Filed On 3/6/06 12:26pm ET ˇ SEC File 811-02429 ˇ Accession Number 102401-6-8
As Of Filer Filing As/For/On Docs:Pgs
3/06/06 Usaa Mutual Fund Inc N-CSR 12/31/05 3:104
Certified Annual Shareholder Report of a Management Investment Company ˇ Form N-CSR
Filing Table of Contents
Document/Exhibit Description Pages Size
1: N-CSR Usaa Extended Market Index Fund Nscr Period 100 540K
12/31/2005
2: EX-99.CERT Usaa Mf - Ncsr Certification Period 12/31/2005 2 12K
3: EX-99.906 CERT Usaa Mf - Ncsr 906 Certification Period 2 5K
12/31/2005
N-CSR ˇ Usaa Extended Market Index Fund Nscr Period 12/31/2005
Document Table of Contents
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: 811-2429
Exact name of registrant as specified in charter: USAA MUTUAL FUND, INC.
Address of principal executive offices and zip code: 9800 FREDERICKSBURG ROAD
SAN ANTONIO, TX 78288
Name and address of agent for service: EILEEN M. SMILEY
USAA MUTUAL FUND, INC.
9800 FREDERICKSBURG ROAD
SAN ANTONIO, TX 78288
Registrant's telephone number, including area code: (210) 498-4103
Date of fiscal year end: DECEMBER 31
Date of reporting period: DECEMBER 31, 2005
ITEM 1. REPORT TO STOCKHOLDERS.
USAA EXTENDED MARKET INDEX FUND - ANNUAL REPORT FOR PERIOD ENDED DECEMBER 31,
2005
[LOGO OF USAA]
USAA(R)
USAA EXTENDED MARKET
INDEX Fund
[GRAPHIC OF USAA EXTENDED MARKET INDEX FUND]
A n n u a l R e p o r t
--------------------------------------------------------------------------------
DECEMBER 31, 2005
Table of CONTENTS
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ˇ Download Table
MESSAGE FROM THE PRESIDENT 2
MANAGER'S COMMENTARY 4
INVESTMENT OVERVIEW 7
FINANCIAL INFORMATION
USAA EXTENDED MARKET INDEX FUND:
Distributions to Shareholders 11
Report of Independent Registered Public Accounting Firm 12
Financial Statements 13
Financial Highlights 16
Notes to Financial Statements 17
EXPENSE EXAMPLE 23
DIRECTORS' AND OFFICERS' INFORMATION 25
MASTER EXTENDED MARKET INDEX SERIES:
Report of Independent Registered Public Accounting Firm 33
Schedule of Investments 34
Financial Statements 81
Financial Highlights 84
Notes to Financial Statements 85
Officers' and Trustees' Information 92
THIS REPORT IS FOR THE INFORMATION OF THE SHAREHOLDERS AND OTHERS WHO HAVE
RECEIVED A COPY OF THE CURRENTLY EFFECTIVE PROSPECTUS OF THE FUND, MANAGED BY
USAA INVESTMENT MANAGEMENT COMPANY. IT MAY BE USED AS SALES LITERATURE ONLY WHEN
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS, WHICH PROVIDES FURTHER DETAILS
ABOUT THE FUND.
(C)2006, USAA. All rights reserved.
2
M E S S A G E
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from the PRESIDENT
"
MARKETS RUN IN CYCLES; LAST YEAR'S
[PHOTO OF CHRISTOPHER W. CLAUS] UNDERPERFORMING SECTOR OR MARKET COULD BE
NEXT YEAR'S BIG WINNER - AND VICE VERSA.
"
January 2006
--------------------------------------------------------------------------------
In some respects, 2005 was a repeat of 2004. The majority of the stock market's
gains occurred in a relatively short period of time and in the final months of
the year. This observation is significant, particularly for index fund
investors, because it reminds us that we get only what the market gives us. So
it makes sense for us to be patient and let our strategy work. After all, when
it comes to investing, we must be present to win.
2005 was also a year that proved once again the value of that tried-and-true
investment practice, diversification. A quick comparison of USAA's index funds -
the S&P 500, the Extended Market, and the Nasdaq-100 - vividly makes the point.
The USAA S&P 500 returned 4.77%, the USAA Extended Market returned 10.11%, and
the USAA Nasdaq-100 returned 0.97%.*
As you can see, the USAA Extended Market Index Fund was the strongest performer,
but no one could have predicted that a year ago. Markets run in cycles; last
year's underperforming sector or market could be next year's big winner - and
vice versa. So it pays to diversify your investment dollars across a number of
different funds. Just because the USAA Extended Market Index Fund
--------------------------------------------------------------------------------
*As of 12/31/05, the average annual total returns for the following funds were
as follows: USAA S&P 500 Index Fund 1-year 4.77%, 5-year 0.28%, since inception
on 5/01/96 8.60%; USAA Nasdaq-100 Index Fund 1-year 0.97%, 5-year -7.47%, since
inception on 10/27/00 -12.05%; and USAA Extended Market Index Fund 1-year
10.11%, 5-year 6.75%, since inception on 10/27/00 5.15%.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
DATA QUOTED. THE RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE, SO
THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, VISIT
USAA.COM.
3
. . . C O N T I N U E D
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did well in '05 does not mean you should chase it in '06. A balanced approach is
wiser, and diversification helps investors achieve that balance.
The same holds true for all your investment decision-making. Index investing is
an excellent core strategy. A diversified low-cost index fund strategy gives you
exposure to the primary areas of the market, but its returns are dependent on
the performance of the underlying indexes, whereas the performance of actively
managed funds is not. Active managers of these funds have the discretion to
invest fund assets based on their experienced judgment and on changes in the
economic and investment environment. Sometimes, their funds do not beat the
indexes. However, in 2005, every one of our actively managed equity funds
outperformed the USAA S&P 500 Index Fund.
So while indexing works well as a core investment strategy, it's not necessarily
the sole solution. At USAA Investment Management Company, we are proud to offer
a range of investment options. We believe that by combining our index and
actively managed funds and using dollar-cost averaging, you can make the most of
these opportunities. From all of us here at USAA, thank you for your business.
It is a privilege to help you with your investment needs.
Sincerely,
/S/ CHRISTOPHER W. CLAUS
Christopher W. Claus
President and Vice Chairman of the Board
CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES, AND EXPENSES OF THE USAA
MUTUAL FUNDS CAREFULLY BEFORE INVESTING. CONTACT US AT (800) 531-8448 FOR A
PROSPECTUS CONTAINING THIS AND OTHER INFORMATION ABOUT THE FUNDS FROM USAA
INVESTMENT MANAGEMENT COMPANY, DISTRIBUTOR (USAA). READ IT CAREFULLY BEFORE
INVESTING.
