A                                        1,127    18,032    
M/I Schottenstein Homes, Inc.                                  916    32,133    
Meritage Homes Corp.(a)                                      1,827    86,326    
Monaco Coach Corp.                                           2,080    26,416    
Orleans Homebuilders, Inc.                                     277     4,501    
Palm Harbor Homes, Inc.(a)                                     583    10,255    
Skyline Corp.                                                  544    23,272    
Sterling Construction Co., Inc.(a)                             701    19,348    
Technical Olympic Usa, Inc.                                  1,589    22,818    
WCI Communities, Inc.(a)                                     2,770    55,788    
Williams Scotsman International, Inc.(a)                     2,404    52,503    
Winnebago Industries, Inc.                                   2,663    82,660    
                                                               ---------
                                                                 722,506
                                                               ---------
HOME FURNISHINGS--0.5%                                                          
DTS, Inc.(a)                                                 1,380    26,882    
Ethan Allen Interiors, Inc.                                  2,706    98,904    
Furniture Brands International, Inc.                         3,578    74,566    
Hooker Furniture Corp.                                         683    11,454    
Kimball International, Inc., Class B                         1,777    35,025    
La-Z-Boy, Inc.                                               4,162    58,268    
Movado Group, Inc.                                           1,334    30,615    
Sealy Corp.                                                  1,631    21,643    
Select Comfort Corp.(a)                                      4,441   102,009    
Standex International Corp.                                    903    27,406    
Stanley Furniture Co., Inc.                                    977    23,419    
Tempur-Pedic International, Inc.(a)                          4,050    54,716    
                                                               ---------
                                                                 564,907
                                                               ---------
HOUSEHOLD PRODUCTS / WARES--0.7%                                                
American Greetings Corp., Class A                            4,312    90,594    
Blyth, Inc.                                                  2,070    38,212    
Central Garden & Pet Co.(a)                                  1,763    75,897    
CNS, Inc.                                                    1,129    27,661    
CSS Industries, Inc.                                           430    12,363    
Ennis Business Forms, Inc.                                   2,028    39,911    
Fossil, Inc.(a)                                              3,524    63,467    
Harland (John H.) Co.(a)                                     2,191    95,308    
Lifetime Brands, Inc.                                          910    19,720    
National Presto Industries, Inc.                               377    19,710    
Playtex Products, Inc.(a)                                    4,513    47,071    
Russ Berrie & Co., Inc.                                        733     8,987    
Standard Register Co. (The)                                  1,441    17,076    
Tupperware Corp.                                             4,900    96,480    
Yankee Candle Co. (The)                                      3,268    81,733    
                                                               ---------

The accompanying notes are an integral part of these financial statements.  

N-CSRS
25th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 25th
                                                                   734,190
                                                                 ---------
INSURANCE--2.3%                                                                 
21st Century Insurance Group                                  2,509    36,130   
Affirmative Insurance Holdings, Inc.                            600     9,390   
Alfa Corp.                                                    2,668    44,182   
American Equity Investment Life Holding Co.                   4,495    47,917   
American Physicians Capital, Inc.(a)                            487    25,611   
Argonaut Group, Inc.(a)                                       2,401    72,126   
Baldwin & Lyons, Inc., Class B                                  599    15,275   
Bristol West Holdings, Inc.                                   1,384    22,144   
CNA Surety Corp.(a)                                           1,246    21,531   
Commerce Group, Inc.                                          4,392   129,740   
Crawford & Co., Class B                                       1,638    11,761   
Delphi Financial Group, Inc., Class A                         3,429   124,678   
Direct General Corp.                                          1,000    16,920   
Donegal Group, Inc.                                             917    17,799   
Emc Insurance Group, Inc.                                       407    11,705   
Enstar Group, Inc.(a)                                           241    22,218   
FBL Financial Group, Inc., Class A                            1,097    35,543   
First Acceptance Corp.(a)                                     1,200    14,136   
First Advantage Corp.(a)                                        500    11,630   
FPIC Insurance Group, Inc.(a)                                   810    31,388   
Great American Financial Resources, Inc.                        531    11,114   
Harleysville Group, Inc.                                      1,057    33,528   
HealthExtras, Inc.(a)                                         2,194    66,303   
Hilb, Rogal & Hamilton Co.                                    2,924   108,977   
Horace Mann Educators Corp.                                   3,343    56,664   
Independence Holding Co.                                        273     6,118   
Infinity Property & Casualty Corp.                            1,612    66,092   
James River Group, Inc.(a)                                      737    18,351   
Kansas City Life Insurance Co.                                  235     9,910   
LandAmerica Financial Group, Inc.                             1,388    89,665   
Midland Co. (The)                                               856    32,511   
National Interstate Corp.                                     1,280    34,714   
National Western Life Insurance Co., Class A                    177    42,418   
NYMAGIC, Inc.                                                   467    13,566   
Odyssey Re Holdings Corp.                                       900    23,715   
Ohio Casualty Corp.                                           5,139   152,783   
PICO Holdings, Inc.(a)                                          681    21,962   
PMA Capital Corp., Class A(a)                                 2,540    26,162   
Presidential Life Corp.                                       1,635    40,188   
ProAssurance Corp.(a)                                         2,520   121,414   
RLI Corp.                                                     1,797    86,579   
Safety Insurance Group, Inc.                                  1,149    54,635   
Seabright Insurance Holdings, Inc.(a)                         1,284    20,685   
Selective Insurance Group, Inc.                               2,223   124,199   
State Auto Financial Corp.                                    1,162    37,811   
Stewart Information Services Corp.                            1,362    49,454   
Tower Group, Inc.                                             1,374    41,564   
Triad Guaranty, Inc.(a)                                         930    45,458   
U.S.I. Holdings Corp.(a)                                      3,617    48,504   
United Fire & Casualty Co.                                    1,603    48,298   
Universal American Financial Corp.(a)                         3,076    40,449   
Zenith National Insurance Corp.                               2,984   118,375   
                                                                 ---------
                                                                 2,413,990
                                                                 ---------
INTERNET COMPANIES--0.4%                                                        
Audible, Inc.(a)                                              1,700    15,453   
Avocent Corp.(a)                                              4,075   106,969   
Click Commerce, Inc.(a)                                         731    14,423   
Cogent Communications Group, Inc.(a)                          1,695    15,882   
DealerTrack Holdings, Inc. (a)                                  736    16,273   
Liquidity Services, Inc.(a)                                     565     8,797   
NetFlix, Inc.(a)                                              3,181    86,555   
Online Resources Corp.(a)                                     1,500    15,510   
Terremark Worldwide, Inc.(a)                                  3,163    11,387   
TIBCO Software, Inc.(a)                                      17,011   119,927   
Vasco Data Security International(a)                          1,700    14,195   
                                                                 ---------

The accompanying notes are an integral part of these financial statements.  

N-CSRS
26th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 26th
                                                             425,371
                                                             -------
IRON / STEEL--0.7%                                                              
AK Steel Holding Corp.(a)                                    9,008 124,581      
Chaparral Steel Co.(a)                                       1,861 134,029      
Cleveland-Cliffs, Inc.                                       1,795 142,325      
Gibraltar Steel, Inc.                                        1,877  54,433      
Olympic Steel, Inc.                                            676  23,924      
Oregon Steel Mills, Inc.(a)                                  2,907 147,268      
Ryerson Tull, Inc.                                           1,956  52,812      
Schnitzer Steel Industries, Inc., Class A                    1,745  61,913      
Shiloh Industries, Inc.(a)                                     389   5,851      
Steel Technologies, Inc.                                       890  17,302      
Wheeling-Pittsburgh Corp.(a)                                   698  13,883      
                                                             -------
                                                             778,321
                                                             -------
LEISURE TIME--0.4%                                                              
Bally Total Fitness Holding Corp.(a)                         2,975  20,171      
Callaway Golf Co.                                            6,088  79,083      
Geo Group, Inc. (The)(a)                                     1,048  36,732      
K2, Inc.(a)                                                  3,795  41,517      
Life Time Fitness, Inc.(a)                                   2,455 113,593      
Marine Products Corp.                                          762   7,414      
Nautilus Group, Inc. (The)                                   2,595  40,767      
Navigant International, Inc.(a)                              1,253  20,086      
NGP Capital Resources Co.                                    1,427  20,877      
WMS Industries, Inc.(a)                                      2,182  59,765      
                                                             -------
                                                             440,005
                                                             -------
LODGING--0.3%                                                                   
Aztar Corp.(a)                                               2,857 148,450      
Lodgian, Inc.(a)                                             1,700  24,225      
Marcus Corp.                                                 1,618  33,784      
Monarch Casino & Resort, Inc.(a)                               737  20,724      
Morgans Hotel Group Co.(a)                                   1,309  20,368      
Riviera Holdings Corp.(a)                                      886  17,897      
                                                             -------
                                                             265,448
                                                             -------
MACHINERY--1.9%                                                                 
Albany International Corp., Class A                          2,158  91,478      
Applied Industrial Technologies, Inc.                        3,699  89,923      
Astec Industries, Inc.(a)                                    1,330  45,380      
Asyst Technologies, Inc.(a)                                  3,797  28,591      
Briggs & Stratton Corp.                                      4,233 131,688      
Bucyrus International, Inc., - A                             2,501 126,301      
Cascade Corp.                                                  953  37,691      
Cognex Corp.                                                 3,766  98,029      
DXP Enterprises, Inc.(a)                                       139   4,319      
Dycom Industries, Inc.(a)                                    3,204  68,213      
Esterline Technologies Corp.(a)                              1,955  81,308      
Flow International Corp.(a)                                  2,826  39,762      
Gehl Co.(a)                                                    939  23,973      
Gerber Scientific, Inc.(a)                                   1,824  23,730      
Gorman-Rupp Co. (The)                                          666  17,716      
Insituform Technologies, Inc., Class A(a)                    2,090  47,840      
Intermec, Inc.(a)                                            4,020  92,219      
Intevac Inc.(a)                                              1,587  34,406      
iRobot Corp.(a)                                                922  22,939      
Kadant, Inc.(a)                                              1,012  23,276      
Kaman Corp., Class A                                         1,941  35,326      
Knight Transportation, Inc.                                  4,561  92,132      
Kulicke & Soffa Industries, Inc.(a)                          4,131  30,611      
Lindsay Manufacturing Co.                                      844  22,889      
Middleby Corp.(a)                                              538  46,569      
NACCO Industries, Inc.                                         445  61,147      
Nordson Corp.                                                2,378 116,950      

The accompanying notes are an integral part of these financial statements.  

N-CSRS
27th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 27th
OYO Geospace Corp.(a)                                           318    18,161   
Paxar Corp.(a)                                                3,317    68,231   
Presstek, Inc.(a)                                             2,333    21,720   
Robbins & Myers, Inc.                                           927    24,232   
Sauer-Danfoss, Inc.                                             803    20,412   
Semitool, Inc.(a)                                             1,775    16,011   
Tecumseh Products Co., Class A                                1,204    23,117   
Tennant Co.                                                     628    31,576   
Turbochef Technologies, Inc.(a)                                 800     8,896   
Ultratech, Inc.(a)                                            1,908    30,032   
Wabtec Corp.                                                  3,844   143,765   
                                                                 ---------
                                                                 1,940,559
                                                                 ---------
MANUFACTURERS--0.5%                                                             
Aptargroup, Inc.(a)                                           2,839   140,842   
EnPro Industries, Inc.(a)                                     1,631    54,802   
Federal Signal Corp.                                          3,861    58,456   
Flanders Corp.(a)                                               800     8,024   
Freightcar America, Inc.                                      1,015    56,343   
Jacuzzi Brands, Inc.(a)                                       6,120    53,856   
Lancaster Colony Corp.                                        2,062    81,387   
Tredegar Corp.                                                2,755    43,584   
                                                                 ---------
                                                                   497,294
                                                                 ---------
MANUFACTURING--0.7%                                                             
Acuity Brands, Inc.                                           3,621   140,892   
American Railcar Industries, Inc.                               618    20,462   
Applied Films Corp.(a)                                        1,252    35,669   
Blount International, Inc.(a)                                 3,066    36,853   
China BAK Battery, Inc.(a)                                    2,188    18,620   
ESCO Technologies, Inc.(a)                                    2,085   111,443   
Hexcel Corp.(a)                                               7,541   118,469   
Insteel Industries, Inc.                                      1,125    27,225   
Kaydon Corp.                                                  2,247    83,836   
Koppers Holdings, Inc.                                          728    14,553   
Lamson & Sessions Co. (The)(a)                                1,121    31,792   
PW Eagle, Inc.                                                  849    25,674   
Reddy Ice Holdings, Inc.                                      1,348    27,432   
Smith & Wesson Holding Corp.(a)                               2,357    19,375   
                                                                 ---------
                                                                   712,295
                                                                 ---------
MEDIA--1.5%                                                                     
Acacia Research - Acacia Technologies(a)                      2,250    31,635   
Banta Corp.                                                   1,939    89,834   
Belo Corp., Class A                                           7,339   114,487   
Citadel Broadcasting Corp.                                    2,900    25,810   
CKX, Inc.(a)                                                  4,127    56,003   
Courier Corp.                                                   786    31,456   
Cox Radio, Inc.(a)                                            3,649    52,619   
Crown Media Holdings, Inc.(a)                                   938     3,865   
Cumulus Media, Inc., Class A(a)                               3,901    41,624   
Emmis Communications Corp.(a)                                 2,624    41,039   
Entercom Communications Corp.(a)                              2,611    68,304   
Entravision Communications Corp.(a)                           5,154    44,170   
Fisher Communications, Inc.(a)                                  527    22,203   
Gemstar-TV Guide International, Inc.(a)                      19,650    69,168   
Gray Television, Inc.                                         3,016    17,463   
Hollinger International, Inc.                                 6,052    48,598   
Journal Communications, Inc.                                  3,535    39,733   
Journal Register Co.                                          3,038    27,220   
Jupitermedia Corp.(a)                                         1,752    22,776   
Lee Enterprises, Inc.                                         3,696    99,606   
Lin TV Corp., Class A(a)                                      1,816    13,711   
LodgeNet Entertainment Corp.(a)                               1,291    24,077   
Media General Inc., Class A                                   1,715    71,841   
Mediacom Communications Corp.(a)                              4,922    30,664   
Outdoor Channel Holdings, Inc.(a)                             1,061    10,950   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
28th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 28th
Playboy Enterprises, Inc., Class B(a)                         1,398    13,952   
Primedia, Inc.(a)                                            16,043    29,359   
Private Media Group Ltd.(a)                                   2,035     9,056   
Radio One, Inc., Class D(a)                                   6,230    46,102   
Readers Digest Association, Inc.                              7,787   108,706   
Salem Communications Corp., Class A(a)                          678     8,821   
Scholastic Corp.(a)                                           2,835    73,625   
Sinclair Broadcast Group, Inc., Class A                       3,678    31,484   
Spanish Broadcasting System, Inc., Class A(a)                 3,601    18,401   
TheStreet.com, Inc.                                           1,483    19,012   
TiVo, Inc.(a)                                                 6,194    44,287   
Value Line, Inc.                                                 38     1,623   
Westwood One, Inc.                                            5,671    42,533   
                                                                 ---------
                                                                 1,545,817
                                                                 ---------
METAL FABRICATE / HARDWARE--0.4%                                                
AM Castle & Co.(a)                                              881    28,412   
CIRCOR International, Inc.                                    1,247    38,021   
Dynamic Materials Corp.                                         952    32,111   
Lawson Products, Inc.                                           294    11,589   
LB Foster Co., Class A (a)                                      824    19,998   
Mueller Water Products, Inc.(a)                               2,024    35,238   
NN, Inc.                                                      1,392    17,191   
RBC Bearings, Inc.(a)                                         1,547    35,117   
Valmont Industries, Inc.                                      1,461    67,922   
Worthington Industries, Inc.                                  5,682   119,039   
                                                                 ---------
                                                                   404,638
                                                                 ---------
METALS - DIVERSIFIED--0.8%                                                      
Ameron International Corp.                                      660    44,233   
Griffon Corp.(a)                                              2,325    60,683   
Gulf Island Fabrication, Inc.                                   781    15,651   
Matthews International Corp., Class A                         2,549    87,864   
Maverick Tube Corp.(a)                                        2,946   186,158   
Mueller Industries, Inc.                                      3,003    99,189   
NS Group, Inc.(a)                                             1,815    99,970   
Quanex Corp.                                                  3,087   132,957   
RTI International Metals, Inc.(a)                             1,819   101,573   
                                                                 ---------
                                                                   828,278
                                                                 ---------
MINING--0.5%                                                                    
AMCOL International Corp.                                     1,683    44,347   
Brush Engineered Materials, Inc.(a)                           1,534    31,984   
Century Aluminum Co.(a)                                       1,769    63,136   
Coeur d'Alene Mines Corp.(a)                                 22,804   109,686   
Compass Minerals International, Inc.                          2,583    64,446   
Hecla Mining Co.(a)                                           9,230    48,458   
Royal Gold, Inc.                                              1,508    41,953   
Stillwater Mining Co.(a)                                      3,252    41,235   
USEC, Inc.                                                    6,871    81,421   
                                                                 ---------
                                                                   526,666
                                                                 ---------
OFFICE / BUSINESS EQUIPMENT--0.4%                                               
Global Imaging Systems, Inc.(a)                               1,829    75,501   
Herman Miller, Inc.                                           5,360   138,127   
IKON Office Solutions, Inc.                                   8,971   113,035   
Insight Enterprises, Inc.(a)                                  3,861    73,552   
Knoll, Inc.                                                   2,677    49,150   
                                                                 ---------
                                                                   449,365
                                                                 ---------
OIL & GAS PRODUCERS--2.4%                                                       
ATP Oil & Gas Corp.(a)                                        1,629    68,304   
Atwood Oceanics, Inc.(a)                                      2,171   107,682   
Berry Petroleum Co., Class A                                  2,852    94,544   
Bois D'ARC Energy, Inc.(a)                                    1,358    22,366   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
29th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 29th
Carrizo Oil & Gas, Inc.(a)                                    1,592    49,846   
Cascade Natural Gas Corp.                                       906    19,108   
Clayton Williams Energy, Inc.(a)                                402    13,885   
Encore Acquisition Co.(a)                                     4,290   115,101   
Energy Partners, Ltd.(a)                                      3,097    58,688   
Gasco Energy, Inc.(a)                                         6,065    26,989   
Goodrich Petroleum Corp.(a)                                   1,009    28,646   
Grey Wolf, Inc.(a)                                           15,662   120,597   
Hanover Compressor Co.(a)                                     8,262   155,160   
Harvest Natural Resources, Inc.(a)                            2,934    39,726   
Houston Exploration Co.(a)                                    2,352   143,919   
McMoRan Exploration Co.(a)                                    1,971    34,690   
Meridian Resource Corp. (The)(a)                              6,002    21,007   
New Jersey Resources Corp.                                    2,251   105,302   
Northwest Natural Gas Co.                                     2,147    79,503   
Parallel Petroleum Corp.(a)                                   2,652    65,531   
Parker Drilling Co.(a)                                        8,413    60,405   
Penn Virginia Corp.                                           1,518   106,078   
Petrohawk Energy Corp.(a)                                     4,804    60,530   
Petroleum Development Corp.(a)                                1,293    48,746   
Petroquest Energy, Inc.(a)                                    3,175    38,989   
Pioneer Drilling Co.(a)                                       3,342    51,600   
Remington Oil & Gas Corp.(a)                                  2,332   102,538   
RPC, Inc.                                                     1,758    42,684   
South Jersey Industries, Inc.                                 2,356    64,531   
Southwest Gas Corp.                                           3,247   101,761   
Stone Energy Corp.(a)                                         2,203   102,550   
Swift Energy Co.(a)                                           2,325    99,812   
Toreador Resources Corp.(a)                                   1,121    31,534   
Warren Resources, Inc.(a)                                     4,310    61,892   
WD-40 Co.                                                     1,330    44,648   
W-H Energy Services, Inc.(a)                                  2,346   119,247   
                                                                 ---------
                                                                 2,508,139
                                                                 ---------
OIL & GAS SERVICES--2.4%                                                        
Alon USA Energy, Inc.(a)                                        842    26,498   
Aquila, Inc.(a)                                              30,631   128,957   
Atlas America, Inc.(a)                                        1,445    64,750   
Basic Energy Services, Inc.(a)                                  910    27,819   
Bill Barrett Corp.                                            2,300    68,103   
Brigham Exploration Co.(a)                                    3,674    29,061   
Bronco Drilling Co., Inc.(a)                                  1,098    22,937   
Callon Petroleum Co.(a)                                       1,641    31,737   
CARBO Ceramics, Inc.                                          1,620    79,591   
Comstock Resources, Inc.(a)                                   3,526   105,286   
Crosstex Energy, Inc.                                           711    67,602   
Delta Petroleum Corp.(a)                                      4,275    73,231   
Dril-Quip, Inc.(a)                                              894    73,701   
Edge Petroleum Corp.(a)                                       1,200    23,976   
EXCO Resources, Inc.(a)                                       3,990    45,486   
Giant Industries, Inc.(a)                                     1,124    74,802   
Hercules Offshore, Inc.(a)                                    1,637    57,295   
Hornbeck Offshore Services, Inc.(a)                           1,984    70,472   
Hydril(a)                                                     1,440   113,069   
Input/Output, Inc.(a)                                         5,574    52,674   
Lone Star Technologies, Inc.(a)                               2,449   132,295   
Lufkin Industries, Inc.                                       1,126    66,918   
Markwest Hydrocarbon, Inc.                                      504    12,474   
Matrix Service Co.(a)                                         1,685    19,276   
Newpark Resources, Inc.(a)                                    6,961    42,810   
Oil States International, Inc.(a)                             4,001   137,154   
Piedmont Natural Gas Co., Inc.                                6,168   149,883   
Rosetta Resources, Inc.(a)                                    3,941    65,499   
Superior Well Services, Inc.(a)                                 881    21,937   
TransMontaigne, Inc.(a)                                       3,373    37,811   
Union Drilling, Inc.(a)                                       1,084    16,108   
Universal Compression Holdings, Inc.(a)                       2,436   153,396   
Veritas DGC, Inc.(a)                                          2,918   150,511   
Western Refining, Inc.                                        1,873    40,419   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
30th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 30th
WGL Holdings Inc.                                             3,995   115,655   
Whiting Petroleum Corp.(a)                                    2,952   123,600   
                                                                 ---------
                                                                 2,522,793
                                                                 ---------
OIL AND GAS--0.5%                                                               
Arena Resources, Inc.(a)                                        869    29,798   
Aurora Oil & Gas Corp.(a)                                     5,377    21,508   
Complete Production Services, Inc.(a)                         2,104    49,739   
Delek US Holdings, Inc.(a)                                      830    12,616   
Geoglobal Resources, Inc.(a)                                  2,421    11,839   
GMX Resources, Inc.(a)                                          649    20,067   
Gulfport Energy Corp.(a)                                      1,039    11,471   
Mariner Energy, Inc.(a)                                       5,917   108,695   
Metretek Technologies, Inc.(a)                                1,268    21,784   
NATCO Group, Inc.(a)                                          1,181    47,476   
Primeenergy Corp.(a)                                             59     4,540   
Quest Resource Corp.(a)                                       1,580    21,409   
RAM Energy Resources, Inc.(a)                                 1,684     9,632   
Sulphco, Inc.(a)                                              2,810    20,120   
Transmeridian Exploration, Inc.(a)                            5,601    31,926   
Trico Marine Services, Inc.(a)                                  957    32,538   
Vaalco Energy, Inc.(a)                                        4,654    45,423   
                                                                 ---------
                                                                   500,581
                                                                 ---------
PACKAGING & CONTAINERS--0.3%                                                    
AEP Industries, Inc.(a)                                         578    19,317   
Graphic Packaging Corp.(a)                                    6,117    23,183   
Greif Inc., Class A                                           1,331    99,772   
Longview Fibre Co.                                            4,191    80,006   
Silgan Holdings, Inc.                                         1,777    65,767   
                                                                 ---------
                                                                   288,045
                                                                 ---------
PHARMACEUTICALS--3.6%                                                           
Abaxis, Inc.(a)                                               1,579    35,322   
Acadia Pharmaceuticals, Inc.(a)                               1,683    14,205   
Adams Respiratory Therapeutics, Inc.(a)                       2,451   109,364   
Adolor Corp.(a)                                               3,518    87,985   
Align Technology, Inc.(a)                                     4,791    35,405   
Alkermes, Inc.(a)                                             7,112   134,559   
Allscripts Healthcare Solutions, Inc.(a)                      3,739    65,619   
Alnylam Pharmaceuticals, Inc.(a)                              2,584    38,967   
Alpharma, Inc., Class A                                       3,430    82,457   
Altus Pharmaceuticals, Inc.(a)                                  509     9,391   
American Oriental Bioengineering, Inc.(a)                     3,608    19,952   
Anadys Pharmaceuticals, Inc.(a)                               2,300     6,716   
Array Biopharma, Inc.(a)                                      3,156    27,142   
AtheroGenics, Inc.(a)                                         2,939    38,354   
Avanir Pharmaceuticals(a)                                     2,226    15,226   
AVI BioPharma, Inc.(a)                                        4,059    15,221   
Bentley Pharmaceuticals, Inc.(a)                              1,456    15,958   
Bioenvision, Inc.(a)                                          2,700    14,391   
Bio-Reference Labs, Inc.(a)                                     841    18,300   
Bradley Pharmaceuticals, Inc.(a)                              1,175    11,985   
Caraco Pharm Labs, Inc.(a)                                      600     5,490   
Cell Genesys, Inc.(a)                                         3,623    18,187   
Combinatorx, Inc.(a)                                          1,989    17,483   
Connetics Corp.(a)                                            2,533    29,788   
Conor Medsystems, Inc.                                        2,186    60,312   
Cubist Pharmaceuticals, Inc.(a)                               4,247   106,939   
CV Therapeutics, Inc.(a)                                      3,463    48,378   
Cypress Bioscience, Inc.(a)                                   2,556    15,694   
Dendreon Corp.(a)                                             5,754    27,849   
Depomed, Inc.(a)                                              2,971    17,440   
Digene Corp.(a)                                               1,416    54,856   
Durect Corp.(a)                                               4,485    17,357   
Emisphere Technologies, Inc.(a)                               1,924    16,412   
Genta, Inc.(a)                                               10,801    17,714   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
31st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 31st
Geron Corp.(a)                                             5,326      36,749    
Hana Biosciences, Inc.(a)                                  2,319      21,033    
Hi-Tech Pharmacal Co, Inc.(a)                                811      13,438    
Idenix Pharmaceuticals, Inc.(a)                            1,994      18,744    
I-Flow Corp.(a)                                            1,889      20,439    
Indevus Pharmaceuticals, Inc.(a)                           3,847      21,043    
InterMune, Inc.(a)                                         2,051      33,739    
Isis Pharmaceuticals, Inc.(a)                              5,330      32,247    
KV Pharmaceuticals Co.(a)                                  3,126      58,331    
Mannatech, Inc.                                            1,257      15,851    
Mannkind Corp.(a)                                          1,975      42,087    
Medarex, Inc.(a)                                           9,732      93,525    
Medicines Co. (The)(a)                                     3,942      77,066    
Medicis Pharmaceutical Corp., Class A                      4,453     106,872    
Medifast, Inc.(a)                                            938      16,762    
Metabasis Therapeutics, Inc.(a)                            1,660      12,666    
MGI Pharma, Inc.(a)                                        6,309     135,644    
Nabi Biopharmaceuticals(a)                                 4,695      26,949    
Nastech Pharmaceutical Co., Inc.(a)                        1,780      28,124    
NBTY, Inc.(a)                                              4,565     109,149    
Neurocrine Biosciences, Inc.(a)                            2,856      30,274    
New River Pharmaceuticals, Inc.(a)                         1,281      36,509    
Novavax, Inc.(a)                                           4,963      25,014    
Noven Pharmaceuticals, Inc.(a)                             1,880      33,652    
NPS Pharmaceuticals, Inc.(a)                               3,583      17,485    
Nu Skin Enterprises, Inc., Class A                         4,491      66,691    
NuVasive, Inc.(a)                                          2,675      48,765    
Nuvelo, Inc.(a)                                            4,122      68,631    
Onyx Pharmaceuticals, Inc.(a)                              3,223      54,243    
OSI Pharmaceuticals, Inc.(a)                               4,598     151,550    
Pain Therapeutics, Inc.(a)                                 2,872      23,981    
Par Pharmaceutical Cos., Inc.(a)                           2,728      50,359    
PAREXEL International Corp.(a)                             2,194      63,297    
Penwest Pharmaceuticals Co.(a)                             1,733      37,831    
Perrigo Co.                                                6,276     101,044    
PetMed Express, Inc.(a)                                    1,516      16,631    
Pharmion Corp.(a)                                          1,958      33,345    
POZEN, Inc.(a)                                             1,653      11,637    
Prestige Brands Holdings, Inc.                             2,689      26,809    
Progenics Pharmaceuticals, Inc.(a)                         1,681      40,445    
Renovis, Inc.(a)                                           1,600      24,496    
Rigel Pharmaceuticals, Inc.(a)                             1,980      19,265    
Salix Pharmaceuticals Ltd.(a)                              3,759      46,236    
Santarus, Inc.(a)                                          3,714      24,698    
Sciele Pharma, Inc.(a)                                     2,203      51,088    
Serologicals Corp.(a)                                      2,775      87,246    
Solexa, Inc.(a)                                            1,901      16,159    
Somaxon Pharmaceuticals, Inc.(a)                             363       5,666    
SuperGen, Inc.(a)                                          3,480      12,632    
Tanox, Inc.(a)                                             1,686      23,317    
Tiens Biotech Group USA, Inc.(a)                             300       1,284    
United Therapeutics, Inc.(a)                               1,856     107,221    
USANA Health Sciences, Inc.(a)                               821      31,116    
Valeant Pharmaceuticals International                      7,498     126,866    
Viropharma, Inc.(a)                                        5,542      47,772    
Xenoport Inc.(a)                                           1,326      24,014    
Zymogenetics, Inc.(a)                                      3,031      57,498    
                                                               ---------
                                                               3,815,643
                                                               ---------
REAL ESTATE--0.2%                                                               
Avatar Holdings(a)                                           462      26,320    
California Coastal Communities Inc.(a)                       821      26,272    
Consolidated-Tomoka Land Co.                                 388      21,394    
Housevalues, Inc.(a)                                       1,160       8,039    
Resource Capital Corp.                                       291       3,745    
Tarragon Realty Investors, Inc.(a)                           825      11,426    
Trammell Crow Co.(a)                                       2,863     100,692    
                                                               ---------
                                                                 197,888
                                                               ---------

The accompanying notes are an integral part of these financial statements.  

N-CSRS
32nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 32nd
REAL ESTATE INVESTMENT TRUSTS--6.6%                                             
Aames Investment Corp.                                        3,815  19,037     
Acadia Realty Trust                                           2,567  60,710     
Affordable Residential Communities                            2,759  29,659     
Agree Realty Corp.                                              622  21,129     
Alexander's, Inc.(a)                                            153  41,579     
Alexandria Real Estate Equities, Inc.                         1,845 163,614     
American Campus Communities, Inc.                             1,295  32,181     
American Financial Realty Trust                              10,467 101,321     
American Home Mortgage Investment Corp.                       3,562 131,295     
Anthracite Capital, Inc.                                      4,438  53,966     
Anworth Mortgage Asset Corp.                                  3,780  31,374     
Arbor Realty Trust, Inc.                                        933  23,372     
Ashford Hospitality Trust, Inc.                               3,609  45,546     
Biomed Realty Trust, Inc.                                     4,583 137,215     
Capital Lease Funding, Inc.                                   2,363  26,962     
Capital Trust, Inc. (New York)                                  793  28,247     
Cedar Shopping Centers, Inc.                                  2,463  36,255     
CentraCore Properties Trust                                     800  19,800     
Corporate Office Properties Trust                             2,694 113,364     
Cousins Properties, Inc.                                      3,225  99,749     
Crescent Real Estate EQT Co.                                  6,371 118,246     
Deerfield Triarc Capital Corp.                                4,174  54,179     
Diamondrock Hospitality Co.                                   5,180  76,716     
Digital Realty Trust, Inc.                                    1,486  36,689     
EastGroup Properties, Inc.                                    1,754  81,877     
Education Realty Trust, Inc.                                  2,040  33,966     
Entertainment Properties Trust                                2,145  92,342     
Equity Inns, Inc.                                             4,306  71,307     
Equity Lifestyle Properties                                   1,507  66,052     
Equity One, Inc.                                              2,950  61,655     
Extra Space Storage, Inc.                                     3,757  61,014     
FelCor Lodging Trust, Inc.                                    4,920 106,961     
Fieldstone Investment Corp.                                   4,007  36,704     
First Industrial Realty Trust, Inc.                           3,525 133,739     
First Potomac Realty Trust                                    1,564  46,592     
Franklin Street Properties Corp.                              3,986  78,444     
Getty Realty Corp.                                            1,398  39,759     
Glenborough Realty Trust, Inc.                                2,601  56,026     
Glimcher Realty Trust                                         2,856  70,857     
GMH Communities Trust                                         3,167  41,741     
Gramercy Capital Corp/New York(a)                             1,322  34,240     
Healthcare Realty Trust, Inc.                                 3,863 123,037     
Heritage Property Investment Trust, Inc.                      2,283  79,722     
Hersha Hospitality Trust                                      2,252  20,921     
Highland Hospitality Corp.                                    4,716  66,401     
Highwoods Properties, Inc.                                    4,416 159,770     
Home Properties of New York, Inc.                             2,831 157,149     
HomeBanc Corp./Atlanta GA                                     4,502  35,746     
Impac Mortgage Holdings, Inc.                                 6,005  67,136     
Inland Real Estate Corp.                                      5,364  79,816     
Innkeepers USA Trust                                          3,334  57,612     
Investors Real Estate Trust                                   3,470  31,334     
JER Investors Trust, Inc.                                     2,075  32,266     
Kite Realty Group Trust                                       2,206  34,392     
KKR Financial Corp                                            6,494 135,140     
LaSalle Hotel Properties                                      3,234 149,734     
Lexington Corp. Properties Trust                              4,133  89,273     
LTC Properties, Inc.                                          1,807  40,386     
Luminent Mortgage Capital, Inc.                               3,236  29,965     
Maguire Properties, Inc.                                      3,060 107,620     
Medical Properties Trust, Inc.                                3,236  35,725     
MFA Mortgage Investments, Inc.                                6,574  45,229     
Mid-America Apartment Communities, Inc.                       1,909 106,427     
Mills Corp. (The)                                             4,573 122,328     
MortgageIT Holdings, Inc.                                     2,005  24,180     
National Health Investors, Inc.                               1,826  49,101     
National Retail Properties, Inc.                              4,677  93,306     
Nationwide Health Properties, Inc.                            6,039 135,938     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
33rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 33rd
Newcastle Investment Corp.                                    3,492    88,417   
Newkirk Realty Trust, Inc.                                    1,565    27,168   
Northstar Realty Finance Corp.                                2,470    29,665   
Novastar Financial, Inc.                                      2,653    83,861   
Omega Healthcare Investors, Inc.                              4,452    58,855   
Parkway Properties, Inc.                                      1,097    49,914   
Pennsylvania Real Estate Investment Trust                     2,993   120,827   
Post Properties, Inc.                                         3,449   156,378   
PS Business Parks, Inc.                                       1,313    77,467   
RAIT Investment Trust                                         2,151    62,809   
Ramco-Gershenson Properties Trust                             1,361    36,652   
Realty Income Corp.                                           6,714   147,037   
Redwood Trust, Inc.                                           1,568    76,565   
Republic Property Trust                                       1,822    18,001   
Saul Centers, Inc.                                              852    34,745   
Saxon Capital, Inc.                                           3,980    45,531   
Senior Housing Properties Trust                               5,164    92,487   
Sizeler Property Investors, Inc.                              1,300    20,878   
Sovran Self Storage, Inc.                                     1,431    72,680   
Spirit Finance Corp.                                          6,387    71,918   
Strategic Hotel Capital, Inc.                                 5,912   122,615   
Sun Communities, Inc.                                         1,460    47,494   
Sunstone Hotel Investors, Inc.                                4,681   136,030   
Tanger Factory Outlet Centers, Inc.                           2,395    77,526   
Trustreet Properties, Inc.                                    5,291    69,788   
Universal Health Realty Income Trust                            916    28,717   
Urstadt Biddle Properties, Inc., Class A                      1,706    27,791   
U-STORE IT Trust                                              3,797    71,611   
Washington Real Estate Investment Trust                       3,448   126,542   
Windrose Medical Properties Trust                             1,645    24,017   
Winston Hotels, Inc.                                          2,138    26,191   
Winthrop Realty Trust                                         1,949    11,577   
                                                                 ---------
                                                                 6,866,889
                                                                 ---------
RETAIL--5.0%                                                                    
1-800-FLOWERS.COM, Inc.(a)                                    1,691     9,757   
99 Cents Only Stores, Inc., (Ipo)(a)                          3,821    39,968   
AC Moore Arts & Crafts, Inc.(a)                               1,157    18,871   
Aeropostale, Inc.(a)                                          4,405   127,260   
AFC Enterprises                                               2,075    26,456   
America's Car-Mart, Inc.(a)                                     745    15,131   
Asbury Automotive Group, Inc.(a)                                942    19,725   
Bebe Stores, Inc.                                             1,909    29,437   
Big 5 Sporting Goods Corp.(a)                                 1,834    35,763   
Big Lots, Inc.                                                9,319   159,168   
Blockbuster, Inc.                                            15,193    75,661   
Bob Evans Farms, Inc.                                         2,821    84,658   
Bon-Ton Stores, Inc., (The)                                     400     8,752   
Books-A-Million, Inc.                                         1,144    19,082   
Borders Group, Inc.                                           5,231    96,564   
Brown Shoe Co., Inc.                                          2,186    74,499   
Buckle, Inc. (The)                                              780    32,659   
Buffalo Wild Wings, Inc.(a)                                     503    19,270   
BUILD-A-BEAR Workshop, Inc.(a)                                1,189    25,575   
Cabela's, Inc.(a)                                             2,402    46,263   
California Pizza Kitchen, Inc.(a)                             1,540    42,319   
Casey's General Store, Inc.                                   4,003   100,115   
Cash America International, Inc.                              2,337    74,784   
Casual Male Retail Group, Inc.(a)                             2,483    24,954   
Cato Corp., Class A                                           2,381    61,549   
CBRL Group, Inc.                                              2,498    84,732   
Charlotte Russe Holding, Inc.(a)                              1,192    28,536   
Charming Shoppes, Inc.(a)                                     9,832   110,512   
Children's Place Retail Stores, Inc. (The)(a)                 1,826   109,651   
Chipotle Mexican Grill, Inc.(a)                                 572    34,863   
Christopher & Banks Corp.                                     2,855    82,795   
Citi Trends, Inc.(a)                                            509    21,729   
CKE Restaurant, Inc.                                          4,708    78,200   
Columbia Sportswear Co.(a)                                    1,063    48,111   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
34th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 34th
Conn's, Inc.(a)                                                630    16,727    
Cosi, Inc.(a)                                                2,776    17,294    
Cost Plus, Inc.(a)                                           1,564    22,928    
CSK Auto Corp.(a)                                            3,704    44,337    
Deb Shops, Inc.                                                263     6,341    
dELiA*s, Inc.(a)                                             1,266    10,229    
Denny's Corp.(a)                                             7,237    26,705    
Domino's Pizza, Inc.                                         3,062    75,754    
Dress Barn, Inc.(a)                                          3,716    94,201    
Drugstore.com, Inc.(a)                                       6,472    18,769    
DSW, Inc., Class A(a)                                        1,308    47,637    
Ezcorp, Inc., Class A (a)                                      954    35,956    
Finish Line, Inc., (The), Class A                            3,107    36,756    
First Cash Financial Services, Inc.(a)                       2,254    44,517    
Fred's, Inc.                                                 3,177    42,413    
Gaiam, Inc., Class A (a)                                     1,309    18,352    
Genesco, Inc.(a)                                             1,759    59,577    
Group 1 Automotive, Inc.(a)                                  2,007   113,074    
Guitar Center, Inc.(a)                                       2,122    94,365    
Haverty Furniture Companies, Inc.                            1,819    28,540    
Hibbet Sporting Goods, Inc.(a)                               2,849    68,091    
Hot Topic, Inc.(a)                                           3,677    42,322    
Jo-Ann Stores, Inc.(a)                                       1,836    26,897    
Joseph A. Bank Clothiers, Inc.                               1,436    34,407    
Kenneth Cole Productions, Class A                              659    14,715    
Krispy Kreme Doughnuts, Inc.(a)                              4,410    35,897    
Lithia Motors, Inc., Class A                                 1,230    37,294    
Lone Star Steakhouse & Saloon, Inc.                          1,424    37,352    
Longs Drug Stores Corp.                                      2,522   115,054    
Luby's, Inc.(a)                                              1,890    19,713    
MarineMax, Inc.(a)                                           1,331    34,912    
McCormick & Schmick's Seafood Restaurants, Inc.(a)             962    22,896    
Men's Wearhouse, Inc., (The)                                 3,848   116,594    
Morton's Restaurant Group, Inc.(a)                             693    10,617    
New York & Company, Inc.(a)                                  1,728    16,883    
O'Charley's, Inc.(a)                                         1,905    32,385    
Overstock.com, Inc.(a)                                         942    20,027    
Pacific Sunwear of California, Inc.(a)                       5,882   105,464    
Pantry, Inc., (The)(a)                                       1,832   105,413    
Payless ShoeSource, Inc.(a)                                  5,510   149,707    
Pep Boys-Manny, Moe & Jack, Inc.                             4,411    51,741    
PETCO Animal Supplies, Inc.(a)                               4,728    96,593    
Pier 1 Imports, Inc.                                         6,869    47,946    
Priceline.com, Inc.(a)                                       2,007    59,929    
Pricesmart, Inc.(a)                                            642     6,433    
Red Robin Gourmet Burgers(a)                                 1,335    56,818    
Regis Corp.                                                  3,691   131,437    
Restoration Hardware, Inc.(a)                                2,048    14,705    
Retail Ventures, Inc.(a)                                     1,457    25,964    
Ruby Tuesday Inc.                                            4,766   116,338    
Rush Enterprises, Inc., Class A(a)                           1,761    31,997    
Ruth's Chris Steak House, Inc.(a)                            1,409    28,772    
Ryan's Restaurant Group, Inc.(a)                             3,350    39,899    
School Specialty, Inc.(a)                                    1,777    56,597    
Smart & Final, Inc.(a)                                       1,119    18,844    
Sonic Automotive, Inc.                                       2,345    52,012    
Spectrum Brands, Inc.(a)                                     2,984    38,553    
Sportsman's Guide, Inc.(The)(a)                                592    18,056    
Stage Stores, Inc.                                           2,190    72,270    
Steak n Shake Company (The)(a)                               2,216    33,550    
Stein Mart, Inc.                                             2,055    30,414    
Syms Corp.                                                     400     7,360    
Systemax, Inc.(a)                                              627     4,891    
Talbots, Inc.                                                1,828    33,727    
Texas Roadhouse, Inc.(a)                                     4,212    56,946    
Too, Inc.(a)                                                 2,715   104,229    
Tuesday Morning Corp.                                        2,421    31,836    
Under Armour, Inc., Class A(a)                               1,679    71,559    
West Marine, Inc.(a)                                         1,158    15,610    
Wet Seal Inc., (The) Class A(a)                              5,285    25,791    

The accompanying notes are an integral part of these financial statements.  

N-CSRS
35th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 35th
Zale Corp.(a)                                                 3,930    94,674   
Zumiez, Inc.(a)                                               1,165    43,769   
                                                                 ---------
                                                                 5,287,741
                                                                 ---------
SEMICONDUCTORS--2.2%                                                            
ADE Corp.(a)                                                    733    23,815   
Advanced Analogic Technologies, Inc.(a)                       2,971    31,136   
Amis Holdings, Inc.(a)                                        3,507    35,070   
Amkor Technologies, Inc.(a)                                   7,996    75,642   
Applied Micro Circuits Corp.(a)                              24,400    66,612   
Axcelis Technologies, Inc.(a)                                 7,811    46,085   
Brooks Automation, Inc.(a)                                    5,925    69,915   
Cirrus Logic, Inc.(a)                                         6,790    55,271   
Cohu, Inc.                                                    1,822    31,976   
Conexant Systems, Inc.(a)                                    38,672    96,680   
Credence Systems Corp.(a)                                     8,072    28,252   
EMCORE Corp.(a)                                               2,955    28,368   
Emulex Corp.(a)                                               6,819   110,945   
Entegris, Inc.(a)                                            11,116   105,935   
Formfactor, Inc.(a)                                           3,699   165,085   
Genesis Microchip, Inc.(a)                                    2,755    31,848   
Hittite Microwave Corp.(a)                                    1,049    37,932   
Ikanos Communications, Inc.(a)                                1,659    25,200   
IXYS Corp.(a)                                                 2,198    21,101   
Kopin Corp.(a)                                                5,487    19,808   
Lattice Semiconductor Corp.(a)                                9,066    56,028   
LTX Corp.(a)                                                  5,035    35,295   
Mindspeed Technologies, Inc.(a)                               8,900    21,449   
MIPS Technologies, Inc.(a)                                    3,386    20,553   
Monolithic Power Systems, Inc.(a)                             1,447    17,118   
Netlogic Microsystems, Inc.(a)                                1,287    41,506   
OmniVision Technologies, Inc.(a)                              4,306    90,943   
ON Semiconductor Corp.(a)                                    12,300    72,324   
Pericom Semiconductor Corp.(a)                                1,767    14,666   
PLX Technology, Inc.(a)                                       2,021    24,697   
Portalplayer, Inc.(a)                                         1,995    19,571   
Semtech Corp.(a)                                              6,052    87,451   
Sirf Technology Holdings, Inc.(a)                             4,148   133,649   
Skyworks Solutions, Inc.(a)                                  12,280    67,663   
Staktek Holdings, Inc.(a)                                       964     4,685   
Sunpower Corp.(a)                                               827    23,173   
Tessera Technologies, Inc.(a)                                 3,787   104,143   
Transmeta Corp. (Delaware)(a)                                15,801    25,914   
TranSwitch Corp.(a)                                           9,191    19,393   
TriQuint Semiconductor, Inc.(a)                              11,078    49,408   
Varian Semiconductor Equipment Associates, Inc.(a)            4,531   147,755   
Veeco Instruments, Inc.(a)                                    2,444    58,265   
Virage Logic Corp.(a)                                         1,254    11,775   
Vitesse Semiconductor Corp.(a)                               17,893    25,766   
Volterra Semiconductor Corp.(a)                               1,512    23,073   
                                                                 ---------
                                                                 2,302,939
                                                                 ---------
SOFTWARE--3.2%                                                                  
@ Road, Inc.(a)                                               4,974    27,456   
Alico, Inc.                                                     304    16,753   
Altiris, Inc.(a)                                              1,808    32,616   
American Reprographics Co.(a)                                 2,110    76,488   
Ansoft Corp.(a)                                               1,326    27,156   
Ariba, Inc.(a)                                                5,636    46,384   
Avid Technology, Inc.(a)                                      3,413   113,755   
Blackbaud, Inc.                                               3,528    80,086   
Blackboard, Inc.(a)                                           2,240    64,870   
Borland Software Corp.(a)                                     6,349    33,523   
CNET Networks, Inc.(a)                                       12,113    96,662   
Computer Programs & Systems, Inc.                               755    30,170   
Convera Corp., Class A (a)                                    2,271    15,261   
CSG Systems International, Inc.(a)                            3,926    97,129   
EarthLink, Inc.(a)                                           10,777    93,329   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
36th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 36th
eFunds Corp.(a)                                               3,614    79,689   
Emageon, Inc.(a)                                              1,692    24,686   
EPIQ Systems, Inc.(a)                                         1,040    17,306   
eResearch Technology, Inc.(a)                                 3,727    33,916   
eSpeed, Inc.(a)                                               1,301    10,837   
FileNET Corp.(a)                                              3,266    87,953   
Identix, Inc.(a)                                              6,932    48,455   
Infocrossing, Inc.(a)                                         1,400    16,170   
Informatica Corp.(a)                                          7,126    93,778   
InfoSpace, Inc.(a)                                            2,474    56,086   
Inphonic, Inc.(a)                                             1,928    12,146   
Inter-Tel, Inc.                                               1,581    33,296   
JDA Software Group, Inc.(a)                                   2,319    32,536   
Keane, Inc.(a)                                                3,718    46,475   
Lawson Software, Inc.(a)                                     10,052    67,349   
Magma Design Automation, Inc.(a)                              2,340    17,199   
ManTech International Corp., Class A(a)                       1,455    44,901   
Mapinfo Corp.(a)                                              1,647    21,493   
MicroStrategy, Inc., Class A(a)                                 810    78,991   
Midway Games, Inc.(a)                                         2,886    23,348   
MRO Software, Inc.(a)                                         1,640    32,915   
NetIQ Corp.(a)                                                3,168    38,618   
NIC, Inc.(a)                                                  3,091    22,348   
Nuance Communications, Inc.(a)                               10,146   102,069   
Omnicell, Inc.(a)                                             2,195    30,335   
Openwave Systems, Inc.(a)                                     7,744    89,366   
Opnet Technologies, Inc.(a)                                   1,041    13,491   
Opsware, Inc.(a)                                              6,611    54,475   
Parametric Technology Corp.(a)                                8,916   113,322   
PDF Solutions, Inc.(a)                                        1,701    21,109   
Pegasystems, Inc.(a)                                            853     5,476   
Per-Se Technologies, Inc.(a)                                  2,701    68,011   
ProQuest Co.(a)                                               1,978    24,310   
Quality Systems, Inc.                                         1,325    48,787   
Renaissance Learning, Inc.                                      469     6,355   
Schawk, Inc.                                                  1,249    21,858   
Sohu.com, Inc.(a)                                             1,936    49,929   
SPSS, Inc.(a)                                                 1,527    49,078   
SRA International, Inc., Class A(a)                           3,095    82,420   
SSA Global Technologies, Inc.(a)                                843    16,337   
Stellent, Inc.(a)                                             2,022    19,310   
Sybase, Inc.(a)                                               7,272   141,078   
Taleo Corp., Class A(a)                                       1,099    12,957   
THQ, Inc.(a)                                                  5,092   109,987   
TradeStation Group, Inc.(a)                                   2,074    26,278   
Trident Microsystems, Inc.(a)                                 4,468    84,803   
TriZetto Group Inc. (The)(a)                                  3,381    50,005   
Ulticom, Inc.(a)                                                784     8,208   
ValueClick, Inc.(a)                                           8,282   127,129   
Verint Systems, Inc.(a)                                       1,044    30,474   
webMethods, Inc.(a)                                           4,390    43,329   
Websense, Inc.(a)                                             3,726    76,532   
Wind River Systems, Inc.(a)                                   5,658    50,356   
                                                                 ---------
                                                                 3,369,303
                                                                 ---------
TELECOMMUNICATIONS--3.4%                                                        
3Com Corp.(a)                                                31,484   161,197   
Adaptec, Inc.(a)                                              8,698    37,749   
Adtran, Inc.                                                  5,396   121,032   
Anaren, Inc.(a)                                               1,382    28,317   
Anixter International, Inc.                                   2,619   124,298   
Atheros Communications, Inc.(a)                               4,170    79,063   
Atlantic Tele-Network, Inc.                                     432     8,999   
Audiovox Corp., Class A(a)                                    1,075    14,685   
Brightpoint, Inc.(a)                                          3,814    51,603   
Broadwing Corp.(a)                                            6,161    63,766   
CalAmp Corp.(a)                                               1,878    16,695   
Carrier Access Corp.(a)                                       1,679    13,885   
Cbeyond Communications, Inc.(a)                               1,330    29,007   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
37th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 37th
C-COR.net Corp.(a)                                            3,809    29,405   
Centennial Communications Corp.(a)                            1,538     7,998   
Charter Communications, Inc., Class A(a)                     29,183    32,977   
Commonwealth Telephone Enterprises, Inc.                      1,651    54,747   
Comtech Group Inc.(a)                                         1,181    13,145   
Comtech Telecommunications Corp.(a)                           1,818    53,213   
Consolidated Communications Holdings, Inc.                    1,882    31,298   
Covad Communications Group, Inc.(a)                          23,661    47,559   
CPI International, Inc.(a)                                      571     8,280   
CT Communications, Inc.                                       1,553    35,517   
Ditech Networks, Inc.(a)                                      2,183    19,036   
Dobson Communications Corp., Class A(a)                      11,627    89,877   
EMS Technologies, Inc.(a)                                     1,224    21,995   
Eschelon Telecom, Inc.(a)                                       754    11,664   
Essex Corp.(a)                                                1,560    28,735   
Fairpoint Communications, Inc.                                2,165    31,176   
Finisar Corp.(a)                                             17,253    56,417   
First Avenue Networks, Inc.(a)                                4,413    48,013   
Foundry Networks, Inc.(a)                                    11,772   125,489   
Gen Tek, Inc.(a)                                                825    22,151   
General Communication, Inc. Class A(a)                        4,321    53,235   
Golden Telecom, Inc.                                          1,682    42,639   
ID Systems, Inc.(a)                                             894    15,851   
IDT Corp., Class B(a)                                         4,296    59,242   
InterVoice-Brite, Inc.(a)                                     2,653    18,889   
Iowa Telecommunications Service                               2,538    48,019   
iPCS, Inc.(a)                                                 1,349    65,157   
Itron, Inc.(a)                                                2,033   120,476   
Lightbridge, Inc.(a)                                          2,198    28,464   
Loral Space & Communications, Inc.(a)                           919    26,063   
MasTec, Inc.(a)                                               3,251    42,946   
MRV Communications, Inc.(a)                                   9,342    29,054   
Newport Corp.(a)                                              3,283    52,922   
North Pittsburgh Systems, Inc.                                1,092    30,096   
Novatel Wireless, Inc.(a)                                     2,000    20,760   
Oplink Communications, Inc.(a)                                1,320    24,169   
Optical Communication Products, Inc.(a)                         938     1,885   
Parkervision, Inc.(a)                                         1,521    13,841   
Pegasus Wireless Corp.(a)                                     4,372    39,086   
Plantronics, Inc.                                             3,824    84,931   
Polycom, Inc.(a)                                              7,136   156,420   
Powerwave Technologies, Inc.(a)                               9,061    82,636   
Premiere Global Services, Inc.(a)                             5,612    42,371   
Price Communications Corp.(a)                                 3,656    61,969   
Radyne Corp.(a)                                               1,452    16,524   
RCN Corp.(a)                                                  2,353    58,660   
SAVVIS, Inc.(a)                                                 673    19,928   
Sonus Networks, Inc.(a)                                      20,366   100,812   
Standard Microsystems Corp.(a)                                1,625    35,474   
Syniverse Holdings, Inc.(a)                                   1,907    28,033   
TALX Corp.                                                    2,591    56,665   
Tekelec(a)                                                    4,509    55,686   
Time Warner Telecom, Inc., Class A(a)                         6,256    92,902   
Ubiquitel, Inc.(a)                                            6,602    68,265   
United Online, Inc.                                           4,889    58,668   
USA Mobility, Inc.                                            2,093    34,744   
UTStarcom, Inc.(a)                                            9,762    76,046   
Valor Communications Group, Inc.                              3,337    38,209   
Vonage Holdings Corp.(a)                                      2,529    21,724   
WebEx Communications, Inc.(a)                                 3,380   120,125   
Zhone Technologies, Inc.(a)                                   7,600    15,504   
                                                                 ---------
                                                                 3,578,078
                                                                 ---------
TELECOMMUNICATIONS EQUIPMENT--0.8%                                              
Andrew Corp.(a)                                              12,899   114,285   
Arris Group, Inc.(a)                                          8,526   111,861   
Avanex Corp.(a)                                              13,284    23,380   
CommScope, Inc.(a)                                            4,712   148,051   
Harmonic, Inc.(a)                                             5,698    25,527   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
38th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 38th
InterDigital Communications Corp.(a)                          4,385 153,081     
Ixia(a)                                                       3,464  31,176     
NTELOS Holdings Corp.(a)                                      1,047  15,129     
RF Micro Devices, Inc.(a)                                    15,388  91,866     
Stratex Networks, Inc.(a)                                     7,767  26,330     
Sycamore Networks, Inc.(a)                                   14,083  57,177     
Symmetricom, Inc.(a)                                          3,680  26,018     
Viasat, Inc.(a)                                               1,682  43,194     
                                                               -------
                                                               867,075
                                                               -------
TELEPHONE--0.1%                                                                 
Cincinnati Bell, Inc.(a)                                     19,611  80,405     
Shenandoah Telecom Co.                                          544  25,568     
SureWest Communications                                       1,001  19,339     
Talk America Holdings, Inc.(a)                                1,970  12,194     
                                                               -------
                                                               137,506
                                                               -------
TEXTILES--0.4%                                                                  
G & K Services, Inc.                                          1,718  58,927     
Guess ?, Inc.(a)                                              1,692  70,641     
Interface, Inc. Class A(a)                                    3,559  40,751     
Kellwood Co.                                                  2,104  61,584     
Perry Ellis International, Inc.(a)                              587  14,857     
Shoe Carnival, Inc.(a)                                          676  16,129     
Steven Madden, Ltd.                                           1,639  48,547     
UniFirst Corp.                                                  676  23,322     
Wolverine World Wide, Inc.                                    4,477 104,449     
                                                               -------
                                                               439,207
                                                               -------
TOBACCO--0.1%                                                                   
Universal Corp.                                               2,044  76,077     
Vector Group, Ltd.                                            2,799  45,484     
                                                               -------
                                                               121,561
                                                               -------
TOYS / GAMES / HOBBIES--0.2%                                                    
Jakks Pacific, Inc.(a)                                        2,225  44,700     
Leapfrog Enterprises, Inc.(a)                                 2,659  26,856     
Multimedia Games, Inc.(a)                                     2,188  22,164     
RC2 Corp.(a)                                                  1,682  65,027     
Topps Co. (The)                                               2,831  23,271     
                                                               -------
                                                               182,018
                                                               -------
TRANSPORTATION--1.9%                                                            
Abx Air, Inc.(a)                                              4,650  28,086     
American Commercial Lines, Inc.(a)                            2,485 149,721     
Arctic Cat, Inc.                                              1,083  21,129     
Arkansas Best Corp.                                           2,023 101,575     
Atlas Air Worldwide Holdings, Inc.(a)                         1,613  79,102     
Bristow Group, Inc.(a)                                        1,860  66,960     
Celadon Group, Inc.(a)                                        1,854  40,862     
Dollar Thrifty Automotive Group, Inc.(a)                      2,063  92,979     
Dynamex, Inc.(a)                                                924  20,152     
EGL, Inc.(a)                                                  2,542 127,608     
Florida East Coast Industries, Inc.                           2,658 139,093     
Forward Air Corp.                                             2,544 103,617     
Genesee & Wyoming, Inc., Class A(a)                           2,921 103,608     
Greenbrier Cos., Inc.                                         1,093  35,785     
GulfMark Offshore, Inc.(a)                                    1,285  33,192     
Heartland Express, Inc.                                       4,834  86,480     
Horizon Lines Inc., Class A                                     937  15,011     
HUB Group, Inc., Class A(a)                                   3,232  79,281     
Maritrans, Inc.                                                 971  24,178     
Marten Transport, Ltd.(a)                                     1,159  25,197     
Miller Industries, Inc.(Tenn)(a)                                771  15,960     
Old Dominion Freight Line, Inc.                               2,196  82,548     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
39th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 39th
P.A.M. Transportation Services, Inc.(a)                   373       10,776      
Pacer International, Inc.                               2,911       94,840      
Patriot Transportation Holding, Inc.(a)                   126       10,934      
PHI, Inc.(a)                                            1,107       36,752      
Polaris Industries, Inc.                                3,343      144,752      
Quality Distribution, Inc.(a)                             688        9,137      
RailAmerica, Inc.(a)                                    2,944       30,794      
SCS Transportation, Inc.(a)                             1,104       30,393      
Sirva, Inc.(a)                                          4,006       25,919      
Universal Truckload Services, Inc.(a)                     444       15,154      
US Xpress Enterprises, Inc.(a)                            758       20,481      
USA Truck, Inc.(a)                                        700       12,474      
Werner Enterprises, Inc.                                4,081       82,722      
                                                        ------------
                                                           1,997,252
                                                        ------------
TRUCKING & LEASING--0.1%                                                        
Amerco(a)                                                 818       82,340      
Interpool, Inc.                                           967       21,487      
TAL International Group, Inc.(a)                        1,304       31,426      
                                                        ------------
                                                             135,253
                                                        ------------
WATER--0.1%                                                                     
American States Water Co.                               1,338       47,700      
California Water Service Group                          1,378       49,250      
SJW Corp.                                               1,192       30,336      
Southwest Water Co.                                     1,717       20,552      
                                                        ------------
                                                             147,838
                                                        ------------
TOTAL COMMON STOCKS (Cost $92,896,031)                         101,779,506      
                                                        ------------
                               Principal
                              Amount
                                ----------
SHORT-TERM INVESTMENTS--3.2%                                                    
The Bank of New York Cash Reserve                  $3,191,600    3,191,600      
United States Treasury Bill 4.49%(1), 8/10/06 (2)     150,000      149,233      
                                                        ------------
TOTAL SHORT-TERM INVESTMENTS (Cost $3,340,853)                   3,340,833      

TOTAL INVESTMENTS (Cost $96,236,884) --100.2%                  105,120,339      
                                                        ------------
LIABILITIES IN EXCESS OF OTHER ASSETS --(0.2%)                    (208,371)     
                                                        ------------
NET ASSETS--100.0%                                            $104,911,968      
                                                        ============

(a)Represents non-income producing securities.                                  
(1)Yield to Maturity.                                                           
(2)See Note 6 regarding futures contracts.                                      

The accompanying notes are an integral part of these financial statements.  

N-CSRS
40th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 40th
E*Trade Russell 2000 Index Fund                                                 
Representation of Holdings                                                      
June 30, 2006 (Unaudited)                                                       

                                                          % of Total
Industry                                           Market Value Net Assets      
--------                                           ------------ ----------      
BANKS                                              $10,320,124         9.8%     
REAL ESTATE INVESTMENT TRUSTS                        6,866,889         6.6%     
COMMERCIAL SERVICES                                  6,012,348         5.7%     
HEALTH CARE                                          5,730,770         5.5%     
RETAIL                                               5,287,741         5.0%     
COMPUTERS                                            4,312,077         4.1%     
PHARMACEUTICALS                                      3,815,643         3.6%     
ELECTRONICS                                          3,681,879         3.5%     
TELECOMMUNICATIONS                                   3,578,078         3.4%     
SOFTWARE                                             3,369,303         3.2%     
OIL & GAS SERVICES                                   2,522,793         2.4%     
OIL & GAS PRODUCERS                                  2,508,139         2.4%     
INSURANCE                                            2,413,990         2.3%     
DIVERSIFIED FINANCIAL SERVICES                       2,369,395         2.3%     
FOOD                                                 2,304,566         2.2%     
SEMICONDUCTORS                                       2,302,939         2.2%     
CHEMICALS                                            2,012,090         1.9%     
TRANSPORTATION                                       1,997,252         1.9%     
MACHINERY                                            1,940,559         1.9%     
BIOTECHNOLOGY                                        1,885,774         1.8%     
ENTERTAINMENT                                        1,813,931         1.7%     
ELECTRIC                                             1,608,481         1.5%     
MEDIA                                                1,545,817         1.5%     
APPAREL                                              1,092,126         1.0%     
DISTRIBUTION/WHOLESALE                                 956,729         0.9%     
BUILDING MATERIALS                                     870,661         0.8%     
TELECOMMUNICATIONS EQUIPMENT                           867,075         0.8%     
METALS - DIVERSIFIED                                   828,278         0.8%     
AEROSPACE / DEFENSE                                    819,879         0.8%     
AUTO PARTS & EQUIPMENT                                 780,164         0.8%     
IRON / STEEL                                           778,321         0.7%     
HOUSEHOLD PRODUCTS / WARES                             734,190         0.7%     
HOME BUILDERS                                          722,506         0.7%     
MANUFACTURING                                          712,295         0.7%     
ELECTRICAL COMPONENTS & EQUIPMENT                      710,664         0.7%     
AIRLINES                                               691,219         0.7%     
ENVIRONMENTAL CONTROL                                  685,165         0.7%     
FOREST PRODUCTS & PAPER                                674,622         0.7%     
COMPUTERS, PERIPHERAL & SOFTWARE                       639,379         0.6%     
ENERGY - ALTERNATE SOURCES                             565,129         0.5%     
HOME FURNISHINGS                                       564,907         0.5%     
MINING                                                 526,666         0.5%     
ENGINEERING & CONSTRUCTION                             500,851         0.5%     
OIL AND GAS                                            500,581         0.5%     
MANUFACTURERS                                          497,294         0.5%     
OFFICE / BUSINESS EQUIPMENT                            449,365         0.4%     

N-CSRS
41st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 41st
E*Trade Russell 2000 Index Fund                                                 
Representation of Holdings                                                      
June 30, 2006 (Unaudited) (continued)                                           

                                                          % of Total
Industry                                           Market Value Net Assets      
--------                                           ------------ ----------      
AUTO MANUFACTURERS                                 $    444,496        0.4%     
LEISURE TIME                                            440,005        0.4%     
TEXTILES                                                439,207        0.4%     
ADVERTISING                                             433,846        0.4%     
INTERNET COMPANIES                                      425,371        0.4%     
METAL FABRICATE / HARDWARE                              404,638        0.4%     
GAS                                                     336,192        0.3%     
HAND/MACHINE TOOLS                                      301,517        0.3%     
PACKAGING & CONTAINERS                                  288,045        0.3%     
LODGING                                                 265,448        0.3%     
REAL ESTATE                                             197,888        0.2%     
COAL                                                    196,455        0.2%     
TOYS / GAMES / HOBBIES                                  182,018        0.2%     
AGRICULTURE                                             169,232        0.2%     
WATER                                                   147,838        0.1%     
HOLDING COMPANIES                                       137,864        0.1%     
TELEPHONE                                               137,506        0.1%     
TRUCKING & LEASING                                      135,253        0.1%     
TOBACCO                                                 121,561        0.1%     
COSMETICS/PERSONAL CARE                                 104,332        0.1%     
BEVERAGES                                               102,150        0.1%     
SHORT TERM INVESTMENTS AND OTHER ASSETS LESS                                    
LIABILITIES                                         3,132,462        3.0%   
                                             ------------      -----
                                              $104,911,968      100.0%
                                             ============      =====

N-CSRS
42nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 42nd
E*TRADE RUSSELL 2000 INDEX FUND                                                 
STATEMENT OF ASSETS AND LIABILITIES                                             
June 30, 2006 (Unaudited)                                                       

ASSETS                                                                          
Investments at market value (Cost: $96,236,884) (Note 2)          $105,120,339  
Receivable for securities sold                                      17,687,155  
Receivable for fund shares purchased                                   101,633  
Dividends and interest receivable                                      141,257  
Due from E*TRADE Asset Management, Inc. (Note 3)                        64,863  
Variation margin receivable (Note 6)                                    28,987  
                                                                ------------
 TOTAL ASSETS                                                    123,144,234
                                                                ------------
LIABILITIES                                                                     
Payable for securities purchased                                    17,621,726  
Distribution payable                                                   254,869  
Payable for fund shares redeemed                                       248,488  
Accrued shareholder servicing fee (Note 3)                              20,688  
Accrued advisory fee (Note 3)                                           12,413  
Accrued administration fee (Note 3)                                     12,413  
Accrued other expenses                                                  61,669  
                                                                ------------
 TOTAL LIABILITIES                                                18,232,266
                                                                ------------
TOTAL NET ASSETS                                                  $104,911,968  
                                                                ============
NET ASSETS CONSIST OF:                                                          
Shares of beneficial interest, at par                             $     78,571  
Paid-in capital, in excess of par                                   89,044,864  
Undistributed net investment income                                     52,996  
Accumulated net realized gain (loss) on investments and futures                 
contracts                                                          6,703,446
Net unrealized appreciation (depreciation) of investments and                   
futures contracts                                                  9,032,091
                                                                ------------
TOTAL NET ASSETS                                                  $104,911,968  
                                                                ============
SHARES OUTSTANDING (UNLIMITED AUTHORIZED, PAR VALUE $0.01)           7,857,098  
                                                                ============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE    $      13.35  
                                                                ============

The accompanying notes are an integral part of these financial statements.  

N-CSRS
43rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 43rd
E*TRADE RUSSELL 2000 INDEX FUND                                                 
STATEMENT OF OPERATIONS                                                         
For the six months ended June 30, 2006 (Unaudited)                              

NET INVESTMENT INCOME:                                                          
Dividends (net of foreign withholding tax of $222)           $  612,485   
Interest                                                         35,191   
                                                          ----------
TOTAL INVESTMENT INCOME                                         647,676   
                                                          ----------
EXPENSES (NOTE 3):                                                              
Advisory fee                                                     71,529   
Administration fee                                               71,530   
Shareholder servicing fees                                      119,216   
Custodian fee                                                    86,752   
Transfer and dividend disbursing agent                           35,235   
Legal services                                                   23,256   
Trustee fees                                                     22,495   
Registration fees                                                13,691   
Audit and tax services                                            8,849   
Printing                                                          4,472   
Insurance                                                         6,039   
Other expenses                                                   13,057   
                                                          ----------
TOTAL EXPENSES BEFORE WAIVER                                    476,121   
Waived fees and reimbursed expenses                               (371,211)     
                                                          ----------
NET EXPENSES                                                    104,910   
                                                          ----------
NET INVESTMENT INCOME                                              542,766      
                                                          ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND                      
FUTURES CONTRACTS                                                               
Net realized gain (loss) on:                                                    
Sale of investments                                           5,731,838   
Futures contracts                                               227,991   
Net change in unrealized appreciation (depreciation) of:                        
Investments                                                    (477,467)  
Futures contracts                                               189,700   
                                                          ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND                      
FUTURES CONTRACTS                                                5,672,062      
                                                          ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $6,214,828      
                                                          ==========

The accompanying notes are an integral part of these financial statements.  

N-CSRS
44th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 44th
E*TRADE RUSSELL 2000 INDEX FUND                                                 
STATEMENT OF CHANGES IN NET ASSETS                                              

                                                        [Enlarge/Download Table]

                                                                       For the Six                     
                                                                      Months Ended                     
                                                                      June 30, 2006 For the Year Ended 
                                                                       (Unaudited)  December 31, 2005  
                                                                      ------------- ------------------ 
                                                                                                       
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:                                       
Net investment income                                                 $    542,766        $    759,430 
Net realized gain (loss) on sale of investments and futures contracts    5,959,829           3,686,028 
Net change in unrealized appreciation (depreciation) of investments             --                  -- 
and futures contracts                                                     (287,767)         (1,068,049)
                                                                      ------------        ------------ 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS          6,214,828           3,377,409 
                                                                      ------------        ------------ 
DISTRIBUTIONS TO SHAREHOLDERS:                                                                         
Distributions from net investment income                                  (495,960)           (699,935)
Distributions from net realized gain on sale of investments                     --          (3,470,124)
                                                                      ------------        ------------ 
                                                                          (495,960)         (4,170,059)
TRANSACTIONS IN SHARES OF COMMON STOCK:                                                                
Net proceeds from sale of shares                                        30,007,171          31,009,516 
Value of shares issued in reinvestment of dividends and distributions      225,294           3,892,589 
Cost of shares redeemed                                                (12,225,656)        (21,106,049)
                                                                      ------------        ------------ 
NET INCREASE (DECREASE) IN NET ASSETS FROM TRANSACTIONS IN SHARES OF                                   
  COMMON STOCK                                                          18,006,809          13,796,056 
                                                                      ------------        ------------ 
REDEMPTION FEES (Note 2)                                                    29,319              34,619 
                                                                      ------------        ------------ 
NET INCREASE IN NET ASSETS                                              23,754,996          13,038,025 
   NET ASSETS:                                                                                         
BEGINNING OF PERIOD                                                     81,156,972          68,118,947 
                                                                      ------------        ------------ 
END OF PERIOD*                                                        $104,911,968        $ 81,156,972 
                                                                      ============        ============ 
SHARE TRANSACTIONS:                                                                                    
Number of shares sold                                                    2,217,121           2,512,844 
Number of shares reinvested                                                 16,092             314,468 
Number of shares redeemed                                                 (913,691)         (1,715,434)
                                                                      ------------        ------------ 
NET INCREASE (DECREASE) IN SHARES OUTSTANDING                            1,319,522           1,111,878 
                                                                      ============        ============ 

*   Includes undistributed net investment income of $52,996 and $6,189 for the  
periods ended June 30, 2006 and December 31, 2005, respectively.        

The accompanying notes are an integral part of these financial statements.  

N-CSRS
45th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 45th
E*TRADE RUSSELL 2000 INDEX FUND                                                 
FINANCIAL HIGHLIGHTS                                                            

For a Share Outstanding Throughout each Period                                  

                                                        [Enlarge/Download Table]

                             Six Months           Year            Year            Year            Year            Year       
                                Ended            Ended           Ended           Ended           Ended           Ended       
                            June 30, 2006     December 31,    December 31,    December 31,    December 31,    December 31,   
                             (Unaudited)          2005            2004         2003/(6)/       2002/(6)/       2001/(6)/     
                          -------------       ------------    ------------    ------------    ------------    ------------   
                                                                                                                             
NET ASSET VALUE,                                                                                                             
  BEGINNING OF PERIOD       $  12.41            $ 12.55         $ 11.17         $  7.74         $  9.89          $10.00      
                            --------            -------         -------         -------         -------          ------      
   Net investment lncome        0.08/(1)/          0.13/(1)/       0.11/(1)/       0.07/(1)/       0.07            0.09      
   Net realized and                                                                                                          
     unrealized gain                                                                                                         
     (loss) on                                                                                                               
     investments                0.93               0.41            1.80            3.42           (2.14)           0.07      
                            --------            -------         -------         -------         -------          ------      
   TOTAL FROM INVESTMENT                                                                                                     
     OPERATIONS                 1.01               0.54            1.91            3.49           (2.07)           0.16      
                            --------            -------         -------         -------         -------          ------      
DISTRIBUTIONS TO                                                                                                             
  SHAREHOLDERS                                                                                                               
   Distributions from                                                                                                        
     net investment                                                                                                          
     income                    (0.07)             (0.12)          (0.08)          (0.06)          (0.05)          (0.09)     
   Distributions from                                                                                                        
     net realized gains           --              (0.56)          (0.45)             --           (0.04)          (0.19)     
                            --------            -------         -------         -------         -------          ------      
   TOTAL DISTRIBUTIONS                                                                                                       
     TO SHAREHOLDERS           (0.07)             (0.68)          (0.53)          (0.06)          (0.09)          (0.28)     
                            --------            -------         -------         -------         -------          ------      
REDEMPTION FEES ADDED TO                                                                                                     
  PAID-IN CAPITAL                 --/(2)/            --/(2)/         --/(2)/         --/(2)/       0.01            0.01      
                            --------            -------         -------         -------         -------          ------      
NET ASSET VALUE, END OF                                                                                                      
  PERIOD                    $  13.35            $ 12.41         $ 12.55         $ 11.17         $  7.74          $ 9.89      
                            ========            =======         =======         =======         =======          ======      
   TOTAL RETURN/(5)/            8.10%              4.21%          17.30%          45.39%         (20.87)%          1.82%     
   RATIOS/SUPPLEMENTAL                                                                                                       
     DATA:                                                                                                                   
   Net assets, end of                                                                                                        
     period (000s                                                                                                            
     omitted)               $104,912            $81,157         $68,119         $33,881         $12,578          $8,418      
   Ratio of expenses to                                                                                                      
     average net assets         0.22%/(3)(9)/      0.22%/(3)/      0.37%/(3)/      0.65%/(3)/      0.65%/(3)/      0.65%/(3)/
   Ratio of net                                                                                                              
     investment income                                                                                                       
     to average net                                                                                                          
     assets                     1.14%/(4)(9)/      1.04%/(4)/      0.93%/(4)/      0.70%/(4)/      0.84%/(4)/      0.90%/(4)/
   Portfolio turnover                                                                                                        
     rate                      23.23%             29.62%          34.58%           3.53%/(7)/     27.96%/(8)/     45.87%/(8)/

--------                                                                        
(1) Calculated based on average shares outstanding.                             
(2) Rounds to less than $0.01.                                                  
(3) The ratio of expenses to average net assets prior to waived fees and        
 reimbursed expenses for the six months ended June 30, 2006 and year ended
  December 31, 2005, December 31, 2004, December 31, 2003, December 31, 2002
and December 31, 2001 were 1.00%, 1.11%, 1.00%, 1.61%, 1.87% and 1.53%, 
respectively.                                                           
(4) The ratio of net investment income to average net assets prior to waived    
fees and reimbursed expenses for the six months ended June 30, 2006 and 
year ended December 31, 2005, December 31, 2004, December 31, 2003,     
  December 31, 2002 and December 31, 2001 were 0.36%, 0.15%, 0.29%, (0.25)%,
(0.38)% and 0.02%, respectively.                                        
(5) The total return is calculated by assuming a purchase of shares on the      
 first day and a sale on the last day of each period reported and includes
reinvestments of dividends and distributions.                           
(6) Per share amounts and ratios reflect income and expenses assuming inclusion 
   of the Fund's proportionate share of the income and expenses of the Russell
2000 Index Master Portfolio.                                            
(7) For the period November 10, 2003 through December 31, 2003.                 
(8) Portfolio turnover rate of the Russell 2000 Index Master Portfolio.         
(9) Annualized.                                                                 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
46th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 46th
E*TRADE RUSSELL 2000 INDEX FUND                                                 
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited)                                                       

1. ORGANIZATION                                                                 

E*TRADE Russell 2000 Index Fund ("Fund") is a diversified series of E*TRADE     
Funds ("Trust"), an open-end management investment company registered under the 
Investment Company Act of 1940, as amended. The Trust is organized as a         
Delaware statutory trust and was formed on November 4, 1998. As of June 30,     
2006, the Trust consisted of four operating series: the E*TRADE International   
Index Fund, the E*TRADE Russell 2000 Index Fund, the E*TRADE S&P 500 Index      
Fund, and the E*TRADE Technology Index Fund. These financial statements are for 
the E*TRADE Russell 2000 Index Fund.                                            

The Fund's investment objective is to provide investment results that attempt   
to match as closely as practicable, before fees and expenses, the performance   
of the Russell 2000 Index*. The Fund seeks to achieve its objective by          
investing in a representative sample of those securities comprising the Russell 
2000 Index.                                                                     

* "Russell 2000 Index" is a service mark of the Frank Russell Company and has   
been licensed for use for certain purposes by E*TRADE Asset Management, Inc.    
("ETAM"), the Fund's investment adviser. Frank Russell Company does not sponsor 
the Fund nor is it affiliated in any way with the investment adviser or the     
Fund. The Fund is not sponsored, endorsed, sold, or promoted by Frank Russell   
Company, and Frank Russell Company makes no representation or warranty, express 
or implied, regarding the advisability of investing in the Fund.                

2. SIGNIFICANT ACCOUNTING POLICIES                                              

The following is a summary of significant accounting policies that are followed 
by the Fund in the preparation of its financial statements and which are in     
conformity with accounting principles generally accepted in the United States   
of America ("U.S. GAAP") for investment companies. The preparation of financial 
statements in conformity with accounting principles generally accepted in the   
U.S. GAAP requires management to make estimates and assumptions that affect the 
reported amounts of assets and liabilities and disclosures of contingent assets 
and liabilities at the date of the financial statements and the reported        
amounts of increases and decreases in net assets from operations during the     
reporting period. Actual results could differ from those estimates.             

SECURITY VALUATION                                                              

Investments of the Fund are valued at the last reported sale price on the       
securities or commodities exchange on which such investments are primarily      
traded. If there is no sale that day, then the value of the investments will be 
based on the most recent bid prices. Securities that are traded primarily on    
the national securities market are valued using the Nasdaq Official Closing     
Price ("NOCP"), but if the NOCP is not available, such securities are valued at 
the most recent bid prices. Securities that are traded primarily on foreign     
securities or commodities exchanges generally are valued at the preceding       
closing values of such securities on their respective exchanges. If market      
quotations or official closing prices are not readily available or are          
determined not to accurately reflect the current value of the securities, such  
securities are valued at fair value as determined in good faith under           
procedures established by the Board of Trustees of the Fund ("Board"). In this  
regard, the Board has approved the use of certain independent pricing services  
in determining the fair value of foreign securities primarily traded in foreign 
markets when significant events occur subsequent to the close of such foreign   
markets and prior to the time the Fund's NAV is determined. The fair value of   
such foreign securities are determined by the Fund (with the assistance of      
independent pricing services) by using correlations between the movement of     
prices of the foreign securities and indices of domestic securities and other   
appropriate indicators. Unlike the closing price of a security on a foreign     
exchange, fair value determinations employ elements of judgment and the fair    
value assigned to a security may not represent the actual value that the Fund   
could obtain if it were to sell a security at the time of the close of the New  
York Stock Exchange. Investments in short-term debt securities that mature in   
60 days or less are valued at amortized cost, which approximates fair market    
value, based on fair valuation procedures approved by the Board.                

N-CSRS
47th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 47th
E*TRADE RUSSELL 2000 INDEX FUND                                                 
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

SECURITY TRANSACTIONS AND INCOME RECOGNITION                                    

Security transactions are accounted for on the date the securities are          
purchased or sold (trade date). Revenue is recognized as follows: dividend      
income is recognized on the ex-dividend date and interest income is recorded on 
an accrual basis. Realized gains and losses on sales of securities are          
calculated on the identified cost basis. Expenses attributable to the Trust are 
allocated to the Fund based on the Fund's percentage of net assets within the   
Trust.                                                                          

DISTRIBUTIONS TO SHAREHOLDERS                                                   

Dividends to shareholders from net investment income of the Fund are declared   
and distributed quarterly. Distributions to shareholders from any net realized  
capital gains are declared and distributed annually, generally in December. All 
dividends and distributions will be automatically reinvested in additional      
shares of the Fund unless the shareholder elects otherwise. Such dividends and  
distributions to shareholders are recorded on the ex-dividend date.             

Income and capital gain distributions are determined in accordance with income  
tax regulations, which may differ from U.S. GAAP.                               

FEDERAL INCOME TAXES                                                            

The Fund is treated as a separate entity from every other series of the Trust   
for federal income tax purposes. It is the Fund's intention to continue to      
qualify annually as a regulated investment company under the provisions of the  
Internal Revenue Code applicable to regulated investment companies and to       
distribute annually all of its taxable net income and capital gains, if any, to 
its shareholders. Therefore, no federal income tax provision is required.       

As of December 31, 2005, for federal income tax purposes, the Fund has no       
capital loss carryforward.                                                      

At June 30, 2006, the cost of investments for federal income tax purposes was   
$96,278,930. Net unrealized appreciation aggregated $8,841,409, of which        
$14,644,007 represented gross unrealized appreciation on securities and         
$5,802,598 represented gross unrealized depreciation on securities. The         
difference between book basis and tax basis is attributable primarily to the    
return of capital adjustments from real estate investment trusts and the tax    
deferral of losses on wash sales.                                               

REDEMPTION FEES                                                                 

Redemption of shares held in the Fund for less than 120 days are subject to a   
fee of 1%, calculated as a percentage of redemption proceeds. The fee, which is 
retained by the Fund, is accounted for as an addition to paid-in capital. Total 
redemption fee proceeds for the six months ended June 30, 2006 and the year     
ended December 31, 2005 were $29,319 and $34,619 respectively, and are set      
forth in the Statement of Changes in Net Assets.                                

RECLASSIFICATION OF CAPITAL ACCOUNTS                                            

In order to present undistributed net investment income and accumulated net     
realized gain on the Statement of Assets and Liabilities that more closely      
represent their tax character, certain adjustments have been made to            
undistributed net investment income and accumulated net realized gain on        
investments and futures contracts. For the year ended December 31, 2005, the    
adjustments were to decrease undistributed net investment income by $65,591 and 
increase accumulated net realized gain on investments and future contracts by   
$65,591. These adjustments are primarily due to the differences between book    
and tax treatment of investments in real estate investment trusts.              

N-CSRS
48th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 48th
E*TRADE RUSSELL 2000 INDEX FUND                                                 
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES                            

E*TRADE Asset Management, Inc. ("ETAM"), a wholly owned subsidiary of E*TRADE   
FINANCIAL Corporation ("E*TRADE FINANCIAL"), serves as the investment adviser   
for the Fund pursuant to an Investment Advisory Agreement between ETAM and the  
Trust, on behalf of the Fund. For its service as investment adviser, ETAM is    
currently paid by the Fund at an annual rate of 0.15% of the Fund's average     
daily net assets.                                                               

World Asset Management ("World Asset") serves as the Fund's investment          
sub-adviser. World Asset is a division of Munder Capital Management. For its    
services, World Asset is paid by ETAM, not the Fund, and a fee is calculated as 
follows:                                                                        

                                                        [Enlarge/Download Table]

         Name of Fund                                Sub-Advisory Fee                     
         ------------           ----------------------------------------------------------
                                                                                          
E*TRADE Russell 2000 Index Fund 0.07% of average daily net assets up to $174 million      
                                0.04% of average daily net assets between $174 million and
                                $200 million                                              
                                0.02% of average daily net assets over $200 million       

ETAM also provides certain administrative services to the Fund, pursuant to an  
Administrative Services Agreement with the Trust, on behalf of the Fund. For    
its services, ETAM receives an administrative services fee equal to an annual   
rate of 0.15% of the Fund's average daily net assets.                           

Since September 30, 2004, ETAM assesses an account maintenance fee of $2.50 per 
quarter to offset shareholder servicing costs if an account balance in the Fund 
falls below $5,000 (for any reason, including a decline in the value of the     
Fund's shares). The account maintenance fee is determined and paid at the end   
of the calendar quarter. The fee is not assessed in certain circumstances, as   
described in the Fund's Prospectus, including waiver of the fee if total        
E*TRADE Funds assets held by a shareholder are $10,000 or more. The fee will    
not be applied to: (1) assets held in any retirement plan account; (2) assets   
held in any Coverdell education savings account; or (3) shareholders investing  
in the Fund through means of the Automatic Investment Plan privilege.           

ETAM and E*TRADE Securities LLC ("E*TRADE Securities"), the Trust's principal   
underwriter and a wholly owned subsidiary of E*TRADE FINANCIAL, both provide    
shareholder servicing to the Fund under a Shareholder Servicing Agreement. For  
its services, ETAM receives a non-Rule 12b-1 shareholder servicing fee equal to 
an annual rate of 0.25% of the Fund's average daily net assets. In addition,    
ETAM is allowed to use the shareholder servicing fees it receives under the     
Shareholder Servicing Agreement to compensate its affiliates, including E*TRADE 
Securities, for services it provides to the Fund.                               

The amount "Due from E*TRADE Asset Management, Inc." listed on the Fund's       
Statement of Assets and Liabilities, reflects a contractual agreement effective 
April 1, 2005, between ETAM and the Fund ("Expense Limitation Agreement") in    
which ETAM has agreed to waive or limit its fees or to assume other expenses    
through at least April 30, 2007. The Expense Limitation Agreement may continue  
from year to year thereafter. Effective April 1, 2005, ETAM has agreed to waive 
or limit ETAM's fees and assume other expenses so that the total operating      
expenses of the Fund (other than interest, taxes, brokerage commissions, other  
expenditures which are capitalized in accordance with U.S. GAAP and other       
extraordinary expenses not incurred in the ordinary course of the Fund's        
business) on an annualized basis are limited to 0.22% of the Fund's average     
daily net assets. Prior to April 1, 2005, the expense limit for the Fund was    
0.26% of the Fund's average daily net assets.                                   

N-CSRS
49th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 49th
E*TRADE RUSSELL 2000 INDEX FUND                                                 
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

The Fund may at a later date reimburse ETAM the fees waived or limited and any  
other expenses assumed and paid by ETAM provided that, among other things, the  
Fund has reached a sufficient size to permit such reimbursement to be made      
without causing the total annual expense ratio of the Fund to exceed the        
current percentage limit stated above. Consequently, no reimbursement by the    
Fund will be made unless: (i) the Fund's total annual expense ratio is less     
than the current percentage stated above and (ii) the payment of such           
reimbursement has been approved in advance by the Trust's Board on a quarterly  
basis. The total amount of reimbursement to which ETAM may be entitled will     
equal, at any time, the sum of (i) all fees previously waived or reduced by     
ETAM and (ii) all other payments previously remitted by ETAM to the Fund in     
accordance with the Expense Limitation Agreement during any of the previous     
three fiscal years, less any reimbursement that the Fund has previously paid to 
ETAM with respect to (a) such fees previously waived or reduced and (b) such    
other payments previously remitted by ETAM to the Fund during any of the        
previous three fiscal years. Approximately $1,151,041 was eligible for          
reimbursement as of December 31, 2005.                                          

4. AGREEMENTS AND OTHER TRANSACTIONS WITH NON-AFFILIATES                        

PFPC Inc. serves as the transfer agent and dividend disbursing agent for the    
Fund. The Bank of New York provides fund accounting, custodial, and certain     
fund services for the Fund. E*TRADE Securities serves as the principal          
underwriter for the Fund at no cost to the Fund, but receives compensation from 
ETAM that may be equal to the maximum shareholder servicing fee received by     
ETAM from the Fund.                                                             

5. PORTFOLIO SECURITIES LOANED                                                  

The Fund may participate in securities lending, in which securities are lent to 
certain securities dealers in exchange for cash collateral equal to 102% and    
105% of the initial market value of the domestic and non-U.S. securities lent,  
respectively. The amount of collateral is adjusted daily for changes in the     
market value of securities lent, but at no subsequent period would the cash     
collateral equal less than 100% of the market value of securities lent. The     
Fund retains a beneficial interest in the collateral held. ETAM monitors the    
creditworthiness of all parties to which securities are lent. The Fund charges  
the corresponding party interest on the market value of securities lent and     
receives interest on the investment of cash collateral.                         

The Fund did not participate in securities lending during the six months ended  
June 30, 2006.                                                                  

6. FUTURES CONTRACTS                                                            

The Fund may purchase or sell futures contracts to gain exposure to market      
changes. The purchase of futures contracts may be more efficient or cost        
effective than actually buying the securities only if there is an active market 
for such contracts. A futures contract is an agreement between two parties to   
buy and sell a security at a set price on a future date and is exchange traded. 
Upon entering into a futures contract, the Fund is required to pledge to the    
broker an amount of cash, U.S. Government securities or other high-quality debt 
securities equal to the minimum "initial margin" requirements of the exchange.  
Pursuant to a contract entered into with a futures commission merchant, the     
Fund agrees to receive from or pay to the broker an amount of cash equal to the 
daily fluctuation in the value of the contract. Such receipts or payments are   
known as "variation margin" and are recorded by the Fund as unrealized gains or 
losses. When the contract is closed, the Fund records a gain or loss equal to   
the difference between the value of the contract at the time it was opened and  
the value at the time it was closed. Pursuant to regulations and/or published   
positions of the Securities and Exchange Commission, the Fund may be required   
to segregate cash, U.S. Government obligations or other liquid securities in    
connection with futures transactions in an amount generally equal to the entire 
futures contract amount. The risks of entering into futures contracts include   
the possibility that there may be an illiquid market and that a change in the   
value of the contracts may not correlate with changes in the value of the       
underlying securities.                                                          

N-CSRS
50th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 50th
E*TRADE RUSSELL 2000 INDEX FUND                                                 
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

The following futures contracts were outstanding as of June 30, 2006:           

                              Notional  Net Unrealized
Number of       Futures        Expiration  Contract   Appreciation              
Contracts        Index            Date      Value    (Depreciation)             
--------- -------------------  ---------- ---------- --------------             
6        Russell 2000       09/14/06  $2,194,500    $148,636            

The Fund has pledged to brokers a U.S. Treasury Bill for initial margin         
requirements with a value of $149,233.                                          

7. REPURCHASE AGREEMENTS                                                        

The Fund may invest in repurchase agreements. Repurchase agreements are         
transactions involving purchases of securities under agreements to resell such  
securities at a specified price and time, and are treated as collateralized     
financing transactions and recorded at their contracted resale amounts. These   
repurchase agreements, if any, are detailed in the Fund's Schedule of           
Investments. The Fund's investments in repurchase agreements must be fully      
collateralized based on values that are marked to market daily. The Fund's      
custodian has custody of, and holds in a segregated account, securities         
acquired as collateral by the Fund under a repurchase agreement. ETAM monitors, 
on an ongoing basis, the value of the collateral to assure that it always       
equals or exceeds the repurchase price.                                         

The Fund did not invest in any repurchase agreements during the six months      
ended June 30, 2006.                                                            

8. SHORT SALES OF SECURITIES                                                    

The Fund may enter into short sale transactions. A short sale is a transaction  
in which the Fund sells securities it does not own (but has borrowed) in        
anticipation of a decline in the market price of the securities. To complete a  
short sale, the Fund may arrange through a broker to borrow the securities to   
be delivered to the buyer. The proceeds received by the Fund for the short sale 
are retained by the broker until the Fund replaces the borrowed securities. In  
borrowing the securities to be delivered to the buyer, the Fund becomes         
obligated to replace the securities borrowed at their market price at the time  
of replacement, whatever that price may be.                                     

The Fund did not enter into any short sale transactions during the six months   
ended June 30, 2006.                                                            

9. INVESTMENT PORTFOLIO TRANSACTIONS                                            

Purchases and sales of investments, exclusive of short-term securities,         
aggregated $39,014,144 and $21,698,187, respectively, for the six months ended  
June 30, 2006.                                                                  

10.PROPOSED REORGANIZATION                                                      

As part of E*TRADE Financial Corporation's wealth management strategy, E*TRADE  
Financial Corporation ("E*TRADE") has purchased independent registered          
investment advisers that provide investment advisory services to high net worth 
clients. In pursuit of that strategy, in November 2005, E*TRADE acquired Kobren 
Insight Management Inc. ("KIM"), a registered investment adviser and the        
current investment adviser to the Kobren Insight Funds, a registered management 
investment company with two current series (i.e., Kobren Growth Fund and Delphi 
Value Fund).                                                                    

N-CSRS
51st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 51st
E*TRADE RUSSELL 2000 INDEX FUND                                                 
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

The management of E*TRADE Asset Management, Inc. ("ETAM"), the investment       
manager to the E*TRADE Funds, and KIM have worked closely together to develop a 
strategy of integrating the Kobren Insight Funds and the E*TRADE Funds with a   
goal of streamlining and improving the management and operations of the Kobren  
Insight Funds and the E*TRADE Funds while providing higher visibility and       
improved distribution to these small funds. In addition, the integration        
proposals are intended to permit the E*TRADE Funds to achieve greater economies 
of scale and facilitate the compliance functions of the funds by virtue of      
having a single investment company structure. E*TRADE believes that the         
integration proposals will be beneficial to shareholders of both the E*TRADE    
Funds and the Kobren Insight Funds, as well as to E*TRADE.                      

In summary, the integration proposals recommended by E*TRADE to the separate    
Boards of Trustees of the E*TRADE Funds and the Kobren Insight Funds and        
considered by each of those Boards at Board meetings held on June 28 and        
June 29, 2006, are as follows:                                                  

 .   Redomiciliation and Shell Reorganization of the Kobren Insight Funds. The
   Kobren Insight Funds would be redomiciled from a Massachusetts business
   trust into a Delaware statutory trust. In order to accomplish this, the
     Kobren Insight Funds would be reorganized into newly-created shell series
   of the E*TRADE Funds. The proposed Agreement and Plan of Reorganization
   and Redomiciliation ("Reorganization Agreement ") contemplates that all
 of the assets and liabilities of the current two series of the Kobren
Insight Funds would be transferred to corresponding shell series of 
 E*TRADE Funds in exchange for shares of those new shell series of the
E*TRADE Funds.                                                      

.   Investment Management. In conjunction with the integration of the Kobren
Insight Funds into the E*TRADE Funds, E*TRADE proposed that ETAM be 
    approved as the investment manager of the Kobren Insight Funds following
   their reorganization into the newly created shell series of the E*TRADE
   Funds. Further, E*TRADE proposed that KIM be approved as the investment
sub-adviser to the Kobren Growth Fund and Delphi Management Inc.    
    ("Delphi") be approved as the investment sub-adviser to the Delphi Value
   Fund. The proposed consolidation of the advisory relationship with ETAM
    is intended to help to ensure consistent oversight of all of the E*TRADE
     proprietary mutual funds' investments while maintaining the current daily
     management of the Kobren Insight Funds through sub-advisory relationships
with KIM and Delphi.                                                

 .   Board of Trustees. In addition, in order to further integrate the E*TRADE
  Funds and the Kobren Insight Funds, E*TRADE proposed that the Board of
Trustees of the E*TRADE Funds approve a realignment of the Board of 
 Trustees of the E*TRADE Funds so that (i) the number of Board members
     would be reduced from six to five and (ii) a current member of the Kobren
    Insight Funds' Board would be nominated to serve as an independent Board
     member of the E*TRADE Funds. In light of this integration initiative, two
    of the current independent Board members of the Board of Trustees of the
 E*TRADE Funds have agreed to resign from the Board and have submitted
    their resignations, which will be effective upon shareholder approval of
a new slate of Board members. In conjunction with these actions, the
  Board of Trustees of the E*TRADE Funds approved the submission to Fund
    shareholders of a new slate of nominees to serve as members of the Board
of Trustees of the E*TRADE Funds ("Board Nominees").                