INDEX PRODUCTS INCUR FEES AND EXPENSES AND MAY NOT ALWAYS BE INVESTED IN ALL
SECURITIES OF THE INDEX THE FUND ATTEMPTS TO MIRROR. IT IS NOT POSSIBLE TO
INVEST DIRECTLY IN AN INDEX.
SYSTEMATIC INVESTMENT PLANS DO NOT ASSURE A PROFIT OR PROTECT AGAINST LOSS IN
DECLINING MARKETS. DOLLAR-COST AVERAGING INVOLVES CONTINUOUS INVESTMENT IN
SECURITIES REGARDLESS OF FLUCTUATING PRICE LEVELS OF SUCH SECURITIES. INVESTORS
SHOULD CONSIDER THEIR FINANCIAL ABILITY TO CONTINUE PURCHASES THROUGH PERIODS OF
LOW PRICE LEVELS.
4
M A N A G E R ' S
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COMMENTARY on the Fund
PERFORMANCE
For the year ended December 31, 2005, the USAA Extended Market Index Fund
met its objective of closely tracking the return of its benchmark, the
Dow Jones Wilshire 4500 Completion Index (Full Cap). For the annual
period ended December 31, 2005, the index returned 10.28%, while the Fund
returned 10.11%. The Dow Jones Wilshire 5000 Composite Total Market Index
(Full Cap) returned 6.32%.
MARKET CONDITIONS
U.S. equity markets, which "muddled through" 2005, finished the year with
mid-single-digit growth. For most of 2005, stocks remained in one of the
narrowest trading ranges in history.
The year began with a slide after the strong fourth quarter of 2004, with
cyclical and small capitalization stocks performing the worst out of the
gate. January 2005 was characterized by mixed economic data, increasing
interest rates, disappointing earnings reports, and climbing oil prices.
The markets were able to reverse course in February 2005, even as the
productivity report showed a continued slowdown in productivity growth
and oil prices continued to climb. In March 2005, the markets resumed
their downward slide experienced in January, due to the trade deficit,
mixed economic news, high oil prices, and rising interest rates.
April 2005 began on the heels of a March economic soft spot, as retail
sales, payrolls, and consumer and business sentiment weakened. For most
of April, equity markets were dogged by
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS, AND THE CUMULATIVE
PERFORMANCE QUOTED DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A
SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.
REFER TO PAGE 8 FOR THE DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL
CAP) DEFINITION.
THE DOW JONES WILSHIRE 5000 COMPOSITE INDEX (FULL CAP) REPRESENTS A BROAD
INDEX FOR THE U.S. EQUITY MARKET, MEASURING THE PERFORMANCE OF ALL
U.S.-HEADQUARTERED EQUITY SECURITIES WITH READILY AVAILABLE PRICE DATA.
5
. . . C O N T I N U E D
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continuing inflation concerns as oil climbed above $57 per barrel. April
closed with the announcement of one of the biggest jumps in the Consumer
Price Index (CPI) in several months, as it rose 0.6% in March. May 2005
featured the announcement of slower-than-expected first quarter gross
domestic product (GDP) growth of 3.1%. Despite concerns around economic
deceleration, slowing profit growth, and continued high oil prices, first
quarter earnings reports remained strong. June brought a slowdown in the
equity market rally that began in May as the specter of economic
deceleration dampened markets.
July 2005 was an impressive month for equity markets, despite the drag
from a strong dollar, higher energy prices, and a major terrorist attack
in London, which caused an immediate 4% drop in the S&P 500 Index.
Investors quickly rebounded, however, and the losses were recovered only
one day later. August 2005 brought a reversal of July's rally, as higher
oil prices continued to fan the fears of economic weakness, reaching a
record high of $70 per barrel during the aftermath of Hurricane Katrina.
Despite the downturn of U.S. equity markets in August, September 2005
turned slightly positive as improved profits in the energy sector
provided a counterbalance to lagging retail, transportation, tourism, and
insurance sectors.
Equity markets slid again in October 2005 amid continued signs of a
slower economy and renewed concerns about inflation. Despite a U.S. GDP
growth rate of 4.1% for the third quarter, short-term interest rates
rose, oil prices remained historically high, and consumer confidence
declined. In November 2005, equity markets were resilient in the face of
Federal Reserve Board (Fed) tightening, the energy shock, and the
strength of the U.S. dollar. They rebounded because strong productivity
and high margins resulted in good earnings, and oil prices fell to the
mid-$50 per barrel range
THE S&P 500 INDEX IS AN UNMANAGED INDEX REPRESENTING THE WEIGHTED AVERAGE
PERFORMANCE OF A GROUP OF 500 WIDELY HELD, PUBLICLY TRADED STOCKS. IT IS
NOT POSSIBLE TO INVEST DIRECTLY IN THE S&P 500 INDEX.
6
. . . C O N T I N U E D
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COMMENTARY on the Fund
from $70 per barrel. After posting gains for nearly six weeks, December
2005 saw equity markets finish on an uninspiring note as thin volume led
to volatile movements in stock prices. Compounding the mixed results
throughout the year and leaving investors uncertain about the direction
of the economy heading into 2006, the yield curve inverted at the end of
December, meaning long-term yields fell below short-term yields,
historically a harbinger of an economic downturn.
As expected, interest rates moved considerably during the year as the
yield curve flattened dramatically and inverted at the close of 2005. The
Fed, through the Federal Open Market Committee, continued its "measured
pace" of monetary tightening by raising the federal funds rate 25 basis
points eight times during the year. This brought the federal funds rate
to 4.25% from 2.25%.
In 2005, the U.S. dollar gained 12.7% against the euro, 10.6% against the
British pound, and 15% against the Japanese yen. Above all, interest-rate
decisions and expectations drove exchange rates, a situation which is
expected to continue as the Fed raises interest rates.
Going forward, we believe the portfolio is positioned to match the risk
characteristics of its benchmark.
7
I N V E S T M E N T
====================------------------------------------------------------------
OVERVIEW
USAA EXTENDED MARKET INDEX FUND
OBJECTIVE
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Seeks to match, before fees and expenses, the performance of the U.S.
stocks not included in the S&P 500 Index as represented by the Dow Jones
Wilshire 4500 Completion Index (Full Cap).
TYPES OF INVESTMENTS
--------------------------------------------------------------------------------
Invests all of the Fund's investable assets in the Master Extended Market
Index Series of the Quantitative Master Series Trust (Extended Market
Portfolio or the Series), which is a separate fund advised by Fund Asset
Management, L.P., with a substantially similar investment objective;
normally at least 80% of the Extended Market Portfolio's assets will be
invested in stocks of companies or other financial instruments that are
included in or correlated with securities in the Dow Jones Wilshire 4500
Completion Index (Full Cap).