Board Approvals. At the June 28, 2006 Board of Trustees meeting for the E*TRADE 
Funds, the Board of Trustees approved (1) the Reorganization Agreement for the  
reorganization of the Kobren Insight Funds into shell series of the E*TRADE     
Funds and (2) each of the proposals concerning the realignment of Board of      
Trustees of the E*TRADE Funds. The proposals concerning the investment manager  
and sub-advisers for the Kobren Insight Funds have been deferred and will be    
considered by the Board of Trustees of the E*TRADE Funds following the election 
of the Board Nominees.                                                          

N-CSRS
52nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 52nd
E*TRADE RUSSELL 2000 INDEX FUND                                                 
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

Shareholder Approvals. The proposed reorganizations of the Kobren Insight Funds 
into shell series of the E*TRADE Funds will require the approval of the         
shareholders of the Kobren Insight Funds in order to be effective. Shareholders 
of the E*TRADE Funds will NOT be solicited for approval of the proposed         
reorganizations. Shareholders of the E*TRADE Funds will be asked to approve the 
election of each of the Board Nominees. E*TRADE Funds anticipates distributing  
proxy solicitation materials to shareholders in connection with this proposal   
later this month.                                                               

E*TRADE has agreed to bear all of the fees, costs and expenses associated with  
implementing the integration proposals, including all proxy solicitation costs  
of the E*TRADE Funds and the Kobren Insight Funds, except for any brokerage     
fees and brokerage expenses associated with the proposed reorganizations of the 
Kobren Insight Funds.                                                           

N-CSRS
53rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 53rd
QUARTERLY PORTFOLIO SCHEDULE                                                    

The Fund files its complete schedule of portfolio holdings with the Commission  
for the first and third quarters of each fiscal year on Form N-Q. This          
information is available, without charge and upon request, by visiting the      
E*TRADE Funds website at www.etradefunds.etrade.com (click on "Quarterly        
Holdings") or by accessing the Funds' Form N-Q on the Commission's website at   
www.sec.gov. The Funds' Form N-Q may also be reviewed and copied at the         
Commission's Public Reference Room in Washington, DC; information on the        
operation of the Public Reference Room may be obtained by                       
calling1-(800)-SEC-0330.                                                        

PROXY VOTING POLICIES AND PROCEDURES                                            

A description of the Funds' proxy voting policies and procedures is available,  
without charge and upon request, by calling E*TRADE Funds at 1-800-ETRADE-1.    
This information is also included in the Funds' Statement of Additional         
Information, which is available by visiting the E*TRADE Funds website at        
www.etradefunds.etrade.com (click on "Prospectus" and then "Statement of        
Additional Information") and by accessing the Securities and Exchange           
Commission's ("Commission") website at www.sec.gov.                             

Information regarding how the Funds voted proxies for portfolio securities, if  
applicable, during the most recent 12-month period ended June 30, is also       
available, without charge and upon request, by (i) calling E*TRADE Funds at     
1-800-ETRADE-1; (ii) by visiting the E*TRADE Funds website at                   
www.etradefunds.etrade.com (click on "Proxy Voting Results"); or                
(iii) accessing the Funds' Form N-PX on the Commission's website at www.sec.gov.

CODE OF ETHICS                                                                  

A copy of the code of ethics that applies to the Funds' principal executive     
officer, principal financial officer, principal accounting officer or           
controller, or persons performing similar functions is available free of        
charge, upon request by calling 1-800-ETRADE-1.                                 

N-CSRS
54th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 54th
SEMI-ANNUAL LETTER TO SHAREHOLDERS                                              

Dear Shareholder:                                                               

I am pleased to provide you with the Semi-Annual Report of the E*TRADE Index    
Funds (the "Funds") for the period ended June 30, 2006.                         

As always, I hope you will find the report valuable and informative.            

The Funds have continued to provide investors with an easy, affordable way to   
keep pace with the market. The Funds also remain the lowest-cost stock index    
funds in the industry/1/:                                                       

                                                        [Enlarge/Download Table]

                       EXPENSE  CATEGORY                                                       
FUND NAME              RATIO/1/ AVERAGE/2/                   GIVES INVESTORS                   
---------              -------  ---------  ----------------------------------------------------
                                                                                               
E*TRADE S&P 500         0.09%     0.39%    A simple way to invest in a diversified group       
Index Fund                                 of large-capitalization U.S. stocks while           
                                           keeping pace with the market                        

E*TRADE Russell 2000    0.22%     0.79%    An affordable way to invest in small-capitalization 
Index Fund                                 U.S. stocks and create a solid diversified portfolio

E*TRADE International   0.09%     0.76%    An easy, low-cost way to take advantage of          
Index Fund/2/                              strong performance of international stocks          

E*TRADE Technology      0.60%      N/A     An affordable, risk-managed way to invest in        
Index Fund/3/                              the technology sector                               

For the past five years, the cumulative return for international stocks as      
represented by the MSCI EAFE Index has been nearly three times the return for   
U.S. equities as represented by the S&P 500/4/--one reason that U.S. investors  
are beginning to pay more attention to the benefits of investing                
internationally.                                                                

Against this background, the E*TRADE International Index Fund delivered         
investors an annualized total return of 9.48% for the five years ended June 30, 
2006. The Fund delivered a 26.75% return for the past twelve months and an      
annualized return of 4.35% since inception (10/22/1999) for the period ended    
June 30, 2006.                                                                  

Data quoted represents past performance. Past performance is not an indication  
of future results and mutual fund investment returns and share prices will      
fluctuate on a daily basis. Your investment may be worth more or less than your 
original cost when you redeem your shares. Current performance may be lower or  
higher than the performance data quoted. Performance as of the most recent      
month-end can be obtained at www.etrade.com.                                    

Smart Choice for Retirement Accounts                                            

Because the Funds offer investors one of the most efficient, cost-effective     
ways to invest in stocks, the Funds also represent a smart choice for           
retirement accounts. Besides no commissions, no transaction fees, and no        
account minimum, E*TRADE No-Fee, No-Minimum IRAs and Rollover IRAs allow you to 
trade in your retirement account. (To learn more or open an IRA or rollover     
IRA, visit etrade.com/newira.)                                                  

As always, thank you for your continued investment in the Funds. We look        
forward to serving your financial needs for many years to come.                 

Sincerely,                                                                      

/s/ Elizabeth Gottfried                                                         
-------------------------                                                       
Elizabeth Gottfried                                                             
President, E*TRADE Funds                                                        

PLEASE READ THE IMPORTANT DISCLOSURES ON THE BACK OF THIS LETTER  

N-CSRS
55th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 55th
SEMI-ANNUAL LETTER TO SHAREHOLDERS                                              

PLEASE READ THE IMPORTANT DISCLOSURES BELOW 

You should consider the investment objectives, risks, charges and expenses of a 
mutual fund carefully before investing. The Funds' prospectus contains this and 
other important information; read the prospectus carefully before investing.    
For a current prospectus, please visit etradefunds.etrade.com. Read the         
prospectus carefully before investing.                                          

1 Based on a data filter commissioned from Lipper by E*TRADE Asset Management,  
Inc. ("ETAM"), and according to an agreed-upon methodology for analyzing Lipper 
data in accordance with the Lipper-defined universe, ETAM determined that the   
E*TRADE S&P 500 Index Fund, the E*TRADE Russell 2000 Index Fund and the E*TRADE 
International Index Fund ("E*TRADE Index Funds") had the lowest effective       
expenses among their peer universe as of July 3, 2006. To identify the peer     
universe, Lipper compared the E*TRADE Index Funds to other Pure Index Funds in  
the same Lipper Investment Classification/Objective, while excluding            
Institutional Funds and other mutual funds requiring initial minimum            
investments of $100,000 or more and exchange-traded funds. While ETAM may       
review Lipper data, ETAM makes no representation as to the accuracy or          
timeliness of the Lipper data or that the E*TRADE Index Funds will continue to  
have the lowest effective expenses among comparable funds.                      

The E*TRADE Index Funds had the lowest effective expenses because ETAM          
contractually limited their expenses. The expenses of the E*TRADE Index Funds   
prior to the imposition of the contractual limits are, in fact, higher. ETAM    
has agreed contractually to limit the expense ratio for the E*TRADE Index Funds 
until April 30, 2007. Without the contractual limits, the expenses of the       
E*TRADE Index Funds are 0.79% for the S&P 500 Index Fund; 1.11% for the Russell 
2000 Index Fund; and 1.85% for the International Index Fund (based on the most  
recently filed shareholder reports). There is no assurance that ETAM will       
continue these expense limits beyond April 30, 2007.                            

ETAM will charge an Account Maintenance Fee of $2.50 per quarter for Fund       
balances below $5,000. The fee will be waived if your combined E*TRADE Funds    
account assets are $10,000 or more. If Fund shares must be redeemed to pay the  
Account Maintenance Fee, any applicable redemption fee will be waived.          

The fact that a fund has a low expense ratio does not mean it is a suitable     
investment and an investment in an E*TRADE Index Fund may not be suitable for   
all investors. Additional information on the comparison methodology used is     
available on request. The terms "Institutional Fund", "Investment               
Classification/Objective", and "Pure Index Fund" are Lipper defined terms.      

Lipper's data and analyses are for informational purposes only, and do not      
constitute investment advice or an offer to sell or the solicitation of an      
offer to buy any security of any entity in any jurisdiction. No guarantee is    
made that the information is accurate or complete and no warranties are made    
with regard to the results to be obtained from its use. In addition, Lipper     
will not be liable for any loss or damage resulting from information obtained   
from Lipper or any of its affiliates.                                           

2 Investing internationally involves risks such as currency fluctuations,       
political uncertainty, and differing business and accounting practices. Please  
read the prospectus carefully before investing.                                 

3 The E*TRADE Technology Index Fund is the only fund of its type currently in   
existence.                                                                      

4 Source: www.firstinvestors.com.                                               

The E*TRADE FINANCIAL family of companies provides financial services that      
include investing, trading, banking, and lending. Securities products and       
services are offered by E*TRADE Securities LLC, Member NASD/SIPC.               

(C) 2006 E*TRADE FINANCIAL Corp. All rights reserved.                           

N-CSRS
56th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 56th
Fees and Expenses / Shareholder Fee Example (unaudited)                         

As a shareholder, you can incur two types of costs: (1) transaction costs,      
including sales charges (loads) on purchase payments, reinvested dividends, or  
other distributions; redemption fees; and exchange fees and (2) ongoing costs,  
including management fees; distribution and/or service (12b-1) fees; and other  
Fund expenses. This Example is intended to help you understand your ongoing     
costs (in dollars) of investing in the Fund and to compare these costs with the 
ongoing costs of investing in other mutual funds. The Fund does not assess      
sales loads or 12b-1 fees.                                                      

The Example is based on an investment of $1,000 invested at the beginning of    
the period and held for the entire period from January 1, 2006 through June 30, 
2006.                                                                           

Actual Expenses                                                                 

The first line of the Example provides information about actual account values  
and actual expenses. You may use the information in this line, together with    
the amount you invested, to estimate the expenses that you paid over the        
period. Simply divide your account value by $1,000 (for example, an $8,600      
account value divided by $1,000 = 8.6), then multiply the result by the number  
in the first line under the heading entitled "Expenses Paid During the Period   
01/01/06 to 06/30/06" to estimate the expenses you paid on your account during  
this period. This expense estimate does not include redemption fees and account 
maintenance fees because they are not charged to all shareholders. A 1%         
redemption fee is charged to shareholders who redeem shares held for less than  
four months. The 1% redemption fee is calculated as a percentage of the total   
redemption proceeds and would be added to your estimated expenses calculated in 
the table. A quarterly Account Maintenance Fee ("AMF") is charged to            
shareholders with account balances of less than $5,000 at the end of each       
calendar quarter. The AMF is equal to $2.50 per quarter and would be added to   
your estimated expenses calculated in the table. The AMF is not applied to:     
(1) assets held in any retirement plan account, including an IRA, Roth IRA, one 
person SEP-IRA, profit sharing plan, money purchase pension plan or 401(a) or   
401(k) account; (2) assets held in any Coverdell education savings account; or  
(3) shareholders investing in the Fund through means of the Automatic           
Investment Plan privilege, described in the section of the Fund's Prospectus    
entitled "How to Buy, Sell and Exchange Shares -- Automatic Investment Plan."   
Moreover, the AMF is waived if your total E*TRADE Funds assets are $10,000 or   
more.                                                                           

Hypothetical Example for Comparison Purposes                                    

The second line of the Example provides information about hypothetical account  
values and hypothetical expenses based on the Fund's actual expense ratio and   
an assumed rate of return of 5% per year before expenses, which is not the      
Fund's actual return. The hypothetical account values and expenses may not be   
used to estimate the actual ending account balance or expenses you paid for the 
period. You may use this information to compare the ongoing costs of investing  
in the Fund and other funds. To do so, compare this 5% hypothetical example     
with the 5% hypothetical examples that appear in the shareholder reports of the 
other funds. This expense estimate does not include redemption fees and account 
maintenance fees because they are not charged to all shareholders. A 1%         
redemption fee is charged to shareholders who redeem shares held for less than  
four months. The 1% redemption fee is calculated as a percentage of the total   
redemption proceeds and would be added to your estimated expenses calculated in 
the table. A quarterly AMF is charged to shareholders with account balances of  
less than $5,000 at the end of each calendar quarter. The AMF is equal to $2.50 
per quarter and would be added to your estimated expenses calculated in the     
table. The AMF is not applied to: (1) assets held in any retirement plan        
account, including an IRA, Roth IRA, one person SEP-IRA, profit sharing plan,   
money purchase pension plan or 401(a) or 401(k) account; (2) assets held in any 
Coverdell education savings account; or (3) shareholders investing in the Fund  
through means of the Automatic Investment Plan privilege, described in the      
section of the Fund's Prospectus entitled "How to Buy, Sell and Exchange Shares 
-- Automatic Investment Plan." Moreover, the AMF is waived if your total        
E*TRADE Funds assets are $10,000 or more.                                       

N-CSRS
57th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 57th
Please note that the expenses shown in the table are meant to highlight your    
ongoing costs only and do not reflect any transactional costs, such as sales    
charges (loads), redemption fees, or exchange fees. Therefore, the second line  
of the table is useful in comparing ongoing costs only, and will not help you   
determine the relative total costs of owning different funds. In addition, if   
these transactional costs were included, your costs would have been higher.     

                                                        [Enlarge/Download Table]

                                                                                     Annualized   
                                             Beginning  Ending     Expenses Paid    Expense Ratio 
                                              Account  Account   During the Period  Based on the  
                                               Value    Value       01/01/06 to    Period 01/01/06
                                             01/01/06  06/30/06      06/30/06*       to 06/30/06  
                                             --------- --------- ----------------- ---------------
                                                                                                  
E*TRADE Technology Index Fund                                                                     
   Actual                                    $1,000.00 $  944.30       $2.89            0.60%     
   Hypothetical (5% return before expenses)  $1,000.00 $1,021.82       $3.01            0.60%     

* Expenses are equal to the Fund's annualized expense ratio of 0.60%,           
multiplied by the average account value over the period, multiplied by the  
number of days in the most recent fiscal half-year (to reflect the one-half 
year period).                                                               

N-CSRS
58th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 58th
E*TRADE Technology Index Fund                                                   
Schedule of Investments                                                         
June 30, 2006 (Unaudited)                                                       

                                                         Shares    Value
                                                            ------- ----------
COMMON STOCKS--98.0%                                                            
COMMERCIAL SERVICES--4.0%                                                       
Accenture, Ltd., Class A                                      11,128 $  315,145 
Amazon.com, Inc.(a)                                            8,155    315,435 
BearingPoint, Inc.(a)                                          3,894     32,593 
ChoicePoint, Inc.(a)                                           1,663     69,464 
Convergys Corp.(a)                                             2,707     52,787 
eBay, Inc.(a)                                                 27,246    798,035 
Euronet Worldwide, Inc.(a)                                       714     27,396 
Hewitt Associates, Inc., Class A(a)                            1,348     30,303 
Plexus Corp.(a)                                                  883     30,207 
Priceline.com, Inc.(a)                                           766     22,873 
Wright Express Corp(a)                                           778     22,360 
                                                                    ----------
                                                                     1,716,598
                                                                    ----------
COMMUNICATIONS SERVICES--0.3%                                                   
Avaya, Inc.(a)                                                 8,923    101,900 
Syniverse Holdings, Inc.(a)                                    1,314     19,316 
                                                                    ----------
                                                                       121,216
                                                                    ----------
COMPUTER FACILITIES MANAGEMENT--0.6%                                            
Cognizant Technology Solutions Corp.(a)                        2,687    181,023 
Comverse Technology, Inc.(a)                                   3,975     78,586 
                                                                    ----------
                                                                       259,609
                                                                    ----------
COMPUTER INTEGRATED SYSTEMS DESIGN--1.6%                                        
BEA Systems, Inc.(a)                                           7,527     98,528 
Brocade Communications Systems, Inc.(a)                        5,274     32,382 
Computer Sciences Corp.(a)                                     3,654    177,000 
Intergraph Corp.(a)                                              586     18,453 
Jack Henry & Associates, Inc.                                  1,813     35,644 
Network Appliance, Inc.(a)                                     7,267    256,526 
Redback Networks, Inc.(a)                                      1,197     21,953 
TIBCO Software, Inc.(a)                                        4,067     28,672 
                                                                    ----------
                                                                       669,158
                                                                    ----------
COMPUTER PERIPHERAL EQUIPMENT--7.2%                                             
3Com Corp.(a)                                                  7,562     38,717 
Cisco Systems, Inc.(a)                                       117,956  2,303,680 
Electronics For Imaging, Inc.(a)                               1,113     23,239 
Emulex Corp.(a)                                                1,629     26,504 
Juniper Networks, Inc.(a)                                     10,931    174,787 
Lexmark International, Inc.(a)                                 2,034    113,558 
Nam Tai Electronics, Inc.                                        900     20,133 
Palm, Inc.(a)                                                  1,948     31,363 
QLogic Corp.(a)                                                3,115     53,703 
Research In Motion, Ltd.(a)                                    3,576    249,498 
Symbol Technologies, Inc.                                      4,818     51,986 
                                                                    ----------
                                                                     3,087,168
                                                                    ----------
COMPUTER PROGRAMMING SERVICES--0.4%                                             
Amdocs, Ltd.(a)                                                3,849    140,874 
Informatica Corp.(a)                                           1,664     21,898 
                                                                    ----------
                                                                       162,772
                                                                    ----------

The accompanying notes are an integral part of these financial statements.  

N-CSRS
59th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 59th
COMPUTER RELATED SERVICES--2.1%                                                 
CACI International, Inc., Class A(a)                            612    35,698   
Ceridian Corp.(a)                                             2,838    69,361   
Electronic Data Systems Corp.                                10,017   241,009   
IAC/InterActiveCorp(a)                                        5,612   148,662   
Internet Security Systems, Inc.(a)                              932    17,568   
Paychex, Inc.                                                 7,338   286,035   
Red Hat, Inc.(a)                                              3,508    82,087   
                                                                 ---------
                                                                   880,420
                                                                 ---------
COMPUTER STORAGE DEVICES--2.3%                                                  
EMC Corp.(a)                                                 45,689   501,208   
Imation Corp.                                                   687    28,201   
Sandisk Corp.(a)                                              3,774   192,399   
Seagate Technology                                           11,325   256,398   
                                                                 ---------
                                                                   978,206
                                                                 ---------
COMPUTERS--2.6%                                                                 
Apple Computer, Inc.(a)                                      16,353   934,083   
Black Box Corp.                                                 334    12,802   
Kronos, Inc.(a)                                                 666    24,116   
Perot Systems Corp., Class A(a)                               2,293    33,203   
RSA Security, Inc.(a)                                         1,500    40,785   
Western Digital Corp.(a)                                      4,225    83,697   
                                                                 ---------
                                                                 1,128,686
                                                                 ---------
COMPUTERS, PERIPHERAL & SOFTWARE--1.4%                                          
Autodesk, Inc.(a)                                             4,537   156,344   
Infospace, Inc.(a)                                              700    15,869   
Komag, Inc.(a)                                                  593    27,385   
McAfee, Inc.(a)                                               3,082    74,800   
National Instruments Corp.                                    1,579    43,265   
Nvida Corp.(a)                                                6,726   143,197   
Open Text Corp.(a)                                            1,000    14,440   
Salesforce.com, Inc.(a)                                       2,104    56,093   
Sybase, Inc.(a)                                               1,819    35,289   
Zebra Technologies Corp., Class A(a)                          1,428    48,780   
                                                                 ---------
                                                                   615,462
                                                                 ---------
DATA PROCESSING & PREPARATION--4.3%                                             
Acxiom Corp.                                                  1,702    42,550   
Affiliated Computer Services, Inc., Class A(a)                2,163   111,632   
Automatic Data Processing, Inc.                              11,136   505,018   
BISYS Group, Inc.(a)                                          2,327    31,880   
DST Systems, Inc.(a)                                          1,346    80,087   
Fidelity National Information Services, Inc.                  3,719   131,653   
Filenet Corp.(a)                                                812    21,867   
First Data Corp.                                             14,792   666,231   
Fiserv, Inc.(a)                                               3,394   153,952   
Verisign, Inc.(a)                                             4,736   109,733   
                                                                 ---------
                                                                 1,854,603
                                                                 ---------
DISTRIBUTION/WHOLESALE--0.3%                                                    
CDW Corp.                                                     1,618    88,424   
Ingram Micro, Inc., Class A(a)                                3,164    57,363   
                                                                 ---------
                                                                   145,787
                                                                 ---------
ELECTRONIC COMPONENTS--1.1%                                                     
AVX Corp.                                                     3,330    52,581   
Celestica, Inc.(a)                                            3,800    36,252   
Flextronics International, Ltd.(a)                           11,223   119,188   
MEMC Electronic Materials, Inc.(a)                            4,150   155,625   
Sanmina-SCI Corp.(a)                                         10,295    47,357   
Vishay Intertechnology, Inc.(a)                               3,362    52,884   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
60th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 60th
                                                                   ---------
                                                                     463,887
                                                                   ---------
ELECTRONIC COMPUTERS--12.8%                                                     
Advent Software, Inc.(a)                                         613    22,111  
Dell, Inc.(a)                                                 44,576 1,088,100  
Gateway, Inc.(a)                                               7,191    13,663  
Hewlett-Packard Co.                                           54,652 1,731,375  
International Business Machines Corp.                         29,957 2,301,297  
Sun Microsystems, Inc.(a)                                     67,603   280,552  
Unisys Corp.(a)                                                6,627    41,618  
                                                                   ---------
                                                                   5,478,716
                                                                   ---------
ELECTRONIC PARTS & EQUIPMENT--0.6%                                              
Arrow Electronics, Inc.(a)                                     2,335    75,187  
Avnet, Inc.(a)                                                 2,830    56,657  
Benchmark Electronics, Inc.(a)                                 1,240    29,909  
Checkfree Corp.(a)                                             1,807    89,554  
                                                                   ---------
                                                                     251,307
                                                                   ---------
ELECTRONICS--1.4%                                                               
Agilent Technologies, Inc.(a)                                  8,231   259,771  
Amphenol Corp., Class A                                        1,750    97,930  
ATI Technologies, Inc.(a)                                      4,897    71,496  
Cymer, Inc.(a)                                                   719    33,405  
KEMET Corp.(a)                                                 1,755    16,181  
Mentor Graphics Corp.(a)                                       1,628    21,131  
Skyworks Solutions, Inc.(a)                                    3,194    17,599  
Tektronix, Inc.                                                1,616    47,543  
Trimble Navigation, Ltd.(a)                                    1,047    46,738  
                                                                   ---------
                                                                     611,794
                                                                   ---------
INTERNET SOFTWARE & SERVICES--6.7%                                              
CNET Networks, Inc.(a)                                         2,896    23,110  
EarthLink, Inc.(a)                                             2,577    22,317  
Equinix Inc(a)                                                   552    30,283  
Expedia, Inc.(a)                                               6,261    93,727  
Google, Inc., Class A(a)                                       4,153 1,741,477  
NetFlix, Inc.(a)                                               1,110    30,203  
Valueclick, Inc.(a)                                            1,980    30,393  
Yahoo!, Inc.(a)                                               27,221   898,293  
                                                                   ---------
                                                                   2,869,803
                                                                   ---------
NETWORK EQUIPMENT--0.7%                                                         
Foundry Networks, Inc.(a)                                      2,750    29,315  
Lucent Technologies, Inc.(a)                                  86,563   209,483  
Sonus Networks, Inc.(a)                                        4,879    24,151  
Sycamore Networks, Inc.(a)                                     5,387    21,871  
                                                                   ---------
                                                                     284,820
                                                                   ---------
PREPACKAGED SOFTWARE--16.7%                                                     
Adobe Systems, Inc.(a)                                        11,615   352,630  
BMC Software, Inc.(a)                                          4,112    98,277  
Cadence Design System, Inc.(a)                                 5,484    94,051  
Check Point Software Technologies, Ltd.(a)                     4,720    82,978  
Citrix Systems, Inc.(a)                                        3,519   141,253  
Cognos, Inc.(a)                                                1,797    51,125  
Compuware Corp.(a)                                             7,396    49,553  
CSG Systems International, Inc.(a)                               921    22,786  
Electronic Arts, Inc.(a)                                       5,870   252,645  
Intuit, Inc.(a)                                                3,364   203,152  
Lawson Software, Inc(a)                                        3,755    25,159  
Macrovision Corp.(a)                                           1,001    21,542  
Microsoft Corp.                                              159,269 3,710,967  

The accompanying notes are an integral part of these financial statements.  

N-CSRS
61st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 61st
Novell, Inc.(a)                                                7,524    49,884  
Nuance Communications, Inc.(a)                                 3,247    32,665  
Oracle Corp.(a)                                              103,078 1,493,599  
Quest Software, Inc.(a)                                        1,918    26,929  
RealNetworks, Inc.(a)                                          3,097    33,138  
Symantec Corp.(a)                                             20,159   313,271  
Synopsys, Inc.(a)                                              2,852    53,532  
Transaction Systems Architects, Inc.(a)                          722    30,100  
Wind River Systems, Inc.(a)                                    1,653    14,712  
                                                                   ---------
                                                                   7,153,948
                                                                   ---------
PRINTED CIRCUIT BOARDS--0.4%                                                    
Jabil Circuit, Inc.                                            4,015   102,784  
Solectron Corp.(a)                                            17,669    60,428  
                                                                   ---------
                                                                     163,212
                                                                   ---------
PROCESS CONTROL INSTRUMENTS--0.3%                                               
PerkinElmer, Inc.                                              2,446    51,121  
Teradyne, Inc.(a)                                              3,886    54,132  
                                                                   ---------
                                                                     105,253
                                                                   ---------
RADIO & TV COMMUNICATIONS EQUIPMENT--5.3%                                       
Andrew Corp.(a)                                                3,084    27,324  
Motorola, Inc.                                                47,725   961,659  
Qualcomm, Inc.                                                32,423 1,299,190  
                                                                   ---------
                                                                   2,288,173
                                                                   ---------
SEMICONDUCTORS--1.5%                                                            
Agere System, Inc.(a)                                          3,272    48,098  
AMIS Holdings, Inc.(a)                                         1,693    16,930  
Formfactor, Inc.(a)                                              800    35,704  
Freescale Semiconductor, Inc., Class A(a)                      2,601    75,429  
Freescale Semiconductor, Inc., Class B(a)                      5,216   153,350  
Intersil Corp., Class A                                        2,738    63,659  
Microsemi Corp.(a)                                             1,350    32,913  
ON Semiconductor Corp.(a)                                      6,260    36,809  
PMC-Sierra, Inc.(a)                                            3,989    37,497  
Semtech Corp.(a)                                               1,396    20,172  
Silicon Image, Inc.(a)                                         1,574    16,968  
Silicon Laboratories, Inc.(a)                                  1,048    36,837  
Sirf Technology Holdings, Inc.(a)                                932    30,029  
Spansion, Inc., Class A(a)                                     1,850    29,489  
Zoran Corp.(a)                                                   946    23,026  
                                                                   ---------
                                                                     656,910
                                                                   ---------
SEMICONDUCTORS EQUIPMENT--14.8%                                                 
Advanced Micro Devices, Inc.(a)                                9,354   228,425  
Altera Corp.(a)                                                6,938   121,762  
Amkor Technologies, Inc.(a)                                    3,419    32,344  
Analog Devices, Inc.                                           6,978   224,273  
Applied Micro Circuits Corp.(a)                                5,708    15,583  
ASE Test Limited(a)                                            1,933    17,552  
Atmel Corp.(a)                                                 9,406    52,203  
Broadcom Corp., Class A(a)                                     9,058   272,193  
Conexant Systems, Inc.(a)                                      9,286    23,215  
Cree, Inc.(a)                                                  1,493    35,474  
Cypress Semiconductor Corp.(a)                                 2,615    38,022  
Entegris, Inc.(a)                                              2,658    25,331  
Fairchild Semiconductor International, Inc.(a)                 2,375    43,154  
Intel Corp.                                                  112,398 2,129,941  
Intergrated Device Technology, Inc.(a)                         3,891    55,174  
International Rectifier Corp.(a)                               1,382    54,009  

The accompanying notes are an integral part of these financial statements.  

N-CSRS
62nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 62nd
JDS Uniphase Corp.(a)                                        32,555    82,364   
KLA-Tencor Corp.                                              3,907   162,414   
Linear Technology Corp.                                       5,866   196,452   
LSI Logic Corp.(a)                                            7,697    68,888   
Marvell Technology Group, Ltd.(a)                             5,642   250,110   
Maxim Integrated Products, Inc.                               6,196   198,954   
Micrel, Inc.(a)                                               1,613    16,146   
Microchip Technology, Inc.                                    4,138   138,830   
Micron Technology, Inc.(a)                                   13,064   196,744   
MKS Instruments, Inc.(a)                                      1,100    22,132   
National Semiconductor Corp.                                  6,523   155,574   
OmniVision Technologies, Inc.(a)                              1,128    23,823   
Rambus, Inc.(a)                                               1,974    45,027   
RF Micro Devices, Inc.(a)                                     3,697    22,071   
STMicroelectronics NV                                        17,496   281,161   
Texas Instruments, Inc.                                      30,105   911,879   
Trident Microsystems, Inc.(a)                                 1,103    20,935   
Varian Semiconductor Equipment Associates, Inc.(a)            1,162    37,893   
Xilinx, Inc.                                                  6,637   150,328   
                                                                 ---------
                                                                 6,350,380
                                                                 ---------
SOFTWARE--2.5%                                                                  
Activision, Inc.(a)                                           5,419    61,668   
Akamai Technologies, Inc.(a)                                  2,985   108,027   
Ansys, Inc.(a)                                                  672    32,135   
Avid Technology, Inc.(a)                                        820    27,331   
Avocent Corp.(a)                                                985    25,856   
CA, Inc.                                                     11,159   229,317   
Digital Insight Corp.(a)                                        754    25,855   
Digital River, Inc.(a)                                          700    28,273   
F5 Networks, Inc.(a)                                            745    39,843   
Fair Isaac Corp.                                              1,339    48,619   
Global Payments, Inc.                                         1,545    75,010   
Hyperion Solutions Corp.(a)                                   1,144    31,574   
Keane, Inc.(a)                                                1,126    14,075   
Midway Games, Inc.(a)                                         1,765    14,279   
Navteq Corp.(a)                                               1,810    80,871   
Openwave Systems Inc.(a)                                      1,823    21,037   
Parametric Technology Corp.(a)                                2,203    28,000   
Reynolds & Reynolds Co., Class A                              1,257    38,552   
SRA International, Inc., Class A(a)                             800    21,304   
Take-Two Interactive Software, Inc.(a)                        1,479    15,766   
THQ, Inc.(a)                                                  1,168    25,229   
Verifone Holdings, Inc.(a)                                    1,341    40,874   
WebEx Communications, Inc.(a)                                   925    32,875   
Websense, Inc.(a)                                             1,000    20,540   
                                                                 ---------
                                                                 1,086,910
                                                                 ---------
SPECIAL INDUSTRY MACHINERY--2.1%                                                
Applied Materials, Inc.                                      30,216   491,916   
ASML Holding NV(a)                                            9,365   189,360   
Intermec, Inc.(a)                                             1,217    27,918   
Lam Research Corp.(a)                                         2,751   128,252   
Novellus Systems, Inc.(a)                                     2,458    60,713   
                                                                 ---------
                                                                   898,159
                                                                 ---------
TELECOMMUNICATIONS--0.7%                                                        
Atheros Communications, Inc.(a)                                 997    18,903   
Crown Castle Intl., Corp.(a)                                  4,152   143,410   
Polycom, Inc.(a)                                              1,685    36,935   
Powerwave Technologies, Inc.(a)                               2,093    19,088   
West Corp.(a)                                                 1,358    65,062   
                                                                 ---------
                                                                   283,398
                                                                 ---------
The accompanying notes are an integral part of these financial statements.  

N-CSRS
63rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 63rd
TELECOMMUNICATIONS EQUIPMENT--2.3%                                              
ADTRAN, Inc.                                               1,495      33,533    
Arris Group, Inc.(a)                                       2,065      27,093    
Corning, Inc.(a)                                          30,095     727,997    
Harris Corp.                                               2,651     110,043    
InterDigital Communications Corp.(a)                       1,093      38,157    
Ixia(a)                                                    1,294      11,646    
Tekelec(a)                                                 1,381      17,055    
UTStarcom, Inc.(a)                                         2,407      18,751    
                                                             -----------
                                                                 984,275
                                                             -----------
TELEPHONE & TELEGRAPH APPARATUS--0.9%                                           
ADC Telecommunications, Inc.(a)                            2,302      38,812    
Ciena Corp.(a)                                            11,355      54,618    
Nortel Networks Corp.(a)                                  83,775     187,655    
Tellabs, Inc.(a)                                           8,658     115,238    
                                                             -----------
                                                                 396,323
                                                             -----------
TRAVEL SERVICES--0.1%                                                           
Sabre Holdings Corp.                                       2,602      57,244    
                                                             -----------
TOTAL COMMON STOCKS (Cost $46,539,796)                            42,004,197    
                                                             -----------
                                     Principal
                                  Amount
SHORT-TERM INVESTMENTS--2.1%                                                    
The Bank of New York Cash Reserve                     $  669,945     669,945    
U.S. Treasury Bill 4.52% (1), 8/10/06 (2)                220,000     218,876    
                                                             -----------
TOTAL SHORT-TERM INVESTMENTS (Cost $888,840)                         888,821    
TOTAL INVESTMENTS (Cost $47,428,636)--100.1%                      42,893,018    
                                                             -----------
LIABILITIES IN EXCESS OF OTHER ASSETS--(0.1%)                        (30,381)   
                                                             -----------
NET ASSETS--100.0%                                               $42,862,637    
                                                             ===========
(a)Represents non-income producing securities.                                  
(1)Yield to maturity.                                                           
(2)See note 6 regarding future contracts.                                       

The accompanying notes are an integral part of these financial statements.  

N-CSRS
64th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 64th
E*Trade Technology Index Fund                                                   
Representation of Holdings                                                      
June 30, 2006 (Unaudited)                                                       

                                                                [Download Table]

                                                                    % of Total 
Industry                                               Market Value Net Assets 
--------                                               ------------ ---------- 
                                                                               
PREPACKAGED SOFTWARE                                   $ 7,153,948        16.7%
SEMICONDUCTORS EQUIPMENT                                 6,350,380        14.8%
ELECTRONIC COMPUTERS                                     5,478,716        12.8%
COMPUTER PERIPHERAL EQUIPMENT                            3,087,168         7.2%
INTERNET SOFTWARE & SERVICES                             2,869,803         6.7%
RADIO & TV COMMUNICATIONS EQUIPMENT                      2,288,173         5.3%
DATA PROCESSING & PREPARATION                            1,854,603         4.3%
COMMERCIAL SERVICES                                      1,716,598         4.0%
COMPUTERS                                                1,128,686         2.6%
SOFTWARE                                                 1,086,910         2.5%
TELECOMMUNICATIONS EQUIPMENT                               984,275         2.3%
COMPUTER STORAGE DEVICES                                   978,206         2.3%
SPECIAL INDUSTRY MACHINERY                                 898,159         2.1%
COMPUTER RELATED SERVICES                                  880,420         2.1%
COMPUTER INTEGRATED SYSTEMS DESIGN                         669,158         1.6%
SEMICONDUCTORS                                             656,910         1.5%
COMPUTERS, PERIPHERAL & SOFTWARE                           615,462         1.4%
ELECTRONICS                                                611,794         1.4%
ELECTRONIC COMPONENTS                                      463,887         1.1%
TELEPHONE & TELEGRAPH APPARATUS                            396,323         0.9%
NETWORK EQUIPMENT                                          284,820         0.7%
TELECOMMUNICATIONS                                         283,398         0.7%
COMPUTER FACILITIES MANAGEMENT                             259,609         0.6%
ELECTRONIC PARTS & EQUIPMENT                               251,307         0.6%
PRINTED CIRCUIT BOARDS                                     163,212         0.4%
COMPUTER PROGRAMMING SERVICES                              162,772         0.4%
DISTRIBUTION/WHOLESALE                                     145,787         0.3%
COMMUNICATIONS SERVICES                                    121,216         0.3%
PROCESS CONTROL INSTRUMENTS                                105,253         0.3%
TRAVEL SERVICES                                             57,244         0.1%
SHORT TERM INVESTMENTS & OTHER ASSETS LESS LIABILITIES     858,440         2.0%
                                                       -----------       ----- 
                                                       $42,862,637       100.0%
                                                       ===========       ===== 

N-CSRS
65th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 65th
E*TRADE TECHNOLOGY INDEX FUND                                                   
STATEMENT OF ASSETS AND LIABILITIES                                             
June 30, 2006 (Unaudited)                                                       

                                                        [Enlarge/Download Table]
                                                                                             
ASSETS                                                                                       
Investments at market value (Cost: $47,428,636) (Note 2)                        $ 42,893,018 
Receivable for fund shares purchased                                                  45,623 
Due from E*TRADE Asset Management, Inc. (Note 3)                                      26,435 
Divdends and interest receivable                                                      12,879 
                                                                                ------------ 
   TOTAL ASSETS                                                                   42,977,955 
                                                                                ------------ 
LIABILITIES                                                                                  
Payable for fund shares redeemed                                                      38,023 
Accrued advisory fee (Note 3)                                                          8,815 
Accrued shareholder servicing fees (Note 3)                                            8,815 
Accrued administration fee (Note 3)                                                    5,289 
Accrued other expenses                                                                46,276 
Variation margin payable                                                               8,100 
                                                                                ------------ 
   TOTAL LIABILITIES                                                                 115,318 
                                                                                ------------ 
TOTAL NET ASSETS                                                                $ 42,862,637 
                                                                                ============ 
NET ASSETS CONSIST OF:                                                                       
Share of beneficial interest, at par                                            $     84,221 
Paid-in Capital, in excess of par                                                119,576,540 
Undistributed net investment loss                                                     (2,261)
Accumulated net realized gain (loss) on investments and futures contracts        (72,280,466)
Net unrealized appreciation (depreciation) of investments and futures contracts   (4,515,397)
                                                                                ------------ 
TOTAL NET ASSETS                                                                $ 42,862,637 
                                                                                ============ 
SHARES OUTSTANDING (UNLIMITED AUTHORIZED, PAR VALUE $0.01)                         8,422,056 
                                                                                ============ 
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE                  $       5.09 
                                                                                ============ 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
66th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 66th
E*TRADE TECHNOLOGY INDEX FUND                                                   
STATEMENT OF OPERATIONS                                                         
For the six months ended June 30, 2006 (Unaudited)                              

                                                        [Enlarge/Download Table]
                                                                                            
NET INVESTMENT INCOME:                                                                      
   Dividends (net of foreign withholding tax of $323)                           $   125,238 
   Interest                                                                          13,559 
                                                                                ----------- 
       TOTAL INVESTMENT INCOME                                                      138,797 
                                                                                ----------- 
EXPENSES (NOTE 3):                                                                          
   Advisory fee                                                                      58,774 
   Administration fee                                                                35,264 
   Shareholder servicing fees                                                        58,774 
   Transfer and dividend disbursing agent                                            73,705 
   Custodian fee                                                                     26,638 
   Legal services                                                                    12,143 
   Registration fees                                                                 14,405 
   Audit and tax services                                                             8,628 
   Trustee fees                                                                      11,636 
   Printing                                                                           2,673 
   Insurance                                                                          3,252 
   Other expenses                                                                     2,216 
                                                                                ----------- 
       TOTAL EXPENSES BEFORE WAIVER                                                 308,108 
   Waived fees and reimbursed expenses                                             (167,050)
                                                                                ----------- 
   NET EXPENSES                                                                     141,058 
                                                                                ----------- 
NET INVESTMENT LOSS                                                                  (2,261)
                                                                                ----------- 
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS                                      
   Net realized gain (loss) on:                                                             
       Sale of investments                                                       (3,478,579)
       Futures contracts                                                           (122,977)
   Net change in unrealized appreciation (depreciation) of:                                 
       Investments                                                                1,092,303 
       Futures contracts                                                             24,778 
                                                                                ----------- 
   NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTACTS  (2,484,475) 
                                                                                ----------- 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS                 $(2,486,736)
                                                                                =========== 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
67th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 67th
E*TRADE TECHNOLOGY INDEX FUND                                                   
STATEMENT OF CHANGES IN NET ASSETS                                              

                                                                [Download Table]

                                                  For the Six                    
                                                 Months Ended                    
                                                 June 30, 2006 For the Year Ended
                                                  (Unaudited)  December 31, 2005 
                                                                                 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING                                  
  FROM OPERATIONS:                                                               
Net investment income (loss)                      $    (2,261)    $    (59,088)  
Net realized gain (loss) on sale of investments                                  
  and futures contracts                            (3,601,556)     (14,381,709)  
Net change in unrealized appreciation                                            
  (depreciation) of investments and futures                                      
  contracts                                         1,117,081       14,580,422   
                                                  -----------     ------------   
NET INCREASE (DECREASE) IN NET ASSETS RESULTING                                  
  FROM OPERATIONS                                  (2,486,736)         139,625   
                                                  -----------     ------------   
DISTRIBUTIONS TO SHAREHOLDERS:                                                   
Distributions from net investment income                   --               --   
                                                  -----------     ------------   
TRANSACTIONS IN SHARES OF COMMON STOCK:                                          
Net proceeds from sale of shares                    4,536,651        8,509,490   
Value of shares issued in reinvestment of                                        
  dividends and distributions                              --               --   
Cost of shares redeemed                            (6,946,805)     (16,838,583)  
                                                  -----------     ------------   
NET INCREASE (DECREASE) IN NET ASSETS FROM                                       
  TRANSACTIONS IN SHARES OF COMMON STOCK           (2,410,154)      (8,329,093)  
                                                  -----------     ------------   
REDEMPTION FEES (Note 2)                                7,223           13,542   
                                                  -----------     ------------   
NET INCREASE (DECREASE) IN NET ASSETS              (4,889,667)      (8,175,926)  
                                                  -----------     ------------   
NET ASSETS:                                                                      
BEGINNING OF PERIOD                                47,752,304       55,928,230   
                                                  -----------     ------------   
END OF PERIOD                                     $42,862,637     $ 47,752,304   
                                                  ===========     ============   
SHARE TRANSACTIONS:                                                              
Number of shares sold                                 830,375        1,674,803   
Number of shares reinvested                                --               --   
Number of shares redeemed                          (1,271,688)      (3,336,519)  
                                                  -----------     ------------   
NET INCREASE (DECREASE) IN SHARES OUTSTANDING        (441,313)      (1,661,716)  
                                                  ===========     ============   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
68th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 68th
E*TRADE TECHNOLOGY INDEX FUND                                                   
FINANCIAL HIGHLIGHTS                                                            

For a Share Outstanding Throughout each Period                                  

                                                        [Enlarge/Download Table]

                                               Six Months Ended                                                           
                                                June 30, 2006         Year Ended         Year Ended        Year Ended     
                                                 (Unaudited)       December 31, 2005  December 31, 2004 December 31, 2003 
                                                                                                                          
NET ASSET VALUE, BEGINNING OF PERIOD               $  5.39              $  5.31            $  5.23           $  3.41      
                                                   -------              -------            -------           -------      
INCOME (LOSS) FROM INVESTMENT                                                                                             
OPERATIONS:                                                                                                               
   Net investment income (loss)                         --/(2)/           (0.01)/(2)/         0.03/(2)/        (0.02)/(2)/
   Net realized and unrealized gain (loss) on                                                                             
     investments                                     (0.30)                0.09               0.08              1.84      
                                                   -------              -------            -------           -------      
TOTAL FROM INVESTMENT OPERATIONS                     (0.30)                0.08               0.11              1.82      
                                                   -------              -------            -------           -------      
DISTRIBUTIONS TO SHAREHOLDERS                                                                                             
   Distributions from net investment income             --                   --              (0.03)               --      
                                                   -------              -------            -------           -------      
   TOTAL DISTRIBUTIONS TO                                                                                                 
     SHAREHOLDERS                                       --                   --              (0.03)               --      
                                                   -------              -------            -------           -------      
REDEMPTION FEES ADDED TO PAID-IN                                                                                          
CAPITAL/(3)/                                            --                   --                 --                --      
                                                   -------              -------            -------           -------      
NET ASSET VALUE, END OF PERIOD                     $  5.09              $  5.39            $  5.31           $  5.23      
                                                   =======              =======            =======           =======      
   TOTAL RETURN/(1)/                                 (5.57)%               1.51%              2.15%            53.37%     
   RATIOS/SUPPLEMENTAL DATA:                                                                                              
   Net assets, end of period (000's omitted)       $42,863              $47,752            $55,928           $52,087      
   Ratio of expenses to average net assets            0.60%(4)(6)          0.60%(4)           0.68%(4)          0.85%(4)  
   Ratio of net investment income (loss) to                                                                               
     average net assets                              (0.01)%(5)(6)        (0.12)%(5)          0.64%(5)         (0.50)%(5) 
   Portfolio turnover rate                            5.42%                3.55%             10.04%            11.22%     
                                                                [Download Table]


                                                  Year Ended        Year Ended    
                                               December 31, 2002 December 31, 2001
                                                                                  
NET ASSET VALUE, BEGINNING OF PERIOD                $  5.77           $  8.21     
                                                    -------           -------     
INCOME (LOSS) FROM INVESTMENT                                                     
OPERATIONS:                                                                       
   Net investment income (loss)                       (0.03)            (0.04)    
   Net realized and unrealized gain (loss) on                                     
     investments                                      (2.33)            (2.36)    
                                                    -------           -------     
TOTAL FROM INVESTMENT OPERATIONS                      (2.36)            (2.40)    
                                                    -------           -------     
DISTRIBUTIONS TO SHAREHOLDERS                                                     
   Distributions from net investment income              --             (0.04)    
                                                    -------           -------     
   TOTAL DISTRIBUTIONS TO                                                         
     SHAREHOLDERS                                        --             (0.04)    
                                                    -------           -------     
REDEMPTION FEES ADDED TO PAID-IN                                                  
CAPITAL/(3)/                                             --                --     
                                                    -------           -------     
NET ASSET VALUE, END OF PERIOD                      $  3.41           $  5.77     
                                                    =======           =======     
   TOTAL RETURN/(1)/                                 (40.90)%          (29.03)%   
   RATIOS/SUPPLEMENTAL DATA:                                                      
   Net assets, end of period (000's omitted)        $34,669           $62,505     
   Ratio of expenses to average net assets             0.85%(4)          0.85%(4) 
   Ratio of net investment income (loss) to                                       
     average net assets                               (0.61)%(5)        (0.66)%(5)
   Portfolio turnover rate                             6.02%            48.65%    

--------                                                                        
(1) The total return is calculated by assuming a purchase of shares on the      
 first day and a sale on the last day of each period reported and includes
reinvestments of dividends and distributions.                           

(2) Calculated based on average shares outstanding.                             

(3) Rounds to less than $0.01.                                                  

(4) The ratio of expenses to average net assets prior to waived fees and        
 reimbursed expenses for the six months ended June 30, 2006 and year ended
  December 31, 2005, December 31, 2004, December 31, 2003, December 31, 2002
and December 31, 2001 were 1.31%, 1.32%, 1.25%, 1.64%, 1.88% and 1.18%, 
respectively.                                                           

(5) The ratio of net investment gain (loss) to average net assets prior to      
  waived fees and reimbursed expenses for the six months ended June 30, 2006
and year ended December 31, 2005, December 31, 2004, December 31, 2003, 
December 31, 2002 and December 31, 2001 were (0.72)%, (0.84)%, 0.07%,   
(1.28)%, (1.64)% and (0.99)%, respectively.                             

(6) Annualized.                                                                 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
69th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 69th
E*TRADE TECHNOLOGY INDEX FUND                                                   
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited)                                                       

1. ORGANIZATION                                                                 

E*TRADE Technology Index Fund ("Fund") is a non-diversified series of E*TRADE   
Funds ("Trust"), an open-end management investment company registered under the 
Investment Company Act of 1940, as amended. The Trust is organized as a         
Delaware statutory trust and was formed on November 4, 1998. As of June 30,     
2006, the Trust consisted of four operating series: the E*TRADE International   
Index Fund, the E*TRADE Russell 2000 Index Fund, the E*TRADE S&P 500 Index      
Fund, and the E*TRADE Technology Index Fund. These financial statements are for 
the E*TRADE Technology Index Fund.                                              

The Fund's investment objective is to provide investment results that attempt   
to match as closely as possible, before fees and expenses, the performance of   
the Goldman Sachs Technology ("GSTI(TM) Composite") Index*. The Fund seeks to   
achieve its objective by investing substantially all of its assets in the same  
stocks and in substantially the same percentages as the securities that         
comprise the GSTI(TM) Composite.                                                

* "GSTI(TM)" is a trademark of Goldman, Sachs & Co. and has been licensed for   
use by E*TRADE Asset Management, Inc. ("ETAM"), the Fund's investment adviser,  
for use in connection with the Fund. The Fund is not sponsored, endorsed, sold, 
or promoted by Goldman, Sachs & Co. or any of its affiliates and neither        
Goldman, Sachs & Co. nor any of its affiliates makes any representation         
regarding the advisability of investing in the Fund.                            

2. SIGNIFICANT ACCOUNTING POLICIES                                              

The following is a summary of significant accounting policies that are followed 
by the Fund in the preparation of its financial statements and which are in     
conformity with accounting principles generally accepted in the United States   
of America ("U.S. GAAP") for investment companies. The preparation of financial 
statements in conformity with U.S. GAAP requires management to make estimates   
and assumptions that affect the reported amounts of assets and liabilities and  
disclosures of contingent assets and liabilities at the date of the financial   
statements and the reported amounts of increases and decreases in net assets    
from operations during the reporting period. Actual results could differ from   
those estimates.                                                                

SECURITY VALUATION                                                              

Investments of the Fund are valued at the last reported sale price on the       
securities or commodities exchange on which such investments are primarily      
traded. If there is no sale that day, then the value of the investments will be 
based on the most recent bid prices. Securities that are traded primarily on    
the national securities market are valued using the Nasdaq Official Closing     
Price ("NOCP"), but if the NOCP is not available, such securities are valued at 
the most recent bid prices. Securities that are traded primarily on foreign     
securities or commodities exchanges generally are valued at the preceding       
closing values of such securities on their respective exchanges. If market      
quotations or official closing prices are not readily available or are          
determined not to accurately reflect the current value of the securities, such  
securities are valued at fair value as determined in good faith under           
procedures established by the Board of Trustees of the Fund ("Board"). In this  
regard, the Board has approved the use of certain independent pricing services  
in determining the fair value of foreign securities primarily traded in foreign 
markets when significant events occur subsequent to the close of such foreign   
markets and prior to the time the Fund's NAV is determined. The fair value of   
such foreign securities are determined by the Fund (with the assistance of      
independent pricing services) by using correlations between the movement of     
prices of the foreign securities and indices of domestic securities and other   
appropriate indicators. Unlike the closing price of a security on a foreign     
exchange, fair value determinations employ elements of judgment and the fair    
value assigned to a security may not represent the actual value that the Fund   
could obtain if it were to sell a security at the time of the close of the New  
York Stock Exchange. Investments in short-term debt securities that mature in   
60 days or less are valued at amortized cost, which approximates fair market    
value, based on fair valuation procedures approved by the Board.                

N-CSRS
70th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 70th
E*TRADE TECHNOLOGY INDEX FUND                                                   
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

SECURITY TRANSACTIONS AND INCOME RECOGNITION                                    

Security transactions are accounted for on the date the securities are          
purchased or sold (trade date). Revenue is recognized as follows: dividend      
income is recognized on the ex-dividend date and interest income is recorded on 
an accrual basis. Realized gains and losses on sales of securities are          
calculated on the identified cost basis. Expenses attributable to the Trust are 
allocated to the Fund based on the Fund's percentage of net assets of within    
the Trust.                                                                      

DISTRIBUTIONS TO SHAREHOLDERS                                                   

Dividends to shareholders from net investment income of the Fund are declared   
and distributed quarterly. Distributions to shareholders from any net realized  
capital gains are declared and distributed annually, generally in December. All 
dividends and distributions will be automatically reinvested in additional      
shares of the Fund unless the shareholder elects otherwise. Such dividends and  
distributions to shareholders are recorded on the ex-dividend date.             

Income and capital gain distributions are determined in accordance with income  
tax regulations, which may differ from U.S. GAAP.                               

FEDERAL INCOME TAXES                                                            

The Fund is treated as a separate entity from every other series of the Trust   
for federal income tax purposes. It is the Fund's intention to continue to      
qualify annually as a regulated investment company under the provisions of the  
Internal Revenue Code applicable to regulated investment companies and to       
distribute annually all of its taxable net income and capital gains, if any, to 
its shareholders. Therefore, no federal income tax provision is required.       

As of December 31, 2005, for federal income tax purposes, the Fund had a total  
capital loss carryforward of $58,044,125, of which will expire as detailed      
below:                                                                          

  2008                                     $  25,106,304
  2009                                         4,029,927
  2010                                         4,341,208
  2011                                         9,887,414
  2012                                         2,833,369
  2013 and thereafter                         11,845,903
                                           -------------
     Total capital loss carryforward       $  58,044,125
                                           =============

The Fund will not distribute any realized capital gains until the capital loss  
carryforward has been fully utilized or until it expires. For the year ended    
December 31, 2005, the Fund has elected to defer $3,485,863 of capital losses   
attributable to post-October losses. Approximately $25,106,304 of capital loss  
carryforward in the Fund, which was acquired in the reorganization of the       
E*TRADE E-Commerce Index Fund into the Fund on December 7, 2001, and is         
available to offset future capital gains of the Fund, will expire in 2008. The  
losses absorbed by the Fund from the reorganization of the E*TRADE E-Commerce   
Index Fund into the Fund are limited under IRS regulations.                     

At June 30, 2006, the cost of investments for federal income tax purposes was   
$54,582,115. Net unrealized depreciation aggregated $11,689,096, of which       
$7,502,038 represented gross unrealized appreciation on securities and          
$19,191,134 represented gross unrealized depreciation on securities. The        
difference between book basis and tax basis is attributable primarily to tax    
deferral of losses on wash sales.                                               

N-CSRS
71st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 71st
E*TRADE TECHNOLOGY INDEX FUND                                                   
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

REDEMPTION FEES                                                                 

Redemption of shares held in the Fund for less than 120 days are subject to a   
fee of 1%, calculated as a percentage of redemption proceeds. The fee, which is 
retained by the Fund, is accounted for as an addition to paid-in capital. Total 
redemption fee proceeds for the six months ended June 30, 2006 and the year     
ended December 31, 2005 were $7,223 and $13,542, respectively, and are set      
forth in the Statement of Changes in Net Assets.                                

RECLASSIFICATION OF CAPITAL ACCOUNTS                                            

In order to present undistributed net investment income and accumulated net     
realized loss on the Statement of Assets and Liabilities that more closely      
represent their tax character, certain adjustments have been made to            
undistributed net investment income and accumulated net realized loss on        
investments and futures contracts. For the year ended December 31, 2005, the    
adjustments were to increase undistributed net investment income by $59,088,    
decrease accumulated net realized loss on investments and future contracts by   
$244 and decrease paid in capital in excess of par by $59,332. These            
adjustments are primarily due to the differences between book and tax treatment 
of investments and net investment loss.                                         

3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES                            

E*TRADE Asset Management, Inc. ("ETAM"), a wholly owned subsidiary of E*TRADE   
FINANCIAL Corporation ("E*TRADE FINANCIAL"), serves as the investment adviser   
for the Fund pursuant to an Investment Advisory Agreement between ETAM and the  
Trust, on behalf of the Fund. For its service as investment adviser, ETAM is    
currently paid by the Fund at an annual rate of 0.25% of the Fund's average     
daily net assets.                                                               

World Asset Management ("World Asset") serves as the Fund's investment          
sub-adviser. World Asset is a division of Munder Capital Management. For its    
services, World Asset is paid by ETAM, not the Fund, and a fee is calculated as 
follows:                                                                        

                                                                [Download Table]

Name of Fund                  Sub-Advisory Fee                                    
------------                  ----------------------------------------------------
                                                                                  
E*TRADE Technology Index Fund 0.12% of average daily net assets up to $130 million
                              0.06% of average daily net asset between $130       
                              million and $200 million                            
                              0.03% of average daily net assets over $200 million 

ETAM also provides certain administrative services to the Fund, pursuant to an  
Administrative Services Agreement with the Trust, on behalf of the Fund. For    
its services, ETAM receives an administrative services fee equal to an annual   
rate of 0.15% of the Fund's average daily net assets.                           

Since September 30, 2004, ETAM assesses an account maintenance fee of $2.50 per 
quarter to offset shareholder servicing costs if an account balance in the Fund 
falls below $5,000 (for any reason, including a decline in the value of the     
Fund's shares). The account maintenance fee is determined and paid at the end   
of the calendar quarter. The fee is not assessed in certain circumstances, as   
described in the Fund's Prospectus, including waiver of the fee if total        
E*TRADE Funds assets held by a shareholder are $10,000 or more. The fee will    
not be applied to: (1) assets held in any retirement plan account; (2) assets   
held in any Coverdell education savings account; or (3) shareholders investing  
in the Fund through means of the Automatic Investment Plan privilege.           

N-CSRS
72nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 72nd
E*TRADE TECHNOLOGY INDEX FUND                                                   
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

ETAM and E*TRADE Securities LLC ("E*TRADE Securities"), the Trust's principal   
underwriter and a wholly owned subsidiary of E*TRADE FINANCIAL, both provide    
shareholder servicing to the Fund under a Shareholder Servicing Agreement. For  
its services, ETAM receives a non-Rule 12b-1 shareholder servicing fee equal to 
an annual rate of 0.25% of the Fund's average daily net assets. In addition,    
ETAM is allowed to use the shareholder servicing fees it receives under the     
Shareholder Servicing Agreement to compensate its affiliates, including E*TRADE 
Securities, for services it provides to the Fund.                               

The amount "Due from E*TRADE Asset Management, Inc." listed on the Fund's       
Statement of Assets and Liabilities, reflects a contractual agreement effective 
April 29. 2004, between ETAM and the Fund ("Expense Limitation Agreement") in   
which ETAM has agreed to waive or limit its fees or to assume other expenses    
through at least April 30, 2007. The Expense Limitation Agreement may continue  
from year to year thereafter. Effective April 29, 2004, ETAM has agreed to      
waive or limit ETAM's fees and assume other expenses so that the total          
operating expenses of the Fund (other than interest, taxes, brokerage           
commissions, other expenditures which are capitalized in accordance with U.S.   
GAAP and other extraordinary expenses not incurred in the ordinary course of    
the Fund's business) on an annualized basis are limited to 0.60% of the Fund's  
average daily net assets.                                                       

The Fund may at a later date reimburse ETAM the fees waived or limited and any  
other expenses assumed and paid by ETAM provided that, among other things, the  
Fund has reached a sufficient size to permit such reimbursement to be made      
without causing the total annual expense ratio of the Fund to exceed the        
current percentage limit stated above. Consequently, no reimbursement by the    
Fund will be made unless: (i) the Fund's total annual expense ratio is less     
than the current percentage stated above and (ii) the payment of such           
reimbursement has been approved in advance by the Trust's Board on a quarterly  
basis. The total amount of reimbursement to which ETAM may be entitled will     
equal, at any time, the sum of (i) all fees previously waived or reduced by     
ETAM and (ii) all other payments previously remitted by ETAM to the Fund in     
accordance with the Expense Limitation Agreement during any of the previous     
three fiscal years, less any reimbursement that the Fund has previously paid to 
ETAM with respect to (a) such fees previously waived or reduced and (b) such    
other payments previously remitted by ETAM to the Fund during any of the        
previous three fiscal years. Approximately $986,626 was eligible for            
reimbursement as of December 31, 2005.                                          

4. AGREEMENTS AND OTHER TRANSACTIONS WITH NON-AFFILIATES                        

PFPC Inc. serves as the transfer agent and dividend disbursing agent for the    
Fund. The Bank of New York provides fund accounting, custodial, and certain     
fund services for the Fund. E*TRADE Securities serves as the principal          
underwriter for the Fund at no cost to the Fund, but receives compensation from 
ETAM that may be equal to the maximum shareholder servicing fee received by     
ETAM from the Fund.                                                             

5. PORTFOLIO SECURITIES LOANED                                                  

The Fund may participate in securities lending, in which securities are lent to 
certain securities dealers in exchange for cash collateral equal to 102% and    
105% of the initial market value of the domestic securities and non-US          
securities lent, respectively. The amount of collateral is adjusted daily for   
changes in the market value of securities lent, but at no subsequent period     
would the cash collateral equal less than 100% of the market value of           
securities lent. The Fund retains a beneficial interest in the collateral held. 
ETAM monitors the creditworthiness of all parties to which securities are lent. 
The Fund charges the corresponding party interest on the market value of        
securities lent and receives interest on the investment of cash collateral.     

The Fund did not participate in securities lending during the six months ended  
June 30,2006.                                                                   

N-CSRS
73rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 73rd
E*TRADE TECHNOLOGY INDEX FUND                                                   
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

6. FUTURES CONTRACTS                                                            

The Fund may purchase or sell futures contracts to gain exposure to market      
changes. The purchase of futures contracts may be more efficient or cost        
effective than actually buying the securities only if there is an active market 
for such contracts. A futures contract is an agreement between two parties to   
buy and sell a security at a set price on a future date and is exchange traded. 
Upon entering into a futures contract, the Fund is required to pledge to the    
broker an amount of cash, U.S. Government securities or other high-quality debt 
securities equal to the minimum "initial margin" requirements of the exchange.  
Pursuant to a contract entered into with a futures commission merchant, the     
Fund agrees to receive from or pay to the broker an amount of cash equal to the 
daily fluctuation in the value of the contract. Such receipts or payments are   
known as "variation margin" and are recorded by the Fund as unrealized gains or 
losses. When the contract is closed, the Fund records a gain or loss equal to   
the difference between the value of the contract at the time it was opened and  
the value at the time it was closed. Pursuant to regulations and/or published   
positions of the Securities and Exchange Commission, the Fund may be required   
to segregate cash, U.S. Government obligations or other liquid securities in    
connection with futures transactions in an amount generally equal to the entire 
futures contract amount. The risks of entering into futures contracts include   
the possibility that there may be an illiquid market and that a change in the   
value of the contracts may not correlate with changes in the value of the       
underlying securities.                                                          

The following futures contracts were outstanding as of June 30, 2006:           

                                                                [Download Table]

                                           Notional   Net Unrealized
Number of                     Expiration   Contract    Appreciation 
Contracts   Futures Index        Date       Value     (Depreciation)
--------- ------------------  ----------  ----------  --------------
                                                                    
    6     Nasdaq 100 Futures   09/15/06   $  954,900    $  20,221   

The Fund has pledged to brokers a U.S. Treasury Bill for initial margin         
requirements with a value of $218,876.                                          

7. REPURCHASE AGREEMENTS                                                        

The Fund may invest in repurchase agreements. Repurchase agreements are         
transactions involving purchases of securities under agreements to resell such  
securities at a specified price and time, and are treated as collateralized     
financing transactions and recorded at their contracted resale amounts. These   
repurchase agreements, if any, are detailed in the Fund's Schedule of           
Investments. The Fund's investments in repurchase agreements must be fully      
collateralized based on values that are marked to market daily. The Fund's      
custodian has custody of, and holds in a segregated account, securities         
acquired as collateral by the Fund under a repurchase agreement. ETAM monitors, 
on an ongoing basis, the value of the collateral to assure that it always       
equals or exceeds the repurchase price.                                         

The Fund did not invest in any repurchase agreements during the six months      
ended June 30, 2006.                                                            

8. SHORT SALES OF SECURITIES                                                    

The Fund may enter into short sale transactions. A short sale is a transaction  
in which the Fund sells securities it does not own (but has borrowed) in        
anticipation of a decline in the market price of the securities. To complete a  
short sale, the Fund may arrange through a broker to borrow the securities to   
be delivered to the buyer. The proceeds received by the Fund for the short sale 
are retained by the broker until the Fund replaces the borrowed securities. In  
borrowing the securities to be delivered to the buyer,                          

N-CSRS
74th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 74th
E*TRADE TECHNOLOGY INDEX FUND                                                   
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

the Fund becomes obligated to replace the securities borrowed at their market   
price at the time of replacement, whatever that price may be.                   

The Fund did not enter into any short sale transactions during the six months   
ended June 30, 2006.                                                            

9. INVESTMENT PORTFOLIO TRANSACTIONS                                            

Purchases and sales of investments, exclusive of short-term securities,         
aggregated $2,488,787 and $4,251,352 respectively, for the six months ended     
June 30, 2006.                                                                  

10.PROPOSED REORGANIZATION                                                      

As part of E*TRADE Financial Corporation's wealth management strategy, E*TRADE  
Financial Corporation ("E*TRADE") has purchased independent registered          
investment advisers that provide investment advisory services to high net worth 
clients. In pursuit of that strategy, in November 2005, E*TRADE acquired Kobren 
Insight Management Inc. ("KIM"), a registered investment adviser and the        
current investment adviser to the Kobren Insight Funds, a registered management 
investment company with two current series (i.e., Kobren Growth Fund and Delphi 
Value Fund).                                                                    

The management of E*TRADE Asset Management, Inc. ("ETAM"), the investment       
manager to the E*TRADE Funds, and KIM have worked closely together to develop a 
strategy of integrating the Kobren Insight Funds and the E*TRADE Funds with a   
goal of streamlining and improving the management and operations of the Kobren  
Insight Funds and the E*TRADE Funds while providing higher visibility and       
improved distribution to these small funds. In addition, the integration        
proposals are intended to permit the E*TRADE Funds to achieve greater economies 
of scale and facilitate the compliance functions of the funds by virtue of      
having a single investment company structure. E*TRADE believes that the         
integration proposals will be beneficial to shareholders of both the E*TRADE    
Funds and the Kobren Insight Funds, as well as to E*TRADE.                      

In summary, the integration proposals recommended by E*TRADE to the separate    
Boards of Trustees of the E*TRADE Funds and the Kobren Insight Funds and        
considered by each of those Boards at Board meetings held on June 28 and        
June 29, 2006, are as follows:                                                  

 .   Redomiciliation and Shell Reorganization of the Kobren Insight Funds. The
   Kobren Insight Funds would be redomiciled from a Massachusetts business
   trust into a Delaware statutory trust. In order to accomplish this, the
     Kobren Insight Funds would be reorganized into newly-created shell series
   of the E*TRADE Funds. The proposed Agreement and Plan of Reorganization
   and Redomiciliation ("Reorganization Agreement ") contemplates that all
 of the assets and liabilities of the current two series of the Kobren
Insight Funds would be transferred to corresponding shell series of 
 E*TRADE Funds in exchange for shares of those new shell series of the
E*TRADE Funds.                                                      

.   Investment Management. In conjunction with the integration of the Kobren
Insight Funds into the E*TRADE Funds, E*TRADE proposed that ETAM be 
    approved as the investment manager of the Kobren Insight Funds following
   their reorganization into the newly created shell series of the E*TRADE
   Funds. Further, E*TRADE proposed that KIM be approved as the investment
sub-adviser to the Kobren Growth Fund and Delphi Management Inc.    
    ("Delphi") be approved as the investment sub-adviser to the Delphi Value
   Fund. The proposed consolidation of the advisory relationship with ETAM
    is intended to help to ensure consistent oversight of all of the E*TRADE
     proprietary mutual funds' investments while maintaining the current daily
     management of the Kobren Insight Funds through sub-advisory relationships
with KIM and Delphi.                                                

 .   Board of Trustees. In addition, in order to further integrate the E*TRADE
  Funds and the Kobren Insight Funds, E*TRADE proposed that the Board of
Trustees of the E*TRADE Funds approve a                             

N-CSRS
75th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 75th
E*TRADE TECHNOLOGY INDEX FUND                                                   
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

     realignment of the Board of Trustees of the E*TRADE Funds so that (i) the
number of Board members would be reduced from six to five and (ii) a
   current member of the Kobren Insight Funds' Board would be nominated to
  serve as an independent Board member of the E*TRADE Funds. In light of
     this integration initiative, two of the current independent Board members
    of the Board of Trustees of the E*TRADE Funds have agreed to resign from
    the Board and have submitted their resignations, which will be effective
     upon shareholder approval of a new slate of Board members. In conjunction
   with these actions, the Board of Trustees of the E*TRADE Funds approved
   the submission to Fund shareholders of a new slate of nominees to serve
as members of the Board of Trustees of the E*TRADE Funds ("Board    
Nominees").                                                         

Board Approvals. At the June 28, 2006 Board of Trustees meeting for the E*TRADE 
Funds, the Board of Trustees approved (1) the Reorganization Agreement for the  
reorganization of the Kobren Insight Funds into shell series of the E*TRADE     
Funds and (2) each of the proposals concerning the realignment of Board of      
Trustees of the E*TRADE Funds. The proposals concerning the investment manager  
and sub-advisers for the Kobren Insight Funds have been deferred and will be    
considered by the Board of Trustees of the E*TRADE Funds following the election 
of the Board Nominees.                                                          

Shareholder Approvals. The proposed reorganizations of the Kobren Insight Funds 
into shell series of the E*TRADE Funds will require the approval of the         
shareholders of the Kobren Insight Funds in order to be effective. Shareholders 
of the E*TRADE Funds will NOT be solicited for approval of the proposed         
reorganizations. Shareholders of the E*TRADE Funds will be asked to approve the 
election of each of the Board Nominees. E*TRADE Funds anticipates distributing  
proxy solicitation materials to shareholders in connection with this proposal   
later this month.                                                               

E*TRADE has agreed to bear all of the fees, costs and expenses associated with  
implementing the integration proposals, including all proxy solicitation costs  
of the E*TRADE Funds and the Kobren Insight Funds, except for any brokerage     
fees and brokerage expenses associated with the proposed reorganizations of the 
Kobren Insight Funds.                                                           

N-CSRS
76th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 76th
QUARTERLY PORTFOLIO SCHEDULE                                                    

The Fund files its complete schedule of portfolio holdings with the Commission  
for the first and third quarters of each fiscal year on Form N-Q. This          
information is available, without charge and upon request, by visiting the      
E*TRADE Funds website at www.etradefunds.etrade.com (click on "Quarterly        
Holdings") or by accessing the Funds' Form N-Q on the Commission's website at   
www.sec.gov. The Funds' Form N-Q may also be reviewed and copied at the         
Commission's Public Reference Room in Washington, DC; information on the        
operation of the Public Reference Room may be obtained by                       
calling1-(800)-SEC-0330.                                                        

PROXY VOTING POLICIES AND PROCEDURES                                            

A description of the Funds' proxy voting policies and procedures is available,  
without charge and upon request, by calling E*TRADE Funds at 1-800-ETRADE-1.    
This information is also included in the Funds' Statement of Additional         
Information, which is available by visiting the E*TRADE Funds website at        
www.etradefunds.etrade.com (click on "Prospectus" and then "Statement of        
Additional Information") and by accessing the Securities and Exchange           
Commission's ("Commission") website at www.sec.gov.                             

Information regarding how the Funds voted proxies for portfolio securities, if  
applicable, during the most recent 12-month period ended June 30, is also       
available, without charge and upon request, by (i) calling E*TRADE Funds at     
1-800-ETRADE-1; (ii) by visiting the E*TRADE Funds website at                   
www.etradefunds.etrade.com (click on "Proxy Voting Results"); or                
(iii) accessing the Funds' Form N-PX on the Commission's website at www.sec.gov.

CODE OF ETHICS                                                                  

A copy of the code of ethics that applies to the Funds' principal executive     
officer, principal financial officer, principal accounting officer or           
controller, or persons performing similar functions is available free of        
charge, upon request by calling 1-800-ETRADE-1.                                 

N-CSRS
77th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 77th
SEMI-ANNUAL LETTER TO SHAREHOLDERS                                              

Dear Shareholder:                                                               

I am pleased to provide you with the Semi-Annual Report of the E*TRADE Index    
Funds (the "Funds") for the period ended June 30, 2006.                         

As always, I hope you will find the report valuable and informative.            

The Funds have continued to provide investors with an easy, affordable way to   
keep pace with the market. The Funds also remain the lowest-cost stock index    
funds in the industry/1/:                                                       

                                                        [Enlarge/Download Table]

                      EXPENSE  CATEGORY                                                   
      FUND NAME       RATIO/1/ AVERAGE/2/                 GIVES INVESTORS                 
      ---------       -------  ---------  ------------------------------------------------
                                                                                          
E*TRADE S&P 500                           A simple way to invest in a diversified group of
Index Fund                                large-capitalization U.S. stocks while keeping  
                       0.09%     0.39%    pace with the market                            
E*TRADE Russell 2000                      An affordable way to invest in small-           
Index Fund                                capitalization U.S. stocks and create a solid   
                       0.22%     0.79%    diversified portfolio                           
E*TRADE International                     An easy, low-cost way to take advantage of      
Index Fund/2/          0.09%     0.76%    strong performance of international stocks      
E*TRADE Technology                        An affordable, risk-managed way to invest in    
Index Fund/3/          0.60%      N/A     the technology sector                           

For the past five years, the cumulative return for international stocks as      
represented by the MSCI EAFE Index has been nearly three times the return for   
U.S. equities as represented by the S&P 500/4/--one reason that U.S. investors  
are beginning to pay more attention to the benefits of investing                
internationally.                                                                

Against this background, the E*TRADE International Index Fund delivered         
investors an annualized total return of 9.48% for the five years ended June 30, 
2006. The Fund delivered a 26.75% return for the past twelve months and an      
annualized return of 4.35% since inception (10/22/1999) for the period ended    
June 30, 2006.                                                                  

Data quoted represents past performance. Past performance is not an indication  
of future results and mutual fund investment returns and share prices will      
fluctuate on a daily basis. Your investment may be worth more or less than your 
original cost when you redeem your shares. Current performance may be lower or  
higher than the performance data quoted. Performance as of the most recent      
month-end can be obtained at www.etrade.com.                                    

Smart Choice for Retirement Accounts                                            

Because the Funds offer investors one of the most efficient, cost-effective     
ways to invest in stocks, the Funds also represent a smart choice for           
retirement accounts. Besides no commissions, no transaction fees, and no        
account minimum, E*TRADE No-Fee, No-Minimum IRAs and Rollover IRAs allow you to 
trade in your retirement account. (To learn more or open an IRA or rollover     
IRA, visit etrade.com/newira.)                                                  

As always, thank you for your continued investment in the Funds. We look        
forward to serving your financial needs for many years to come.                 

Sincerely,                                                                      

/s/ Elizabeth Gottfried                                                         
-------------------------                                                       

Elizabeth Gottfried                                                             
President, E*TRADE Funds                                                        

PLEASE READ THE IMPORTANT DISCLOSURES ON THE BACK OF THIS LETTER  

N-CSRS
78th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 78th
SEMI-ANNUAL LETTER TO SHAREHOLDERS                                              

PLEASE READ THE IMPORTANT DISCLOSURES BELOW 

You should consider the investment objectives, risks, charges and expenses of a 
mutual fund carefully before investing. The Funds' prospectus contains this and 
other important information; read the prospectus carefully before investing.    
For a current prospectus, please visit etradefunds.etrade.com. Read the         
prospectus carefully before investing.                                          

1 Based on a data filter commissioned from Lipper by E*TRADE Asset Management,  
Inc. ("ETAM"), and according to an agreed-upon methodology for analyzing Lipper 
data in accordance with the Lipper-defined universe, ETAM determined that the   
E*TRADE S&P 500 Index Fund, the E*TRADE Russell 2000 Index Fund and the E*TRADE 
International Index Fund ("E*TRADE Index Funds") had the lowest effective       
expenses among their peer universe as of July 3, 2006. To identify the peer     
universe, Lipper compared the E*TRADE Index Funds to other Pure Index Funds in  
the same Lipper Investment Classification/Objective, while excluding            
Institutional Funds and other mutual funds requiring initial minimum            
investments of $100,000 or more and exchange-traded funds. While ETAM may       
review Lipper data, ETAM makes no representation as to the accuracy or          
timeliness of the Lipper data or that the E*TRADE Index Funds will continue to  
have the lowest effective expenses among comparable funds.                      

The E*TRADE Index Funds had the lowest effective expenses because ETAM          
contractually limited their expenses. The expenses of the E*TRADE Index Funds   
prior to the imposition of the contractual limits are, in fact, higher. ETAM    
has agreed contractually to limit the expense ratio for the E*TRADE Index Funds 
until April 30, 2007. Without the contractual limits, the expenses of the       
E*TRADE Index Funds are 0.79% for the S&P 500 Index Fund; 1.11% for the Russell 
2000 Index Fund; and 1.85% for the International Index Fund (based on the most  
recently filed shareholder reports). There is no assurance that ETAM will       
continue these expense limits beyond April 30, 2007.                            

ETAM will charge an Account Maintenance Fee of $2.50 per quarter for Fund       
balances below $5,000. The fee will be waived if your combined E*TRADE Funds    
account assets are $10,000 or more. If Fund shares must be redeemed to pay the  
Account Maintenance Fee, any applicable redemption fee will be waived.          

The fact that a fund has a low expense ratio does not mean it is a suitable     
investment and an investment in an E*TRADE Index Fund may not be suitable for   
all investors. Additional information on the comparison methodology used is     
available on request. The terms "Institutional Fund", "Investment               
Classification/Objective", and "Pure Index Fund" are Lipper defined terms.      

Lipper's data and analyses are for informational purposes only, and do not      
constitute investment advice or an offer to sell or the solicitation of an      
offer to buy any security of any entity in any jurisdiction. No guarantee is    
made that the information is accurate or complete and no warranties are made    
with regard to the results to be obtained from its use. In addition, Lipper     
will not be liable for any loss or damage resulting from information obtained   
from Lipper or any of its affiliates.                                           

2 Investing internationally involves risks such as currency fluctuations,       
political uncertainty, and differing business and accounting practices. Please  
read the prospectus carefully before investing.                                 

3 The E*TRADE Technology Index Fund is the only fund of its type currently in   
existence.                                                                      

4 Source: www.firstinvestors.com.                                               

The E*TRADE FINANCIAL family of companies provides financial services that      
include investing, trading, banking, and lending. Securities products and       
services are offered by E*TRADE Securities LLC, Member NASD/SIPC.               

(C) 2006 E*TRADE FINANCIAL Corp. All rights reserved.                           

N-CSRS
79th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 79th
Fees and Expenses / Shareholder Fee Example (unaudited)                         

As a shareholder, you can incur two types of costs: (1) transaction costs,      
including sales charges (loads) on purchase payments, reinvested dividends, or  
other distributions; redemption fees; and exchange fees and (2) ongoing costs,  
including management fees; distribution and/or service (12b-1) fees; and other  
Fund expenses. This Example is intended to help you understand your ongoing     
costs (in dollars) of investing in the Fund and to compare these costs with the 
ongoing costs of investing in other mutual funds. The Fund does not assess      
sales loads or 12b-1 fees.                                                      

The Example is based on an investment of $1,000 invested at the beginning of    
the period and held for the entire period from January 1, 2006 through June 30, 
2006.                                                                           

Actual Expenses                                                                 

The first line of the Example provides information about actual account values  
and actual expenses. You may use the information in this line, together with    
the amount you invested, to estimate the expenses that you paid over the        
period. Simply divide your account value by $1,000 (for example, an $8,600      
account value divided by $1,000 = 8.6), then multiply the result by the number  
in the first line under the heading entitled "Expenses Paid During the Period   
01/01/06 to 06/30/06" to estimate the expenses you paid on your account during  
this period. This expense estimate does not include redemption fees and account 
maintenance fees because they are not charged to all shareholders. A 1%         
redemption fee is charged to shareholders who redeem shares held for less than  
four months. The 1% redemption fee is calculated as a percentage of the total   
redemption proceeds and would be added to your estimated expenses calculated in 
the table. A quarterly Account Maintenance Fee ("AMF") is charged to            
shareholders with account balances of less than $5,000 at the end of each       
calendar quarter. The AMF is equal to $2.50 per quarter and would be added to   
your estimated expenses calculated in the table. The AMF is not applied to:     
(1) assets held in any retirement plan account, including an IRA, Roth IRA, one 
person SEP-IRA, profit sharing plan, money purchase pension plan or 401(a) or   
401(k) account; (2) assets held in any Coverdell education savings account; or  
(3) shareholders investing in the Fund through means of the Automatic           
Investment Plan privilege, described in the section of the Fund's Prospectus    
entitled "How to Buy, Sell and Exchange Shares -- Automatic Investment Plan."   
Moreover, the AMF is waived if your total E*TRADE Funds assets are $10,000 or   
more.                                                                           

Hypothetical Example for Comparison Purposes                                    

The second line of the Example provides information about hypothetical account  
values and hypothetical expenses based on the Fund's actual expense ratio and   
an assumed rate of return of 5% per year before expenses, which is not the      
Fund's actual return. The hypothetical account values and expenses may not be   
used to estimate the actual ending account balance or expenses you paid for the 
period. You may use this information to compare the ongoing costs of investing  
in the Fund and other funds. To do so, compare this 5% hypothetical example     
with the 5% hypothetical examples that appear in the shareholder reports of the 
other funds. This expense estimate does not include redemption fees and account 
maintenance fees because they are not charged to all shareholders. A 1%         
redemption fee is charged to shareholders who redeem shares held for less than  
four months. The 1% redemption fee is calculated as a percentage of the total   
redemption proceeds and would be added to your estimated expenses calculated in 
the table. A quarterly AMF is charged to shareholders with account balances of  
less than $5,000 at the end of each calendar quarter. The AMF is equal to $2.50 
per quarter and would be added to your estimated expenses calculated in the     
table. The AMF is not applied to: (1) assets held in any retirement plan        
account, including an IRA, Roth IRA, one person SEP-IRA, profit sharing plan,   
money purchase pension plan or 401(a) or 401(k) account; (2) assets held in any 
Coverdell education savings account; or (3) shareholders investing in the Fund  
through means of the Automatic Investment Plan privilege, described in the      
section of the Fund's Prospectus entitled "How to Buy, Sell and Exchange Shares 
-- Automatic Investment Plan." Moreover, the AMF is waived if your total        
E*TRADE Funds assets are $10,000 or more.                                       

Please note that the expenses shown in the table are meant to highlight your    
ongoing costs only and do not reflect any transactional costs, such as sales    
charges (loads), redemption fees, or exchange fees.                             

N-CSRS
80th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 80th
Therefore, the second line of the table is useful in comparing ongoing costs    
only, and will not help you determine the relative total costs of owning        
different funds. In addition, if these transactional costs were included, your  
costs would have been higher.                                                   

                                                        [Enlarge/Download Table]

                                                                                     Annualized   
                                             Beginning  Ending     Expenses Paid    Expense Ratio 
                                              Account  Account   During the Period  Based on the  
                                               Value    Value       01/01/06 to    Period 01/01/06
                                             01/01/06  06/30/06      06/30/06*       to 06/30/06  
                                             --------- --------- ----------------- ---------------
                                                                                                  
E*TRADE S&P 500 Index Fund                                                                        
   Actual                                    $1,000.00 $1,026.20       $0.45            0.09%     
   Hypothetical (5% return before expenses)  $1,000.00 $1,024.35       $0.45            0.09%     

* Expenses are equal to the Fund's annualized expense ratio of 0.09%,           
multiplied by the average account value over the period, multiplied by the  
number of days in the most recent fiscal half-year (to reflect the one-half 
year period).                                                               

N-CSRS
81st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 81st
E*TRADE S&P 500 Index Fund                                                      
Schedule of Investments                                                         
June 30, 2006 (Unaudited)                                                       

                                                        Shares   Value
                                                           ------ ----------
COMMON STOCKS--98.6%                                                            
AEROSPACE & DEFENSE--2.4%                                                       
Boeing Co. (The)                                             19,388 $1,588,072  
General Dynamics Corp.                                        9,788    640,722  
Goodrich Corp.                                                2,915    117,445  
Honeywell International, Inc.                                20,075    809,023  
L-3 Communications Holdings, Inc.                             2,864    216,003  
Lockheed Martin Corp.                                         8,587    616,031  
Northrop Grumman Corp.                                        8,284    530,673  
Raytheon Co.                                                 10,818    482,158  
Rockwell Collins, Inc.                                        4,069    227,335  
United Technologies Corp.                                    24,511  1,554,488  
                                                                  ----------
                                                                   6,781,950
                                                                  ----------
AIR FREIGHT & LOGISTICS--1.1%                                                   
FedEx Corp.                                                   7,398    864,530  
Ryder System, Inc.                                            1,436     83,905  
United Parcel Service, Inc., Class B                         26,300  2,165,280  
                                                                  ----------
                                                                   3,113,715
                                                                  ----------
AIRLINES--0.1%                                                                  
Southwest Airlines Co.                                       17,125    280,336  
                                                                  ----------
AUTO COMPONENTS--0.2%                                                           
Cooper Tire & Rubber Co.                                      1,448     16,131  
Goodyear Tire & Rubber Co. (The)(a)                           4,296     47,686  
Johnson Controls, Inc.                                        4,727    388,653  
                                                                  ----------
                                                                     452,470
                                                                  ----------
AUTOMOBILES--0.4%                                                               
Ford Motor Co.                                               45,487    315,225  
General Motors Corp.                                         13,713    408,510  
Harley-Davidson, Inc.                                         6,437    353,327  
                                                                  ----------
                                                                   1,077,062
                                                                  ----------
BEVERAGES--2.1%                                                                 
Anheuser-Busch Cos., Inc.                                    18,738    854,265  
Brown-Forman Corp., Class B                                   1,964    140,328  
Coca-Cola Co. (The)                                          49,696  2,137,922  
Coca-Cola Enterprises, Inc.                                   7,359    149,903  
Constellation Brands, Inc., Class A(a)                        4,822    120,550  
Molson Coors Brewing Co., Class B                             1,355     91,977  
Pepsi Bottling Group, Inc. (The)                              3,194    102,687  
PepsiCo, Inc.                                                40,069  2,405,743  
                                                                  ----------
                                                                   6,003,375
                                                                  ----------
BIOTECHNOLOGY--1.3%                                                             
Amgen, Inc.(a)                                               28,593  1,865,122  
Applera Corp.--Applied Biosystems Group                       4,487    145,154  
Biogen Idec, Inc.(a)                                          8,337    386,253  
Genzyme Corp.(a)                                              6,312    385,348  
Gilead Sciences, Inc.(a)                                     11,033    652,712  
MedImmune, Inc.(a)                                            6,034    163,521  

The accompanying notes are an integral part of these financial statements.  

N-CSRS
82nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 82nd
                                                                   ---------
                                                                   3,598,110
                                                                   ---------
BUILDING PRODUCTS--0.2%                                                         
American Standard Cos., Inc.                                   4,210   182,167  
Masco Corp.                                                    9,631   285,463  
                                                                   ---------
                                                                     467,630
                                                                   ---------
CAPITAL MARKETS--3.4%                                                           
Ameriprise Financial, Inc.                                     5,920   264,446  
Bank of New York Co., Inc. (The)                              18,713   602,559  
Bear Stearns Cos., Inc. (The)                                  2,924   409,594  
Charles Schwab Corp. (The)                                    25,018   399,788  
E*TRADE Financial Corp.(a)(b)                                 10,340   235,959  
Federated Investors, Inc., Class B                             1,989    62,654  
Franklin Resources, Inc.                                       3,719   322,846  
Goldman Sachs Group, Inc. (The)                               10,476 1,575,904  
Janus Capital Group, Inc.                                      5,073    90,807  
Legg Mason, Inc.                                               3,201   318,564  
Lehman Brothers Holdings, Inc.                                12,983   845,842  
Mellon Financial Corp.                                        10,027   345,230  
Merrill Lynch & Co., Inc.                                     22,405 1,558,492  
Morgan Stanley                                                25,971 1,641,626  
Northern Trust Corp.                                           4,494   248,518  
State Street Corp.                                             8,058   468,089  
T. Rowe Price Group, Inc.                                      6,438   243,421  
                                                                   ---------
                                                                   9,634,339
                                                                   ---------
CHEMICALS--1.5%                                                                 
Air Products and Chemicals, Inc.                               5,435   347,405  
Dow Chemical Co. (The)                                        23,319   910,141  
DuPont (E.I.) de Nemours & Co.                                22,338   929,261  
Eastman Chemical Co.                                           1,928   104,112  
Ecolab, Inc.                                                   4,415   179,161  
Hercules, Inc.(a)                                              2,666    40,683  
International Flavors & Fragrances, Inc.                       1,864    65,687  
Monsanto Co.                                                   6,560   552,286  
PPG Industries, Inc.                                           4,016   265,056  
Praxair, Inc.                                                  7,834   423,036  
Rohm and Haas Co.                                              3,524   176,623  
Sigma-Aldrich Corp.                                            1,579   114,699  
                                                                   ---------
                                                                   4,108,150
                                                                   ---------
COMMERCIAL BANKS--6.1%                                                          
AmSouth Bancorp.                                               8,391   221,942  
Bank of America Corp.                                        110,655 5,322,505  
BB&T Corp.                                                    13,336   554,644  
Comerica, Inc.(b)                                              3,845   199,902  
Commerce Bancorp, Inc./NJ                                      4,400   156,948  
Compass Bancshares, Inc.                                       3,131   174,084  
Fifth Third Bancorp                                           13,494   498,603  
First Horizon National Corp.                                   2,976   119,635  
Huntington Bancshares, Inc.                                    5,875   138,533  
KeyCorp                                                        9,800   349,664  
M&T Bank Corp.                                                 1,874   220,982  
Marshall & Ilsley Corp.                                        5,462   249,832  
National City Corp.                                           13,153   476,007  
North Fork Bancorp., Inc.                                     11,236   338,990  
PNC Financial Services Group                                   7,177   503,610  
Regions Financial Corp.                                       11,059   366,274  
SunTrust Banks, Inc.                                           8,758   667,885  
Synovus Financial Corp.                                        7,825   209,554  

The accompanying notes are an integral part of these financial statements.  

N-CSRS
83rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 83rd
U.S. Bancorp                                                  43,158  1,332,719 
Wachovia Corp.                                                39,002  2,109,228 
Wells Fargo & Co.                                             40,736  2,732,571 
Zions Bancorp.                                                 2,572    200,462 
                                                                    ----------
                                                                    17,144,574
                                                                    ----------
COMMERCIAL SERVICES & SUPPLIES--0.8%                                            
Allied Waste Industries, Inc.(a)                               5,864     66,615 
Apollo Group, Inc., Class A(a)                                 3,393    175,316 
Avery Dennison Corp.                                           2,609    151,479 
Cendant Corp.                                                 24,253    395,081 
Cintas Corp.                                                   3,254    129,379 
Equifax, Inc.                                                  3,056    104,943 
H&R Block, Inc.                                                7,963    189,997 
Monster Worldwide, Inc.(a)                                     3,112    132,758 
Pitney Bowes, Inc.                                             5,361    221,409 
R.R. Donnelley & Sons Co.                                      5,239    167,386 
Robert Half International, Inc.                                4,165    174,930 
Waste Management, Inc.                                        13,218    474,263 
                                                                    ----------
                                                                     2,383,556
                                                                    ----------
COMMUNICATIONS EQUIPMENT--2.7%                                                  
Andrew Corp.(a)                                                3,870     34,288 
Avaya, Inc.(a)                                                 9,966    113,812 
Ciena Corp.(a)                                                14,250     68,543 
Cisco Systems, Inc.(a)                                       148,024  2,890,908 
Comverse Technology, Inc.(a)                                   4,898     96,833 
Corning, Inc.(a)                                              37,767    913,584 
JDS Uniphase Corp.(a)                                         40,854    103,361 
Juniper Networks, Inc.(a)                                     13,718    219,351 
Lucent Technologies, Inc.(a)                                 108,628    262,880 
Motorola, Inc.                                                59,891  1,206,804 
QUALCOMM, Inc.                                                40,643  1,628,564 
Tellabs, Inc.(a)                                              10,865    144,613 
                                                                    ----------
                                                                     7,683,541
                                                                    ----------
COMPUTERS & PERIPHERALS--3.4%                                                   
Apple Computer, Inc.(a)                                       20,623  1,177,986 
Dell, Inc.(a)                                                 55,081  1,344,527 
EMC Corp.(a)                                                  57,336    628,976 
Gateway, Inc.(a)                                               6,407     12,173 
Hewlett-Packard Co.                                           67,641  2,142,867 
International Business Machines Corp.                         37,593  2,887,894 
Lexmark International, Inc.(a)                                 2,557    142,757 
NCR Corp.(a)                                                   4,413    161,692 
Network Appliance, Inc.(a)                                     9,072    320,242 
QLogic Corp.(a)                                                3,811     65,702 
SanDisk Corp.(a)                                               4,736    241,441 
Sun Microsystems, Inc.(a)                                     84,812    351,970 
                                                                    ----------
                                                                     9,478,227
                                                                    ----------
CONSTRUCTION & ENGINEERING--0.1%                                                
Fluor Corp.                                                    2,050    190,507 
                                                                    ----------
CONSTRUCTION MATERIALS--0.1%                                                    
Vulcan Materials Co.                                           2,371    184,938 
                                                                    ----------
CONSUMER FINANCE--1.0%                                                          
American Express Co.                                          29,917  1,592,182 
Capital One Financial Corp.                                    7,348    627,887 
SLM Corp.                                                      9,962    527,189 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
84th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 84th
                                                                    ----------
                                                                     2,747,258
                                                                    ----------
CONTAINERS & PACKAGING--0.2%                                                    
Ball Corp.                                                     2,463     91,230 
Bemis Co., Inc.                                                2,487     76,152 
Pactiv Corp.(a)                                                3,384     83,754 
Sealed Air Corp.                                               1,922    100,098 
Temple-Inland, Inc.                                            2,618    112,233 
                                                                    ----------
                                                                       463,467
                                                                    ----------
DISTRIBUTORS--0.1%                                                              
Genuine Parts Co.                                              4,187    174,430 
                                                                    ----------
DIVERSIFIED FINANCIAL SERVICES--3.6%                                            
CIT Group, Inc.                                                4,833    252,718 
Citigroup, Inc.                                              120,542  5,814,946 
JP Morgan Chase & Co.                                         84,250  3,538,500 
Moody's Corp.                                                  5,923    322,567 
Principal Financial Group, Inc.                                6,716    373,745 
                                                                    ----------
                                                                    10,302,476
                                                                    ----------
DIVERSIFIED TELECOMMUNICATION SERVICES--3.3%                                    
Alltel Corp.                                                   9,435    602,236 
AT&T, Inc.                                                    94,274  2,629,301 
BellSouth Corp.                                               43,859  1,587,696 
CenturyTel, Inc.                                               2,721    101,085 
Citizens Communications Co.                                    7,879    102,821 
Embarq Corp.(a)                                                3,614    148,138 
Qwest Communications Int                                                        
ernational, Inc.(a)                                           37,957    307,072 
Sprint Nextel Corp.                                           72,235  1,443,978 
Verizon Communications, Inc.                                  70,736  2,368,949 
                                                                    ----------
                                                                     9,291,276
                                                                    ----------
ELECTRIC UTILITIES--2.2%                                                        
Allegheny Energy Inc.(a)                                       3,960    146,797 
Ameren Corp.                                                   4,979    251,440 
American Electric Power Co., Inc.                              9,551    327,122 
CenterPoint Energy, Inc.                                       7,550     94,375 
Consolidated Edison, Inc.                                      5,959    264,818 
DTE Energy Co.                                                 4,310    175,589 
Edison International                                           7,900    308,100 
Entergy Corp.                                                  5,042    356,722 
Exelon Corp.                                                  16,209    921,157 
FirstEnergy Corp.                                              7,997    433,517 
FPL Group, Inc.                                                9,802    405,607 
PG&E Corp.                                                     8,418    330,659 
Pinnacle West Capital Corp.                                    2,342     93,469 
PPL Corp.                                                      9,226    298,000 
Progress Energy, Inc.                                          6,134    262,965 
Southern Co. (The)                                            17,993    576,676 
TECO Energy, Inc.                                              5,062     75,626 
TXU Corp.                                                     11,212    670,365 
Xcel Energy, Inc.                                              9,832    188,578 
                                                                    ----------
                                                                     6,181,582
                                                                    ----------
ELECTRICAL EQUIPMENT--0.5%                                                      
American Power Conversion Corp.                                4,059     79,110 
Cooper Industries, Ltd., Class A                               2,168    201,451 
Emerson Electric Co.                                           9,952    834,077 
Rockwell Automation, Inc.                                      4,304    309,931 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
85th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 85th
                                                                 ---------
                                                                 1,424,569
                                                                 ---------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.3%                                        
Agilent Technologies, Inc.(a)                                10,325   325,857   
Jabil Circuit, Inc.                                           4,317   110,515   
Molex, Inc.                                                   3,365   112,963   
Sanmina-SCI Corp.(a)                                         12,920    59,432   
Solectron Corp.(a)                                           22,173    75,832   
Symbol Technologies, Inc.                                     6,153    66,391   
Tektronix, Inc.                                               2,028    59,664   
                                                                 ---------
                                                                   810,654
                                                                 ---------
ENERGY EQUIPMENT & SERVICES--1.9%                                               
Baker Hughes, Inc.                                            8,262   676,245   
BJ Services Co.                                               7,795   290,442   
Halliburton Co.                                              12,516   928,812   
Nabors Industries, Ltd.(a)                                    7,464   252,209   
National-Oilwell Varco, Inc.(a)                               4,242   268,603   
Noble Corp.                                                   3,340   248,563   
Rowan Cos., Inc.                                              2,582    91,893   
Schlumberger, Ltd.                                           28,609 1,862,732   
Transocean, Inc.(a)                                           7,878   632,761   
                                                                 ---------
                                                                 5,252,260
                                                                 ---------
FOOD & STAPLES RETAILING--2.4%                                                  
Costco Wholesale Corp.                                       11,426   652,767   
CVS Corp.                                                    19,844   609,211   
Kroger Co. (The)                                             17,542   383,468   
Safeway, Inc.                                                10,914   283,764   
Supervalu, Inc.                                               4,959   152,241   
Sysco Corp.                                                  14,998   458,339   
Walgreen Co.                                                 24,493 1,098,266   
Wal-Mart Stores, Inc.                                        60,628 2,920,452   
Whole Foods Market, Inc.                                      3,396   219,517   
                                                                 ---------
                                                                 6,778,025
                                                                 ---------
FOOD PRODUCTS--1.1%                                                             
Archer-Daniels-Midland Co.                                   15,868   655,031   
Campbell Soup Co.                                             4,493   166,735   
ConAgra Foods, Inc.                                          12,593   278,431   
Dean Foods Co.(a)                                             3,200   119,008   
General Mills, Inc.                                           8,630   445,826   
H.J. Heinz Co.                                                8,123   334,830   
Hershey Foods Corp.                                           4,233   233,111   
Kellogg Co.                                                   5,938   287,577   
McCormick & Co., Inc.                                         3,132   105,079   
Sara Lee Corp.                                               18,431   295,265   
Tyson Foods, Inc., Class A                                    6,108    90,765   
Wm Wrigley Jr. Co.                                            5,386   244,309   
                                                                 ---------
                                                                 3,255,967
                                                                 ---------
GAS UTILITIES--0.1%                                                             
KeySpan Corp.                                                 4,242   171,377   
NICOR, Inc.                                                   1,043    43,285   
NiSource, Inc.                                                6,611   144,384   
Peoples Energy Corp.                                            862    30,954   
                                                                 ---------
                                                                   390,000
                                                                 ---------
HEALTH CARE EQUIPMENT & SUPPLIES--1.7%                                          

The accompanying notes are an integral part of these financial statements.  