ˇ Download Table
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12/31/05 12/31/04
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Net Assets $174.2 Million $121.2 Million
Net Asset Value Per Share $12.10 $11.25
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AVERAGE ANNUAL TOTAL RETURNS AS of 12/31/05
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ˇ Download Table
1 YEAR 5 YEARS SINCE INCEPTION ON 10/27/00
10.11% 6.75% 5.15%
The performance data quoted represents past performance and is no
guarantee of future results. Current performance may be higher or lower
than the performance data quoted. The return and principal value of an
investment will fluctuate, so that an investor's shares, when redeemed,
may be worth more or less than their original cost. For performance data
current to the most recent month-end, visit usaa.com.
TOTAL RETURN MEASURES THE PRICE CHANGE IN A SHARE ASSUMING THE
REINVESTMENT OF ALL NET INVESTMENT INCOME AND REALIZED CAPITAL GAIN
DISTRIBUTIONS. THE TOTAL RETURNS QUOTED DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE
REDEMPTION OF FUND SHARES.
8
. . . C O N T I N U E D
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OVERVIEW
CUMULATIVE PERFORMANCE COMPARISON
[CHART OF CUMULATIVE PERFORMANCE COMPARISON]
ˇ Download Table
DOW JONES
USAA EXTENDED WILSHIRE 4500
MARKET INDEX COMPLETION INDEX
FUND (FULL CAP)
------------ ----------------
10/30/00 $10,000.00 $10,000.00
10/31/00 10,400.00 10,468.00
11/30/00 8,840.00 8,685.30
12/31/00 9,360.00 9,235.08
01/31/01 9,750.00 9,737.47
02/28/01 8,670.00 8,554.37
03/31/01 7,960.00 7,769.07
04/30/01 8,750.00 8,591.04
05/31/01 8,940.00 8,794.65
06/30/01 8,980.00 8,865.89
07/31/01 8,600.00 8,453.62
08/31/01 8,200.00 8,042.78
09/30/01 7,160.00 7,008.48
10/31/01 7,520.00 7,375.72
11/30/01 8,100.00 7,948.81
12/31/01 8,515.19 8,374.87
01/31/02 8,362.22 8,216.58
02/28/02 8,127.67 7,984.06
03/31/02 8,678.36 8,525.37
04/30/02 8,576.38 8,441.83
05/31/02 8,372.42 8,255.26
06/30/02 7,801.34 7,690.60
07/31/02 7,036.51 6,942.31
08/31/02 7,077.30 6,982.57
09/30/02 6,598.00 6,511.95
10/31/02 6,822.35 6,725.54
11/30/02 7,281.25 7,186.91
12/31/02 6,965.60 6,884.34
01/31/03 6,811.95 6,735.64
02/28/03 6,648.05 6,564.55
03/31/03 6,750.49 6,661.71
04/30/03 7,313.88 7,216.63
05/31/03 8,020.69 7,902.21
06/30/03 8,194.83 8,090.28
07/31/03 8,563.59 8,468.10
08/31/03 8,922.12 8,822.91
09/30/03 8,799.20 8,713.51
10/31/03 9,475.27 9,377.48
11/30/03 9,792.82 9,701.00
12/31/03 9,991.64 9,902.78
01/31/04 10,331.21 10,257.30
02/29/04 10,516.43 10,436.80
03/31/04 10,567.88 10,480.64
04/30/04 10,125.41 10,059.32
05/31/04 10,279.76 10,212.22
06/30/04 10,557.59 10,478.76
07/31/04 9,971.06 9,895.09
08/31/04 9,971.06 9,899.05
09/30/04 10,362.08 10,302.93
10/31/04 10,578.17 10,534.74
11/30/04 11,298.47 11,251.11
12/31/04 11,782.13 11,741.66
01/31/05 11,384.16 11,356.53
02/28/05 11,593.62 11,562.08
03/31/05 11,405.10 11,357.43
04/30/05 11,017.60 10,973.55
05/31/05 11,666.93 11,624.28
06/30/05 12,033.48 11,998.59
07/31/05 12,682.81 12,658.51
08/31/05 12,536.19 12,509.14
09/30/05 12,609.50 12,586.69
10/31/05 12,337.20 12,316.08
11/30/05 12,934.16 12,892.47
12/31/05 12,973.80 12,947.91
[END CHART]
DATA FROM 10/30/00* THROUGH 12/31/05.
*DATE THE FUND INITIALLY INVESTED IN SECURITIES REPRESENTED BY THE INDEX.
The graph illustrates how a $10,000 hypothetical investment in the USAA
Extended Market Index Fund closely tracks the Dow Jones Wilshire 4500
Completion Index (Full Cap), which is a market-capitalization-weighted
index of approximately 4,700 U.S. equity securities. It includes all the
stocks in the Dow Jones Wilshire 5000 Composite Index (Full Cap) except
for stocks included in the S&P 500 Index.
DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP) IS A SERVICE MARK OF
DOW JONES & COMPANY, INC. AND WILSHIRE ASSOCIATES INCORPORATED. NEITHER
DOW JONES NOR WILSHIRE HAS ANY RELATIONSHIP TO FUND ASSET MANAGEMENT,
L.P. (FAM), OR USAA MUTUAL FUND, INC. OTHER THAN THE LICENSING AND
SUBLICENSING OF THE DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP)
AND ITS SERVICE MARKS FOR USE IN CONNECTION WITH THE FUND. O DOW JONES
AND WILSHIRE DO NOT SPONSOR, ENDORSE, SELL, OR PROMOTE THE FUND;
RECOMMEND THAT ANY PERSON INVEST IN THE FUND OR ANY OTHER SECURITIES;
HAVE ANY RESPONSIBILITY OR LIABILITY FOR OR MAKE ANY DECISIONS ABOUT THE
TIMING, AMOUNT, OR PRICING OF THE FUND; HAVE ANY RESPONSIBILITY OR
LIABILITY FOR THE ADMINISTRATION, MANAGEMENT, OR MARKETING OF THE FUND;
CONSIDER THE NEEDS OF THE FUND OR THE OWNERS OF THE FUND IN DETERMINING,
COMPOSING, OR CALCULATING THE DOW JONES WILSHIRE 4500 COMPLETION INDEX
(FULL CAP) OR HAVE ANY OBLIGATION TO DO SO.
NEITHER DOW JONES NOR WILSHIRE WILL HAVE ANY LIABILITY IN CONNECTION WITH
THE FUND. SPECIFICALLY, NEITHER DOW JONES NOR WILSHIRE MAKES ANY
WARRANTY, EXPRESS OR IMPLIED, AND DOW JONES AND WILSHIRE DISCLAIM ANY
WARRANTY ABOUT: THE RESULTS TO BE OBTAINED BY THE FUND, THE OWNER OF THE
FUND, OR ANY OTHER PERSON IN CONNECTION WITH THE USE OF THE DOW JONES
WILSHIRE 4500 COMPLETION INDEX (FULL CAP) AND THE DATA INCLUDED IN THE
DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP); THE ACCURACY OR
COMPLETENESS OF THE DOW JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP)
AND ANY RELATED DATA; THE MERCHANTABILITY AND THE FITNESS FOR A
PARTICULAR PURPOSE OR USE OF THE DOW JONES WILSHIRE 4500 COMPLETION INDEX
(FULL CAP) AND/OR ITS RELATED DATA; NEITHER DOW JONES NOR WILSHIRE WILL
HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS IN THE DOW
JONES WILSHIRE 4500 COMPLETION INDEX (FULL CAP) OR RELATED DATA; UNDER NO
CIRCUMSTANCES WILL DOW JONES OR WILSHIRE BE LIABLE FOR ANY LOST PROFITS
OR INDIRECT, PUNITIVE, SPECIAL, OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN
IF DOW JONES OR WILSHIRE KNOWS THAT THEY MIGHT OCCUR. O THE LICENSING
AGREEMENT BETWEEN FAM, DOW JONES, AND WILSHIRE AND THE SUBLISCENSING
AGREEEMENT BETWEEN USAA MUTUAL FUND, INC. AND FAM, ARE SOLELY FOR THE
BENEFIT OF THE PARTIES TO THESE AGREEMENTS AND NOT FOR THE BENEFIT OF THE
OWNERS OF THE USAA EXTENDED MARKET INDEX FUND OR ANY OTHER THIRD PARTIES.
9
P O R T F O L I O
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HIGHLIGHTS
-----------------------------------------------
TOP 10 HOLDINGS*
(% of Net Assets)
-----------------------------------------------
ˇ Download Table
Google, Inc. Class A 3.0%
Berkshire Hathaway, Inc. Class A 2.8%
Genentech, Inc. 2.3%
Kraft Foods, Inc. 1.1%
Accenture Ltd. Class A 0.6%
Berkshire Hathaway, Inc. Class B 0.6%
Liberty Media Corp. Class A 0.5%
The DIRECTV Group, Inc. 0.5%
Marvell Technology Group Ltd. 0.4%
Las Vegas Sands Corp. 0.3%
*PERCENTAGES ARE OF THE NET ASSETS OF THE MASTER EXTENDED MARKET INDEX
SERIES (THE SERIES), NOT OF THE NET ASSETS OF THE FUND.
YOU WILL FIND A COMPLETE LIST OF SECURITIES THAT THE SERIES OWNS ON PAGES
34-80.
10
. . . C O N T I N U E D
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HIGHLIGHTS
ASSET ALLOCATION*
12/31/2005
[PIE CHART OF ASSET ALLOCATION]
ˇ Download Table
Business Services 13.3%
Drugs & Medicine 9.7%
Miscellaneous Finance 8.9%
Real Property 5.6%
Electronics 5.2%
Banks 4.6%
Insurance 4.3%
Energy & Raw Materials 3.4%
Producer Goods 3.2%
Domestic Oil 3.1%
Retail 3.1%
Energy & Utilities 2.8%
Food & Agriculture 2.8%
Media 2.7%
Telephone 2.6%
Travel & Recreation 2.1%
Other** 28.0%
[END CHART]
*PERCENTAGES ARE OF THE NET ASSETS OF THE MASTER EXTENDED MARKET INDEX
SERIES (THE SERIES), NOT OF THE NET ASSETS OF THE FUND.
**INDUSTRIES WITH LESS THAN 2.0% OF THE SERIES' NET ASSETS AND SHORT-TERM
SECURITIES.
11
D I S T R I B U T I O N S
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to SHAREHOLDERS
The following federal tax information related to the Fund's fiscal year
ended December 31, 2005, is provided for information purposes only and
should not be used for reporting to federal or state revenue agencies.
Federal tax information for the calendar year will be reported to you on
Form 1099-DIV in January 2006.
Certain dividends paid by the Fund may be subject to a maximum tax rate
of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation
Act of 2003. Of the distributions paid during the fiscal year, the
maximum amount that may be considered qualified dividend income is
$982,498.
80% of ordinary income distributions qualify for the dividends-received
deductions eligible to corporations.
12
R E P O R T O F I N D E P E N D E N T R E G I S T E R E D
========================--------------------------------------------------------
Public ACCOUNTING Firm
THE SHAREHOLDERS AND BOARD OF DIRECTORS OF USAA EXTENDED MARKET INDEX FUND:
We have audited the accompanying statement of assets and liabilities of the USAA
Extended Market Index Fund (a portfolio of USAA Mutual Fund, Inc.), as of
December 31, 2005, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the four years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. The financial highlights for the period presented through December 31,
2001 were audited by other auditors whose report dated February 8, 2002,
expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Fund's internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of December 31, 2005, by correspondence with the custodian
and brokers or by other appropriate auditing procedures where replies from
brokers were not received. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
USAA Extended Market Index Fund at December 31, 2005, the results of its
operations for the year then ended, and the changes in its net assets for each
of the two years in the period then ended, and the financial highlights for each
of the four years in the period then ended, in conformity with U.S. generally
accepted accounting principles.