N-CSRS
86th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 86th
Bausch & Lomb, Inc.                                           1,270    62,281   
Baxter International, Inc.                                   15,877   583,638   
Becton, Dickinson & Co.                                       5,996   366,535   
Biomet, Inc.                                                  5,966   186,676   
Boston Scientific Corp.(a)                                   29,462   496,140   
C.R. Bard, Inc.                                               2,456   179,927   
Fisher Scientific International, Inc.(a)                      2,914   212,868   
Hospira, Inc.(a)                                              3,799   163,129   
Medtronic, Inc.                                              29,267 1,373,207   
Millipore Corp.(a)                                            1,230    77,478   
PerkinElmer, Inc.                                             3,089    64,560   
St. Jude Medical, Inc.(a)                                     8,659   280,725   
Stryker Corp.                                                 7,090   298,560   
Thermo Electron Corp.(a)                                      3,969   143,837   
Waters Corp.(a)                                               2,468   109,579   
Zimmer Holdings, Inc.(a)                                      6,016   341,228   
                                                                 ---------
                                                                 4,940,368
                                                                 ---------
HEALTH CARE PROVIDERS & SERVICES--2.7%                                          
Aetna, Inc.                                                  13,748   548,958   
AmerisourceBergen Corp.                                       5,089   213,331   
Cardinal Health, Inc.                                        10,127   651,469   
Caremark Rx, Inc.                                            10,727   534,955   
CIGNA Corp.                                                   2,894   285,088   
Coventry Health Care, Inc.(a)                                 3,891   213,772   
Express Scripts, Inc.(a)                                      3,565   255,753   
HCA, Inc.                                                     9,894   426,926   
Health Management Associates, Inc., Class A                   5,838   115,067   
Humana, Inc.(a)                                               3,992   214,370   
IMS Health, Inc.                                              4,842   130,008   
Laboratory Corp. of America Holdings(a)                       2,959   184,139   
Manor Care, Inc.                                              1,867    87,600   
McKesson Corp.                                                7,374   348,643   
Medco Health Solutions, Inc.(a)                               7,314   418,946   
Patterson Cos., Inc.(a)                                       3,274   114,361   
Quest Diagnostics, Inc.                                       3,842   230,213   
Tenet Healthcare Corp.(a)                                    11,412    79,656   
UnitedHealth Group, Inc.                                     32,661 1,462,559   
Wellpoint, Inc.(a)                                           15,456 1,124,732   
                                                                 ---------
                                                                 7,640,546
                                                                 ---------
HOME BUILDERS--0.1%                                                             
D.R. Horton, Inc.                                             6,596   157,117   
                                                                 ---------
HOTELS, RESTAURANTS & LEISURE--1.5%                                             
Carnival Corp.                                               10,531   439,564   
Darden Restaurants, Inc.                                      3,106   122,376   
Harrah's Entertainment, Inc.                                  4,479   318,815   
Hilton Hotels Corp.                                           8,020   226,806   
International Game Technology                                 8,222   311,943   
Marriott International, Inc., Class A                         7,928   302,215   
McDonald's Corp.                                             30,214 1,015,190   
Starbucks Corp.(a)                                           18,610   702,714   
Starwood Hotels & Resorts Worldwide, Inc.                     5,267   317,811   
Wendy's International, Inc.                                   2,827   164,786   
Yum! Brands, Inc.                                             6,515   327,509   
                                                                 ---------
                                                                 4,249,729
                                                                 ---------
HOUSEHOLD DURABLES--0.6%                                                        
Black & Decker Corp. (The)                                    1,811   152,957   
Centex Corp.                                                  2,889   145,317   
Fortune Brands, Inc.                                          3,456   245,410   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
87th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 87th
Harman International Industries, Inc.                          1,550    132,324 
KB Home                                                        1,815     83,218 
Leggett & Platt, Inc.                                          4,420    110,412 
Lennar Corp., Class A                                          3,380    149,971 
Newell Rubbermaid                                              6,711    173,344 
Pulte Homes, Inc.                                              5,164    148,672 
Snap-On, Inc.                                                  1,377     55,658 
Stanley Works (The)                                            1,711     80,793 
Whirlpool Corp.                                                1,834    151,580 
                                                                    ----------
                                                                     1,629,656
                                                                    ----------
HOUSEHOLD PRODUCTS--2.2%                                                        
Clorox Co. (The)                                               3,658    223,028 
Colgate-Palmolive Co.                                         12,479    747,492 
Kimberly-Clark Corp.                                          11,148    687,832 
Procter & Gamble Co. (The)                                    79,568  4,423,981 
                                                                    ----------
                                                                     6,082,333
                                                                    ----------
INDUSTRIAL CONGLOMERATES--4.0%                                                  
3M Co.                                                        18,281  1,476,556 
General Electric Co.                                         252,139  8,310,501 
Textron, Inc.                                                  3,126    288,155 
Tyco International, Ltd.                                      49,383  1,358,033 
                                                                    ----------
                                                                    11,433,245
                                                                    ----------
INSURANCE--4.5%                                                                 
ACE, Ltd.                                                      7,885    398,902 
AFLAC, Inc.                                                   12,090    560,372 
Allstate Corp. (The)                                          15,406    843,170 
Ambac Financial Group, Inc.                                    2,492    202,101 
American International Group, Inc.                            62,983  3,719,147 
Aon Corp.                                                      7,726    269,019 
Chubb Corp. (The)                                             10,060    501,994 
Cincinnati Financial Corp.                                     4,112    193,305 
Genworth Financial, Inc., Class A                              8,899    310,041 
Hartford Financial Services Group, Inc. (The)                  7,349    621,725 
Lincoln National Corp.                                         6,962    392,935 
Loews Corp.                                                    9,845    349,005 
Marsh & McLennan Cos., Inc.                                   13,322    358,229 
MBIA, Inc.                                                     3,266    191,224 
MetLife, Inc.                                                 18,395    942,009 
Progressive Corp. (The)                                       18,973    487,796 
Prudential Financial, Inc.                                    11,929    926,883 
SAFECO Corp.                                                   2,911    164,035 
St. Paul Travelers Cos., Inc. (The)                           16,882    752,600 
Torchmark Corp.                                                2,446    148,521 
UnumProvident Corp.                                            7,260    131,624 
XL Capital Ltd., Class A                                       4,371    267,942 
                                                                    ----------
                                                                    12,732,579
                                                                    ----------
INTERNET & CATALOG RETAIL--0.4%                                                 
Amazon.Com, Inc.(a)                                            7,497    289,984 
eBay, Inc.(a)                                                 28,037    821,204 
                                                                    ----------
                                                                     1,111,188
                                                                    ----------
INTERNET SOFTWARE & SERVICES--1.1%                                              
Google, Inc., Class A(a)                                       4,997  2,095,392 
VeriSign, Inc.(a)                                              5,944    137,722 
Yahoo!, Inc.(a)                                               30,402  1,003,266 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
88th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 88th
                                                                   ---------
                                                                   3,236,380
                                                                   ---------
IT SERVICES--1.0%                                                               
Affiliated Computer Services, Inc., Class A(a)                 2,875   148,379  
Automatic Data Processing, Inc.                               13,975   633,765  
Computer Sciences Corp.(a)                                     4,554   220,596  
Convergys Corp.(a)                                             3,303    64,409  
Electronic Data Systems Corp.                                 12,571   302,458  
First Data Corp.                                              18,563   836,077  
Fiserv, Inc.(a)                                                4,357   197,634  
Paychex, Inc.                                                  8,103   315,855  
Sabre Holdings Corp.                                           3,218    70,796  
Unisys Corp.(a)                                                8,317    52,231  
                                                                   ---------
                                                                   2,842,200
                                                                   ---------
LEISURE EQUIPMENT & PRODUCTS--0.2%                                              
Brunswick Corp.                                                2,244    74,613  
Eastman Kodak Co.                                              6,964   165,604  
Hasbro, Inc.                                                   4,204    76,134  
Mattel, Inc.                                                   9,443   155,904  
                                                                   ---------
                                                                     472,255
                                                                   ---------
MACHINERY--1.6%                                                                 
Caterpillar, Inc.                                             16,237 1,209,331  
Cummins, Inc.                                                  1,097   134,108  
Danaher Corp.                                                  5,720   367,910  
Deere & Co.                                                    5,595   467,127  
Dover Corp.                                                    4,943   244,332  
Eaton Corp.                                                    3,642   274,607  
Illinois Tool Works, Inc.                                     10,042   476,995  
Ingersoll-Rand Co., Ltd., Class A                              7,978   341,299  
ITT Industries, Inc.                                           4,485   222,008  
Navistar International Corp.(a)                                1,457    35,857  
PACCAR, Inc.                                                   3,998   329,355  
Pall Corp.                                                     2,950    82,600  
Parker-Hannifin Corp.                                          2,828   219,453  
                                                                   ---------
                                                                   4,404,982
                                                                   ---------
MEDIA--3.4%                                                                     
CBS Corp., Class B                                            18,731   506,674  
Clear Channel Communications, Inc.                            12,215   378,054  
Comcast Corp., Class A(a)                                     51,232 1,677,335  
Dow Jones & Co., Inc.                                          1,394    48,804  
E.W. Scripps Co., Class A                                      2,009    86,668  
Gannett Co., Inc.                                              5,766   322,492  
Interpublic Group of Cos., Inc. (The)(a)                      10,577    88,318  
McGraw-Hill Cos., Inc. (The)                                   8,673   435,645  
Meredith Corp.                                                   988    48,946  
New York Times Co. (The), Class A                              3,429    84,148  
News Corp., Inc., Class A                                     57,359 1,100,146  
Omnicom Group, Inc.                                            4,223   376,227  
Time Warner, Inc.                                            103,832 1,796,293  
Tribune Co.                                                    5,303   171,976  
Univision Communications, Inc., Class A(a)                     5,408   181,168  
Viacom, Inc., Class B(a)                                      17,483   626,591  
Walt Disney Co. (The)                                         53,220 1,596,600  
                                                                   ---------
                                                                   9,526,085
                                                                   ---------
METALS & MINING--0.9%                                                           
Alcoa, Inc.                                                   21,098   682,731  
Allegheny Technologies, Inc.                                   2,042   141,388  

The accompanying notes are an integral part of these financial statements.  

N-CSRS
89th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 89th
Freeport-McMoRan Copper & Gold, Inc., Class B                  4,569    253,168 
Newmont Mining Corp.                                          10,884    576,090 
Nucor Corp.                                                    7,555    409,859 
Phelps Dodge Corp.                                             4,942    406,035 
United States Steel Corp.                                      2,571    180,279 
                                                                    ----------
                                                                     2,649,550
                                                                    ----------
MULTILINE RETAIL--1.1%                                                          
Big Lots, Inc.(a)                                              2,691     45,962 
Dillard's Inc., Class A                                        1,449     46,151 
Dollar General Corp.                                           7,479    104,556 
Family Dollar Stores, Inc.                                     3,667     89,585 
Federated Department Stores, Inc.                             13,414    490,952 
J.C. Penney Co., Inc. (Holding Co.)                            5,694    384,402 
Kohl's Corp.(a)                                                8,255    488,036 
Nordstrom, Inc.                                                5,163    188,450 
Sears Holdings Corp.(a)                                        2,357    364,958 
Target Corp.                                                  20,935  1,023,093 
                                                                    ----------
                                                                     3,226,145
                                                                    ----------
MULTI-UTILITIES & UNREGULATED POWER--1.0%                                       
AES Corp. (The)(a)                                            15,962    294,499 
CMS Energy Corp.(a)                                            5,362     69,384 
Constellation Energy Group, Inc.                               4,339    236,562 
Dominion Resources, Inc.                                       8,427    630,255 
Duke Energy Corp.                                             29,945    879,485 
Dynegy, Inc., Class A(a)                                       8,949     48,951 
Public Service Enterprise Group, Inc.                          6,097    403,134 
Sempra Energy                                                  6,282    285,705 
                                                                    ----------
                                                                     2,847,975
                                                                    ----------
OFFICE ELECTRONICS--0.1%                                                        
Xerox Corp.(a)                                                22,266    309,720 
                                                                    ----------
OIL & GAS--8.2%                                                                 
Anadarko Petroleum Corp.                                      11,118    530,217 
Apache Corp.                                                   8,010    546,683 
Ashland, Inc.                                                  1,670    111,389 
Chesapeake Energy Corp.                                        9,981    301,925 
ChevronTexaco Corp.                                           53,746  3,335,477 
ConocoPhillips                                                40,024  2,622,773 
Consol Energy, Inc.                                            4,400    205,568 
Devon Energy Corp.                                            10,668    644,454 
El Paso Corp.                                                 16,869    253,035 
EOG Resources, Inc.                                            5,882    407,858 
Exxon Mobil Corp.                                            146,707  9,000,474 
Hess Corp.                                                     5,847    309,014 
Kerr-McGee Corp.                                               5,478    379,899 
Kinder Morgan, Inc.                                            2,485    248,227 
Marathon Oil Corp.                                             8,788    732,040 
Murphy Oil Corp.                                               4,027    224,948 
Occidental Petroleum Corp.                                    10,384  1,064,879 
Sunoco, Inc.                                                   3,145    217,917 
Valero Energy Corp.                                           14,923    992,678 
Weatherford International, Ltd.(a)                             8,454    419,487 
Williams Cos., Inc. (The)                                     14,431    337,108 
XTO Energy, Inc.                                               8,829    390,860 
                                                                    ----------
                                                                    23,276,910
                                                                    ----------
PAPER & FOREST PRODUCTS--0.3%                                                   
International Paper Co.                                       11,952    386,049 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
90th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 90th
Louisiana-Pacific Corp.                                        2,504     54,838 
MeadWestvaco Corp.                                             4,392    122,669 
Weyerhaeuser Co.                                               5,970    371,632 
                                                                    ----------
                                                                       935,188
                                                                    ----------
PERSONAL PRODUCTS--0.2%                                                         
Alberto-Culver Co.                                             1,784     86,916 
Avon Products, Inc.                                           10,918    338,459 
Estee Lauder Cos., Inc. (The), Class A                         2,814    108,817 
                                                                    ----------
                                                                       534,192
                                                                    ----------
PHARMACEUTICALS--6.4%                                                           
Abbott Laboratories                                           37,007  1,613,875 
Allergan, Inc.                                                 3,701    396,969 
Barr Pharmaceuticals, Inc.(a)                                  2,498    119,130 
Bristol-Myers Squibb Co.                                      47,679  1,232,979 
Eli Lilly & Co.                                               27,403  1,514,564 
Forest Laboratories, Inc.(a)                                   7,902    305,728 
Johnson & Johnson                                             71,798  4,302,136 
King Pharmaceuticals, Inc.(a)                                  5,873     99,841 
Merck & Co., Inc.                                             52,921  1,927,912 
Mylan Laboratories, Inc.                                       5,163    103,260 
Pfizer, Inc.                                                 177,674  4,170,009 
Schering-Plough Corp.                                         35,912    683,405 
Watson Pharmaceuticals, Inc.(a)                                2,400     55,872 
Wyeth                                                         32,636  1,449,365 
                                                                    ----------
                                                                    17,975,045
                                                                    ----------
REAL ESTATE--0.9%                                                               
Apartment Investment & Management Co., Class A                 2,281     99,109 
Archstone-Smith Trust                                          5,182    263,608 
Boston Properties, Inc.                                        2,214    200,146 
Equity Office Properties Trust                                 8,877    324,099 
Equity Residential                                             7,062    315,883 
Kimco Realty Corp.                                             5,130    187,194 
Plum Creek Timber Co., Inc.                                    4,469    158,650 
Prologis                                                       5,940    309,593 
Public Storage, Inc.                                           1,953    148,233 
Simon Property Group, Inc.                                     4,445    368,668 
Vornado Realty Trust                                           2,802    273,335 
                                                                    ----------
                                                                     2,648,518
                                                                    ----------
ROAD & RAIL--0.8%                                                               
Burlington Northern Santa Fe Corp.                             8,809    698,114 
CSX Corp.                                                      5,373    378,474 
Norfolk Southern Corp.                                        10,055    535,127 
Union Pacific Corp.                                            6,521    606,192 
                                                                    ----------
                                                                     2,217,907
                                                                    ----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.7%                                  
Advanced Micro Devices, Inc.(a)                               11,738    286,642 
Altera Corp.(a)                                                8,712    152,896 
Analog Devices, Inc.                                           8,757    281,450 
Applied Materials, Inc.                                       37,918    617,305 
Broadcom Corp., Class A(a)                                    11,106    333,735 
Freescale Semiconductor, Inc.(a)                               9,838    289,237 
Intel Corp.                                                  141,050  2,672,897 
KLA-Tencor Corp.                                               4,827    200,658 
Linear Technology Corp.                                        7,362    246,553 
LSI Logic Corp.(a)                                             9,619     86,090 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
91st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 91st
Maxim Integrated Products, Inc.                                7,776   249,687  
Micron Technology, Inc.(a)                                    17,561   264,469  
National Semiconductor Corp.                                   8,186   195,236  
Novellus Systems, Inc.(a)                                      3,150    77,805  
NVIDIA Corp.(a)                                                8,547   181,966  
PMC-Sierra, Inc.(a)                                            4,975    46,765  
Teradyne, Inc.(a)                                              4,806    66,948  
Texas Instruments, Inc.                                       37,802 1,145,023  
Xilinx, Inc.                                                   8,329   188,652  
                                                                   ---------
                                                                   7,584,014
                                                                   ---------
SOFTWARE--3.0%                                                                  
Adobe Systems, Inc.(a)                                        14,517   440,736  
Autodesk, Inc.(a)                                              5,618   193,596  
BMC Software, Inc.(a)                                          5,160   123,324  
CA, Inc.                                                      11,063   227,345  
Citrix Systems, Inc.(a)                                        4,416   177,258  
Compuware Corp.(a)                                             9,150    61,305  
Electronic Arts, Inc.(a)                                       7,423   319,486  
Intuit, Inc.(a)                                                4,179   252,370  
Microsoft Corp.                                              212,728 4,956,563  
Novell, Inc.(a)                                                8,220    54,499  
Oracle Corp.(a)                                               94,428 1,368,262  
Parametric Technology Corp.(a)                                 2,623    33,338  
Symantec Corp.(a)                                             25,099   390,038  
                                                                   ---------
                                                                   8,598,120
                                                                   ---------
SPECIALTY RETAIL--2.0%                                                          
AutoNation, Inc.(a)                                            3,596    77,098  
AutoZone, Inc.(a)                                              1,304   115,013  
Bed Bath & Beyond, Inc.(a)                                     6,843   226,982  
Best Buy Co., Inc.                                             9,762   535,348  
Circuit City Stores, Inc.                                      3,596    97,883  
Gap, Inc. (The)                                               13,336   232,046  
Home Depot, Inc. (The)                                        50,178 1,795,871  
Limited Brands, Inc.                                           8,225   210,478  
Lowe's Cos., Inc.                                             18,811 1,141,263  
Office Depot, Inc.(a)                                          6,980   265,240  
OfficeMax, Inc.                                                1,673    68,175  
RadioShack Corp.                                               3,281    45,934  
Sherwin-Williams Co. (The)                                     2,619   124,350  
Staples, Inc.                                                 17,655   429,370  
Tiffany & Co.                                                  3,359   110,914  
TJX Cos., Inc. (The)                                          11,081   253,312  
                                                                   ---------
                                                                   5,729,277
                                                                   ---------
TEXTILES, APPAREL & LUXURY GOODS--0.3%                                          
Coach, Inc.(a)                                                 9,334   279,087  
Jones Apparel Group, Inc.                                      2,665    84,720  
Liz Claiborne, Inc.                                            2,483    92,020  
NIKE, Inc., Class B                                            4,577   370,736  
V.F. Corp.                                                     2,081   141,342  
                                                                   ---------
                                                                     967,905
                                                                   ---------
THRIFTS & MORTGAGE FINANCE--1.6%                                                
Countrywide Financial Corp.                                   14,733   561,033  
Federal Home Loan Mortgage Corp.                              16,755   955,203  
Federal National Mortgage Corp.                               23,469 1,128,858  
Golden West Financial Corp.                                    6,210   460,782  
MGIC Investment Corp.                                          2,094   136,110  
Sovereign Bancorp, Inc.                                        9,125   185,329  

The accompanying notes are an integral part of these financial statements.  

N-CSRS
92nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 92nd
Washington Mutual, Inc.                            23,296    1,061,832          
                                                ------------
                                                   4,489,147
                                                ------------
TOBACCO--1.5%                                                                   
Altria Group, Inc.                                 50,632    3,717,908          
Reynolds American, Inc.                             2,020      232,906          
UST, Inc.                                           3,863      174,569          
                                                ------------
                                                   4,125,383
                                                ------------
TRADING COMPANIES & DISTRIBUTORS--0.0%                                          
W.W. Grainger, Inc.                                 1,806      135,865          
                                                ------------
WIRELESS TELECOMMUNICATION SERVICES--0.0%                                       
ADC Telecommunications, Inc.(a)                     2,766       46,635          
                                                ------------
TOTAL COMMON STOCKS (Cost $253,381,190)                    278,410,603          
                                                ------------
                       Principal
                      Amount
                        ----------
SHORT-TERM INVESTMENTS--1.8%                                                    
The Bank of New York Cash Reserve              $4,305,092    4,305,092          
U.S. Treasury Bill 4.58% (1), 8/10/06 (2)         750,000      746,168          
                                                ------------
TOTAL SHORT-TERM INVESTMENTS (Cost $5,051,359)               5,051,260          
                                                ------------
TOTAL INVESTMENTS (Cost $258,432,549) --100.4%             283,461,863          
                                                ------------
LIABILITIES IN EXCESS OF OTHER ASSETS--(0.4%)               (1,083,814)         
                                                ------------
NET ASSETS--100.0%                                        $282,378,049          
                                                ============
(a)Represents non-income producing securities.                                  
(b)Affiliated issuers.                                                          
(1)Yield to maturity.                                                           
(2)See Note 6 regarding futures contracts.                                      

The accompanying notes are an integral part of these financial statements.  

N-CSRS
93rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 93rd
E*Trade S&P 500 Index Fund                                                      
Representation of Holdings                                                      
June 30, 2006 (Unaudited)                                                       

                                                          % of Total
Industry                                           Market Value Net Assets      
--------                                           ------------ ----------      
OIL & GAS                                          $23,276,910         8.2%     
PHARMACEUTICALS                                     17,975,045         6.4%     
COMMERCIAL BANKS                                    17,144,574         6.1%     
INSURANCE                                           12,732,579         4.5%     
INDUSTRIAL CONGLOMERATES                            11,433,245         4.0%     
DIVERSIFIED FINANCIAL SERVICES                      10,302,476         3.6%     
CAPITAL MARKETS                                      9,634,339         3.4%     
MEDIA                                                9,526,085         3.4%     
COMPUTERS & PERIPHERALS                              9,478,227         3.4%     
DIVERSIFIED TELECOMMUNICATION SERVICES               9,291,276         3.3%     
SOFTWARE                                             8,598,120         3.0%     
COMMUNICATIONS EQUIPMENT                             7,683,541         2.7%     
HEALTH CARE PROVIDERS & SERVICES                     7,640,546         2.7%     
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT             7,584,014         2.7%     
AEROSPACE & DEFENSE                                  6,781,950         2.4%     
FOOD & STAPLES RETAILING                             6,778,025         2.4%     
ELECTRIC UTILITIES                                   6,181,582         2.2%     
HOUSEHOLD PRODUCTS                                   6,082,333         2.2%     
BEVERAGES                                            6,003,375         2.1%     
SPECIALTY RETAIL                                     5,729,277         2.0%     
ENERGY EQUIPMENT & SERVICES                          5,252,260         1.9%     
HEALTH CARE EQUIPMENT & SUPPLIES                     4,940,368         1.7%     
THRIFTS & MORTGAGE FINANCE                           4,489,147         1.6%     
MACHINERY                                            4,404,982         1.6%     
HOTELS, RESTAURANTS & LEISURE                        4,249,729         1.5%     
TOBACCO                                              4,125,383         1.5%     
CHEMICALS                                            4,108,150         1.5%     
BIOTECHNOLOGY                                        3,598,110         1.3%     
FOOD PRODUCTS                                        3,255,967         1.1%     
INTERNET SOFTWARE & SERVICES                         3,236,380         1.1%     
MULTILINE RETAIL                                     3,226,145         1.1%     
AIR FREIGHT & LOGISTICS                              3,113,715         1.1%     
MULTI-UTILITIES & UNREGULATED POWER                  2,847,975         1.0%     
IT SERVICES                                          2,842,200         1.0%     
CONSUMER FINANCE                                     2,747,258         1.0%     
METALS & MINING                                      2,649,550         0.9%     
REAL ESTATE                                          2,648,518         0.9%     
COMMERCIAL SERVICES & SUPPLIES                       2,383,556         0.8%     
ROAD & RAIL                                          2,217,907         0.8%     
HOUSEHOLD DURABLES                                   1,629,656         0.6%     
ELECTRICAL EQUIPMENT                                 1,424,569         0.5%     
INTERNET & CATALOG RETAIL                            1,111,188         0.4%     
AUTOMOBILES                                          1,077,062         0.4%     
TEXTILES, APPAREL & LUXURY GOODS                       967,905         0.3%     
PAPER & FOREST PRODUCTS                                935,188         0.3%     

N-CSRS
94th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 94th
E*Trade S&P 500 Index Fund                                                      
Representation of Holdings                                                      
June 30, 2006 (Unaudited) (continued)                                           

                                                          % of Total
Industry                                           Market Value Net Assets      
--------                                           ------------ ----------      
ELECTRONIC EQUIPMENT & INSTRUMENTS                 $    810,654        0.3%     
PERSONAL PRODUCTS                                       534,192        0.2%     
LEISURE EQUIPMENT & PRODUCTS                            472,255        0.2%     
BUILDING PRODUCTS                                       467,630        0.2%     
CONTAINERS & PACKAGING                                  463,467        0.2%     
AUTO COMPONENTS                                         452,470        0.2%     
GAS UTILITIES                                           390,000        0.1%     
OFFICE ELECTRONICS                                      309,720        0.1%     
AIRLINES                                                280,336        0.1%     
CONSTRUCTION & ENGINEERING                              190,507        0.1%     
CONSTRUCTION MATERIALS                                  184,938        0.1%     
DISTRIBUTORS                                            174,430        0.1%     
HOME BUILDERS                                           157,117        0.1%     
TRADING COMPANIES & DISTRIBUTORS                        135,865        0.0%     
WIRELESS TELECOMMUNICATION SERVICES                      46,635        0.0%     
SHORT TERM INVESTMENTS & OTHER ASSETS LESS                                      
LIABILITIES                                         3,967,446        1.4%   
                                             ------------      -----
                                              $282,378,049      100.0%
                                             ============      =====

N-CSRS
95th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 95th
E*TRADE S&P 500 INDEX FUND                                                      
STATEMENT OF ASSETS AND LIABILITIES                                             
June 30, 2006 (Unaudited)                                                       

ASSETS                                                                          
Investments in securities at market value: (Note 2)                             
Unaffiliated issuers (Cost: $258,062,082)                 $283,026,003    
Affiliated issuers (Cost: $370,467) (Note 9)                   435,860    
Receivable for fund shares purchased                              179,757       
Dividends and interest receivable                                 324,310       
Due from E*TRADE Asset Management, Inc. (Note 3)                  156,471       
                                                      ------------
TOTAL ASSETS                                               284,122,401    
                                                      ------------
LIABILITIES                                                                     
Distribution payable                                            1,267,276       
Payable for fund shares redeemed                                  263,146       
Payable for securities purchased                                   17,618       
Variation margin payable (Note 6)                                  12,195       
Accrued shareholder servicing fees (Note 3)                        57,124       
Accrued administration fee (Note 3)                                34,275       
Accrued advisory fee (Note 3)                                      15,996       
Accrued other expenses                                             76,722       
                                                      ------------
TOTAL LIABILITIES                                            1,744,352    
                                                      ------------
TOTAL NET ASSETS                                             $282,378,049       
                                                      ============
NET ASSETS CONSIST OF:                                                          
Shares of beneficial interest, at par                        $    280,318       
Paid-in capital, in excess of par                             263,639,628       
Undistributed net investment Income                                15,827       
Accumulated net realized gain (loss) on investments and                         
future contracts                                             (6,703,565)    
Net unrealized appreciation (depreciation) of investments                       
and futures contracts                                        25,145,841     
                                                      ------------
TOTAL NET ASSETS                                             $282,378,049       
                                                      ============
SHARES OUTSTANDING (UNLIMITED AUTHORIZED, PAR VALUE $0.01)     28,031,820       
                                                      ============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER                        
SHARE                                                      $      10.07     
                                                      ============

The accompanying notes are an integral part of these financial statements.  

N-CSRS
96th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 96th
E*TRADE S&P 500 INDEX FUND                                                      
STATEMENT OF OPERATIONS                                                         
For the six months ended June 30, 2006 (Unaudited)                              

NET INVESTMENT INCOME:                                                          
Dividends                                                                 
   Unaffiliated issuers                                      $ 2,528,067
   Affiliated issuers (Note 9)                                     4,292
Interest                                                           78,525 
                                                             -----------
   TOTAL INVESTMENT INCOME                                     2,610,884
                                                             -----------
EXPENSES (NOTE 3):                                                              
Advisory fee                                                       95,993 
Administration fee                                                205,699 
Shareholder servicing fees                                        342,833 
Transfer and dividend disbursing agent                             99,011 
Legal services                                                     70,185 
Custodian fee                                                     107,573 
Trustee fees                                                       67,481 
Registration fees                                                  24,343 
Audit and tax services                                              8,640 
Insurance                                                          18,625 
Printing                                                           11,808 
Other expenses                                                     18,473 
                                                             -----------
   TOTAL EXPENSES BEFORE WAIVER                                1,070,664
Waived fees and reimbursed expenses                              (947,246)
                                                             -----------
NET EXPENSES                                                      123,418 
                                                             -----------
NET INVESTMENT INCOME                                              2,487,466    
                                                             -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND                      
FUTURES CONTRACTS                                                           
Net realized gain (loss) on:                                                    
Sale of investments                                               619,672 
Futures contracts                                                 (53,600)
Net change in unrealized appreciation (depreciation) of:                        
Investments                                                     3,574,237 
Futures contracts                                                 223,445 
                                                             -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND                      
FUTURES CONTACTS                                                 4,363,754  
                                                             -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM                            
OPERATIONS                                                     $ 6,851,220  
                                                             ===========

The accompanying notes are an integral part of these financial statements.  

N-CSRS
97th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 97th
E*TRADE S&P 500 INDEX FUND                                                      
STATEMENT OF CHANGES IN NET ASSETS                                              

               For the Six
              Months Ended
                                  June 30, 2006 For the Year Ended
                                  (Unaudited)  December 31, 2005
                                  ------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS                                           
RESULTING FROM OPERATIONS:                                                  
Net investment income                    $  2,487,466     $  3,986,300          
Net realized gain (loss) on sale of                                             
investments and futures contracts           566,072          268,650        
Net change in unrealized appreciation                                           
(depreciation) of investments and                                           
futures contracts                         3,797,682        8,307,398        
                               ------------     ------------
NET INCREASE (DECREASE) IN NET ASSETS                                           
RESULTING FROM OPERATIONS                 6,851,220       12,562,348        
                               ------------     ------------
DISTRIBUTIONS TO SHAREHOLDERS:                                                  
Distributions from net investment income   (2,481,324)      (3,968,904)         
                               ------------     ------------
TRANSACTIONS IN SHARES OF COMMON STOCK:                                         
Net proceeds from sale of shares           49,702,513      103,456,557          
Value of shares issued in reinvestment                                          
of dividends and distributions            1,134,171        3,709,155        
Cost of shares redeemed                   (33,582,560)     (54,087,846)         
                               ------------     ------------
NET INCREASE (DECREASE) IN NET ASSETS                                           
FROM TRANSACTIONS IN SHARES OF COMMON                                       
STOCK                                    17,254,124       53,077,866        
                               ------------     ------------
REDEMPTION FEES (Note 2)                       57,380           60,839          
                               ------------     ------------
NET INCREASE (DECREASE) IN NET ASSETS      21,681,400       61,732,149          
NET ASSETS:                                                               
BEGINNING OF PERIOD                       260,696,649      198,964,500          
                               ------------     ------------
END OF PERIOD*                           $282,378,049     $260,696,649          
                               ============     ============
SHARE TRANSACTIONS:                                                             
Number of shares sold                       4,876,652       10,874,714          
Number of shares reinvested                   110,220          384,595          
Number of shares redeemed                  (3,293,646)      (5,627,911)         
                               ------------     ------------
NET INCREASE (DECREASE) IN SHARES                                               
OUTSTANDING                               1,693,226        5,631,398        
                               ============     ============

* Includes undistributed net investment income of $15,827 and $9,686 for the    
periods ended June 30, 2006 and December 31, 2005, respectively.            

The accompanying notes are an integral part of these financial statements.  

N-CSRS
98th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 98th
E*TRADE S&P 500 INDEX FUND                                                      
FINANCIAL HIGHLIGHTS                                                            

For a Share Outstanding Throughout each Period                                  

                                                        [Enlarge/Download Table]

                             Six Months                                                                                        
                                Ended             Year             Year             Year            Year            Year       
                              June 30,           Ended            Ended            Ended           Ended           Ended       
                                2006          December 31,     December 31,     December 31,    December 31,    December 31,   
                             (Unaudited)          2005             2004          2003/(6)/       2002/(6)/       2001/(6)/     
                          -----------        ------------     ------------     ------------     ------------    ------------   
                                                                                                                               
NET ASSET VALUE,                                                                                                               
  BEGINNING OF PERIOD      $   9.90            $   9.61         $   8.84         $   6.99         $  9.11         $ 10.48      
                           --------            --------         --------         --------         -------         -------      
INCOME (LOSS) FROM                                                                                                             
  INVESTMENT OPERATIONS:                                                                                                       
   Net investment income       0.09/(3)/           0.17/(3)/        0.17/(3)/        0.10/(3)/       0.09            0.09      
   Net realized and                                                                                                            
     unrealized gain                                                                                                           
     (loss) on                                                                                                                 
     investments               0.17                0.29             0.76             1.85           (2.12)          (1.37)     
                           --------            --------         --------         --------         -------         -------      
   TOTAL FROM INVESTMENT                                                                                                       
     OPERATIONS                0.26                0.46             0.93             1.95           (2.03)          (1.28)     
                           --------            --------         --------         --------         -------         -------      
DISTRIBUTIONS TO                                                                                                               
  SHAREHOLDERS                                                                                                                 
   Distributions from                                                                                                          
     net investment                                                                                                            
     income                   (0.09)              (0.17)           (0.16)           (0.10)          (0.09)          (0.09)     
   Distributions from                                                                                                          
     net realized gains          --                  --               --               --              --              --(1)   
                           --------            --------         --------         --------         -------         -------      
   TOTAL DISTRIBUTIONS                                                                                                         
     TO SHAREHOLDERS          (0.09)              (0.17)           (0.16)           (0.10)          (0.09)          (0.09)     
                           --------            --------         --------         --------         -------         -------      
REDEMPTION FEES ADDED TO                                                                                                       
  PAID-IN CAPITAL/(1)/           --                  --               --               --              --              --      
                           --------            --------         --------         --------         -------         -------      
NET ASSET VALUE, END OF                                                                                                        
  PERIOD                   $  10.07            $   9.90         $   9.61         $   8.84         $  6.99         $  9.11      
                           ========            ========         ========         ========         =======         =======      
   TOTAL RETURN/(2)/           2.62%               4.79%           10.62%           28.11%         (22.29)%        (12.20)%    
   RATIOS/SUPPLEMENTAL                                                                                                         
     DATA:                                                                                                                     
   Net assets, end of                                                                                                          
     period (000's                                                                                                             
     omitted)              $282,378            $260,697         $198,965         $129,942         $83,090         $81,798      
   Ratio of expenses to                                                                                                        
     average net assets        0.09%/(4)(9)/       0.09%/(4)/       0.19%/(4)/       0.40%/(4)/      0.40%/(4)/      0.35%/(4)/
   Ratio of net                                                                                                                
     investment income                                                                                                         
     to average net                                                                                                            
     assets                    1.81%/(5)(9)/       1.77%/(5)/       1.85%/(5)/       1.39%/(5)/      1.24%/(5)/      1.02%/(5)/
   Portfolio turnover                                                                                                          
     rate                      1.04%               3.87%            2.22%            0.65%/(7)/     11.97%/(8)/      9.21%/(8)/

--------                                                                        

(1) Rounds to less than $0.01.                                                  

(2) The total return is calculated by assuming a purchase of shares on the      
 first day and a sale on the last day of each period reported and includes
reinvestments of dividends and distributions.                           

(3) Calculated based on average shares outstanding.                             

(4) The ratio of expenses to average net assets prior to waived fees and        
 reimbursed expenses for the six months ended June 30, 2006 and year ended
  December 31, 2005, December 31, 2004, December 31, 2003, December 31, 2002
and December 31, 2001 were 0.78%, 0.79%, 0.73%, 0.83%, 0.98%, and 0.54%,
respectively.                                                           

(5) The ratio of net investment income to average net assets prior to waived    
fees and reimbursed expenses for the six months ended June 30, 2006 and 
year ended December 31, 2005, December 31, 2004, December 31, 2003,     
December 31, 2002 and December 31, 2001 were 1.12%, 1.06%, 1.31%, 0.96%,
0.66% and 0.83%, respectively.                                          

(6) Per share amounts and ratios reflect income and expenses assuming inclusion 
   of the Fund's proportionate share of the income and expenses of the S&P 500
Index Master Portfolio.                                                 

(7) For the period November 10, 2003 through December 31, 2003.                 

(8) Portfolio turnover rate of S&P 500 Index Master Portfolio.                  

(9) Annualized.                                                                 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
99th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 99th
E*TRADE S&P 500 INDEX FUND                                                      
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited)                                                       

1. ORGANIZATION                                                                 

E*TRADE S&P 500 Index Fund ("Fund") is a diversified series of E*TRADE Funds    
("Trust"), an open-end management investment company registered under the       
Investment Company Act of 1940, as amended. The Trust is organized as a         
Delaware statutory trust and was formed on November 4, 1998. As of June 30,     
2006, the Trust consisted of four operating series: the E*TRADE International   
Index Fund, the E*TRADE Russell 2000 Index Fund, the E*TRADE S&P 500 Index Fund 
and the E*TRADE Technology Index Fund. These financial statements are for the   
E*TRADE S&P 500 Index Fund.                                                     

The Fund's investment objective is to provide investment results that attempt   
to match as closely as practicable, before fees and expenses, the performance   
of the Standard & Poor's 500 Composite Stock Price Index ("S&P 500 Index")*.    
The Fund seeks to achieve its objective by investing in stocks and other assets 
in an attempt to match the total return of the stocks making up the S&P 500     
Index.                                                                          

* "Standard & Poor's(TM)", "S&P(TM)," "S&P 500(TM)" and "Standard and Poor's    
500(R)" are trademarks of The McGraw-Hill Companies, Inc. and have been         
licensed for use by E*TRADE Asset Management, Inc. ("ETAM"), the Fund's         
investment adviser, for use in connection with the Fund. The Fund is not        
sponsored, endorsed, sold or promoted by S&P and S&P makes no representation    
regarding the advisability of investing in the Fund.                            

2. SIGNIFICANT ACCOUNTING POLICIES                                              

The following is a summary of significant accounting policies that are followed 
by the Fund in the preparation of its financial statements and which are in     
conformity with accounting principles generally accepted in the United States   
of America ("U.S. GAAP") for investment companies. The preparation of financial 
statements in conformity with U.S. GAAP requires management to make estimates   
and assumptions that affect the reported amounts of assets and liabilities and  
disclosures of contingent assets and liabilities at the date of the financial   
statements and the reported amounts of increases and decreases in net assets    
from operations during the reporting period. Actual results could differ from   
those estimates.                                                                

SECURITY VALUATION                                                              

Investments of the Fund are valued at the last reported sale price on the       
securities or commodities exchange on which such investments are primarily      
traded. If there is no sale that day, then the value of the investments will be 
based on the most recent bid prices. Securities that are traded primarily on    
the national securities market are valued using the Nasdaq Official Closing     
Price ("NOCP"), but if the NOCP is not available, such securities are valued at 
the most recent bid prices. Securities that are traded primarily on foreign     
securities or commodities exchanges generally are valued at the preceding       
closing values of such securities on their respective exchanges. If market      
quotations or official closing prices are not readily available or are          
determined not to accurately reflect the current value of the securities, such  
securities are valued at fair value as determined in good faith under           
procedures established by the Board of Trustees of the Fund ("Board"). In this  
regard, the Board has approved the use of certain independent pricing services  
in determining the fair value of foreign securities primarily traded in foreign 
markets when significant events occur subsequent to the close of such foreign   
markets and prior to the time the Fund's NAV is determined. The fair value of   
such foreign securities are determined by the Fund (with the assistance of      
independent pricing services) by using correlations between the movement of     
prices of the foreign securities and indices of domestic securities and other   
appropriate indicators. Unlike the closing price of a security on a foreign     
exchange, fair value determinations employ elements of judgment and the fair    
value assigned to a security may not represent the actual value that the Fund   
could obtain if it were to sell a security at the time of the close of the New  
York Stock Exchange. Investments in short-term debt securities that mature in   
60 days or less are valued at amortized cost, which approximates fair market    
value, based on fair valuation procedures approved by the Board.                

N-CSRS
100th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 100th
E*TRADE S&P 500 INDEX FUND                                                      
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

SECURITY TRANSACTIONS AND INCOME RECOGNITION                                    

Security transactions are accounted for on the date the securities are          
purchased or sold (trade date). Revenue is recognized as follows: dividend      
income is recognized on the ex-dividend date and interest income is recorded on 
an accrual basis. Realized gains and losses on sales of securities are          
calculated on the identified cost basis. Expenses attributable to the Trust are 
allocated to the Fund based on the Fund's percentage of net assets within the   
Trust.                                                                          

DISTRIBUTIONS TO SHAREHOLDERS                                                   

Dividends to shareholders from net investment income of the Fund are declared   
and distributed quarterly. Distributions to shareholders from any net realized  
capital gains are declared and distributed annually, generally in December. All 
dividends and distributions will be automatically reinvested in additional      
shares of the Fund unless the shareholder elects otherwise. Such dividends and  
distributions to shareholders are recorded on the ex-dividend date.             

Income and capital gain distributions are determined in accordance with income  
tax regulations, which may differ from U.S. GAAP.                               

FEDERAL INCOME TAXES                                                            

The Fund is treated as a separate entity from every other series of the Trust   
for federal income tax purposes. It is the Fund's intention to continue to      
qualify annually as a regulated investment company under the provisions of the  
Internal Revenue Code applicable to regulated investment companies and to       
distribute annually all of its taxable net income and capital gains, if any, to 
its shareholders. Therefore, no federal income tax provision is required.       

As of December 31, 2005, for federal income tax purposes, the Fund had a        
capital loss carryforward of $6,812,014, of which will expire as detailed below:

2010                                 5,513,727
2011                                   920,923
                                    ----------
   Total capital loss carryforward  $6,812,014
                                    ==========

The Fund will not distribute any realized capital gains until the capital loss  
carryforward has been fully utilized or until it expires. For the year ended    
December 31, 2005, the Fund has elected to defer $148,029 of capital losses     
attributable to post-October losses.                                            

At June 30, 2006, the cost of investments for federal income tax purposes was   
$258,849,062. Net unrealized appreciation aggregated $24,612,801, of which      
$39,465,096 represented gross unrealized appreciation on securities and         
$14,852,295 represented gross unrealized depreciation on securities. The        
difference between book basis and tax basis is attributable primarily to the    
return of capital adjustments from real estate investment trusts and the tax    
deferral of losses on wash sales.                                               

REDEMPTION FEES                                                                 

Redemption of shares held in the Fund for less than 120 days are subject to a   
fee of 1%, calculated as a percentage of redemption proceeds. The fee, which is 
retained by the Fund, is accounted for as an addition to paid-in capital. Total 
redemption fee proceeds for the six months ended June 30, 2006 and the year     
ended December 31, 2005 were $57,380 and $60,839 respectively, and are set      
forth in the Statement of Changes in Net Assets.                                