/S/ ERNST & YOUNG LLP
San Antonio, Texas
February 21, 2006
13
S T A T E M E N T
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of ASSETS and LIABILITIES
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
ˇ Download Table
ASSETS
Investment in Master Extended Market Index Series, at fair value $174,142,721
Receivable for capital shares sold 658,420
Receivable due from USAA Investment Management
Company (Note 4B) 79,687
Receivable due from USAA Transfer Agency
Company (Note 4C) 5,065
------------
Total assets 174,885,893
------------
LIABILITIES
Payable for purchase in Master Extended Market Index Series 569,254
Payable for capital shares redeemed 89,166
Accrued transfer agency fees 4,923
Other accrued expenses and payables 23,077
------------
Total liabilities 686,420
------------
Net assets applicable to capital shares outstanding $174,199,473
============
NET ASSETS CONSIST OF:
Paid-in capital $143,105,357
Accumulated net realized gain from investments and
futures transactions 1,681,264
Net unrealized appreciation on investments and futures contracts 29,412,852
------------
Net assets applicable to capital shares outstanding $174,199,473
============
Capital shares outstanding ($.01 par value per share,
100,000,000 shares authorized) 14,401,318
============
Net asset value, redemption price, and offering price per share $ 12.10
============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
14
S T A T E M E N T
==================--------------------------------------------------------------
of OPERATIONS
USAA EXTENDED MARKET INDEX FUND
YEAR ENDED DECEMBER 31, 2005
ˇ Download Table
INVESTMENT INCOME
Allocated from Master Extended Market Index Series:
Dividends (net of $1,322 foreign withholding tax) $ 1,634,616
Interest from affiliates 243,225
Securities lending - net 51,915
Other 2,144
-----------
Total income 1,931,900
Expenses (106,607)
-----------
Net allocated investment income 1,825,293
-----------
FUND EXPENSES
Administration and servicing fees 547,795
Transfer agent's fees 317,695
Custody and accounting fees 5,714
Shareholder reporting fees 8,919
Postage 29,081
Directors' fees 7,200
Registration fees 36,152
Professional fees 37,000
Other 6,000
-----------
Total Fund expenses before reimbursement 995,556
Expenses paid indirectly (326)
Expenses reimbursed (381,701)
-----------
Total Fund expenses after reimbursement 613,529
-----------
NET INVESTMENT INCOME 1,211,764
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS ALLOCATED FROM MASTER
EXTENDED MARKET INDEX SERIES
Net realized gain from investment transactions 6,041,428
Net realized gain from futures transactions 236,348
Net change in unrealized appreciation/depreciation on
investments and futures contracts 7,551,664
-----------
Net allocated realized and unrealized gain on investments and
futures contracts 13,829,440
-----------
Increase in net assets from operations $15,041,204
===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
15
S T A T E M E N T S
====================------------------------------------------------------------
of Changes in NET ASSETS
USAA EXTENDED MARKET INDEX FUND
YEARS ENDED DECEMBER 31,
ˇ Enlarge/Download Table
2005 2004
-------------------------------
FROM OPERATIONS
Net investment income $ 1,211,764 $ 653,503
Net realized gain from investment and futures
transactions 6,277,776 3,200,317
Net change in unrealized appreciation/depreciation
on investments and futures contracts 7,551,664 12,702,901
-------------------------------
Net increase in net assets from operations 15,041,204 16,556,721
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (1,212,996) (1,460,541)
Net realized gains (2,873,157) (618,035)
-------------------------------
Distributions to shareholders (4,086,153) (2,078,576)
-------------------------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold 70,508,149 54,605,848
Reinvested dividends 3,989,451 2,015,470
Cost of shares redeemed (32,423,480) (21,353,315)
-------------------------------
Net increase in net assets from capital share
transactions 42,074,120 35,268,003
-------------------------------
Capital contribution from USAA Transfer Agency
Company (Note 4C) 889 -
-------------------------------
Net increase in net assets 53,030,060 49,746,148
NET ASSETS
Beginning of period 121,169,413 71,423,265
-------------------------------
End of period $174,199,473 $121,169,413
===============================
CHANGE IN SHARES OUTSTANDING
Shares sold 6,164,834 5,358,530
Shares issued for reinvested dividends 325,189 180,315
Shares redeemed (2,858,322) (2,125,926)
-------------------------------
Increase in shares outstanding 3,631,701 3,412,919
===============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
16
F I N A N C I A L
==================--------------------------------------------------------------
HIGHLIGHTS
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
Contained below are selected ratios and supplemental data for the periods
indicated for the USAA Extended Market Index Fund.
ˇ Enlarge/Download Table
YEARS ENDED DECEMBER 31,
-----------------------------------------------------------------
2005 2004 2003 2002 2001
-----------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE
Net asset value at beginning of period $ 11.25 $ 9.71 $ 6.80 $ 8.35 $ 9.36
-----------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .08 .06 .06(a) .04 .10
Net realized and unrealized gain (loss) on
investments and futures transactions 1.06 1.68 2.89(a) (1.56) (.95)
-----------------------------------------------------------------
Total from investment operations 1.14 1.74 2.95(a) (1.52) (.85)
-----------------------------------------------------------------
Less distributions:
From net investment income (.08) (.14) (.04) (.03) (.12)
From realized capital gains (.21) (.06) - - (.04)
-----------------------------------------------------------------
Total distributions (.29) (.20) (.04) (.03) (.16)
-----------------------------------------------------------------
Net asset value at end of period $ 12.10 $ 11.25 $ 9.71 $ 6.80 $ 8.35
=================================================================
Total return (%)* 10.11 17.92 43.44 (18.20) (9.03)
SUPPLEMENTAL DATA AND RATIOS
Net assets at end of period (000) $174,199 $121,169 $71,423 $25,303 $17,372
Ratios to average net assets:**
Expenses, including expenses of the
Master Extended Market Index Series (%)(b) .50(c) .50(c) .50 .50 .50
Expenses before reimbursements, including
expenses of the Master Extended Market
Index Series (%) .76(c) .80(c) .96 1.32 1.61
Net investment income (%) .84 .70 .74 .73 .97
Portfolio turnover (%)*** 18.09 22.90 14.53 28.14 97.51
* Assumes reinvestment of all net investment income and realized capital gain
distributions during the period.
** For the year ended December 31, 2005, average net assets were $144,151,635.
*** Represents the portfolio turnover of the Master Extended Market Index
Series.
(a) Calculated using average shares.
(b) Effective October 27, 2000, the Manager voluntarily agreed to limit the
Fund's expenses to 0.50% of the Fund's average net assets.
(c) Reflects operating expenses of the Fund before reductions of any expenses
paid indirectly. The Fund's expenses paid indirectly decreased the expense
ratios by less than 0.01%.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
17
N O T E S
==========----------------------------------------------------------------------
to FINANCIAL Statements
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
(1) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
--------------------------------------------------------------------------------
USAA MUTUAL FUND, INC. (the Company), registered under the Investment
Company Act of 1940 (the 1940 Act), as amended, is an open-end
management investment company incorporated under the laws of Maryland
consisting of 17 separate funds. The information presented in this
annual report pertains only to the USAA Extended Market Index Fund (the
Fund), which is classified as diversified under the 1940 Act. The
Fund's primary investment objective is to match, before fees and
expenses, the performance of the U.S. stocks not included in the S&P
500 Index as represented by the Dow Jones Wilshire 4500 Completion
Index (Full Cap). The Dow Jones Wilshire 4500 Completion Index (Full
Cap) measures the performance of all small- and mid-cap stocks as
measured by the Dow Jones Wilshire 5000 Composite Index (Full Cap) less
the stocks in the S&P 500 Index.
USAA Investment Management Company (the Manager), an affiliate of the
Fund, attempts to achieve this objective by investing all of the Fund's
investable assets in the Master Extended Market Index Series of the
Quantitative Master Series Trust (the Series), which is a separate
open-end investment management company advised by Fund Asset
Management, L.P. (FAM) with a substantially similar investment
objective. At December 31, 2005, the Fund's investment was 68.84% of
the Series.
The financial statements of the Series, including the Schedule of
Investments, are contained elsewhere in this report and should be read
in conjunction with the Fund's financial statements.
A. VALUATION OF INVESTMENTS - The Fund records its investment in the
Series at fair value, which reflects its proportionate interest in
the net assets of the Series. Valuation of the securities held by
the Series is discussed in Note 1A of the Series' financial
statements included elsewhere in this report.
B. INVESTMENT INCOME AND EXPENSES - The Fund records daily its pro
rata share of the Series' income, expenses, and realized and
18
N O T E S
==========----------------------------------------------------------------------
to FINANCIAL Statements
(continued)
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
unrealized gains and losses. In addition, the Fund accrues its own
expenses.
C. FEDERAL TAXES - The Fund's policy is to comply with the
requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute substantially all of its
income to its shareholders. Therefore, no federal income tax
provision is required.
D. EXPENSES PAID INDIRECTLY - Through arrangements with banks
utilized by the Fund for cash management purposes, realized
credits, if any, generated from cash balances in the Fund's bank
accounts are used to reduce the Fund's expenses. For the year
ended December 31, 2005, these bank credits reduced the Fund's
expenses by $326.
E. INDEMNIFICATIONS - Under the Company's organizational documents,
its officers and directors are indemnified against certain
liabilities arising out of the performance of their duties to the
Company. In addition, in the normal course of business the Company
enters into contracts that contain a variety of representations
and warranties that provide general indemnifications. The
Company's maximum exposure under these arrangements is unknown, as
this would involve future claims that may be made against the
Company that have not yet occurred. However, the Company expects
the risk of loss to be remote.
F. USE OF ESTIMATES - The preparation of financial statements in
conformity with U.S. generally accepted accounting principles
requires management to make estimates and assumptions that may
affect the reported amounts in the financial statements.
(2) LINES OF CREDIT
--------------------------------------------------------------------------------
Effective January 6, 2005, the Fund participates in a joint,
short-term, revolving, committed loan agreement of $300 million with
USAA Capital Corporation (CAPCO), an affiliate of the Manager. The
19
N O T E S
==========----------------------------------------------------------------------
to FINANCIAL Statements
(continued)
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
purpose of the agreement is to meet temporary or emergency cash needs,
including redemption requests that might otherwise require the untimely
disposition of securities. Subject to availability under the agreement,
the Fund may borrow from CAPCO an amount up to 5% of the Fund's total
assets at a rate per annum equal to the rate at which CAPCO obtains
funding in the capital markets, with no markup.
The USAA funds that are party to the loan agreement are assessed
facility fees by CAPCO based on the funds' assessed proportionate share
of CAPCO's operating expenses related to obtaining and maintaining
CAPCO's funding programs in total (in no event to exceed 0.09% annually
of the $300 million loan agreement). The facility fees are allocated
among the funds based on their respective average net assets for the
period. Effective January 6, 2006, the facility fees assessed by CAPCO
will be limited to an amount not to exceed 0.07% annually of the $300
million loan agreement.
Prior to January 6, 2005, the loan agreement with CAPCO was in the
amount of $400 million, and the Fund also participated with other USAA
funds in a joint, short-term, revolving, committed loan agreement of
$100 million with Bank of America and State Street Bank and Trust
Company (State Street), under which Bank of America and State Street
both committed $50 million. Subject to availability under its agreement
with Bank of America and State Street, the Fund could borrow from Bank
of America and State Street, at the federal funds rate plus a 0.50%
markup, an amount which, when added to outstanding borrowings under the
CAPCO agreement, did not exceed 25% of the Fund's total assets. The
USAA funds that were party to the loan agreement with Bank of America
and State Street were assessed facility fees in an annual amount equal
to 0.09% of the $100 million loan agreement, whether used or not. The
facility fees were allocated among the funds based on their respective
average net assets for the period.
For the year ended December 31, 2005, the Fund paid CAPCO facility fees
of $310, which represents 0.4% of total fees paid to CAPCO by
20
N O T E S
==========----------------------------------------------------------------------
to FINANCIAL Statements
(continued)
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
the USAA funds. The Fund had no borrowings under any of these
agreements during the year ended December 31, 2005.
(3) DISTRIBUTIONS
--------------------------------------------------------------------------------
The character of any distributions made during the year from net
investment income or net realized gains is determined in accordance
with federal tax regulations and may differ from those determined in
accordance with U.S. generally accepted accounting principles. Also,
due to the timing of distributions, the fiscal year in which amounts
are distributed may differ from the year that the income or realized
gains were recorded by the Fund.
During the current fiscal year, permanent differences between book- and
tax-basis accounting resulted in reclassifications made to the
statement of assets and liabilities to increase paid-in capital by
$1,488,765 increase undistributed net investment income by $1,232 and
decrease accumulated net realized gain on investments by $1,489,997.
This includes differences related to partnership accounting for
master-feeder funds and differences in accounting for dividend
distributions. This reclassification has no effect on net assets.
The tax character of distributions paid during the years ended December
31, 2005, and 2004, was as follows:
ˇ Download Table
2005 2004
---------------------------------
Ordinary income* $1,212,996 $1,460,541
Long-term capital gains 2,873,157 618,035
* Includes distribution of short-term realized capital gains, if any,
which are taxable as ordinary income.
As of December 31, 2005, the components of net assets representing
distributable earnings on a tax basis were as follows:
ˇ Download Table
Undistributed ordinary income $ 353,290
Undistributed long-term capital gains 1,295,680
Unrealized appreciation 29,445,145
21
N O T E S
==========----------------------------------------------------------------------
to FINANCIAL Statements
(continued)
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
The difference between book-basis and tax-basis unrealized appreciation
of investments is attributable to the tax deferral of losses on wash
sales and mark-to-market adjustments on futures contracts.
Distributions to shareholders are recorded on the ex-dividend date.
Distributions of net investment income and the Fund's pro rata share of
the Series' realized gains from security transactions not offset by
capital losses are made annually in the succeeding fiscal year or as
otherwise required to avoid the payment of federal taxes.
(4) TRANSACTIONS WITH MANAGER
--------------------------------------------------------------------------------
A. ADMINISTRATION AND SERVICING FEES - The Manager provides
administration and shareholder servicing functions for the Fund.