N-CSRS
101st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 101st
E*TRADE S&P 500 INDEX FUND                                                      
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

RECLASSIFICATION OF CAPITAL ACCOUNTS                                            

In order to present undistributed net investment income and accumulated net     
realized loss on the Statement of Assets and Liabilities that more closely      
represent their tax character, certain adjustments have been made to            
undistributed net investment income and accumulated net realized loss on        
investments and futures contracts. For the year ended December 31, 2005, the    
adjustments were to decrease undistributed net investment income by $20,279 and 
decrease accumulated net realized loss on investments and future contracts by   
$20,279. These adjustments are primarily due to the differences between book    
and tax treatment of investments in real estate investment trusts.              

3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES                            

E*TRADE Asset Management, Inc. ("ETAM"), a wholly owned subsidiary of E*TRADE   
FINANCIAL Corporation ("E*TRADE FINANCIAL"), serves as the investment adviser   
for the Fund pursuant to an Investment Advisory Agreement between ETAM and the  
Trust, on behalf of the Fund. For its service as investment adviser, ETAM is    
currently paid by the Fund at an annual rate of 0.07% of the Fund's average     
daily net assets.                                                               

World Asset Management ("World Asset") serves as the Fund's investment          
sub-adviser. World Asset is a division of Munder Capital Management. For its    
services, World Asset is paid by ETAM, not the Fund, and a fee is calculated as 
follows:                                                                        

                                                                [Download Table]

       Name of Fund                           Sub-Advisory Fee                   
       ------------        ------------------------------------------------------
                                                                                 
E*TRADE S&P 500 Index Fund 0.03% of average daily net assets up to $900 million  
                           0.02% of average daily net assets over $900 million   

ETAM also provides certain administrative services to the Fund, pursuant to an  
Administrative Services Agreement with the Trust, on behalf of the Fund. For    
its services, ETAM receives an administrative services fee equal to an annual   
rate of 0.15% of the Fund's average daily net assets.                           

Since September 30, 2004, ETAM assesses an account maintenance fee of $2.50 per 
quarter to offset shareholder servicing costs if an account balance in the Fund 
falls below $5,000 (for any reason, including a decline in the value of the     
Fund's shares). The account maintenance fee is determined and paid at the end   
of the calendar quarter. The fee is not assessed in certain circumstances, as   
described in the Fund's Prospectus, including waiver of the fee if total        
E*TRADE Funds assets held by a shareholder are $10,000 or more. The fee will    
not be applied to: (1) assets held in any retirement plan account; (2) assets   
held in any Coverdell education savings account; or (3) shareholders investing  
in the Fund through means of the Automatic Investment Plan privilege.           

ETAM and E*TRADE Securities LLC ("E*TRADE Securities"), the Trust's principal   
underwriter and a wholly owned subsidiary of E*TRADE FINANCIAL, both provide    
shareholder servicing to the Fund under a Shareholder Servicing Agreement. For  
its services, ETAM receives a non-Rule 12b-1 shareholder servicing fee equal to 
an annual rate of 0.25% of the Fund's average daily net assets. In addition,    
ETAM is allowed to use the shareholder servicing fees it receives under the     
Shareholder Servicing Agreement to compensate its affiliates, including E*TRADE 
Securities, for services it provides to the Fund.                               

The amount "Due from E*TRADE Asset Management, Inc." listed on the Fund's       
Statement of Assets and Liabilities, reflects a contractual agreement effective 
September 3, 2004, between ETAM and the Fund ("Expense Limitation Agreement")   
in which ETAM has agreed to waive or limit its fees or to assume other          

N-CSRS
102nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 102nd
E*TRADE S&P 500 INDEX FUND                                                      
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

expenses through at least April 30, 2007. The Expense Limitation Agreement may  
continue from year to year thereafter. Effective September 3, 2004, ETAM has    
agreed to waive or limit ETAM's fees and assume other expenses so that the      
total operating expenses of the Fund (other than interest, taxes, brokerage     
commissions, other expenditures which are capitalized in accordance with U.S.   
GAAP and other extraordinary expenses not incurred in the ordinary course of    
the Fund's business) on an annualized basis are limited to 0.09% of the Fund's  
average daily net assets.                                                       

The Fund may at a later date reimburse ETAM the fees waived or limited and any  
other expenses assumed and paid by ETAM. provided that, among other things, the 
Fund has reached a sufficient size to permit such reimbursement to be made      
without causing the total annual expense ratio of the Fund to exceed the        
current percentage limit stated above. Consequently, no reimbursement by the    
Fund will be made unless: (i) the Fund's total annual expense ratio is less     
than the current percentage stated above and (ii) the payment of such           
reimbursement has been approved in advanced by the Trust's Board on a quarterly 
basis. The total amount of reimbursement to which ETAM may be entitled will     
equal, at any time, the sum of (i) all fees previously waived or reduced by     
ETAM and (ii) all other payments previously remitted by ETAM to the Fund in     
accordance with the Expense Limitation Agreement during any of the previous     
three fiscal years, less any reimbursement that the Fund has previously paid to 
ETAM with respect to (a) such fees previously waived or reduced and (b) such    
other payments previously remitted by ETAM to the Fund during any of the        
previous three fiscal years. Approximately $2,894,485 was eligible for          
reimbursement as of December 31, 2005.                                          

4. AGREEMENTS AND OTHER TRANSACTIONS WITH NON-AFFILIATES                        

PFPC Inc. serves as the transfer agent and dividend disbursing agent for the    
Fund. The Bank of New York provides fund accounting, custodial, and certain     
fund services for the Fund. E*TRADE Securities serves as the principal          
underwriter for the Fund at no cost to the Fund, but receives compensation from 
ETAM that may be equal to the maximum shareholder servicing fee received by     
ETAM from the Fund.                                                             

5. PORTFOLIO SECURITIES LOANED                                                  

The Fund may participate in securities lending, in which securities are lent to 
certain securities dealers in exchange for cash collateral equal to 102% and    
105% of the initial market value of the domestic and non-U.S. securities lent,  
respectively. The amount of collateral is adjusted daily for changes in the     
market value of securities lent, but at no subsequent period would the cash     
collateral equal less than 100% of the market value of securities lent. The     
Fund retains a beneficial interest in the collateral held. ETAM monitors the    
creditworthiness of all parties to which securities are lent. The Fund charges  
the corresponding party interest on the market value of securities lent and     
receives interest on the investment of cash collateral.                         

The Fund did not participate in securities lending during the six months ended  
June 30, 2006.                                                                  

6. FUTURES CONTRACTS                                                            

The Fund may purchase or sell futures contracts to gain exposure to market      
changes. The purchase of futures contract may be more efficient or cost         
effective than actually buying the securities only if there is an active market 
for such contracts. A futures contract is an agreement between two parties to   
buy and sell a security at a set price on a future date and is exchange traded. 
Upon entering into a futures contract, the Fund is required to pledge to the    
broker an amount of cash, U.S. Government securities or other high-quality debt 
securities equal to the minimum "initial margin" requirements of the exchange.  
Pursuant to a contract entered into with a futures commission merchant, the     
Fund agrees to receive from or pay to the broker an amount of cash equal to the 
daily fluctuation in the value of the contract. Such receipts or payments are   
known as "variation margin" and are recorded by the Fund as unrealized gains or 
losses. When the contract is closed, the Fund records a gain or loss equal to   
the difference between the value of the contract at the time it was opened and  
the value at the time it was closed. Pursuant to                                

N-CSRS
103rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 103rd
E*TRADE S&P 500 INDEX FUND                                                      
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

regulations and/or published positions of the Securities and Exchange           
Commission, the Fund may be required to segregate cash, U.S. Government         
obligations or other liquid securities in connection with futures transactions  
in an amount generally equal to the entire futures contract amount. The risks   
of entering into futures contracts include the possibility that there may be an 
illiquid market and that a change in the value of the contracts may not         
correlate with changes in the value of the underlying securities.               

The following futures contracts were outstanding as of June 30, 2006:           

                                                        [Enlarge/Download Table]

                                                                      Notional               Net Unrealized     
Number of         Futures                  Expiration                 Contract                Appreciation      
Contracts          Index                      Date                     Value                 (Depreciation)     
--------- ------------------------  ------------------------  ------------------------  ------------------------
                                                                                                                
   17         S&P 500 Futures               09/14/06                        $5,437,450                  $116,527

The Fund has pledged to brokers a U.S. Treasury Bill for initial margin         
requirements with a value of $746,168.                                      

7. REPURCHASE AGREEMENTS                                                        

The Fund may invest in repurchase agreements. Repurchase agreements are         
transactions involving purchases of securities under agreements to resell such  
securities at a specified price and time, and are treated as collateralized     
financing transactions and recorded at their contracted resale amounts. These   
repurchase agreements, if any, are detailed in the Fund's Schedule of           
Investments. The Fund's investments in repurchase agreements must be fully      
collateralized based on values that are marked to market daily. The Fund's      
custodian has custody of, and holds in a segregated account, securities         
acquired as collateral by the Fund under a repurchase agreement. ETAM monitors, 
on an ongoing basis, the value of the collateral to assure that it always       
equals or exceeds the repurchase price.                                         

The Fund did not invest in any repurchase agreements during the six months      
ended June 30, 2006.                                                        

8. SHORT SALES OF SECURITIES                                                    

The Fund may enter into short sale transactions. A short sale is a transaction  
in which the Fund sells securities it does not own (but has borrowed) in        
anticipation of a decline in the market price of the securities. To complete a  
short sale, the Fund may arrange through a broker to borrow the securities to   
be delivered to the buyer. The proceeds received by the Fund for the short sale 
are retained by the broker until the Fund replaces the borrowed securities. In  
borrowing the securities to be delivered to the buyer, the Fund becomes         
obligated to replace the securities borrowed at their market price at the time  
of replacement, whatever that price may be.                                     

The Fund did not enter into any short sale transactions during the six months   
ended June 30, 2006.                                                            

N-CSRS
104th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 104th
E*TRADE S&P 500 INDEX FUND                                                      
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

9. AFFILIATED ISSUERS                                                           

Investments in companies considered to be an affiliate of the Fund (such        
companies are defined as "Affiliated Companies" in Section 2(a)(3) of the       
Investment Company Act of 1940) are as follows:                                 

                                                        [Enlarge/Download Table]

                         Number of                      Number of                    
                         of Shares                      of Shares                    
                          Held At                        Held At  Value At           
                         Beginning   Gross     Gross       End     End of  Investment
Name of Issuer           of Period Additions Reductions of Period  Period    Income  
--------------           --------- --------- ---------- --------- -------- ----------
                                                                                     
Comerica, Inc.             3,765        80       --       3,845   $199,902   $4,292  
E*TRADE Financial Corp.    9,152     1,188       --      10,340    235,958       --  
                                                                  --------   ------  
Total Affiliated Issuers                                          $435,860   $4,292  
                                                                  --------   ------  

10. INVESTMENT PORTFOLIO TRANSACTIONS                                           

Purchases and sales of investments, exclusive of short-term securities,         
aggregated $22,583,697 and $2,802,678 respectively, for the six months ended    
June 30, 2006.                                                                  

11. PROPOSED REORGANIZATION                                                     

As part of E*TRADE Financial Corporation's wealth management strategy, E*TRADE  
Financial Corporation ("E*TRADE") has purchased independent registered          
investment advisers that provide investment advisory services to high net worth 
clients. In pursuit of that strategy, in November 2005, E*TRADE acquired Kobren 
Insight Management Inc. ("KIM"), a registered investment adviser and the        
current investment adviser to the Kobren Insight Funds, a registered management 
investment company with two current series (i.e., Kobren Growth Fund and Delphi 
Value Fund).                                                                    

The management of E*TRADE Asset Management, Inc. ("ETAM"), the investment       
manager to the E*TRADE Funds, and KIM have worked closely together to develop a 
strategy of integrating the Kobren Insight Funds and the E*TRADE Funds with a   
goal of streamlining and improving the management and operations of the Kobren  
Insight Funds and the E*TRADE Funds while providing higher visibility and       
improved distribution to these small funds. In addition, the integration        
proposals are intended to permit the E*TRADE Funds to achieve greater economies 
of scale and facilitate the compliance functions of the funds by virtue of      
having a single investment company structure. E*TRADE believes that the         
integration proposals will be beneficial to shareholders of both the E*TRADE    
Funds and the Kobren Insight Funds, as well as to E*TRADE.                      

In summary, the integration proposals recommended by E*TRADE to the separate    
Boards of Trustees of the E*TRADE Funds and the Kobren Insight Funds and        
considered by each of those Boards at Board meetings held on June 28 and        
June 29, 2006, are as follows:                                                  

 .   Redomiciliation and Shell Reorganization of the Kobren Insight Funds. The
   Kobren Insight Funds would be redomiciled from a Massachusetts business
   trust into a Delaware statutory trust. In order to accomplish this, the
     Kobren Insight Funds would be reorganized into newly-created shell series
   of the E*TRADE Funds. The proposed Agreement and Plan of Reorganization
and                                                                 

N-CSRS
105th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 105th
E*TRADE S&P 500 INDEX FUND                                                      
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

  Redomiciliation ("Reorganization Agreement ") contemplates that all of
the assets and liabilities of the current two series of the Kobren  
Insight Funds would be transferred to corresponding shell series of 
 E*TRADE Funds in exchange for shares of those new shell series of the
E*TRADE Funds.                                                      

.   Investment Management. In conjunction with the integration of the Kobren
Insight Funds into the E*TRADE Funds, E*TRADE proposed that ETAM be 
    approved as the investment manager of the Kobren Insight Funds following
   their reorganization into the newly created shell series of the E*TRADE
   Funds. Further, E*TRADE proposed that KIM be approved as the investment
sub-adviser to the Kobren Growth Fund and Delphi Management Inc.    
    ("Delphi") be approved as the investment sub-adviser to the Delphi Value
   Fund. The proposed consolidation of the advisory relationship with ETAM
    is intended to help to ensure consistent oversight of all of the E*TRADE
     proprietary mutual funds' investments while maintaining the current daily
     management of the Kobren Insight Funds through sub-advisory relationships
with KIM and Delphi.                                                

 .   Board of Trustees. In addition, in order to further integrate the E*TRADE
  Funds and the Kobren Insight Funds, E*TRADE proposed that the Board of
Trustees of the E*TRADE Funds approve a realignment of the Board of 
 Trustees of the E*TRADE Funds so that (i) the number of Board members
     would be reduced from six to five and (ii) a current member of the Kobren
    Insight Funds' Board would be nominated to serve as an independent Board
     member of the E*TRADE Funds. In light of this integration initiative, two
    of the current independent Board members of the Board of Trustees of the
 E*TRADE Funds have agreed to resign from the Board and have submitted
    their resignations, which will be effective upon shareholder approval of
a new slate of Board members. In conjunction with these actions, the
  Board of Trustees of the E*TRADE Funds approved the submission to Fund
    shareholders of a new slate of nominees to serve as members of the Board
of Trustees of the E*TRADE Funds ("Board Nominees").                

Board Approvals. At the June 28, 2006 Board of Trustees meeting for the E*TRADE 
Funds, the Board of Trustees approved (1) the Reorganization Agreement for the  
reorganization of the Kobren Insight Funds into shell series of the E*TRADE     
Funds and (2) each of the proposals concerning the realignment of Board of      
Trustees of the E*TRADE Funds. The proposals concerning the investment manager  
and sub-advisers for the Kobren Insight Funds have been deferred and will be    
considered by the Board of Trustees of the E*TRADE Funds following the election 
of the Board Nominees.                                                          

Shareholder Approvals. The proposed reorganizations of the Kobren Insight Funds 
into shell series of the E*TRADE Funds will require the approval of the         
shareholders of the Kobren Insight Funds in order to be effective. Shareholders 
of the E*TRADE Funds will NOT be solicited for approval of the proposed         
reorganizations. Shareholders of the E*TRADE Funds will be asked to approve the 
election of each of the Board Nominees. E*TRADE Funds anticipates distributing  
proxy solicitation materials to shareholders in connection with this proposal   
later this month.                                                               

E*TRADE has agreed to bear all of the fees, costs and expenses associated with  
implementing the integration proposals, including all proxy solicitation costs  
of the E*TRADE Funds and the Kobren Insight Funds, except for any brokerage     
fees and brokerage expenses associated with the proposed reorganizations of the 
Kobren Insight Funds.                                                           

N-CSRS
106th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 106th
QUARTERLY PORTFOLIO SCHEDULE                                                    

The Fund files its complete schedule of portfolio holdings with the Commission  
for the first and third quarters of each fiscal year on Form N-Q. This          
information is available, without charge and upon request, by visiting the      
E*TRADE Funds website at www.etradefunds.etrade.com (click on "Quarterly        
Holdings") or by accessing the Funds' Form N-Q on the Commission's website at   
www.sec.gov. The Funds' Form N-Q may also be reviewed and copied at the         
Commission's Public Reference Room in Washington, DC; information on the        
operation of the Public Reference Room may be obtained by                       
calling1-(800)-SEC-0330.                                                        

PROXY VOTING POLICIES AND PROCEDURES                                            

A description of the Funds' proxy voting policies and procedures is available,  
without charge and upon request, by calling E*TRADE Funds at 1-800-ETRADE-1.    
This information is also included in the Funds' Statement of Additional         
Information, which is available by visiting the E*TRADE Funds website at        
www.etradefunds.etrade.com (click on "Prospectus" and then "Statement of        
Additional Information") and by accessing the Securities and Exchange           
Commission's ("Commission") website at www.sec.gov.                             

Information regarding how the Funds voted proxies for portfolio securities, if  
applicable, during the most recent 12-month period ended June 30, is also       
available, without charge and upon request, by (i) calling E*TRADE Funds at     
1-800-ETRADE-1; (ii) by visiting the E*TRADE Funds website at                   
www.etradefunds.etrade.com (click on "Proxy Voting Results"); or                
(iii) accessing the Funds' Form N-PX on the Commission's website at www.sec.gov.

CODE OF ETHICS                                                                  

A copy of the code of ethics that applies to the Funds' principal executive     
officer, principal financial officer, principal accounting officer or           
controller, or persons performing similar functions is available free of        
charge, upon request by calling 1-800-ETRADE-1.                                 

N-CSRS
107th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 107th
SEMI-ANNUAL LETTER TO SHAREHOLDERS                                              

Dear Shareholder:                                                               

I am pleased to provide you with the Semi-Annual Report of the E*TRADE Index    
Funds (the "Funds") for the period ended June 30, 2006.                         

As always, I hope you will find the report valuable and informative.            

The Funds have continued to provide investors with an easy, affordable way to   
keep pace with the market. The Funds also remain the lowest-cost stock index    
funds in the industry/1/:                                                       

                                                        [Enlarge/Download Table]

                               EXPENSE  CATEGORY                                                       
FUND NAME                      RATIO/1/ AVERAGE/2/                   GIVES INVESTORS                   
-----------------------------  -------  ---------  ----------------------------------------------------
                                                                                                       
E*TRADE S&P 500                 0.09%     0.39%    A simple way to invest in a diversified group       
Index Fund                                         of large-capitalization U.S. stocks while           
                                                   keeping pace with the market                        

E*TRADE Russell 2000            0.22%     0.79%    An affordable way to invest in small-capitalization 
Index Fund                                         U.S. stocks and create a solid diversified portfolio

E*TRADE International           0.09%     0.76%    An easy, low-cost way to take advantage of          
Index Fund/2/                                      strong performance of international stocks          

E*TRADE Technology              0.60%      N/A     An affordable, risk-managed way to invest in        
Index Fund/3/                                      the technology sector                               

For the past five years, the cumulative return for international stocks as      
represented by the MSCI EAFE Index has been nearly three times the return for   
U.S. equities as represented by the S&P 500/4/--one reason that U.S. investors  
are beginning to pay more attention to the benefits of investing                
internationally.                                                                

Against this background, the E*TRADE International Index Fund delivered         
investors an annualized total return of 9.48% for the five years ended June 30, 
2006. The Fund delivered a 26.75% return for the past twelve months and an      
annualized return of 4.35% since inception (10/22/1999) for the period ended    
June 30, 2006.                                                                  

Data quoted represents past performance. Past performance is not an indication  
of future results and mutual fund investment returns and share prices will      
fluctuate on a daily basis. Your investment may be worth more or less than your 
original cost when you redeem your shares. Current performance may be lower or  
higher than the performance data quoted. Performance as of the most recent      
month-end can be obtained at www.etrade.com.                                    

Smart Choice for Retirement Accounts                                            

Because the Funds offer investors one of the most efficient, cost-effective     
ways to invest in stocks, the Funds also represent a smart choice for           
retirement accounts. Besides no commissions, no transaction fees, and no        
account minimum, E*TRADE No-Fee, No-Minimum IRAs and Rollover IRAs allow you to 
trade in your retirement account. (To learn more or open an IRA or rollover     
IRA, visit etrade.com/newira.)                                                  

As always, thank you for your continued investment in the Funds. We look        
forward to serving your financial needs for many years to come.                 

Sincerely,                                                                      

/s/ Elizabeth Gottfried                                                         

Elizabeth Gottfried                                                             
President, E*TRADE Funds                                                        

PLEASE READ THE IMPORTANT DISCLOSURES ON THE BACK OF THIS LETTER  

N-CSRS
108th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 108th
SEMI-ANNUAL LETTER TO SHAREHOLDERS                                              

PLEASE READ THE IMPORTANT DISCLOSURES BELOW 

You should consider the investment objectives, risks, charges and expenses of a 
mutual fund carefully before investing. The Funds' prospectus contains this and 
other important information; read the prospectus carefully before investing.    
For a current prospectus, please visit etradefunds.etrade.com. Read the         
prospectus carefully before investing.                                          

1 Based on a data filter commissioned from Lipper by E*TRADE Asset Management,  
Inc. ("ETAM"), and according to an agreed-upon methodology for analyzing Lipper 
data in accordance with the Lipper-defined universe, ETAM determined that the   
E*TRADE S&P 500 Index Fund, the E*TRADE Russell 2000 Index Fund and the E*TRADE 
International Index Fund ("E*TRADE Index Funds") had the lowest effective       
expenses among their peer universe as of July 3, 2006. To identify the peer     
universe, Lipper compared the E*TRADE Index Funds to other Pure Index Funds in  
the same Lipper Investment Classification/Objective, while excluding            
Institutional Funds and other mutual funds requiring initial minimum            
investments of $100,000 or more and exchange-traded funds. While ETAM may       
review Lipper data, ETAM makes no representation as to the accuracy or          
timeliness of the Lipper data or that the E*TRADE Index Funds will continue to  
have the lowest effective expenses among comparable funds.                      

The E*TRADE Index Funds had the lowest effective expenses because ETAM          
contractually limited their expenses. The expenses of the E*TRADE Index Funds   
prior to the imposition of the contractual limits are, in fact, higher. ETAM    
has agreed contractually to limit the expense ratio for the E*TRADE Index Funds 
until April 30, 2007. Without the contractual limits, the expenses of the       
E*TRADE Index Funds are 0.79% for the S&P 500 Index Fund; 1.11% for the Russell 
2000 Index Fund; and 1.85% for the International Index Fund (based on the most  
recently filed shareholder reports). There is no assurance that ETAM will       
continue these expense limits beyond April 30, 2007.                            

ETAM will charge an Account Maintenance Fee of $2.50 per quarter for Fund       
balances below $5,000. The fee will be waived if your combined E*TRADE Funds    
account assets are $10,000 or more. If Fund shares must be redeemed to pay the  
Account Maintenance Fee, any applicable redemption fee will be waived.          

The fact that a fund has a low expense ratio does not mean it is a suitable     
investment and an investment in an E*TRADE Index Fund may not be suitable for   
all investors. Additional information on the comparison methodology used is     
available on request. The terms "Institutional Fund", "Investment               
Classification/Objective", and "Pure Index Fund" are Lipper defined terms.      

Lipper's data and analyses are for informational purposes only, and do not      
constitute investment advice or an offer to sell or the solicitation of an      
offer to buy any security of any entity in any jurisdiction. No guarantee is    
made that the information is accurate or complete and no warranties are made    
with regard to the results to be obtained from its use. In addition, Lipper     
will not be liable for any loss or damage resulting from information obtained   
from Lipper or any of its affiliates.                                           

2 Investing internationally involves risks such as currency fluctuations,       
political uncertainty, and differing business and accounting practices. Please  
read the prospectus carefully before investing.                                 

3 The E*TRADE Technology Index Fund is the only fund of its type currently in   
existence.                                                                      

4 Source: www.firstinvestors.com.                                               

The E*TRADE FINANCIAL family of companies provides financial services that      
include investing, trading, banking, and lending. Securities products and       
services are offered by E*TRADE Securities LLC, Member NASD/SIPC.               

(C) 2006 E*TRADE FINANCIAL Corp. All rights reserved.                           

N-CSRS
109th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 109th
Fees and Expenses / Shareholder Fee Example (unaudited)                         

As a shareholder, you can incur two types of costs: (1) transaction costs,      
including sales charges (loads) on purchase payments, reinvested dividends, or  
other distributions; redemption fees; and exchange fees and (2) ongoing costs,  
including management fees; distribution and/or service (12b-1) fees; and other  
Fund expenses. This Example is intended to help you understand your ongoing     
costs (in dollars) of investing in the Fund and to compare these costs with the 
ongoing costs of investing in other mutual funds. The Fund does not assess      
sales loads or 12b-1 fees.                                                      

The Example is based on an investment of $1,000 invested at the beginning of    
the period and held for the entire period from January 1, 2006 through June 30, 
2006.                                                                           

Actual Expenses                                                                 

The first line of the Example provides information about actual account values  
and actual expenses. You may use the information in this line, together with    
the amount you invested, to estimate the expenses that you paid over the        
period. Simply divide your account value by $1,000 (for example, an $8,600      
account value divided by $1,000 = 8.6), then multiply the result by the number  
in the first line under the heading entitled "Expenses Paid During Period       
01/01/06 to 06/30/06" to estimate the expenses you paid on your account during  
this period. This expense estimate does not include redemption fees and account 
maintenance fees because they are not charged to all shareholders. A 1%         
redemption fee is charged to shareholders who redeem shares held for less than  
four months. The 1% redemption fee is calculated as a percentage of the total   
redemption proceeds and would be added to your estimated expenses calculated in 
the table. A quarterly Account Maintenance Fee ("AMF") is charged to            
shareholders with account balances of less than $5,000 at the end of each       
calendar quarter. The AMF is equal to $2.50 per quarter and would be added to   
your estimated expenses calculated in the table. The AMF is not applied to:     
(1) assets held in any retirement plan account, including an IRA, Roth IRA, one 
person SEP-IRA, profit sharing plan, money purchase pension plan or 401(a) or   
401(k) account; (2) assets held in any Coverdell education savings account; or  
(3) shareholders investing in the Fund through means of the Automatic           
Investment Plan privilege, described in the section of the Fund's Prospectus    
entitled "How to Buy, Sell and Exchange Shares -- Automatic Investment Plan."   
Moreover, the AMF is waived if your total E*TRADE Funds assets are $10,000 or   
more.                                                                           

Hypothetical Example for Comparison Purposes                                    

The second line of the Example provides information about hypothetical account  
values and hypothetical expenses based on the Fund's actual expense ratio and   
an assumed rate of return of 5% per year before expenses, which is not the      
Fund's actual return. The hypothetical account values and expenses may not be   
used to estimate the actual ending account balance or expenses you paid for the 
period. You may use this information to compare the ongoing costs of investing  
in the Fund and other funds. To do so, compare this 5% hypothetical example     
with the 5% hypothetical examples that appear in the shareholder reports of the 
other funds. This expense estimate does not include redemption fees and account 
maintenance fees because they are not charged to all shareholders. A 1%         
redemption fee is charged to shareholders who redeem shares held for less than  
four months. The 1% redemption fee is calculated as a percentage of the total   
redemption proceeds and would be added to your estimated expenses calculated in 
the table. A quarterly AMF is charged to shareholders with account balances of  
less than $5,000 at the end of each calendar quarter. The AMF is equal to $2.50 
per quarter and would be added to your estimated expenses calculated in the     
table. The AMF is not applied to: (1) assets held in any retirement plan        
account, including an IRA, Roth IRA, one person SEP-IRA, profit sharing plan,   
money purchase pension plan or 401(a) or 401(k) account; (2) assets held in any 
Coverdell education savings account; or (3) shareholders investing in the Fund  
through means of the Automatic Investment Plan privilege, described in the      
section of the Fund's Prospectus entitled "How to Buy, Sell and Exchange Shares 
-- Automatic Investment Plan." Moreover, the AMF is waived if your total        
E*TRADE Funds assets are $10,000 or more.                                       

N-CSRS
110th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 110th
Please note that the expenses shown in the table are meant to highlight your    
ongoing costs only and do not reflect any transactional costs, such as sales    
charges (loads), redemption fees, or exchange fees.                             

Therefore, the second line of the table is useful in comparing ongoing costs    
only, and will not help you determine the relative total costs of owning        
different funds. In addition, if these transactional costs were included, your  
costs would have been higher.                                                   

                                                        [Enlarge/Download Table]

                                                                                     Annualized   
                                             Beginning  Ending     Expenses Paid    Expense Ratio 
                                              Account  Account   During the Period  Based on the  
                                               Value    Value       01/01/06 to    Period 01/01/06
                                             01/01/06  06/30/06      06/30/06*       to 06/30/06  
                                             --------- --------- ----------------- ---------------
                                                                                                  
E*TRADE International Index Fund                                                                  
   Actual                                    $1,000.00 $1,099.30       $0.47            0.09%     
   Hypothetical (5% return before expenses)  $1,000.00 $1,024.35       $0.45            0.09%     

* Expenses are equal to the Fund's annualized expense ratio of 0.09%,           
multiplied by the average account value over the period, multiplied by the  
number of days in the most recent fiscal half-year (to reflect the one-half 
year period).                                                               

N-CSRS
111th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 111th
E*TRADE International Index Fund                                                
Schedule of Investments                                                         
June 30, 2006 (Unaudited)                                                       

                                                       Shares  Value
                                                         ------ --------
COMMON STOCKS--94.5%                                                            
Australia--5.4%                                                                 
ABC Learning Centres, Ltd.                                    2,300 $ 10,936    
Alinta, Ltd.                                                  1,906   14,765    
Alumina, Ltd. ADR                                             2,061   41,426    
Amcor, Ltd. ADR                                               1,574   31,244    
AMP, Ltd.                                                    13,933   94,251    
Ansell, Ltd.                                                  1,136    8,163    
APN News & Media, Ltd.                                        2,069    7,796    
Aristocrat Leisure, Ltd.                                      2,576   24,625    
Australia & New Zealand Banking Group, Ltd. ADR               2,615  259,486    
Australian Gas Light Co., Ltd.                                3,245   42,223    
Australian Stock Exchange, Ltd.                                 695   16,827    
AXA Asia Pacific Holdings, Ltd.                               6,347   29,440    
Babcock & Brown, Ltd.                                           970   15,562    
BHP Limited ADR                                              12,642  544,492    
Billabong International Ltd.                                  1,179   13,439    
BlueScope Steel, Ltd.                                         5,127   30,304    
Boral, Ltd.                                                     300    1,816    
Boral, Ltd. ADR                                                 972   23,513    
Brambles Industries, Ltd.                                     6,932   56,661    
Caltex Australia, Ltd.                                          982   17,229    
Centro Properties Group                                       5,865   29,147    
CFS Gandel Retail Trust                                       9,554   13,177    
Challenger Financial Services Group, Ltd.                     2,935    6,876    
Coca-Cola Amatil, Ltd.                                        1,866   19,658    
Cochlear, Ltd.                                                  372   15,096    
Coles Myer, Ltd.                                              8,660   73,092    
Commonwealth Bank of Australia                                9,265  305,152    
Commonwealth Property Office Fund                            10,487   10,837    
Computershare, Ltd.                                           3,144   18,318    
CSL, Ltd.                                                     1,347   53,706    
CSR, Ltd.                                                     6,486   16,141    
DB RREEF Trust                                               18,922   20,586    
DCA Group, Ltd.                                               3,068    6,356    
Downer EDI, Ltd.                                              2,120   11,711    
Foster's Group, Ltd.                                         14,161   57,549    
Futuris Corp., Ltd.                                           3,777    5,889    
Goodman Fielder, Ltd.(a)                                      7,600   12,067    
GPT Group                                                    13,715   44,170    
Harvey Norman Holdings, Ltd.                                  3,764   11,010    
Iluka Resources, Ltd.                                         1,649    8,025    
Ing Industrial Fund                                           5,702    9,422    
Insurance Australia Group, Ltd.                              11,339   45,050    
Investa Property Group                                       10,938   17,788    
James Hardie Industries NV                                      656   18,709    
John Fairfax Holdings, Ltd.                                   6,558   18,278    
Leighton Holdings, Ltd.                                       1,003   12,924    
Lend Lease Corp., Ltd. ADR                                    2,382   24,758    
Lend Lease Corp., Ltd.                                          200    2,079    
Lion Nathan, Ltd.                                             2,002   11,589    
Macquarie Airports                                            4,624   10,540    
Macquarie Bank, Ltd.                                          1,738   88,947    
Macquarie Communications                                      2,345   10,287    
Macquarie Goodman Group                                       9,062   40,383    
Macquarie Infrastructure Group                               17,236   42,995    
Macquarie Office Trust                                       14,092   14,425    
Mayne Pharma. Ltd.(a)                                         4,486    8,642    
Mirvac Group                                                  6,176   19,923    
Multplex Group                                                4,539   11,018    
National Australia Bank, Ltd. ADR                             2,310  300,993    
Newcrest Mining, Ltd.                                         2,422   37,932    
OneSteel, Ltd.                                                4,086   12,355    
Orica, Ltd.                                                   2,280   40,481    

The accompanying notes are an integral part of these financial statements.  