For such services, the Manager receives a fee accrued daily and
paid monthly at an annualized rate of 0.38% of the Fund's average
net assets for the fiscal year. For the year ended December 31,
2005, the Fund incurred administration and servicing fees, paid or
payable to the Manager, of $547,795.
In addition to the services provided under its Administration and
Servicing Agreement with the Fund, the Manager also provides
certain legal and tax services for the benefit of the Fund. The
Company's Board of Directors has approved the reimbursement of
these expenses incurred by the Manager. For the year ended
December 31, 2005, the Fund reimbursed the Manager $9,111 for
these legal and tax services.
Out of the administration and servicing fees received from the
Fund, the Manager pays FAM up to 0.10% for subadministration
services provided on the Manager's behalf. For the year ended
December 31, 2005, the Manager incurred subadministration fees,
paid or payable to FAM, of $38,601.
B. EXPENSE LIMITATION - The Manager has voluntarily agreed to limit
the annual expenses of the Fund to 0.50% of the Fund's
22
N O T E S
==========----------------------------------------------------------------------
to FINANCIAL Statements
(continued)
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
annual average net assets, before reductions of any expenses paid
indirectly, and will reimburse the Fund for all expenses in excess
of that amount. This agreement may be modified or terminated at
any time. For the year ended December 31, 2005, the Fund incurred
reimbursable expenses of $381,701, of which $79,687 was receivable
from the Manager at year end.
C. TRANSFER AGENT'S FEES - USAA Transfer Agency Company, d/b/a USAA
Shareholder Account Services (SAS), an affiliate of the Manager,
provides transfer agency services to the Fund based on an annual
charge of $26 per shareholder account, plus out-of-pocket
expenses. The Fund also pays SAS fees that are related to the
administration and servicing of accounts that are traded on an
omnibus basis. For the year ended December 31, 2005, the Fund
incurred transfer agent's fees paid or payable to SAS of $317,695.
Additionally, the Fund recorded a receivable from SAS of $5,065 at
December 31, 2005, for adjustments related to shareholder
transactions, including a capital contribution of $889.
D. UNDERWRITING AGREEMENT - The Manager provides exclusive
underwriting and distribution of the Fund's shares on a continuing
best-efforts basis. The Manager receives no commissions or fees
for this service.
E. MANAGEMENT AGREEMENT - The Manager serves as investment adviser to
the Fund and is responsible for monitoring the services provided
to the Series by FAM. While the Fund maintains its investment in
the Series, the Manager receives no fee from the Fund for the
monitoring service performed on its behalf.
(5) TRANSACTIONS WITH AFFILIATES
--------------------------------------------------------------------------------
Certain directors and officers of the Fund are also directors,
officers, and/or employees of the Manager. None of the affiliated
directors or Fund officers received any compensation from the Fund.
23
E X P E N S E
==============------------------------------------------------------------------
EXAMPLE (unaudited)
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
EXAMPLE
--------------------------------------------------------------------------------
As a shareholder of the Fund, you incur two types of costs: direct
costs, such as wire fees, redemption fees, and low balance fees; and
indirect costs, including administrative fees, transfer agency fees,
expenses allocated to the Fund by the Master Extended Market Index
Series, and other Fund operating expenses. This example is intended to
help you understand your indirect costs, also referred to as "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 example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire six-month period of
July 1, 2005, through December 31, 2005.
ACTUAL EXPENSES
--------------------------------------------------------------------------------
The first line of the table on the next page provides information about
actual account values and actual expenses. You may use the information
in this line, together with the amount you invested at the beginning of
the period, 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 "Expenses Paid During
Period" to estimate the expenses you paid on your account during this
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
--------------------------------------------------------------------------------
The second line of the table 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
24
E X P E N S E
==============------------------------------------------------------------------
EXAMPLE (unaudited)
(continued)
USAA EXTENDED MARKET INDEX FUND
DECEMBER 31, 2005
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 other funds.
Please note that the expenses shown in the table are meant to highlight
your ongoing costs only and do not reflect any direct costs, such as
wire fees, redemption fees, or low balance 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 direct costs were included, your costs
would have been higher.
ˇ Enlarge/Download Table
EXPENSES PAID
BEGINNING ENDING DURING PERIOD*
ACCOUNT VALUE ACCOUNT VALUE JULY 1, 2005 -
JULY 1, 2005 DECEMBER 31, 2005 DECEMBER 31, 2005
------------------------------------------------------------
Actual $1,000.00 $1,078.10 $2.62
Hypothetical
(5% return before expenses) 1,000.00 1,022.68 2.55
*Expenses are equal to the Fund's annualized expense ratio of 0.50%,
which includes expenses of the Master Extended Market Index Series and
is net of any reimbursements and expenses paid indirectly, multiplied
by the average account value over the period, multiplied by 184
days/365 days (to reflect the one-half year period). The Fund's ending
account value on the first line in the table is based on its actual
total return of 7.81% for the six-month period of July 1, 2005,
through December 31, 2005.
25
D I R E C T O R S ' A N D O F F I C E R S '
====================------------------------------------------------------------
INFORMATION
DIRECTORS* AND OFFICERS OF THE COMPANY
--------------------------------------------------------------------------------
The Board of Directors of the Company consists of six Directors. These
Directors and the Company's Officers supervise the business affairs of
the USAA family of funds. The Board of Directors is responsible for the
general oversight of the funds' business and for assuring that the
funds are managed in the best interests of each fund's respective
shareholders. The Board of Directors periodically reviews the funds'
investment performance as well as the quality of other services
provided to the funds and their shareholders by each of the fund's
service providers, including USAA Investment Management Company (IMCO)
and its affiliates. The term of office for each Director shall be 20
years or until the Director reaches age 70. All members of the Board of
Directors shall be presented to shareholders for election or
reelection, as the case may be, at least once every five years.
Vacancies on the Board of Directors can be filled by the action of a
majority of the Directors, provided that at least two-thirds of the
Directors have been elected by the shareholders.
Set forth below are the Directors and Officers of the Company, their
respective offices and principal occupations during the last five
years, length of time served, and information relating to any other
directorships held. Each serves on the Board of Directors of the USAA
family of funds consisting of four registered investment companies
offering 39 individual funds as of December 31, 2005. Unless otherwise
indicated, the business address of each is 9800 Fredericksburg Road,
San Antonio, TX 78288.
If you would like more information about the funds' Directors, you may
call (800) 531-8181 to request a free copy of the funds' statement of
additional information (SAI).
* FOR SIMPLICITY THROUGHOUT THIS SECTION, THE BOARDS OF DIRECTORS AND
BOARDS OF TRUSTEES OF THE FOUR LEGAL ENTITIES THAT COMPRISE THE USAA
FAMILY OF FUNDS WILL BE IDENTIFIED AS THE BOARD OF DIRECTORS.