N-CSRS
112th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 112th
Origin Energy, Ltd.                                           5,785    31,623   
Pacific Brands, Ltd.                                          3,614     5,773   
Paladin Resources, Ltd.(a)                                    3,000     9,177   
PaperlinX, Ltd.                                               3,185     7,385   
Perpetual Trustees Australia, Ltd.                              274    14,857   
Publishing & Broadcasting, Ltd.                                 980    13,246   
Qantas Airways, Ltd.                                          6,775    14,888   
QBE Insurance Group, Ltd.                                     5,602    85,149   
Rinker Group, Ltd. ADR                                        1,329    80,564   
Rio Tinto, Ltd.                                               2,048   118,505   
Santos, Ltd. ADR                                              1,086    39,226   
SFE Corp., Ltd.                                                 977    12,039   
Sonic Healthcare, Ltd.                                        1,819    19,186   
Stockland                                                     9,666    50,410   
Suncorp-Metway, Ltd.                                          4,007    57,474   
Symbion Health, Ltd.                                            300       682   
Symbion Health, Ltd. ADR                                        862     9,798   
TABCORP Holdings, Ltd. ADR                                      374    42,235   
Telstra Corp., Ltd. ADR                                       2,991    40,977   
Toll Holdings, Ltd.                                           3,741    39,015   
Transurban Group                                              5,588    28,847   
UNiTAB, Ltd.                                                    895     9,816   
Vivendi Universal SA ADR                                      7,681   268,144   
Wesfarmers, Ltd.                                              2,690    70,577   
Westfield Group NPV                                          10,604   136,490   
Westpac Banking ADR                                           2,621   226,323   
Woodside Petroleum, Ltd.                                      3,504   114,545   
Woolworths, Ltd.                                              8,342   124,856   
WorleyParsons, Ltd.                                           1,000    14,950   
Zinifex, Ltd.                                                 3,500    26,240   
                                                                 ---------
                                                                 4,535,276
                                                                 ---------
Austria--0.5%                                                                   
Andritz AG                                                       62    10,232   
BETandWIN.Com Interactive Entertainment AG(a)                   130    10,290   
Boehler-Uddeholm AG                                           1,109    15,155   
Erste Bank Der Oesterreichisch                                2,725    76,655   
Flughafenwien AG                                                 71     5,424   
Immoeast Immobilien Anlagen AG(a)                             1,200    12,873   
Immofinanz Immobilien Anlagen AG(a)                           3,245    36,024   
Mayr-Melnhof Karton AG                                           28     4,510   
Meinl European Land, Ltd.(a)                                  1,056    21,515   
OMV AG                                                        1,156    68,726   
Raiffeisen International Bank Holdiing AG                       243    21,049   
RHI AG(a)                                                       159     5,144   
Telekom Austria AG ADR                                        1,264    56,463   
Verbund Class A                                                 520    24,993   
Voestalpine AG                                                  135    20,476   
Wiener Staedtische Allgemeine Versicherung AG                   214    12,582   
Wienerberger AG                                                 465    22,060   
                                                                 ---------
                                                                   424,171
                                                                 ---------
Belgium--1.1%                                                                   
AGFA-Gevaert NV                                                 660    15,975   
Barco NV                                                         77     7,113   
Bekaert SA                                                       95     9,118   
Belgacom SA                                                   1,143    37,897   
Cofinimmo                                                        40     6,913   
Colruyt SA                                                      108    16,858   
Compagnie Maritime Belge SA                                     119     3,470   
Delhaize Group ADR                                              511    35,305   
Dexia                                                         3,878    93,232   
D'ieteren SA                                                     19     6,139   
Euronav NV                                                      125     3,853   
Fortis NL                                                     8,384   285,373   
Groupe Bruxelles Lambert SA                                     501    52,426   
Interbrew SA                                                  1,354    66,349   
KBC Bancassurance Holding                                     1,361   146,025   
Mobistar SA                                                     194    15,371   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
113th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 113th
Omega Pharma SA                                                 135     9,420   
Solvay SA                                                       468    53,827   
UCB SA                                                          607    32,816   
Umicore                                                         166    22,156   
                                                                 ---------
                                                                   919,636
                                                                 ---------
Bermuda--0.0%                                                                   
Frontline, Ltd.                                                 358    13,366   
SeaDrill, Ltd.(a)                                             1,400    18,475   
                                                                 ---------
                                                                    31,841
                                                                 ---------
Cayman Islands--0.0%                                                            
Foxconn International Holdings, Ltd.(a)                      14,900    31,926   
                                                                 ---------
Denmark--0.7%                                                                   
AP Moller - Maersk A/S                                            8    62,387   
Bang & Olufsen, A/S Class B                                      77     8,505   
Carlsberg A/S Class B                                           217    15,848   
Codan A/S                                                       100     7,225   
Coloplast A/S                                                   181    13,422   
Dampskibseelskabet TORM-ADR                                      99     4,662   
Danisco A/S                                                     338    24,603   
Danske Bank A/S                                               3,089   117,265   
DSV, de Sammensluttede Vagnmaend                                142    23,760   
East Asiatic Co., Ltd. A/S                                      128     4,829   
FLSmidth & Co., A/S Class B                                     288    10,892   
GN Store Nord                                                 1,573    18,046   
H Lundbeck A/S                                                  387     8,819   
Jyske Bank(a)                                                   400    23,075   
NKT Holding A/S                                                 133     8,315   
Novo-Nordisk A/S, Class B                                     1,695   107,785   
Novozymes A/S, Class A                                          340    22,949   
Sydbank A/S                                                     500    16,585   
Topdanmark A/S(a)                                               127    17,648   
TrygVesta AS                                                    185    11,528   
Vestas Wind Systems A/S(a)                                    1,363    37,327   
William Demant Holding(a)                                       178    13,287   
                                                                 ---------
                                                                   578,762
                                                                 ---------
Finland--1.4%                                                                   
Amer Group L/C                                                1,027    10,722   
Cargotec Corp., Class B                                         259    11,327   
Elisa Oyj, Class A                                            1,114    21,174   
Fortum Oyj                                                    3,129    79,915   
KCI Konecranes Oyj                                              370     6,648   
Kesko, Class B                                                  474    18,186   
Kone Oyj                                                        540    22,435   
Metso Oyj ADR                                                   915    33,096   
Neste Oil Oyj                                                   943    33,130   
Nokia Oyj                                                    30,002   607,840   
Nokian Renkaat Oyj                                              696     9,132   
OKO Bank Class A                                                646     9,493   
Orion Oyj Class B                                               553    10,979   
Outokumpu Oyj, Class A                                          778    18,180   
Rautaruukki Oyj                                                 583    17,549   
Sampo Oyj, Class A                                            3,007    57,333   
Sanoma-WSOY Oyj                                                 500    12,032   
Stora Enso Oyj                                                4,294    60,030   
Tietoenator Oyj                                                 556    16,040   
UPM Kymmene Oyj                                               3,731    80,179   
Uponor Oyj                                                      345     9,312   
Wartsila Corp., Class B                                         447    18,806   
YIT OYJ                                                         920    22,511   
                                                                 ---------
                                                                 1,186,049
                                                                 ---------
France--8.2%                                                                    
Accor SA                                                      1,438    87,454   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
114th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 114th
Accor SA ADR                                                      1        30   
Air France-KLM                                                  902    21,116   
Alcatel SA(a)                                                 8,895   112,166   
Alstom(a)                                                       837    76,485   
Atos Origin SA(a)                                               490    32,022   
Axa SA                                                       10,677   349,992   
BNP Paribas                                                  11,742   561,899   
Bouygues SA                                                   1,456    74,740   
Business Objects SA ADR(a)                                      682    18,550   
Cap Gemini SA                                                   924    52,679   
Carrefour SA                                                  4,268   249,900   
Casino Guichard-Perrachon SA                                    363    27,572   
CNP Assurances                                                  336    31,883   
Compagnie de Saint-Gobain                                     2,200   156,939   
Credit Agricole SA                                            4,170   158,202   
Dassault Systemes SA                                            386    20,520   
Essilor International SA                                        666    66,966   
European Aeronautic Defence & Space Co.                       2,314    66,360   
France Telecom SA ADR                                        11,594   253,445   
Gaz de France                                                 1,340    44,915   
Gecina SA                                                        83    10,864   
Groupe Danone ADR                                             7,887   210,346   
Hermes International                                            444    39,244   
Imerys SA                                                       217    17,332   
Klepierre                                                       127    14,701   
Lafarge SA                                                    4,070   127,432   
Lagardere S.C.A.                                                899    66,327   
L'Air Liquide SA                                                805   156,658   
L'Oreal SA                                                    2,117   199,774   
LVMH Moet Hennessy Louis Vuitton SA                           1,719   170,328   
M6-Metropole Television                                         500    15,630   
Michelin (CGDE) Class B                                       1,031    61,926   
Neopost SA                                                      218    24,814   
Pagesjaunes Groupe SA                                           927    29,089   
Pernod-Ricard SA                                                534   105,731   
Pernod-Ricard SA - New(a)                                         2        99   
Pinault Printemps Redoute SA                                    484    61,649   
Psa Peugeot Citroen ADR                                       1,084    67,432   
Publicis Groupe ADR                                             999    38,242   
Renault SA                                                    1,373   147,287   
Safran SA                                                     1,166    25,364   
Sanofi-Aventis ADR                                           14,928   726,994   
Schneider Electric SA                                         1,610   167,519   
SCOR ADR                                                      5,971    12,957   
Societe BIC SA                                                  205    13,268   
Societe Des Autoroutes Paris                                    200    13,739   
Societe Television Francaise 1                                  882    28,727   
Sodexho Alliance SA ADR                                         653    31,266   
Suez SA                                                       7,000   292,250   
Technip-Coflexip SA                                             704    38,804   
Thales SA                                                       648    25,261   
Thomson/ex-TMM                                                1,904    31,416   
Total SA                                                      1,200    78,806   
TotalFinaElf SA ADR                                          14,806   970,089   
Unibail                                                         310    53,993   
Valeo SA ADR                                                  1,008    17,941   
Vallourec                                                        50    60,161   
Veolia Environnement ADR                                      2,002   103,543   
Vinci SA                                                      1,382   142,073   
Vivendi                                                         600    20,953   
Zodiac SA                                                       260    14,584   
                                                                 ---------
                                                                 6,898,448
                                                                 ---------
Germany--6.4%                                                                   
Adidas-Salomon AG                                             1,380    66,351   
Allianz AG ADR                                               28,343   447,820   
Altana AG                                                       507    28,331   
BASF AG                                                       3,611   289,927   
Bayer AG                                                      4,908   225,326   
Beiersdorf AG                                                   114    17,196   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
115th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 115th
Bilfinger Berger AG                                             300    16,314   
Celesio AG                                                      260    23,602   
Commerzbank AG                                                4,525   164,262   
Continental AG ADR                                              958    98,021   
Daimlerchrysler AG                                            6,481   319,902   
Deutsche Bank AG                                              3,859   433,355   
Deutsche Boerse AG                                              783   106,663   
Deutsche Lufthansa AG                                         1,626    30,001   
Deutsche Post AG                                              5,227   140,347   
Deutsche Postbank AG                                            391    28,068   
Deutsche Telekom AG ADR                                      19,308   309,700   
Douglas Holdings AG                                             226    10,422   
E.ON AG ADR                                                  13,224   507,140   
Fresenius Medical Care AG ADR                                 1,399    53,470   
Heidelberger Druckmaschinen                                     451    20,651   
Henkel KGaA                                                     444    50,749   
Hochtief AG                                                     345    19,215   
Hypo Real Estate Holdings ADR                                   977    59,214   
Infineon Technologies AG(a)                                   5,381    60,052   
Ivg Immobilien AG                                               603    18,476   
KarstadtQuelle AG(a)                                            466    12,244   
Linde AG                                                        584    44,955   
Linde AG Rights(a)                                              584     2,256   
MAN AG                                                          917    66,349   
Merck KGaA                                                      331    30,079   
Metro AG                                                      1,045    59,180   
MLP AG                                                          446     9,139   
Muenchener Rueckversicherungs-Gesellschaft AG                 1,431   195,207   
Premiere AG(a)                                                  480     4,674   
Puma AG Rudolf Dassler Sport                                     80    31,124   
Rheinmetall AG                                                  300    20,806   
Rwe AG ADR                                                    3,126   260,210   
Salzgitter AG                                                   300    25,176   
SAP AG ADR                                                    6,332   332,556   
Siemens AG ADR                                                6,045   524,827   
Solarworld AG                                                   400    25,088   
Suedzucker AG                                                   484    10,730   
ThyssenKrupp AG                                               2,586    88,136   
TUI AG                                                        1,505    29,858   
Volkswagen AG ADR                                             7,105    99,570   
Wincor Nixdorf AG                                               107    13,552   
                                                                 ---------
                                                                 5,430,291
                                                                 ---------
Greece--0.6%                                                                    
Alpha Credit Bank                                             2,824    70,436   
Cosmote Mobile Telecommunications SA                            670    15,124   
EFG Eurobank                                                  1,672    46,541   
Emporiki Bank of Greece SA                                      660    22,866   
Folli--Follie SA                                                112     2,617   
Germanos SA                                                     335     8,009   
Greek Organization of Football                                1,594    57,911   
Hellenic Bottling Company SA                                    821    24,439   
Hellenic Exchanges SA                                           310     4,978   
Hellenic Petroleum SA                                           819    10,862   
Hellenic Technodomiki Tev SA                                    889     8,546   
Hellenic Telecommunications Organization SA(a)                2,305    50,755   
Intracom SA                                                     594     3,941   
Motor Oil (Hellas) SA                                           300     7,966   
National Bank of Greece SA ADR                               11,245    89,961   
Piraeus Bank SA                                               1,495    35,495   
Public Power Corp.                                              705    16,673   
Technical Olympic SA                                            561     2,521   
Titan Cement Co. SA                                             391    18,353   
Viohalco                                                        736     6,725   
                                                                 ---------
                                                                   504,719
                                                                 ---------
Hong Kong--1.5%                                                                 
ASM Pacific Technology, Ltd.                                  1,204     5,878   
Bank of East Asia, Ltd.                                      10,209    41,996   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
116th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 116th
BOC Hong Kong Holdings, Ltd.                                 26,238    51,366   
Cathay Pacific Airways, Ltd.                                  1,455    12,739   
Cheung Kong Holdings, Ltd.                                   10,822   117,400   
Cheung Kong Infrastructure Holdings Ltd.                      3,212     9,285   
Clp Holdings, Ltd.                                           12,864    75,277   
Esprit Holdings, Ltd.                                         6,961    56,888   
Giordano International, Ltd.                                 10,230     4,844   
Hang Lung Properties, Ltd.                                    2,595    23,220   
Hang Seng Bank, Ltd.                                          5,430    68,863   
Henderson Land Development                                    5,205    27,041   
Hong Kong & China Gas                                        25,545    56,076   
Hong Kong Electric Holdings                                   9,837    44,518   
Hong Kong Exchanges & Clearing, Ltd.                          7,455    47,997   
Hopewell Holdings                                             4,544    12,821   
Hutchison Telecommunications lnternational Ltd.(a)           10,460    16,873   
Hutchison Whampoa, Ltd.                                      15,150   138,321   
Hysan Development Co., Ltd.                                   4,561    12,870   
Johnson Electric Holdings, Ltd. ADR                           1,011     7,355   
Kerry Properties, Ltd.                                        3,317    11,330   
Kingboard Chemical Holdings Ltd.                              3,883    10,941   
Li & Fung, Ltd.                                              13,773    27,912   
Link REIT (The)(a)                                           15,083    30,206   
Melco International Development, Ltd.                         4,500    11,318   
MTR Corp.                                                     9,739    23,574   
New World Development, Ltd. ADR                               8,897    29,325   
Orient Overseas International, Ltd.                           1,569     5,687   
PCCW, Ltd.                                                    2,622    19,088   
Shangri-La Asia, Ltd.                                           474    18,248   
Shun Tak Holdings, Ltd.                                       6,700     8,756   
Sino Land Co.                                                 9,154    14,640   
Solomon Systech International, Ltd.                          13,609     3,444   
Sun Hung Kai Properties, Ltd.                                 9,750    99,421   
Swire Pacific, Ltd.                                           6,690    69,037   
Techtronic Industries Co., Ltd.                               7,344     9,934   
Television Broadcasts, Ltd.                                     200     1,236   
Television Broadcasts, Ltd. ADR                                 925    11,433   
Texwinca Holdings, Ltd.                                       4,257     2,858   
Wharf Holdings, Ltd.                                          8,690    30,913   
Wing Hang Bank, Ltd.                                          1,222    10,726   
Yue Yuen Industrial Holdings                                  3,415     9,397   
                                                                 ---------
                                                                 1,291,052
                                                                 ---------
Ireland--0.8%                                                                   
Allied Irish Bank                                             3,082   149,046   
Bank of Ireland ADR                                           1,732   124,444   
C&C Group PLC                                                 2,196    19,066   
CRH PLC ADR                                                   3,795   126,335   
DCC PLC                                                         566    13,605   
Depfa Bank PLC                                                2,445    40,604   
Elan Corp. PLC(a)                                             2,971    49,616   
Fyffes PLC                                                    2,217     3,917   
Grafton Group PLC                                             1,636    20,605   
Greencore Group PLC                                           1,106     5,211   
Iaws Group PLC                                                  715    12,629   
Independent News & Media PLC                                  4,070    11,909   
Irish Life & Permanent PLC                                    1,966    46,762   
Kerry Group PLC, Class A                                        959    20,609   
Kingspan Group PLC                                              882    15,397   
Paddy Powerl PLC                                                308     5,336   
Ryanair Holdings PLC ADR(a)                                     241    12,706   
                                                                 ---------
                                                                   677,797
                                                                 ---------
Italy--3.6%                                                                     
Alleanza Assicurazioni SpA                                    3,052    34,592   
Arnoldo Mondadori Editore SpA                                   876     8,442   
Assicurazioni Generali SpA                                    6,844   248,801   
Autogrill SpA                                                   763    11,749   
Autostrade SpA                                                2,056    57,771   
Banca Fideuram SpA                                            2,104    12,233   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
117th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 117th
Banca Intesa SpA                                             27,532   160,591   
Banca Intesa SpA--RNC                                         6,602    35,727   
Banca Monte dei Paschi di Sien SpA                            7,883    47,396   
Banca Popolare di Milano SCRL                                 2,984    37,976   
Banche Popolari Unite SCRL                                    2,493    64,534   
Banco Popolare di Verona e Novara SCRL                        2,654    71,082   
Benetton Group SPA                                              234     7,032   
Bulgari SpA                                                   1,062    12,026   
Capitalia SpA                                                11,939    97,763   
Enel SpA ADR                                                  6,112   262,938   
Eni SpA ADR                                                   9,242   542,967   
Fiat SpA ADR(a)                                               3,964    52,642   
Finmeccanica SpA                                              2,115    46,908   
Fondiaria-Sai SpA                                               500    20,411   
Gruppo Editoriale L'Espresso SpA                              1,205     6,427   
Italcementi SpA                                                 510    12,884   
Lottomatica SPA                                                 412    15,606   
Luxottica Group SpA                                              39     1,057   
Luxottica Group SpA ADR                                         956    25,936   
Mediaset SpA                                                  5,548    65,345   
Mediobanca SpA                                                3,369    65,884   
Mediolanum SpA                                                1,875    13,155   
Pirelli & Co. SpA                                            20,407    17,735   
San Paolo IMI SpA                                             7,936   140,257   
Seat Pagine Gialle SpA                                       30,050    13,968   
Snam Rete Gas SpA                                             6,965    30,595   
Telecom Italia SpA                                                3         8   
Telecom Italia SpA ADR (Ordinary)                             7,626   212,918   
Telecom Italia SpA ADR (Savings)                              4,351   111,864   
Terna SpA                                                     8,652    23,056   
Tiscali SpA(a)                                                1,879     5,573   
UniCredito Italiano SpA                                      55,453   433,568   
Unipol SpA                                                    6,400    18,603   
                                                                 ---------
                                                                 3,048,020
                                                                 ---------
Japan--22.8%                                                                    
77 Bank, Ltd.(The)                                            2,265    15,754   
Acom Co., Ltd.                                                2,248    30,531   
Aderans Co., Ltd.                                               242     6,536   
Advantest Corp.                                               2,135    54,656   
Aeon Co., Ltd.                                                4,082    89,776   
Aeon Credit Service Co., Ltd.                                   643    15,673   
Aiful Corp.                                                     570    30,442   
Aisin Seiki Co., Ltd                                          1,410    42,001   
Ajinomoto Co., Inc.                                           4,389    48,702   
Alfresa Holdings Corp.                                          171    10,638   
All Nippon Airways Co., Ltd.                                  4,000    15,404   
Alps Electric Co., Ltd.                                       1,196    14,968   
Amada Co., Ltd.                                               2,601    27,339   
Amano Corp                                                      388     5,778   
Aoyama Trading Co., Ltd.                                        432    13,545   
Arrk Corp.                                                      400     9,437   
Asahi Breweries, Ltd.                                         2,645    37,164   
Asahi Glass Co., Ltd.                                         6,640    84,368   
Asahi Kasei Corp.                                             8,604    56,329   
Asatsu-DK, Inc.                                                 228     7,381   
Asics Corp.                                                   1,100    11,220   
Astellas Pharma Inc.                                          3,859   142,011   
Autobacs Seven Co., Ltd.                                        179     7,808   
Bank of Fukoaka, Ltd.                                         3,956    30,128   
Bank of Kyoto Ltd. (The)                                      1,765    19,150   
Bank of Yokohama, Ltd.(The)                                   8,731    67,531   
Benesse Corp.                                                   470    16,239   
Bridgestone Corp.                                             4,361    84,216   
Canon Sales Co., Inc.                                           536    11,061   
Canon, Inc. ADR                                               4,976   364,591   
Casio Computer Co., Ltd.                                      1,553    29,715   
Central Glass Co., Ltd.                                       1,196     7,124   
Central Japan Railway Co.                                        11   109,711   
Chiba Bank, Ltd.(The)                                         5,451    51,033   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
118th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 118th
Chiyoda Corp.                                                 1,036  21,219     
Chubu Electric Power Co., Inc.                                4,415 119,381     
Chugai Pharmaceutical Co., Ltd.                               2,015  41,189     
Circle K Sunkus Co., Ltd.                                       293   6,341     
Citizen Watch Co., Ltd.                                       2,683  24,306     
Coca-Cola West Japan Co., Ltd.                                  342   7,255     
COMSYS Holdings Corp.                                           877  10,862     
Credit Saison Co., Ltd.                                       1,135  53,836     
CSK Holdings Corp.                                              479  21,872     
Dai Nippon Printing Co., Ltd.                                 4,446  68,819     
Daicel Chemical Industries Ltd.                               1,891  15,521     
Daido Steel Co., Ltd.                                         2,414  18,990     
Daifuku Co., Ltd.                                               600   9,909     
Daiichi Sankyo Co., Ltd.                                      5,299 145,997     
Daikin Industries, Ltd.                                       1,676  58,163     
Daimaru Inc.                                                  1,555  20,608     
Dainippon Ink & Chemicals, Inc.                               4,675  17,596     
Dainippon Screen Manufacturing Co., Ltd.                      1,439  13,185     
Daito Trust Construction Co., Ltd.                              550  30,545     
Daiwa House Industry Co., Ltd.                                3,471  55,567     
Daiwa Securities Group, Inc.                                  8,930 106,524     
Denki Kagaku Kogyo Kabushiki Kaisha                           3,310  13,800     
Denso Corp.                                                   3,773 123,654     
Dentsu Inc.                                                      12  33,242     
Dowa Mining Co., Ltd.                                         1,884  16,765     
E*Trade Securities Co., Ltd.                                      6   8,022     
eAccess Ltd.                                                      8   5,248     
East Japan Railway Co.                                           23 171,182     
Ebara Corp.                                                   2,384  10,199     
EDION Corp.                                                     500   9,929     
Eisai Co., Ltd. ADR                                           1,760  79,289     
Electric Power Development Co., Ltd.                          1,164  44,412     
Elpida Memory, Inc.(a)                                          462  17,402     
FamilyMart Co., Ltd.                                            468  13,510     
Fanuc, Ltd.                                                   1,241 111,593     
Fast Retailing Co., Ltd.                                        361  29,579     
Fuji Electric Holdings Co., Ltd.                              3,927  20,589     
Fuji Photo Film Co., Ltd.                                     3,432 115,343     
Fuji Soft ABC, Inc.                                             205   6,787     
Fuji Television Network, Inc.                                     4   8,893     
Fujikura Ltd.                                                 2,553  28,213     
Fujitsu, Ltd.                                                13,094 101,592     
Furukawa Electric Co. (The)                                   4,379  28,384     
Glory Ltd.                                                      444   8,562     
Goodwill Group, Inc. (The)                                        8   5,926     
Gunma Bank, Ltd.(The)                                         2,648  19,726     
Gunze Ltd.                                                    1,422   8,485     
Hakuhodo DY Holdings, Inc.                                      159  11,724     
Hankyu Department Stores, Inc.                                1,061   8,240     
Haseko Corp.(a)                                               5,300  18,046     
Hikari Tsushin, Inc.                                            158   8,553     
Hino Motors, Ltd.                                             1,798  10,479     
Hirose Electric Co., Ltd.                                       204  24,822     
Hitachi Cable Ltd.                                            1,175   5,454     
Hitachi Capital Corp.                                           340   5,959     
Hitachi Chemical Co., Ltd.                                      801  21,034     
Hitachi Construction Machinery Co., Ltd.                        668  16,133     
Hitachi High-Technologies Corp.                                 400  12,177     
Hitachi, Ltd. ADR                                             2,394 158,172     
Hokkaido Electric Power Co., Inc.                             1,260  29,950     
Hokugin Financial Group, Inc.                                 9,236  38,584     
Honda Motor Co., Ltd. ADR                                    11,143 354,570     
House Foods Corp.                                               518   7,839     
Hoya Corp. ADR                                                3,073 109,409     
Ibiden Co., Ltd.                                                863  41,573     
Index Holdings                                                    7   6,937     
INPEX Holdings, Inc.(a)                                           6  53,011     
Isetan Co., Ltd.                                              1,336  22,779     
Ishikawajima-Harima Heavy Industries Co., Ltd.                8,194  25,983     
Ito En, Ltd.                                                    444  16,249     
Itochu Corp.                                                 10,923  96,238     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
119th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 119th
Itochu Techno-Science Corp.                                     188   8,682     
Jafco Co., Ltd.                                                 214  12,888     
Japan Airlines System Corp.                                   4,000  10,044     
Japan Prime Realty Investment Corp.                               3   9,035     
Japan Real Estate Investment Corp.                                2  17,839     
Japan Retail Fund Investment Corp.                                2  15,751     
Japan Steel Works Ltd., (The)                                 2,400  16,460     
Japan Tobacco, Inc.                                              30 109,680     
JFE Holdings, Inc.                                            4,032 171,376     
JGC Corp.                                                     1,401  24,145     
Joyo Bank, Ltd.(The)                                          4,750  28,912     
JS Group Corp.                                                1,944  40,913     
JSR Corp.                                                     1,238  31,372     
JTEKT Corp.                                                   1,301  25,187     
Kajima Corp.                                                  6,407  29,434     
Kaken Pharmaceutical Co., Ltd.                                  578   4,343     
Kamigumi Co., Ltd.                                            1,830  13,928     
Kaneka Corp.                                                  2,257  20,543     
Kansai Electric Power Co., Inc. (The)                         5,462 122,354     
Kansai Paint Co., Ltd.                                        1,543  12,353     
Kao Corp. ADR                                                   352  92,222     
Katokichi Co., Ltd.                                             913   9,202     
Kawasaki Heavy Industries, Ltd. ADR                           2,177  29,327     
Kawasaki Kisen Kaisha, Ltd.                                   3,624  20,999     
KDDI Corp.                                                       16  98,577     
Keihin Electric Express Railway Co., Ltd.                     2,970  21,051     
Keio Electric Railway Co., Ltd.                               3,865  25,074     
Keisei Electric Railway Co., Ltd.                             1,795  10,147     
Keyence Corp.                                                   261  66,669     
Kikkoman Corp.                                                1,057  13,188     
Kinden Corp.                                                    971   8,332     
Kintetsu Corp.                                               11,581  38,667     
Kirin Brewery Co., Ltd                                        5,563  87,546     
Kobe Steel, Ltd.                                             19,188  60,136     
Kokuyo Co., Ltd.                                                548   9,170     
Komatsu, Ltd. ADR                                             1,627 129,516     
Komori Corp.                                                    380   8,104     
Konami Corp.                                                    635  14,351     
Konica Minolta Holdings, Inc.                                 3,318  42,029     
Kose Corp.                                                      210   6,619     
Kubota Corp. ADR                                              1,561  74,382     
Kuraray Co., Ltd.                                             2,607  29,213     
Kurita Water Industries, Ltd.                                   854  17,564     
Kyocera Corp. ADR                                             1,142  88,791     
Kyowa Hakko Kogyo Co., Ltd.                                   2,287  15,434     
Kyushu Electric Power Co., Inc.                               2,698  62,807     
Lawson, Inc.                                                    433  15,797     
Leopalace21 Corp.                                               893  30,796     
Mabuchi Motor Co., Ltd.                                         192  11,489     
Makita Corp.                                                    743  23,457     
Marubeni Corp.                                               10,090  53,977     
Marui Co., Ltd.                                               2,315  36,146     
Matsui Securities Co., Ltd.                                     821   7,797     
Matsumotokiyoshi Co., Ltd.                                      273   6,936     
Matsushita Electric Industrial Co., Ltd. ADR                 13,880 293,285     
Matsushita Electric Works, Ltd.                               2,312  25,746     
Mediceo Holdings Co., Ltd.                                    1,196  21,380     
Meiji Dairies Corp.                                           1,675  11,709     
Meiji Seika Kaisha, Ltd.                                      2,187  11,159     
Meitec Corp.                                                    235   7,670     
Millea Holdings, Inc.                                         1,978 184,013     
Minebea Co., Ltd. ADR                                         1,283  13,984     
Mitsubishi Chemical Holdings Corp.                            8,302  51,961     
Mitsubishi Corp. ADR                                          4,887 195,368     
Mitsubishi Electric Corp.                                    13,796 110,711     
Mitsubishi Estate Co., Ltd.                                   7,898 168,264     
Mitsubishi Gas Chemical Co., Inc.                             2,641  30,412     
Mitsubishi Heavy Industries, Ltd.                            22,590  97,708     
Mitsubishi Logistics Corp.                                      734  11,488     
Mitsubishi Materials Corp.                                    6,885  29,481     
Mitsubishi Rayon Co., Ltd.                                    3,828  31,226     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
120th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 120th
Mitsubishi Securities Co., Ltd.                               1,782  23,136     
Mitsubishi UFJ Financial Group Inc. ADR                      58,011 809,254     
Mitsui & Co., Ltd. ADR                                          538 151,824     
Mitsui Chemicals, Inc.                                        4,458  29,166     
Mitsui Engineering & Shipbuilding Co., Ltd.                   4,892  15,008     
Mitsui Fudosan Co., Ltd.                                      5,643 122,772     
Mitsui Mining & Smelting Co., Ltd.                            4,019  23,809     
Mitsui O.S.K. Lines, Ltd.                                     7,685  52,389     
Mitsui Sumitomo Insurance Co.                                 8,513 106,898     
Mitsui Trust Holdings, Inc.                                   3,804  45,619     
Mitsukoshi, Ltd.                                              2,887  13,223     
Mitsumi Electric Co., Ltd.                                      479   5,674     
Mizuho Financial Group, Inc.                                     65 551,860     
Murata Manufacturing Co., Ltd.                                1,475  95,944     
Namco Bandai Holdings, Inc.                                   1,506  22,967     
NEC Corp. ADR                                                14,485  77,205     
NEC Electronics Corp.                                           252   8,088     
Net One Systems Co., Ltd.                                         4   7,469     
NGK Insulators, Ltd.                                          1,849  21,674     
NGK Spark Plug Co., Ltd.                                      1,264  25,454     
NHK Spring Co., Ltd.                                          1,119  12,902     
Nichirei Corp.                                                1,741   9,332     
Nidec Corp.                                                     723  51,928     
Nikko Cordial Corp.                                           5,896  75,408     
Nikon Corp.                                                   2,107  36,901     
Nintendo Co., Ltd.                                              675 113,540     
Nippon Building Fund, Inc.                                        3  29,101     
Nippon Electric Glass Co., Ltd.                               1,611  32,311     
Nippon Express Co., Ltd.                                      5,716  30,961     
Nippon Kayaku Co., Ltd.                                       1,099   9,174     
Nippon Light Metal Co., Ltd.                                  3,276   8,992     
Nippon Meat Packers, Inc.                                     1,193  13,847     
Nippon Mining Holdings, Inc.                                  5,824  49,214     
Nippon Oil Corp.                                              8,912  65,281     
Nippon Sheet Glass Co., Ltd.                                  2,815  15,681     
Nippon Shokubai Co., Ltd.                                       934  11,451     
Nippon Steel Corp.                                           43,792 166,131     
Nippon Telegraph & Telephone ADR                              7,006 171,437     
Nippon Unipac Holding                                             6  24,564     
Nippon Yusen Kabushiki Kaisha                                 7,458  48,590     
Nishimatsu Construction Co., Ltd.                             1,849   6,904     
NISHI-NIPPON City Bank Ltd.                                   3,710  17,802     
Nissan Chemical Industries, Ltd.                              1,124  14,061     
Nissan Motor Co.,Ltd. ADR                                     8,098 177,994     
Nisshin Seifun Group, Inc.                                    1,300  14,523     
Nisshin Steel Co., Ltd.                                       6,097  19,649     
Nisshinbo Industries, Inc.                                    1,205  13,199     
Nissin Food Products Co., Ltd.                                  617  21,816     
Nitori Co., Ltd.                                                250  12,180     
Nitto Denko Corp.                                             1,156  82,449     
NOK Corp.                                                       802  23,313     
Nomura Holdings, Inc. ADR                                    12,450 234,060     
Nomura Real Estate Office Fund, Inc.                              1   7,929     
Nomura Research                                                 153  18,949     
NSK, Ltd.                                                     3,155  26,221     
NTN Corp.                                                     2,780  22,048     
NTT Data Corp.                                                    9  39,092     
NTT Docomo, Inc. ADR                                         11,618 170,320     
NTT Urban Development Corp.                                       2  15,675     
Obayashi Corp.                                                4,653  32,033     
Obic Co., Ltd.                                                   47   9,501     
Odakyu Electric Railway Co., Ltd.                             4,422  28,540     
Oji Paper Co., Ltd.                                           5,225  29,759     
Oki Electric Industry Co., Ltd.                               4,015   9,471     
OKUMA Corp.                                                   1,000  11,302     
Okumura Corp.                                                 1,258   6,991     
Olympus Corp.                                                 1,636  43,798     
Omron Corp.                                                   1,627  41,488     
Onward Kashiyama Co., Ltd.                                    1,001  15,420     
Oracle Corp., Japan                                             218  10,219     
Oriental Land Co., Ltd.                                         340  19,164     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
121st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 121st
Orix Corp. ADR                                                1,176 143,754     
Osaka Gas Co., Ltd.                                          14,357  46,217     
OSG Corp.                                                       600  10,120     
Otsuka Corp.                                                    100  11,285     
Park24 Co., Ltd.                                                300   8,870     
Pioneer Corp.                                                 1,100  17,763     
Promise Co., Ltd.                                               608  35,267     
QP Corp.                                                        685   6,513     
Rakuten, Inc.                                                    44  26,242     
Resona Holdings, Inc.(a)                                         31  98,011     
Ricoh Co., Ltd.                                                 957  94,982     
Rinnai Corp.                                                    240   6,375     
Rohm Co., Ltd.                                                  719  64,417     
Ryohin Keikaku Co., Ltd.                                        163  13,417     
Sanken Electric Co., Ltd.                                       718   9,138     
Sankyo Co., Ltd./Gunma                                          431  27,387     
Santen Pharmaceutical Co., Ltd.                                 527  12,543     
Sanwa Shutter Corp.                                           1,192   7,030     
Sanyo Electric Co., Ltd.                                     11,520  24,791     
Sapporo Holdings, Ltd.                                        1,751   8,872     
SBI Holdings, Inc.                                               51  22,574     
Secom Co., Ltd.                                               1,516  71,740     
Sega Sammy Holdings Inc. ADR                                  5,282  48,978     
Seiko Epson Corp.                                               926  25,243     
Seino Transportation Co., Ltd.                                1,002  10,602     
Sekisui Chemical Co., Ltd.                                    3,257  28,170     
Sekisui House, Ltd. ADR                                       3,864  53,102     
Seven & I Holdings Co., Ltd.                                  5,680 187,482     
SFCG Co., Ltd.                                                   38   8,664     
Sharp Corp.                                                   7,070 111,891     
Shimachu Co., Ltd.                                              315   8,244     
Shimamura Co., Ltd.                                             137  15,048     
Shimano, Inc.                                                   538  16,474     
Shimizu Corp.                                                 4,226  23,681     
Shin-Etsu Chemical Co., Ltd.                                  2,753 149,901     
Shinko Electric Industries Co., Ltd.                            500  14,521     
Shinko Securities Co., Ltd.                                   3,419  14,501     
Shinsei Bank, Ltd.                                            9,509  60,332     
Shionogi & Co., Ltd.                                          2,131  38,091     
Shiseido Co., Ltd.                                            2,591  50,892     
Shizuoka Bank, Ltd.(The)                                      4,138  44,700     
Showa Denko Kabushiki Kaisha                                  7,159  31,901     
Showa Shell Sekiyu Kabushiki Kaisha                           1,382  16,253     
Skylark Co., Ltd.                                               579  12,685     
SMC Corp.                                                       367  52,050     
Softbank Corp.                                                5,176 116,187     
Sojitz Corp.(a)                                               2,677  10,597     
Sompo Japan Insurance, Inc.                                   6,064  84,717     
Sony Corp. ADR                                                7,097 312,553     
Stanley Electric Co., Ltd.                                    1,072  22,188     
Sumco Corp.                                                     325  18,563     
Sumitomo Bakelite Co., Ltd.                                   1,233  11,611     
Sumitomo Chemical Co., Ltd.                                  10,532  87,977     
Sumitomo Corp. ADR                                            7,758 102,409     
Sumitomo Electric Industries, Ltd.                            5,074  74,403     
Sumitomo Heavy Industries, Ltd.                               4,042  37,388     
Sumitomo Metal Industries, Ltd. ADR                           2,977 122,919     
Sumitomo Metal Mining Co.                                     3,847  50,466     
Sumitomo Mitsui Financial Group, Inc.                            40 424,056     
Sumitomo Osaka Cement Co., Ltd.                               2,829   8,721     
Sumitomo Realty & Development                                 2,707  66,869     
Sumitomo Rubber Industries, Ltd.                              1,214  13,385     
Sumitomo Titanium Corp.                                         200  31,784     
Sumitomo Trust & Banking Co., Ltd. ADR                        8,966  98,041     
Suruga Bank Ltd.                                              1,351  18,313     
Suzuken Co., Ltd.                                               552  21,923     
T&D Holdings, Inc.                                            1,629 131,470     
Taiheiyo Cement Corp.                                         7,065  26,102     
Taiheiyo Cement Corp. ADR                                        39   1,440     
Taisei Corp.                                                  6,844  25,032     
Taisho Pharmaceutical Co., Ltd.                               1,135  22,272     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
122nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 122nd
Taiyo Nippon Sanso Corp.                                      1,828     14,518  
Taiyo Yuden Co., Ltd.                                           728      9,249  
Takara Holdings, Inc.                                         1,209      7,074  
Takashimaya Co., Ltd.                                         1,921     24,150  
Takeda Chemical Industries, Ltd.                              6,352    395,829  
Takefuji Corp.                                                  740     44,156  
Tanabe Seiyaku Co., Ltd.                                      1,618     19,974  
Tdk Corp. ADR                                                   894     67,747  
Teijin, Ltd.                                                  6,040     38,424  
Terumo Corp.                                                  1,177     39,355  
THK Co., Ltd.                                                   791     23,645  
TIS Inc.                                                        247      6,918  
Tobu Railway Co., Ltd.                                        5,826     27,818  
Toda Corp.                                                    1,522      7,365  
Toho Co., Ltd.                                                1,021     20,459  
Toho Titanium Co., Ltd.                                         200     10,812  
Tohoku Electric Power Co., Inc.                               2,976     65,327  
Tokai Rika Co., Ltd.                                            400      8,818  
Tokuyama Corp.                                                1,658     24,698  
Tokyo Broadcasting System, Inc.                                 300      7,233  
Tokyo Electric Power Co., Inc. (The)                          8,162    225,760  
Tokyo Electron, Ltd.                                          1,142     79,889  
Tokyo Gas Co., Ltd.                                          16,124     76,073  
Tokyo Seimitsu Co., Ltd.                                        200     10,392  
Tokyo Steel Manufacturing Co., Ltd.                             729     15,993  
Tokyo Style Co., Ltd.                                           456      5,434  
Tokyo Tatemono Co., Ltd.                                      1,812     19,455  
Tokyu Corp.                                                   7,532     44,107  
Tokyu Land Corp.                                              2,809     21,909  
TonenGeneral Sekiyu K.K.                                      2,216     22,816  
Toppan Printing Co., Ltd.                                     3,942     44,559  
Toray Industries, Inc.                                        9,513     82,646  
Toshiba Corp.                                                20,884    136,510  
Tosoh Corp.                                                   3,386     13,518  
Toto Ltd.                                                     2,015     19,256  
Toyo Seikan Kaisha, Ltd.                                      1,141     20,738  
Toyo Suisan Kaisha, Ltd.                                        582      9,127  
Toyobo Co., Ltd.                                              4,445     12,613  
Toyoda Gosei Co., Ltd.                                          477      9,594  
Toyota Industries Corp.                                       1,333     52,753  
Toyota Motor Corp. Sponsored ADR                             10,216  1,068,492  
Toyota Tsusho Corp.                                           1,401     33,704  
Trend Micro Inc.                                                652     22,036  
Ube Industries, Ltd.                                          6,417     18,596  
Uni-Charm Corp.                                                 281     15,553  
Uniden Corp.                                                    348      3,868  
UNY Co., Ltd.                                                 1,132     16,713  
Ushio, Inc.                                                     747     15,811  
USS Co., Ltd.                                                   165     10,916  
Wacoal Corp.                                                    726     10,171  
West Japan Railway Co.                                           11     45,662  
Yahoo! Japan Corp.                                              102     54,115  
Yakult Honsha Co., Ltd.                                         711     19,328  
Yamada Denki Co., Ltd.                                          552     56,302  
Yamaha Corp.                                                  1,217     22,889  
Yamaha Motor Co., Ltd.                                        1,276     33,470  
Yamato Transport Co., Ltd.                                    2,676     47,537  
Yamazaki Baking Co., Ltd.                                       838      7,517  
Yaskawa Electric Corp.                                        1,276     14,885  
Yokogawa Electric Corp.                                       1,377     19,690  
Zeon Corp.                                                    1,182     14,116  
                                                                  ----------
                                                                  19,318,433
                                                                  ----------
Luxembourg--0.2%                                                                
Arcelor ADR                                                   3,865    186,807  
                                                                  ----------
Netherlands--5.3%                                                               
ABN AMRO Holding NV ADR                                      12,750    348,840  

The accompanying notes are an integral part of these financial statements.  

N-CSRS
123rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 123rd
Aegon NV ADR                                                 10,237   174,746   
Akzo Nobel NV ADR                                             1,975   106,195   
ASML Holding NV(a)                                            3,504    70,851   
Buhrmann NV ADR                                                 775    11,199   
Corio NV                                                        274    17,039   
Euronext NV                                                     689    64,631   
Fugro NV                                                        400    17,227   
Getronics NV                                                    914     9,814   
Hagemeyer NV(a)                                               3,791    17,458   
Heineken NV                                                   1,719    72,812   
Ing Groep NV ADR                                             13,357   525,197   
Koninklijke Ahold NV ADR(a)                                  11,110    96,102   
Koninklijke DSM NV                                              900    37,433   
Koninklijke DSM NV ADR                                        4,310    44,860   
Koninlijke Philips Electronics NV                             9,025   281,038   
OCE NV ADR                                                      555     8,147   
Qiagen NV(a)                                                  1,015    13,743   
Randstad Holdings NV                                            315    18,451   
Reed Elsevier NV ADR                                          2,490    74,700   
Rodamco Europe NV                                               405    39,676   
Royal Dutch Shell PLC ADR Class A                            14,091   943,816   
Royal Dutch Shell PLC ADR Class B                             9,843   687,730   
Royal KPN NV ADR                                             13,817   155,718   
Royal Numico NV                                               1,190    53,360   
SBM Offshore NV                                                 936    24,903   
STMicroelectronics NV                                         4,881    78,438   
TNT NV ADR                                                    2,996   107,258   
Unilever NV ADR                                              12,233   275,853   
Vedior NV                                                     1,178    24,716   
Wereldhave NV                                                   141    13,693   
Wolters Kluwer NV                                             2,075    49,005   
                                                                 ---------
                                                                 4,464,649
                                                                 ---------
New Zealand--0.1%                                                               
Auckland International Airport, Ltd.                          6,975     9,240   
Contact Energy, Ltd.                                          2,070     8,995   
Fisher & Paykel Appliances Holdings Ltd.                      1,854     5,216   
Fisher & Paykel Healthcare Corp., Ltd.                        3,603     9,488   
Fletcher Building, Ltd.                                       3,402    18,994   
Kiwi Income Property Trust                                    5,094     4,256   
Sky City Entertainment Group, Ltd.                            3,027     9,972   
Sky Network Television, Ltd.                                  1,427     5,005   
Telecom Corporation of New Zealand, Ltd. ADR                  1,743    34,668   
Tower, Ltd.(a)                                                2,065     4,335   
Vector, Ltd.                                                  1,748     2,602   
Warehouse Group, Ltd.                                           996     3,015   
                                                                 ---------
                                                                   115,786
                                                                 ---------
Norway--0.8%                                                                    
Aker Kvaerner ASA                                               200    18,778   
DET Norske Oljeselskap ASA                                    6,400    12,855   
DNB NOR ASA                                                   4,873    60,593   
Norsk Hydro A/S ADR                                           5,225   139,559   
Norske Skogindustrier ASA                                     1,235    18,099   
Ocean RIG ASA(a)                                              1,300     9,135   
Orkla ASA                                                       100     4,630   
Orkla ASA ADR Class A                                         1,307    60,597   
Petrojarl ASA(a)                                                430     2,833   
Petroleum Geo-Services ASA(a)                                   430    26,060   
Prosafe ASA                                                     282    17,229   
Schibsted ASA                                                   330     8,787   
Statoil ASA ADR                                               4,806   137,067   
Storebrand ASA                                                1,648    17,017   
Tandberg ASA                                                    878     7,258   
Tandberg Television ASA(a)                                      530     8,788   
Telenor ASA                                                   1,883    68,711   
TGS Nopec Geophysical Co. ASA(a)                                800    14,182   
Tomra Systems ASA                                               100       812   
Tomra Systems ASA                                             1,234    10,012   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
124th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 124th
Yara International ASA ADR                                    1,485  19,808     
                                                               -------
                                                               662,810
                                                               -------
Portugal--0.3%                                                                  
Banco BPI SA                                                  2,161  16,430     
Banco Comercial Portugues SA, Class R                        14,023  39,824     
Banco Espirito Santo SA                                       1,426  19,213     
Brisa-Auto Estradas de Portugal SA                            2,112  22,000     
Cimpor Cimentos de Portugal SA                                1,668  11,104     
Electricidade DE Portugal ADR                                 1,439  56,581     
Jeronimo Martins                                                357   6,097     
Portugal Telecom SGPS SA ADR                                  5,678  68,420     
PT Multimedia Servicos de Telecommicacaroes e Multimedia                        
SGPS SA                                                       554   6,409   
Sonae Industria SGPS SA/New(a)                                  565   4,861     
Sonae SGPS SA                                                 5,713   8,541     
                                                               -------
                                                               259,480
                                                               -------
Singapore--0.8%                                                                 
Allgreen Properties., Ltd.                                    2,944   2,351     
Ascendas Real Estate Investmentment Trust                     6,813   8,298     
Capitaland, Ltd.                                              4,086  23,254     
CapitaMall Trust                                              5,891   7,894     
Chartered Semiconductor Manufacturing, Ltd. ADR(a)              722   6,281     
City Developments Ltd.                                          300   1,774     
City Developments, Ltd. ADR                                   3,232  19,110     
ComfortDelgro Corp., Ltd.                                    12,583  12,187     
Cosco Corp. Singapore, Ltd.                                   5,256   4,201     
Creative Technology, Ltd.                                       374   2,082     
DBS Group Holdings ADR                                        2,002  91,659     
Fraser And Neave, Ltd.                                        6,070  15,401     
Haw Par Corp., Ltd.                                             700   2,526     
Jardine Cycle & Carriage, Ltd.                                  875   5,538     
Keppel Corp., Ltd. ADR                                        1,939  36,049     
Keppel Land, Ltd.                                             2,371   6,079     
Neptune Orient Lines Ltd. ADR                                   787   3,603     
Noble Group, Ltd.                                             6,732   4,660     
Olam International Ltd.                                       4,203   3,834     
Overseas-Chinese Banking Corp., Ltd.                         17,650  73,683     
Parkway Holdings, Ltd.                                        4,265   6,681     
SembCorp Industries, Ltd.                                     5,552  11,391     
SembCorp Marine Ltd.                                          3,640   6,922     
Singapore Airlines, Ltd.                                      3,679  29,543     
Singapore Airlines, Ltd.                                        300   2,415     
Singapore Exchange Ltd.                                       5,731  12,728     
Singapore Land, Ltd.                                            917   3,648     
Singapore Petroleum Co., Ltd.                                   928   2,970     
Singapore Post, Ltd.                                          9,543   6,517     
Singapore Press Holdings, Ltd.                               10,724  27,950     
Singapore Technologies Engineering, Ltd.                      9,393  17,197     
Singapore Telecommunications, Ltd. ADR                        5,358  86,061     
SMRT Corp. Ltd.                                               4,296   3,041     
STATS ChipPAC, Ltd. ADR(a)                                      904   5,659     
Suntec Real Estate Investment Trust                           6,069   4,758     
United Overseas Bank, Ltd.                                    4,141  81,702     
United Overseas Land, Ltd.                                    3,587   6,503     
Venture Corp., Ltd.                                           1,705  11,444     
Want Want Holdings Ltd.                                       3,240   4,372     
Wing Tai Holdings, Ltd.                                       3,301   2,972     
                                                               -------
                                                               664,938
                                                               -------
Spain--3.6%                                                                     
Abertis Infraestructuras SA                                   1,656  38,774     
Acciona SA                                                      194  30,090     
Acerinox SA                                                   1,352  23,439     
ACS Actividades Cons y Serv                                   1,731  72,111     
Altadis SA                                                    1,960  92,521     
Antena 3 Television SA                                          551  12,582     
Banco Bilbao Vizcaya ADR                                     24,145 497,387     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
125th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 125th
Banco Popular Espanol SA                                      6,029    89,867 
Banco Santander Central Hispano                              42,022   614,362 
Cintra Concesiones de Infraestructuras de Transporte SA       1,438    18,769 
Corporacion Mapfre SA                                         4,112    15,174 
Ebro Puleva SA                                                  590    12,102 
Endesa SA ADR                                                 6,720   215,846 
Fadesa Inmobiliaria SA                                          400    13,695 
Fomento de Connstrucciones Y Contratas SA                       310    23,548 
Gamesa Corporacion Tecnologica, SA                            1,187    25,397 
Gas Natural SDG SA                                            1,238    37,795 
Grupo Ferrovial SA                                              466    35,527 
Iberdrola SA                                                  5,801   199,576 
Iberia Lineas Aereas de Espana                                3,432     8,851 
Inditex SA                                                    1,564    65,915 
Indra Sistemas SA                                               855    16,770 
Inmobiliaria Colonial SA                                        203    16,115 
Metrovacesa SA                                                  310    27,983 
NH Hoteles SA                                                   450     8,063 
Promotora de Informaciones SA                                   544     8,722 
Repsol SA ADR                                                 6,605   185,336 
Sacyr Vallehermoso SA                                           736    24,572 
Sociedad General de Aguas de Barcelona SA                       442    12,269 
Sogecable SA(a)                                                 272     7,816 
Telefonica Publicidad e Informaciones SA                      1,141    12,340 
Telefonica SA ADR                                            10,613   527,891 
Union Fenosa SA                                                 959    37,120 
Zeltia SA                                                     1,219     8,954 
Zeltia SA Rights(a)                                           1,019       143 
                                                                   ---------
                                                                   3,037,422
                                                                   ---------
Sweden--2.3%                                                                  
Alfa Laval AB                                                   650    19,520 
Assa Abloy AB - Class B                                       2,208    37,097 
Atlas Copco AB ADR - Class A                                  2,445    67,884 
Atlas Copco AB ADR - Class B                                  1,411    36,629 
Atlas Copco AB - Class B                                        100     2,600 
Axfood AB                                                       203     5,834 
Billerud AB                                                     262     3,467 
Boliden AB                                                    2,100    38,578 
Capio AB(a)                                                     665    11,920 
Castellum AB                                                  1,135    11,612 
D Carnegie & Co. AB                                             498     9,105 
Electrolux AB, Class A, ADR                                     974    28,124 
Elekta AB Class B                                               602    10,183 
Eniro AB                                                      1,202    12,625 
Ericsson ADR                                                 10,818   357,427 
Fabege AB                                                       546    10,157 
Getinge AB                                                    1,337    22,720 
Hennes & Mauritz AB, Class B                                  3,350   129,595 
Hoganas AB Class B                                              186     4,619 
Holmen AB Class B                                               359    14,472 
Husqvarna AB-ADR                                                974    23,460 
Kungsleden AB                                                 1,030    12,083 
Lundin Petroleum AB(a)                                        1,267    15,320 
Modern Times Group AB - B Shares                                345    18,117 
Modern Times Group AB - Redemption B Shares                     345     1,180 
Nobia AB                                                        400    12,994 
Nordea Bank AB                                               15,343   182,779 
OMX AB                                                          546     9,745 
Oriflame Cosmetics SA SDR                                       302    10,036 
Oriflame Cosmetics Rights(a)                                    202       217 
Sandvik AB                                                    1,468    85,338 
SAS AB(a)                                                       529     5,557 
Scania AB, Class B                                              750    34,031 
Securitas AB, Class B                                         2,213    42,400 
Skandinaviska Enskilda Banken AB, Class A                     3,332    79,290 
Skanska AB                                                    2,679    41,263 
SKF AB - B Shares                                             2,638    41,565 
SKF AB ADR                                                      200     3,151 
Ssab Svenskt Stal AB - Series A                               1,029    20,460 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
126th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 126th
Ssab Svenskt Stal AB - Series B                                 483     9,105 
Svenska Cellulosa AB ADR                                      1,339    55,300 
Svenska Handelbanken AB                                       3,712    95,538 
Swedish Match AB                                              2,281    36,707 
Tele2 AB - B Shares                                           2,240    22,611 
Telelogic AB(a)                                               1,707     3,783 
TeliaSonera AB                                               13,134    74,426 
Trelleborg AB, Class B                                          551     9,389 
Volvo AB ADR                                                  1,561    76,504 
Volvo AB, Class A                                               650    31,318 
Wihlborgs Fastigheter AB                                        210     3,609 
WM-data AB Class B                                            2,209     6,798 
                                                                   ---------
                                                                   1,898,242
                                                                   ---------
Switzerland--6.4%                                                             
Abb, Ltd.                                                    14,388   186,469 
Adecco SA ADR                                                 3,742    55,232 
Ciba Specialty Chemicals AG, ADR                                980    27,371 
Clariant AG, Registered                                       1,633    23,074 
Compagnie Financiere Richemont AG Class A                     3,773   172,048 
Credit Suisse Group                                           8,233   460,966 
Geberit AG                                                       27    31,144 
Givaudan SA, Registered                                          45    35,313 
Holcim Ltd.                                                   1,466   112,159 
Kudelski SA                                                     239     5,751 
Kuehne & Nagel International AG                                 365    26,569 
Kuoni Reisen Holding AG Class B(a)                               19    10,640 
Logitech International SA(a)                                    572    22,182 
Lonza Group AG, Registered                                      257    17,557 
Micronas Semiconductor Holdings AG                              221     5,944 
Nestle SA ADR                                                11,350   889,469 
Nobel Biocare Holding AG                                        157    37,140 
Novartis AG ADR                                              16,589   894,479 
Phonak Holding AG                                               289    18,017 
PSP Swiss Property AG(a)                                        355    18,301 
Rieter Holding AG                                                30    11,498 
Roche Holding AG ADR                                         10,141   836,529 
Schindler Holding AG                                            350    18,065 
Serono SA ADR                                                 1,461    25,056 
SGS SA                                                           29    27,469 
SIG Holding AG(a)                                                42     9,217 
Straumann Holding AG                                             52    13,246 
Sulzer AG                                                        25    18,687 
Swatch Group AG                                                 366    12,732 
Swatch Group AG, Class B                                        225    37,842 
Swiss Reinsurance Co. ADR                                     2,466   172,016 
Swisscom AG ADR                                               1,252    41,253 
Syngenta AG ADR                                               3,596    95,511 
UBS AG, Registered                                            7,388   807,111 
Unaxis Holding AG(a)                                             38    10,528 
Zurich Financial Services ADR                                10,339   226,193 
                                                                   ---------
                                                                   5,412,778
                                                                   ---------
United Kingdom--21.7%                                                         
3I Group PLC                                                  3,995    66,523 
Acergy SA ADR(a)                                              1,411    21,588 
Aegis Group PLC                                               6,100    14,664 
Aggreko PLC                                                   1,776     9,422 
Alliance Unichem PLC                                          1,767    33,364 
Amec PLC                                                      2,328    13,684 
Amvescap PLC                                                  2,618    48,407 
Anglo American PLC                                           10,121   412,990 
ARM Holdings PLC ADR                                          3,289    20,589 
Arriva PLC                                                    1,440    15,862 
Associated British Ports Holdings PLC                         2,147    35,986 
Astrazeneca PLC ADR                                          11,280   674,770 
Aviva PLC                                                    17,158   242,878 
BAA PLC                                                       7,737   133,512 
BAE Systems PLC                                               5,753   157,372 

The accompanying notes are an integral part of these financial statements.  

N-CSRS
127th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 127th
Balfour Beatty PLC                                            3,074    19,487   
Barclays PLC ADR                                             11,483   525,692   
Barratt Developments PLC                                      1,702    29,780   
BBA Group PLC                                                 3,511    17,229   
Bellway PLC                                                     856    18,340   
Berkeley Group Holdings (The)(a)                                630    14,121   
BG Group PLC ADR                                              5,070   339,082   
BHP Billiton PLC                                              8,800   344,608   
BOC Group PLC ADR                                             1,806   105,651   
Boots Group PLC                                               3,514    49,961   
Bovis Homes Group PLC                                           892    13,228   
BP PLC ADR                                                   24,651 1,715,956   
Brambles Industries PLC                                       5,203    41,361   
British Airways ADR(a)                                          408    25,912   
British American Tobacco PLC ADR                              5,619   284,940   
British Land Co. PLC                                          3,705    86,548   
British Sky Broadcasting PLC                                  2,122    90,164   
Brixton PLC                                                   1,781    15,761   
BT Group PLC ADR                                              5,936   262,905   
Bunzl PLC ADR                                                   480    27,624   
Burberry Group PLC                                            3,338    26,520   
Cadbury Schweppes PLC ADR                                     3,693   143,362   
Capita Group PLC                                              4,678    39,892   
Carnival PLC                                                  1,188    48,446   
Carphone Warehouse Group PLC                                  2,800    16,406   
Cattles PLC                                                   2,305    14,016   
Centrica PLC ADR                                              2,601   137,225   
Charter PLC(a)                                                1,200    17,918   
Close Brothers Group PLC                                        957    16,096   
Cobham PLC                                                    8,000    24,673   
Collins Stewart Tullett PlC.                                  1,500    21,057   
Compass Group PLC ADR                                        15,387    74,635   
Cookson Group PLC                                             1,399    13,570   
Corus Group PLC                                               6,333    53,328   
CSR PLC(a)                                                      900    20,931   
Daily Mail & General Trust                                    2,140    24,252   
Davis Service Group PLC                                       1,179    10,279   
De La Rue PLC                                                 1,166    11,765   
Diageo PLC ADR                                                5,133   346,735   
DSG International PLC                                        13,160    46,436   
Eircom Group PLC                                              3,862    10,733   
Electrocomponents PLC                                         3,122    13,351   
Emap PLC                                                      1,896    29,807   
EMI Group PLC ADR                                             2,841    31,922   
Enterprise Inns PLC                                           2,504    43,864   
First Choice Holidays PLC                                     3,600    15,207   
Firstgroup PLC                                                2,781    24,080   
FKI PLC                                                       4,173     8,274   
Friends Provident PLC                                        12,254    40,527   
Gallaher Group PLC ADR                                        1,175    73,485   
GKN PLC                                                       5,141    25,958   
GlaxoSmithKline PLC ADR                                      20,927 1,167,727   
Great Portland Estates PLC                                    1,141    10,540   
Group 4 Securicor PLC                                         8,110    25,122   
GUS PLC ADR                                                   6,273   112,079   
Hammerson PLC                                                 2,050    44,822   
Hanson PLC ADR                                                1,037    63,050   
Hays PLC                                                     10,899    27,178   
HBOS PLC                                                      9,145   476,980   
HMV Group PLC                                                 2,823     8,953   
HSBC Holdings PLC ADR                                        16,092 1,421,729   
ICAP PLC                                                      3,512    32,284   
IMI PLC                                                       2,485    22,920   
Imperial Chemical Industries PLC ADR                          2,126    56,764   
Imperial Tobacco Group ADR                                    2,514   155,214   
Inchcape PLC                                                  3,240    28,261   
Intercontinental Hotels Group PLC ADR                         2,726    47,978   
International Power PLC ADR                                   1,034    55,112   
Intertek Group PLC                                            1,100    14,219   
Invensys PLC ADR                                              1,400       997   
Invensys PLC(a)                                              53,949    19,182   

The accompanying notes are an integral part of these financial statements.  

N-CSRS
128th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 128th
Investec PLC                                                    500  23,859     
ITV PLC                                                      29,398  58,650     
J Sainsbury PLC ADR                                           2,597  64,268     
Johnson Matthey PLC ADR                                         786  38,583     
Kelda Group PLC                                               2,676  37,832     
Kesa Electricals PLC                                          3,768  20,107     
Kingfisher PLC ADR                                            8,404  74,143     
Ladbrokes PLC-ADR                                             4,073  30,698     
Land Securities Group PLC                                     3,317 109,937     
Legal & General Group PLC ADR                                 9,317 110,502     
Liberty International PLC                                       200   3,935     
Liberty International PLC                                     1,598  31,477     
Lloyds Tsb Group PLC ADR                                      9,937 392,213     
LogicaCMG PLC                                                 8,139  26,236     
London Stock Exchange Group PLC                               1,150  24,205     
Man Group PLC                                                 2,106  99,162     
Marks & Spencer Group ADR                                     1,986 129,370     
Meggitt PLC                                                   3,109  18,328     
MFI Furniture PLC                                             4,252   8,493     
Michael Page International PlC                                2,400  15,544     
Misys PLC                                                     3,588  14,243     
National Express Group PLC                                      984  16,125     
National Grid PLC ADR                                         3,882 209,861     
Next PLC                                                      1,719  51,814     
Old Mutual PLC                                               39,124 118,159     
PartyGaming PLC                                               7,100  15,185     
Pearson PLC                                                   5,751  78,501     
Persimmon PLC                                                 2,021  46,068     
Premier Farnell PLC                                           2,603   8,533     
Provident Financial PLC                                       1,780  20,212     
Prudential Corp. PLC                                          8,521 195,387     
Punch Taverns PLC                                             1,917  30,982     
Rank Group PLC                                                4,462  16,443     
Reckitt Benckiser PLC                                         4,354 162,492     
Reed Elsevier PLC ADR                                         2,274  91,506     
Rentokil Initial PLC ADR                                      2,601  37,523     
Resolution PLC                                                1,450  17,972     
Reuters Group PLC                                             1,665  70,779     
Rexam PLC ADR                                                   781  38,481     
Rio Tinto PLC ADR                                             1,875 393,206     
Rolls-Royce Group PLC ADR                                     2,514  96,251     
Royal & Sun Alliance Insurance Group ADR                      4,179  52,321     
Royal Bank of Scotland Group PLC                             22,739 746,546     
SABmiller PLC                                                 6,401 115,371     
Sage Group PLC (The)                                          9,146  39,000     
Schroders PLC                                                   920  17,160     
Scottish & Newcastle PLC                                      5,704  53,717     
Scottish & Southern Energy ADR                                6,176 131,477     
Scottish Power PLC ADR                                        2,638 113,803     
Serco Group PLC                                               3,285  19,416     
Severn Trent PLC                                              2,515  54,388     
Signet Group PLC ADR                                          1,236  21,964     
Slough Estates PLC                                            3,050  34,447     
Smith & Nephew PLC ADR                                        1,328  51,168     
Smiths Group PLC                                              4,070  67,007     
Societe Generale ADR                                         12,710 373,790     
Sportingbet PLC                                               2,700  19,651     
SSL International PLC                                         1,398   7,671     
Stagecoach Group PLC                                          5,790  12,329     
Stolt-Nielsen SA ADR                                            328   7,724     
Synthes, Inc.                                                   312  37,493     
Tate & Lyle PLC ADR                                             880  39,421     
Taylor Woodrow PLC                                            4,118  25,400     
Tesco PLC ADR                                                18,725 347,023     
Tomkins PLC ADR                                               1,370  29,524     
Travis Perkins PLC                                              865  24,180     
Trinity Mirror PLC                                            2,065  18,617     
Unilever PLC                                                  8,838 199,209     
United Business Media PLC                                     2,005  23,980     
United Utilities PLC                                            668   7,912     
United Utilities PLC ADR                                      3,093  73,335     

The accompanying notes are an integral part of these financial statements.  

N-CSRS
129th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 129th
                                                                [Download Table]
                                                                             
Vodafone Group PLC ADR                                   44,162      940,651 
Whitbread PLC                                             1,610       34,679 
Whitbread PLC                                             1,895        5,433 
William Hill PLC                                          2,729       31,600 
Wimpey (George) PLC                                       2,791       23,442 
Wolseley PLC ADR                                          2,066       92,515 
WPP Group PLC ADR                                         1,698      102,372 
Xstrata PLC                                               3,200      121,822 
Yell Group PLC                                            5,582       52,763 
                                                                 ----------- 
                                                                  18,363,408 
                                                                 ----------- 
TOTAL COMMON STOCKS (Cost $69,554,474)                            79,942,741 
                                                                 ----------- 
EXCHANGE TRADED FUNDS--5.1%                                                  
United States--5.1%iShares MSCI EAFE Index Fund (Cost                        
  $4,198,462)                                            65,388    4,275,722 
                                                                 ----------- 
PREFERRED STOCKS--0.1%                                                       
Germany--0.1%                                                                
Porsche AG                                                   53       51,254 
ProSiebenSat.1 Media AG                                     617       15,396 
RWE AG                                                      267       20,046 
Volkswagen AG                                               810       40,540 
                                                                 ----------- 
TOTAL PREFERRED STOCKS (Cost $104,007)                               127,236 
                                                                 ----------- 
                                                       Principal             
                                                        Amount               
                                                       ---------             
SHORT-TERM INVESTMENTS--0.6%                                                 
United States--0.6%                                                          
The Bank of New York Cash Reserve (Cost $563,053)      $563,053      563,053 
                                                                 ----------- 
TOTAL INVESTMENTS (Cost $74,419,996) --100.3%                     84,908,752 
                                                                 ----------- 
LIABILITIES IN EXCESS OF OTHER ASSETS--(0.3%)                       (276,337)
                                                                 ----------- 
NET ASSETS--100.0%                                               $84,632,415 
                                                                 =========== 

(a) Represents non-income producing securities.                                 
ADR - American Depositary Receipt.                                              

The accompanying notes are an integral part of these financial statements.  

N-CSRS
130th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 130th
E*Trade International Index Fund                                                
Representation of Holdings                                                      
June 30, 2006 (Unaudited)                                                       

                                                                [Download Table]

                                                          % of Total 
Industry                                     Market Value Net Assets 
--------                                     ------------ ---------- 
                                                                     
BANKING                                      $15,164,170        17.8%
OIL & GAS                                      7,539,222         8.9%
PHARMACEUTICALS                                5,163,882         6.1%
EXCHANGE TRADED FUNDS                          4,275,722         5.1%
INSURANCE                                      3,861,458         4.5%
TELECOMMUNICATIONS                             3,271,830         3.8%
ELECTRIC UTILITIES                             3,222,142         3.8%
AUTOMOTIVE                                     3,056,750         3.6%
COMMUNICATIONS                                 2,727,297         3.2%
CHEMICALS                                      2,503,753         3.0%
BEVERAGES, FOOD AND TOBACCO                    2,411,269         2.8%
ELECTRONICS                                    2,327,007         2.7%
METALS & MINING                                2,243,917         2.6%
MANUFACTURING                                  2,192,835         2.6%
FINANCIAL SERVICES                             1,863,612         2.2%
FOOD RETAILERS                                 1,862,427         2.2%
REAL ESTATE                                    1,829,297         2.2%
MEDIA - BROADCASTING & PUBLISHING              1,438,347         1.7%
TRANSPORTATION                                 1,378,244         1.6%
BUILDING MATERIALS                             1,231,908         1.5%
RETAILERS                                      1,109,093         1.3%
COMPUTER SOFTWARE & PROCESSING                   939,338         1.1%
COMMERCIAL SERVICES                              917,068         1.1%
DISTRIBUTION/WHOLESALE                           907,126         1.1%
RETAIL                                           902,482         1.1%
HEAVY CONSTRUCTION                               843,583         1.0%
ENTERTAINMENT & LEISURE                          663,554         0.8%
STEEL PRODUCTION                                 602,038         0.7%
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES      561,346         0.7%
WATER COMPANIES                                  525,758         0.6%
TEXTILES, CLOTHING & FABRICS                     491,086         0.6%
AEROSPACE & DEFENSE                              475,101         0.6%
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT         457,675         0.5%
ENGINEERING & CONSTRUCTION                       414,409         0.5%
COSMETICS & PERSONAL CARE                        412,467         0.5%
MEDICAL & BIO-TECHNOLOGY                         387,390         0.5%
MACHINERY, EQUIPMENT, AND SUPPLIES               382,201         0.5%
AIRLINES                                         345,148         0.4%
DIVERSIFIED FINANCIAL SERVICES                   320,051         0.4%
HEAVY MACHINERY                                  298,224         0.4%
FOREST PRODUCTS & PAPER                          297,765         0.4%
COMPUTERS, PERIPHERAL & SOFTWARE                 296,301         0.4%
HAND/MACHINE TOOLS                               280,147         0.3%
HOLDING COMPANIES                                274,040         0.3%
HEALTH CARE PROVIDERS                            272,902         0.3%
ADVERTISING                                      249,054         0.3%
HOTELS AND GAMING                                186,398         0.2%
REAL ESTATE INVESTMENT TRUSTS                    161,937         0.2%

N-CSRS
131st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 131st
E*Trade International Index Fund                                                
Representation of Holdings                                                      
June 30, 2006 (Unaudited) (continued)                                           

                                                                [Download Table]

                                                                     % of Total 
Industry                                                Market Value Net Assets 
--------                                                ------------ ---------- 
                                                                                
TRANSPORTATION SERVICES                                 $   158,869         0.2%
APPAREL AND OTHER TEXTILE PRODUCTS                          137,877         0.2%
HEALTH CARE PRODUCTS AND SERVICES                           135,798         0.2%
LEISURE TIME                                                106,725         0.1%
CONTAINERS & PACKAGING                                       90,463         0.1%
VENTURE CAPITAL                                              79,411         0.1%
UTILITIES - GAS AND ELECTRIC                                 72,696         0.1%
ENERGY - ALTERNATE SOURCES                                   25,089         0.0%
SHORT TERM INVESTMENTS & OTHER ASSETS LESS LIABILITIES      286,716         0.3%
                                                        -----------       ----- 
                                                        $84,632,415       100.0%
                                                        ===========       ===== 

N-CSRS
132nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 132nd
E*TRADE INTERNATIONAL INDEX FUND                                                
STATEMENT OF ASSETS AND LIABILITIES                                             
June 30, 2006 (Unaudited)                                                       

ASSETS                                                                          
Investments at market value (Cost: $74,419,996) (Note 2)     $84,908,752        
Foreign currency at value (Cost: $112,215)                       113,194        
Cash                                                              20,293        
Receivable for fund shares purchased                             141,895        
Receivable for securities sold                                   483,040        
Due from E*TRADE Asset Management, Inc. (Note 3)                  94,261        
Dividends and interest receivable                                241,077        
                                                     -----------
TOTAL ASSETS                                               86,002,512     
                                                     -----------
LIABILITIES                                                                     
Distribution payable                                             915,381        
Payable for securities purchased                                 213,808        
Payable for fund shares redeemed                                 180,005        
Accrued advisory fee (Note 3)                                     16,739        
Accrued shareholder servicing fee (Note 3)                        16,739        
Accrued administration fee (Note 3)                               10,043        
Accrued other expenses                                            16,179        
Unrealized depreciation on open foreign currency contracts         1,203        
                                                     -----------
TOTAL LIABILITIES                                           1,370,097     
                                                     -----------
TOTAL NET ASSETS                                             $84,632,415        
                                                     ===========
NET ASSETS CONSIST OF:                                                          
Shares of beneficial interest, at par                        $    71,814        
Paid-in Capital, in excess of par                             73,658,723        
Distributions in excess of net investment income                 (99,826)       
Accumulated net realized gain (loss) on investments and                         
foreign currency translations                                  512,539      
Net unrealized appreciation (depreciation) of investments                       
and translation of assets and liabilities in foreign                        
currencies                                                  10,489,165      
                                                     -----------
TOTAL NET ASSETS                                             $84,632,415        
                                                     ===========
SHARES OUTSTANDING (UNLIMITED AUTHORIZED, PAR VALUE $0.01)     7,181,361        
                                                     ===========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER                        
SHARE                                                      $     11.79      
                                                     ===========

The accompanying notes are an integral part of these financial statements.  

N-CSRS
133rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 133rd
E*TRADE INTERNATIONAL INDEX FUND                                                
STATEMENT OF OPERATIONS                                                         
For the six months ended June 30, 2006 (Unaudited)                              

NET INVESTMENT INCOME:                                                          
Dividends (net of foreign withholding tax of $140,189)        $1,294,234  
Interest (net of foreign withholding tax of $131)                 11,656  
                                                            ----------
  TOTAL INVESTMENT INCOME                                    1,305,890
                                                            ----------
EXPENSES (NOTE 3):                                                              
Advisory fee                                                      89,128  
Administration fee                                                53,477  
Shareholder servicing fees                                        89,128  
Custodian fee                                                    181,622  
Transfer and dividend disbursing agent                            22,375  
Registration fees                                                 17,772  
Audit and tax services                                             8,640  
Legal services                                                    16,705  
Trustee fees                                                      16,300  
Printing                                                           4,005  
Insurance                                                          4,115  
Other expenses                                                     8,922  
                                                            ----------
  TOTAL EXPENSES BEFORE WAIVER                                 512,189
Waived fees and reimbursed expenses                             (480,103) 
                                                            ----------
NET EXPENSES                                                      32,086  
                                                            ----------
NET INVESTMENT INCOME                                             1,273,804     
                                                            ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND                      
FOREIGN CURRENCIES                                                              
Net realized gain (loss) on:                                                    
Sale of investments                                              482,770  
Foreign currency transactions                                     (8,913) 
Net change in unrealized appreciation (depreciation) of:                        
Investments                                                    3,915,580  
Translation of assets and liabilities in foreign                          
currencies                                                         902
                                                            ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON                        
INVESTMENTS                                                   
  AND FOREIGN CURRENCIES                                     4,390,339
                                                            ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM                            
OPERATIONS                                                     $5,664,143   
                                                            ==========

The accompanying notes are an integral part of these financial statements.  

N-CSRS
134th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 134th
E*TRADE INTERNATIONAL INDEX FUND                                                

STATEMENT OF CHANGES IN NET ASSETS                                              

                           For the Six
                          Months Ended
                                              June 30, 2006 For the Year Ended
                                              (Unaudited)  December 31, 2005
                                              ------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS                                         
RESULTING FROM OPERATIONS:                                                
Net investment income                          $ 1,273,804     $ 1,006,060    
Net realized gain (loss) on sale of                                           
investments and foreign currency                                          
transactions                                     473,857         815,528  
Net change in unrealized appreciation                                         
(depreciation) of investments and                                         
translations of assets and liabilities in                                 
foreign currencies                             3,916,482       4,352,055  
                                           -----------     -----------
NET INCREASE (DECREASE) IN NET ASSETS                                         
RESULTING FROM OPERATIONS                      5,664,143       6,173,643  
                                           -----------     -----------
DISTRIBUTIONS TO SHAREHOLDERS:                                                
Distributions from net investment income        (1,295,325)     (1,062,772)   
                                           -----------     -----------
TRANSACTIONS IN SHARES OF COMMON STOCK:                                       
Net proceeds from sale of shares                33,461,101      30,184,476    
Value of shares issued in reinvestment of                                     
dividends and distributions                      347,510         970,763  
Cost of shares redeemed                         (8,741,154)     (8,636,616)   
                                           -----------     -----------
NET INCREASE IN NET ASSETS FROM TRANSACTIONS                                  
IN SHARES OF COMMON STOCK                     25,067,457      22,518,623  
                                           -----------     -----------
REDEMPTION FEES (Note 2)                            28,847          22,855    
                                           -----------     -----------
NET INCREASE (DECREASE) IN NET ASSETS           29,465,122      27,652,349    
NET ASSETS:                                                             
BEGINNING OF PERIOD                             55,167,293      27,514,944    
                                           -----------     -----------
END OF PERIOD*                                 $84,632,415     $55,167,293    
                                           ===========     ===========
SHARE TRANSACTIONS:                                                           
Number of shares sold                            2,832,086       3,036,732    
Number of shares reinvested                         29,080          97,371    
Number of shares redeemed                         (746,089)       (863,278)   
                                           -----------     -----------
NET INCREASE (DECREASE) IN SHARES OUTSTANDING    2,115,077       2,270,825    
                                           ===========     ===========
--------                                                                        
* Includes distribution in excess of net investment income of $99,826 and       
$78,305 for the periods ended June 30, 2006 and December 31, 2005,          
respectively.                                                               

The accompanying notes are an integral part of these financial statements.  

N-CSRS
135th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 135th
E*TRADE INTERNATIONAL INDEX FUND                                                
FINANCIAL HIGHLIGHTS                                                            

For a Share Outstanding Throughout each Period                                  

                                                        [Enlarge/Download Table]

                                         Six Months Ended   Year Ended   Year Ended   Year Ended    Year Ended    Year Ended   
                                          June 30, 2006      December     December     December      December      December    
                                           (Unaudited)       31, 2005     31, 2004    31, 2003(6)   31, 2002(6)   31, 2001(6)  
                                         ----------------   ----------   ----------   -----------   -----------   -----------  
                                                                                                                               
NET ASSET VALUE, BEGINNING OF PERIOD         $ 10.89         $  9.84      $  8.41       $  6.21       $  7.59       $  9.83    
                                             -------         -------      -------       -------       -------       -------    
INCOME (LOSS) FROM INVESTMENT                                                                                                  
  OPERATIONS:                                                                                                                  
   Net investment income                        0.21(2)         0.24(2)      0.18(2)       0.13(2)       0.10          0.09    
   Net realized and unrealized gain                                                                                            
     (loss) on investments                      0.88            1.06         1.43          2.20         (1.37)        (2.23)   
                                             -------         -------      -------       -------       -------       -------    
   TOTAL FROM INVESTMENT OPERATIONS             1.09            1.30         1.61          2.33         (1.27)        (2.14)   
                                             -------         -------      -------       -------       -------       -------    
DISTRIBUTIONS TO SHAREHOLDERS                                                                                                  
   Distributions from net investment                                                                                           
     income                                    (0.19)          (0.25)       (0.18)        (0.13)        (0.11)        (0.11)   
   Distributions in excess of net                                                                                              
     investment income                                                         --            --            --          0.01    
                                             -------         -------      -------       -------       -------       -------    
   TOTAL DISTRIBUTIONS TO SHAREHOLDERS         (0.19)          (0.25)       (0.18)        (0.13)        (0.11)        (0.10)   
                                             -------         -------      -------       -------       -------       -------    
REDEMPTION FEES ADDED TO PAID-IN CAPITAL          --(3)           --(3)        --(3)         --(3)         --(3)         --(3) 
                                             -------         -------      -------       -------       -------       -------    
NET ASSET VALUE, END OF PERIOD               $ 11.79         $ 10.89      $  9.84       $  8.41       $  6.21       $  7.59    
                                             =======         =======      =======       =======       =======       =======    
   TOTAL RETURN(1)                              9.93%          13.43%       19.38%        38.01%       (16.77)%      (21.70)%  
   RATIOS/SUPPLEMENTAL DATA:                                                                                                   
   Net assets, end of period (000s                                                                                             
     omitted)                                $84,632         $55,167      $27,515       $11,443       $ 6,685       $ 7,081    
   Ratio of expenses to average net                                                                                            
     assets                                     0.09%(4)(9)     0.09%(4)     0.32%(4)      0.65%(4)      0.65%(4)      0.58%(4)
   Ratio of net investment income to                                                                                           
     average net assets                         3.58%(5)(9)     2.41%(5)     2.07%(5)      1.95%(5)      1.59%(5)      1.15%(5)
   Portfolio turnover rate                     31.00%          58.31%       41.97%         6.27%(7)     19.92%(8)      6.79%(8)

--------                                                                        
(1)The total return is calculated by assuming a purchase of shares on the first 
day and a sale on the last day of each period reported and includes       
reinvestments of dividends and distributions.                             
(2)Calculated based on average shares outstanding.                              
(3)Rounds to less than $0.01.                                                   
(4)The ratio of expenses to average net assets prior to waived fees and         
reimbursed expenses for the six months ended June 30, 2006 and year ended 
December 31, 2005, December 31, 2004, December 31, 2003, December 31, 2002
and December 31, 2001 were 1.44%, 1.85%, 2.87%, 3.02%, 2.59%, and 1.64%,  
respectively.                                                             
(5)The ratio of net investment income (loss) to average net assets prior to     
waived fees and reimbursed expenses for the six months ended June 30, 2006
and year ended December 31, 2005, December 31, 2004, December 31, 2003,   
  December 31, 2002 and December 31, 2001 were 2.23%, 0.64%, (0.48)%, (0.42)%,
(0.35)% and 0.09%, respectively.                                          
(6)Per share amounts and ratios reflect income and expenses assuming inclusion  
of the Fund's proportionate share of the income and expenses of the       
International Index Master Portfolio.                                     
(7)For the period November 10, 2003 through December 31, 2003.                  
(8)Portfolio turnover rate of the International Index Master Portfolio.         
(9)Annualized.                                                                  

The accompanying notes are an integral part of these financial statements.  

N-CSRS
136th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 136th
E*TRADE INTERNATIONAL INDEX FUND                                                
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited)                                                       

1. ORGANIZATION                                                                 

E*TRADE International Index Fund ("Fund") is a diversified series of E*TRADE    
Funds ("Trust"), an open-end management investment company registered under the 
Investment Company Act of 1940, as amended. The Trust is organized as a         
Delaware statutory trust and was formed on November 4, 1998. As of June 30,     
2006, the Trust consisted of four operating series: the E*TRADE International   
Index Fund, the E*TRADE Russell 2000 Index Fund, the E*TRADE S&P 500 Index      
Fund, and the E*TRADE Technology Index Fund. These financial statements are for 
the E*TRADE International Index Fund.                                           

The Fund's investment objective is to provide investment results that attempt   
to match as closely as practicable, before fees and expenses, the performance   
of an international portfolio of common stocks represented by the Morgan        
Stanley Capital International Europe, Australasia, and Far East Free Index      
("MSCI EAFE Free Index")*. The Fund seeks to achieve its objective by investing 
substantially all of its assets in the same securities and in substantially the 
same percentages as the securities that comprise the MSCI EAFE Free Index.      

* "Morgan Stanley Capital International Europe, Australasia, and Far East Free  
Index(R)", "EAFE Free Index(R)", and "EAFE(R)" are service marks of Morgan      
Stanley Capital International Inc. ("MSCI"). MSCI does not sponsor the Fund nor 
is it affiliated in any way with E*TRADE FINANCIAL Corporation. The Fund is not 
sponsored, endorsed, sold, or promoted by the MSCI EAFE Free Index or MSCI, and 
neither the MSCI EAFE Free Index nor MSCI makes any representation or warranty, 
express or implied, regarding the advisability of investing in the Fund. The    
MSCI EAFE Free Index is the exclusive property of MSCI, and Morgan Stanley      
Capital International is a service mark of MSCI.                                

2. SIGNIFICANT ACCOUNTING POLICIES                                              

The following is a summary of significant accounting policies that are followed 
by the Fund in the preparation of its financial statements and which are in     
conformity with accounting principles generally accepted in the United States   
of America ("U.S. GAAP") for investment companies. The preparation of financial 
statements in conformity with U.S. GAAP requires management to make estimates   
and assumptions that affect the reported amounts of assets and liabilities and  
disclosures of contingent assets and liabilities at the date of the financial   
statements and the reported amounts of increases and decreases in net assets    
from operations during the reporting period. Actual results could differ from   
those estimates.                                                                

SECURITY VALUATION                                                              

Investments of the Fund are valued at the last reported sale price on the       
securities or commodities exchange on which such investments are primarily      
traded. If there is no sale that day, then the value of the investments will be 
based on the most recent bid prices. Securities that are traded primarily on    
the national securities market are valued using the Nasdaq Official Closing     
Price ("NOCP"), but if the NOCP is not available, such securities are valued at 
the most recent bid prices. Securities that are traded primarily on foreign     
securities or commodities exchanges generally are valued at the preceding       
closing values of such securities on their respective exchanges. If market      
quotations or official closing prices are not readily available or are          
determined not to accurately reflect the current value of the securities, such  
securities are valued at fair value as determined in good faith under           
procedures established by the Board of Trustees of the Fund ("Board"). In this  
regard, the Board has approved the use of certain independent pricing services  
in determining the fair value of foreign securities primarily traded in foreign 
markets when significant events occur subsequent to the close of such foreign   
markets and prior to the time the Fund's NAV is determined. The fair value of   
such foreign securities are determined by the Fund (with the assistance of      
independent pricing services) by using correlations between the movement of     
prices of the foreign securities and indices of domestic securities and other   
appropriate indicators. Unlike the closing price of a security on a foreign     
exchange, fair value determinations employ elements of judgment and the fair    
value assigned to a security may not represent the actual value that the Fund   
could obtain if it were to                                                      

N-CSRS
137th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 137th
E*TRADE INTERNATIONAL INDEX FUND                                                
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

sell a security at the time of the close of the New York Stock Exchange.        
Investments in short-term debt securities that mature in 60 days or less are    
valued at amortized cost, which approximates fair market value, based on fair   
valuation procedures approved by the Board.                                     

SECURITY TRANSACTIONS AND INCOME RECOGNITION                                    

Security transactions are accounted for on the date the securities are          
purchased or sold (trade date). Revenue is recognized as follows: dividend      
income is recognized on the ex-dividend date and interest income is recorded on 
an accrual basis. Realized gains and losses on sales of securities are          
calculated on the identified cost basis. Expenses attributable to the Trust are 
allocated to the Fund based on the Fund's percentage of net assets within the   
Trusts.                                                                         

FOREIGN CURRENCY TRANSLATIONS                                                   

The accounting records of the Fund are maintained in U.S. dollars. The Fund may 
purchase securities that are denominated in foreign currencies. Investment      
securities and other assets and liabilities denominated in foreign currency are 
translated into U.S. dollars at the current exchange rates. Purchases and sales 
of securities, income and expenses are translated into U.S. dollars at the      
exchange rates on the dates of the respective transactions.                     

Although the net assets of the Fund are presented at the foreign exchange rates 
and market values at the close of the period, the Fund does not isolate that    
portion of the results of operations arising as a result of changes in the      
foreign exchange rates from the fluctuations arising from changes in the market 
prices of long-term securities held at the end of the period. Similarly, the    
Fund does not isolate the effect of changes in foreign exchange rates from the  
fluctuations arising from changes in the market prices of long-term portfolio   
securities sold during the period. Accordingly, foreign currency gains or       
losses are included in the reported net realized and unrealized gain or loss on 
investments.                                                                    

Net realized gains or losses on foreign currency transactions represent net     
foreign exchange gains or losses from the holding of foreign currencies,        
currency gains or losses realized between the trade date and settlement date on 
securities transactions, and the difference between the amounts of dividends,   
interest and foreign withholding taxes recorded on the Fund's books and the     
U.S. dollar equivalent amounts actually received or paid. Net unrealized        
currency gains or losses from valuing foreign currency denominated assets and   
liabilities (other than investments) at period end exchange rates are reflected 
as a component of net unrealized appreciation (depreciation) on translation of  
assets and liabilities in foreign currencies.                                   

DISTRIBUTIONS TO SHAREHOLDERS                                                   

Dividends to shareholders from net investment income of the Fund are declared   
and distributed quarterly. Distributions to shareholders from any net realized  
capital gains are declared and distributed annually, generally in December. All 
dividends and distributions will be automatically reinvested in additional      
shares of the Fund unless the shareholder elects otherwise. Such dividends and  
distributions to shareholders are recorded on the ex-dividend date.             

Income and capital gain distributions are determined in accordance with income  
tax regulations, which may differ from U.S. GAAP.                               

FEDERAL INCOME TAXES                                                            

The Fund is treated as a separate entity from every other series of the Trust   
for federal income tax purposes. It is the Fund's intention to continue to      
qualify annually as a regulated investment company under the provisions of the  
Internal Revenue Code applicable to regulated investment companies and to       
distribute annually all of its taxable net income and capital gains, if any, to 
its shareholders. Therefore, no federal income tax provision is required.       

N-CSRS
138th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 138th
E*TRADE INTERNATIONAL INDEX FUND                                                
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

For the year ended December 31, 2005, the Fund has elected to defer $2,909 of   
currency capital losses attributable to post-October losses.                    

At June 30, 2006, the cost of investments for federal income tax purposes was   
$74,517,722. Net unrealized appreciation aggregated $10,391,028, of which       
$11,491,910 represented gross unrealized appreciation on securities and         
$1,100,882 represented gross unrealized depreciation on securities. The         
difference between book basis and tax basis is attributable primarily to the    
treatment of passive foreign investment company shares and return of capital    
adjustments from real estate investment trusts.                                 

REDEMPTION FEES                                                                 

Redemption of shares held in the Fund for less than 120 days are subject to a   
fee of 1%, calculated as a percentage of redemption proceeds. The fee, which is 
retained by the Fund, is accounted for as an addition to paid-in capital. Total 
redemption fee proceeds for the six months ended June 30, 2006 and the year     
ended December 31, 2005 were $28,847 and $22,855 respectively, and are set      
forth in the Statement of Changes in Net Assets.                                

RECLASSIFICATION OF CAPITAL ACCOUNTS                                            

In order to present distributions in excess of net investment income and        
accumulated net realized gain on the Statement of Assets and Liabilities that   
more closely represent their tax character, certain adjustments have been made  
to undistributed net investment income and accumulated net realized loss on     
investments and futures contracts. For the year ended December 31, 2005, the    
adjustments were to increase distributions in excess of net investment income   
by $15,903 and increase accumulated net realized gain on investments and        
foreign currency translations by $15,903. These adjustments are primarily due   
to the differences between book and tax treatment of investments in passive     
foreign investment trusts and foreign currency translations.                    

3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES                            

E*TRADE Asset Management, Inc. ("ETAM"), a wholly owned subsidiary of E*TRADE   
FINANCIAL Corporation ("E*TRADE FINANCIAL"), serves as the investment adviser   
for the Fund pursuant to an Investment Advisory Agreement between ETAM and the  
Trust, on behalf of the Fund. For its service as investment adviser, ETAM is    
currently paid by the Fund at an annual rate of 0.25% of the Fund's average     
daily net assets.                                                               

World Asset Management ("World Asset") serves as the Fund's investment          
sub-adviser. World Asset is a division of Munder Capital Management. For its    
services, World Asset is paid by ETAM, not the Fund, and a fee is calculated as 
follows:                                                                        

                                                        [Enlarge/Download Table]

Name of Fund                                                Sub-Advisory Fee                            
------------                     -----------------------------------------------------------------------
                                                                                                        
E*TRADE International Index Fund 0.15% of average daily net assets up to $60 million                    
                                 0.12% of average daily net asset between $60 million and $100 million  
                                 0.06% of average daily net assets between $100 million and $200 million
                                 0.03% of average daily net asset over $200 million                     

N-CSRS
139th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 139th
E*TRADE INTERNATIONAL INDEX FUND                                                
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

ETAM also provides certain administrative services to the Fund, pursuant to an  
Administrative Services Agreement with the Trust, on behalf of the Fund. For    
its services, ETAM receives an administrative services fee equal to an annual   
rate of 0.15% of the Fund's average daily net assets.                           

Since September 30, 2004, ETAM assesses an account maintenance fee of $2.50 per 
quarter to offset shareholder servicing costs if an account balance in the Fund 
falls below $5,000 (for any reason, including a decline in the value of the     
Fund's shares). The account maintenance fee is determined and paid at the end   
of the calendar quarter. The fee is not assessed in certain circumstances, as   
described in the Fund's Prospectus, including waiver of the fee if total        
E*TRADE Funds assets held by a shareholder are $10,000 or more. The fee will    
not be applied to: (1) assets held in any retirement plan account; (2) assets   
held in any Coverdell education savings account; or (3) shareholders investing  
in the Fund through means of the Automatic Investment Plan privilege.           

ETAM and E*TRADE Securities LLC ("E*TRADE Securities"), the Trust's principal   
underwriter and a wholly owned subsidiary of E*TRADE FINANCIAL, both provide    
shareholder servicing to the Fund under a Shareholder Servicing Agreement. For  
its services, ETAM receives a non-Rule 12b-1 shareholder servicing fee equal to 
an annual rate of 0.25% of the Fund's average daily net assets. In addition,    
ETAM is allowed to use the shareholder servicing fees it receives under the     
Shareholder Servicing Agreement to compensate its affiliates, including E*TRADE 
Securities, for services it provides to the Fund.                               

The amount "Due from E*TRADE Asset Management, Inc." listed on the Fund's       
Statement of Assets and Liabilities, reflects a contractual agreement effective 
September 3, 2004, between ETAM and the Fund ("Expense Limitation Agreement")   
in which ETAM has agreed to waive or limit its fees or to assume other expenses 
through at least April 30, 2007. The Expense Limitation Agreement may continue  
from year to year thereafter. Effective September 3, 2004, ETAM has agreed to   
the Expense Limitation Agreement to waive or limit ETAM's fees and assume other 
expenses so that the total operating expenses of the Fund (other than interest, 
taxes, brokerage commissions, other expenditures which are capitalized in       
accordance with U.S. GAAP and other extraordinary expenses not incurred in the  
ordinary course of the Fund's business) on an annualized basis are limited to   
0.09% of the Fund's average daily net assets.                                   

The Fund may at a later date reimburse ETAM the fees waived or limited and any  
other expenses assumed and paid by ETAM provided that, among other things, the  
Fund has reached a sufficient size to permit such reimbursement to be made      
without causing the total annual expense ratio of the Fund to exceed the        
current percentage limit stated above. Consequently, no reimbursement by the    
Fund will be made unless: (i) the Fund's total annual expense ratio is less     
than the current percentage stated above and (ii) the payment of such           
reimbursement has been approved in advance by the Trust's Board on a quarterly  
basis. The total amount of reimbursement to which ETAM may be entitled will     
equal, at any time, the sum of (i) all fees previously waived or reduced by     
ETAM and (ii) all other payments previously remitted by ETAM to the Fund in     
accordance with the Expense Limitation Agreement during any of the previous     
three fiscal years, less any reimbursement that the Fund has previously paid to 
ETAM with respect to (a) such fees previously waived or reduced and (b) such    
other payments previously remitted by ETAM to the Fund during any of the        
previous three fiscal years. Approximately $1,367,129 was eligible for          
reimbursement as of December 31, 2005.                                          

4. AGREEMENTS AND OTHER TRANSACTIONS WITH NON-AFFILIATES                        

PFPC Inc. serves as the transfer agent and dividend disbursing agent for the    
Fund. The Bank of New York provides fund accounting, custodial, and certain     
fund services for the Fund. E*TRADE Securities serves as the principal          
underwriter for the Fund at no cost to the Fund, but receives compensation from 
ETAM that may be equal to the maximum shareholder servicing fee received by     
ETAM from the Fund.                                                             

N-CSRS
140th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 140th
E*TRADE INTERNATIONAL INDEX FUND                                                
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

5. PORTFOLIO SECURITIES LOANED                                                  

The Fund may participate in securities lending, in which securities are lent to 
certain securities dealers in exchange for cash collateral equal to 102% and    
105% of the initial market value of the domestic and non-U.S. securities lent,  
respectively. The amount of collateral is adjusted daily for changes in the     
market value of securities lent, but at no subsequent period would the cash     
collateral equal less than 100% of the market value of securities lent. The     
Fund retains a beneficial interest in the collateral held. ETAM monitors the    
creditworthiness of all parties to which securities are lent. The Fund charges  
the corresponding party interest on the market value of securities lent and     
receives interest on the investment of cash collateral.                         

The Fund did not participate in securities lending during the six months ended  
June 30, 2006.                                                                  

6. FUTURES CONTRACTS                                                            

The Fund may purchase or sell futures contracts to gain exposure to market      
changes. The purchase of futures contracts may be more efficient or cost        
effective than actually buying the securities only if there is an active market 
for such contracts. A futures contract is an agreement between two parties to   
buy and sell a security at a set price on a future date and is exchange traded. 
Upon entering into a futures contract, the Fund is required to pledge to the    
broker an amount of cash, U.S. Government securities or other high-quality debt 
securities equal to the minimum "initial margin" requirements of the exchange.  
Pursuant to a contract entered into with a futures commission merchant, the     
Fund agrees to receive from or pay to the broker an amount of cash equal to the 
daily fluctuation in the value of the contract. Such receipts or payments are   
known as "variation margin" and are recorded by the Fund as unrealized gains or 
losses. When the contract is closed, the Fund records a gain or loss equal to   
the difference between the value of the contract at the time it was opened and  
the value at the time it was closed. Pursuant to regulations and/or published   
positions of the Securities and Exchange Commission, the Fund may be required   
to segregate cash, U.S. Government obligations or other liquid securities in    
connection with futures transactions in an amount generally equal to the entire 
futures contract amount. The risks of entering into futures contracts include   
the possibility that there may be an illiquid market and that a change in the   
value of the contracts may not correlate with changes in the value of the       
underlying securities.                                                          

The Fund did not hold any futures contracts during the six months ended         
June 30, 2006.                                                                  

7. REPURCHASE AGREEMENTS                                                        

The Fund may invest in repurchase agreements. Repurchase agreements are         
transactions involving purchases of securities under agreements to resell such  
securities at a specified price and time, and are treated as collateralized     
financing transactions and recorded at their contracted resale amounts. These   
repurchase agreements, if any, are detailed in the Fund's Schedule of           
Investments. The Fund's investments in repurchase agreements must be fully      
collateralized based on values that are marked to market daily. The Fund's      
custodian has custody of, and holds in a segregated account, securities         
acquired as collateral by the Fund under a repurchase agreement. ETAM monitors, 
on an ongoing basis, the value of the collateral to assure that it always       
equals or exceeds the repurchase price.                                         

The Fund did not invest in any repurchase agreements during the six months      
ended June 30, 2006.                                                            

8. SHORT SALES OF SECURITIES                                                    

The Fund may enter into short sale transactions. A short sale is a transaction  
in which the Fund sells securities it does not own (but has borrowed) in        
anticipation of a decline in the market price of the securities. To complete a  
short sale, the Fund may arrange through a broker to borrow the securities to   
be delivered to the buyer. The proceeds received by the Fund for the short sale 
are retained by the broker                                                      

N-CSRS
141st Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 141st
E*TRADE INTERNATIONAL INDEX FUND                                                
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

until the Fund replaces the borrowed securities. In borrowing the securities to 
be delivered to the buyer, the Fund becomes obligated to replace the securities 
borrowed at their market price at the time of replacement, whatever that price  
may be.                                                                         

The Fund did not enter into any short sale transactions during the six months   
ended June 30, 2006.                                                            

9. INVESTMENT PORTFOLIO TRANSACTIONS                                            

Purchases and sales of investments, exclusive of short-term securities,         
aggregated $47,057,778 and $21,941,584, respectively, for the six months ended  
June 30, 2006.                                                                  

10.PROPOSED REORGANIZATION                                                      

As part of E*TRADE Financial Corporation's wealth management strategy, E*TRADE  
Financial Corporation ("E*TRADE") has purchased independent registered          
investment advisers that provide investment advisory services to high net worth 
clients. In pursuit of that strategy, in November 2005, E*TRADE acquired Kobren 
Insight Management Inc. ("KIM"), a registered investment adviser and the        
current investment adviser to the Kobren Insight Funds, a registered management 
investment company with two current series (i.e., Kobren Growth Fund and Delphi 
Value Fund).                                                                    

The management of E*TRADE Asset Management, Inc. ("ETAM"), the investment       
manager to the E*TRADE Funds, and KIM have worked closely together to develop a 
strategy of integrating the Kobren Insight Funds and the E*TRADE Funds with a   
goal of streamlining and improving the management and operations of the Kobren  
Insight Funds and the E*TRADE Funds while providing higher visibility and       
improved distribution to these small funds. In addition, the integration        
proposals are intended to permit the E*TRADE Funds to achieve greater economies 
of scale and facilitate the compliance functions of the funds by virtue of      
having a single investment company structure. E*TRADE believes that the         
integration proposals will be beneficial to shareholders of both the E*TRADE    
Funds and the Kobren Insight Funds, as well as to E*TRADE.                      

In summary, the integration proposals recommended by E*TRADE to the separate    
Boards of Trustees of the E*TRADE Funds and the Kobren Insight Funds and        
considered by each of those Boards at Board meetings held on June 28 and        
June 29, 2006, are as follows:                                                  

 .   Redomiciliation and Shell Reorganization of the Kobren Insight Funds. The
   Kobren Insight Funds would be redomiciled from a Massachusetts business
   trust into a Delaware statutory trust. In order to accomplish this, the
     Kobren Insight Funds would be reorganized into newly-created shell series
   of the E*TRADE Funds. The proposed Agreement and Plan of Reorganization
   and Redomiciliation ("Reorganization Agreement ") contemplates that all
 of the assets and liabilities of the current two series of the Kobren
Insight Funds would be transferred to corresponding shell series of 
 E*TRADE Funds in exchange for shares of those new shell series of the
E*TRADE Funds.                                                      

.   Investment Management. In conjunction with the integration of the Kobren
Insight Funds into the E*TRADE Funds, E*TRADE proposed that ETAM be 
    approved as the investment manager of the Kobren Insight Funds following
   their reorganization into the newly created shell series of the E*TRADE
   Funds. Further, E*TRADE proposed that KIM be approved as the investment
sub-adviser to the Kobren Growth Fund and Delphi Management Inc.    
    ("Delphi") be approved as the investment sub-adviser to the Delphi Value
   Fund. The proposed consolidation of the advisory relationship with ETAM
    is intended to help to ensure consistent oversight of all of the E*TRADE
     proprietary mutual funds' investments while maintaining the current daily
     management of the Kobren Insight Funds through sub-advisory relationships
with KIM and Delphi.                                                

N-CSRS
142nd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 142nd
E*TRADE INTERNATIONAL INDEX FUND                                                
NOTES TO FINANCIAL STATEMENTS                                                   
June 30, 2006 (Unaudited) (continued)                                           

 .   Board of Trustees. In addition, in order to further integrate the E*TRADE
  Funds and the Kobren Insight Funds, E*TRADE proposed that the Board of
Trustees of the E*TRADE Funds approve a realignment of the Board of 
 Trustees of the E*TRADE Funds so that (i) the number of Board members
     would be reduced from six to five and (ii) a current member of the Kobren
    Insight Funds' Board would be nominated to serve as an independent Board
     member of the E*TRADE Funds. In light of this integration initiative, two
    of the current independent Board members of the Board of Trustees of the
 E*TRADE Funds have agreed to resign from the Board and have submitted
    their resignations, which will be effective upon shareholder approval of
a new slate of Board members. In conjunction with these actions, the
  Board of Trustees of the E*TRADE Funds approved the submission to Fund
    shareholders of a new slate of nominees to serve as members of the Board
of Trustees of the E*TRADE Funds ("Board Nominees").                

Board Approvals. At the June 28, 2006 Board of Trustees meeting for the E*TRADE 
Funds, the Board of Trustees approved (1) the Reorganization Agreement for the  
reorganization of the Kobren Insight Funds into shell series of the E*TRADE     
Funds and (2) each of the proposals concerning the realignment of Board of      
Trustees of the E*TRADE Funds. The proposals concerning the investment manager  
and sub-advisers for the Kobren Insight Funds have been deferred and will be    
considered by the Board of Trustees of the E*TRADE Funds following the election 
of the Board Nominees.                                                          

Shareholder Approvals. The proposed reorganizations of the Kobren Insight Funds 
into shell series of the E*TRADE Funds will require the approval of the         
shareholders of the Kobren Insight Funds in order to be effective. Shareholders 
of the E*TRADE Funds will NOT be solicited for approval of the proposed         
reorganizations. Shareholders of the E*TRADE Funds will be asked to approve the 
election of each of the Board Nominees. E*TRADE Funds anticipates distributing  
proxy solicitation materials to shareholders in connection with this proposal   
later this month.                                                               

E*TRADE has agreed to bear all of the fees, costs and expenses associated with  
implementing the integration proposals, including all proxy solicitation costs  
of the E*TRADE Funds and the Kobren Insight Funds, except for any brokerage     
fees and brokerage expenses associated with the proposed reorganizations of the 
Kobren Insight Funds.                                                           

N-CSRS
143rd Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 143rd
QUARTERLY PORTFOLIO SCHEDULE                                                    

The Fund files its complete schedule of portfolio holdings with the Commission  
for the first and third quarters of each fiscal year on Form N-Q. This          
information is available, without charge and upon request, by visiting the      
E*TRADE Funds website at www.etradefunds.etrade.com (click on "Quarterly        
Holdings") or by accessing the Funds' Form N-Q on the Commission's website at   
www.sec.gov. The Funds' Form N-Q may also be reviewed and copied at the         
Commission's Public Reference Room in Washington, DC; information on the        
operation of the Public Reference Room may be obtained by                       
calling1-(800)-SEC-0330.                                                        

PROXY VOTING POLICIES AND PROCEDURES                                            

A description of the Funds' proxy voting policies and procedures is available,  
without charge and upon request, by calling E*TRADE Funds at 1-800-ETRADE-1.    
This information is also included in the Funds' Statement of Additional         
Information, which is available by visiting the E*TRADE Funds website at        
www.etradefunds.etrade.com (click on "Prospectus" and then "Statement of        
Additional Information") and by accessing the Securities and Exchange           
Commission's ("Commission") website at www.sec.gov.                             

Information regarding how the Funds voted proxies for portfolio securities, if  
applicable, during the most recent 12-month period ended June 30, is also       
available, without charge and upon request, by (i) calling E*TRADE Funds at     
1-800-ETRADE-1; (ii) by visiting the E*TRADE Funds website at                   
www.etradefunds.etrade.com (click on "Proxy Voting Results"); or                
(iii) accessing the Funds' Form N-PX on the Commission's website at www.sec.gov.

CODE OF ETHICS                                                                  

A copy of the code of ethics that applies to the Funds' principal executive     
officer, principal financial officer, principal accounting officer or           
controller, or persons performing similar functions is available free of        
charge, upon request by calling 1-800-ETRADE-1.                                 

N-CSRS
144th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 144th
Item 2. Code of Ethics.                                                         

Not applicable with semi-annual filing.                                         

Item 3. Audit Committee Financial Expert.                                       

Not applicable with semi-annual filing.                                         

Item 4. Principal Accountant Fees and Services.                                 

Not applicable with semi-annual filing.                                         

Item 5. Audit Committee of Listed Registrant.                                   

Not applicable.                                                                 

Item 6. Schedule of Investments.                                                

The Schedule of Investments is included as a part of the report to shareholders 
filed under Item 1 of this Form N-CSR.                                          

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

Not applicable.                                                                 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.       

Not applicable.                                                                 

Item 9. Purchases of Equity Securities by Closed-End Management Investment      
Company and Affiliated Purchasers.                                              

Not applicable.                                                                 

Item 10. Submission of Matters to a Vote of Security Holders.                   

There were no material changes to the procedures by which shareholders may      
recommend nominees to the registrant's board of directors since the             
registrant's most recent disclosure in response to the requirements of          
Item 7(d)(ii)(G) of Schedule 14A or this Item.                                  

N-CSRS
145th Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 145th
Item 11. Controls and Procedures.                                               

a) Based on their evaluation of the Funds' disclosure controls and procedures   
(as defined in Rule 30a-3(c) under the Act), on August 24, 2006, the      
President (principal executive officer) and the Treasurer (principal      
financial officer) of the Funds concluded that they were not aware of any 
material deficiencies in the design or operation of the Funds' disclosure 
controls and procedures.                                                  

b) There was no change in the Funds' internal control over financial reporting  
(as defined in Rule 30a-3(d) under the Act) over the second fiscal quarter
of the period covered by this report that has materially affected, or is  
reasonably likely to materially affect, the Funds' internal control over  
financial reporting.                                                      

Item 12. Exhibits.                                                              

(a)(1) Not applicable with semi-annual filing.                                  

(a)(2) The certifications required by Rule 30a-2(a) of the Investment Company   
Act of 1940 are attached hereto.                                          

(a)(3) Not applicable with semi-annual filing.                                  

(b)The certifications required by Rule 30a-2(b) of the Investment Company Act   
   of 1940 at Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

N-CSRS
Last Page of 146
TOC
1st
Previous
Next
↓Bottom
Just 146th
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)             E*TRADE Funds                                          
------------------------------

By (Signature and Title) /s/ Elizabeth Gottfried                                
------------------------------
Elizabeth Gottfried, President

Date August 24, 2006                                                            

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 (Signature and Title) /s/ Elizabeth Gottfried                                
------------------------------
Elizabeth Gottfried, President

Date August 24, 2006                                                            

By (Signature and Title) /s/ Matthew Audette                                    
------------------------------
Matthew Audette, Treasurer    

Date August 24, 2006                                                            

Dates Referenced Herein   and   Documents Incorporated by Reference

				Referenced-On Page
This ‘N-CSRS’ Filing		Date		First		Last			Other Filings
		4/30/07		4		139			485BPOS
		12/31/06		1					24F-2NT,  N-CSR,  NSAR-B
Filed on / Effective on:		8/28/06
		8/24/06		145		146
		7/3/06		4		108
For Period End:		6/30/06		1		141			N-PX,  NSAR-A
		6/29/06		51		141
		6/28/06		51		142
		1/1/06		5		109
		12/31/05		44		139			24F-2NT,  N-CSR,  NSAR-B
		4/1/05		48
		12/31/04		45		135			24F-2NT,  N-CSR,  N-Q,  NSAR-B
		9/30/04		48		139			24F-2NT,  N-CSR,  N-Q,  NSAR-B
		9/3/04		101		139			497
		4/29/04		72
		12/31/03		45		135			24F-2NT,  N-CSR,  N-CSR/A,  NSAR-B
		11/10/03		45		135
		12/31/02		45		135			24F-2NT,  N-30D,  N-30D/A,  NSAR-B
		12/31/01		45		135			24F-2NT,  N-30D,  NSAR-B
		12/7/01		70
		11/4/98		46		136
									List all Filings