26
. . . C O N T I N U E D
========================--------------------------------------------------------
INFORMATION
INTERESTED DIRECTOR(1)
--------------------------------------------------------------------------------
CHRISTOPHER W. CLAUS (2, 4)
Director
Born: December 1960
Year of Election or Appointment: 2001
President, Chief Executive Officer, Director, and Chairman of the Board
of Directors, IMCO (12/04-present); President and Chief Executive
Officer, Director, and Vice Chairman of the Board of Directors, IMCO
(2/01-12/04); Senior Vice President, Investment Sales and Service, IMCO
(7/00-2/01). Mr. Claus serves as President, Director/Trustee, and Vice
Chairman of the Boards of Director/Trustee of the USAA family of funds.
He also serves as President, Director, and Chairman of the Board of
Directors of USAA Shareholder Account Services (SAS). He also holds the
Officer position of Senior Vice President of USAA Life Investment
Trust, a registered investment company offering five individual funds.
(1) INDICATES THE DIRECTOR IS AN EMPLOYEE OF USAA INVESTMENT MANAGEMENT
COMPANY OR AFFILIATED COMPANIES AND IS CONSIDERED AN "INTERESTED
PERSON" UNDER THE INVESTMENT COMPANY ACT OF 1940.
(2) MEMBER OF EXECUTIVE COMMITTEE
(3) MEMBER OF AUDIT COMMITTEE
(4) MEMBER OF PRICING AND INVESTMENT COMMITTEE
(5) MEMBER OF CORPORATE GOVERNANCE COMMITTEE
(6) THE ADDRESS FOR ALL NON-INTERESTED DIRECTORS IS THAT OF THE USAA
FUNDS, P.O. BOX 659430, SAN ANTONIO, TX 78265-9430.
27
. . . C O N T I N U E D
========================--------------------------------------------------------
INFORMATION
NON-INTERESTED (INDEPENDENT) DIRECTORS
--------------------------------------------------------------------------------
BARBARA B. DREEBEN (3, 4, 5, 6)
Director
Born: June 1945
Year of Election or Appointment: 1994
President, Postal Addvantage (7/92-present), a postal mail list
management service. Mrs. Dreeben serves as Director/Trustee of the USAA
family of funds. Mrs. Dreeben holds no other directorships of any
publicly held corporations or other investment companies outside the
USAA family of funds.
ROBERT L. MASON, PH.D. (3, 4, 5, 6)
Director
Born: July 1946
Year of Election or Appointment: 1997
Institute Analyst, Southwest Research Institute (3/02-present); Staff
Analyst, Southwest Research Institute (9/98-3/02), which focuses in the
fields of technological research. Dr. Mason serves as a
Director/Trustee of the USAA family of funds. Dr. Mason holds no other
directorships of any publicly held corporations or other investment
companies outside the USAA family of funds.
MICHAEL F. REIMHERR (3, 4, 5, 6)
Director
Born: August 1945
Year of Election or Appointment: 2000
President of Reimherr Business Consulting (5/95-present), an
organization that performs business valuations of large companies to
include the development of annual business plans, budgets, and internal
financial reporting. Mr. Reimherr serves as a Director/Trustee of the
USAA family of funds. Mr. Reimherr holds no other directorships of any
publicly held corporations or other investment companies outside the
USAA family of funds.
28
. . . C O N T I N U E D
========================--------------------------------------------------------
INFORMATION
LAURA T. STARKS, PH.D.(3, 4, 5, 6)
Director
Born: February 1950
Year of Election or Appointment: 2000
Charles E. and Sarah M. Seay Regents Chair Professor of Finance,
University of Texas at Austin (9/96-present). Dr. Starks serves as a
Director/Trustee of the USAA family of funds. Dr. Starks holds no other
directorships of any publicly held corporations or other investment
companies outside the USAA family of funds.
RICHARD A. ZUCKER (2, 3, 4, 5, 6)
Director and Chairman of the Board of Directors
Born: July 1943
Year of Election or Appointment: 1992(+)
Vice President, Beldon Roofing Company (7/85-present). Mr. Zucker
serves as a Director/Trustee of the USAA family of funds. Mr. Zucker
holds no other directorships of any publicly held corporations or other
investment companies outside the USAA family of funds.
(1) INDICATES THE DIRECTOR IS AN EMPLOYEE OF USAA INVESTMENT MANAGEMENT
COMPANY OR AFFILIATED COMPANIES AND IS CONSIDERED AN "INTERESTED
PERSON" UNDER THE INVESTMENT COMPANY ACT OF 1940.
(2) MEMBER OF EXECUTIVE COMMITTEE
(3) MEMBER OF AUDIT COMMITTEE
(4) MEMBER OF PRICING AND INVESTMENT COMMITTEE
(5) MEMBER OF CORPORATE GOVERNANCE COMMITTEE
(6) THE ADDRESS FOR ALL NON-INTERESTED DIRECTORS IS THAT OF THE USAA
FUNDS, P.O. BOX 659430, SAN ANTONIO, TX 78265-9430.
(+) MR. ZUCKER WAS ELECTED AS CHAIRMAN OF THE BOARD IN 2005.
29
. . . C O N T I N U E D
========================--------------------------------------------------------
INFORMATION
INTERESTED OFFICERS(1)
--------------------------------------------------------------------------------
CLIFFORD A. GLADSON
Vice President
Born: November 1950
Year of Appointment: 2002
Senior Vice President, Fixed Income Investments, IMCO (9/02-present);
Vice President, Fixed Income Investments, IMCO (5/02-9/02); Vice
President, Mutual Fund Portfolios, IMCO (12/99-5/02). Mr. Gladson also
holds the Officer position of Vice President of USAA Life Investment
Trust, a registered investment company offering five individual funds.
STUART WESTER
Vice President
Born: June 1947
Year of Appointment: 2002
Vice President, Equity Investments, IMCO (1/99-present). Mr. Wester
also holds the Officer position of Vice President of USAA Life
Investment Trust, a registered investment company offering five
individual funds.
MARK S. HOWARD
Secretary
Born: October 1963
Year of Appointment: 2002
Senior Vice President, Life/IMCO/USAA Financial Planning Services (FPS)
General Counsel, USAA (10/03-present); Senior Vice President,
Securities Counsel, USAA (12/02-10/03); Senior Vice President,
Securities Counsel & Compliance, IMCO (1/02-12/02); Vice President,
Securities Counsel & Compliance, IMCO (7/00-1/02). Mr. Howard also
holds the Officer positions of Senior Vice President, Secretary, and
Counsel for USAA Life Insurance Company, IMCO, USAA Financial Advisers,
Inc. (FAI), FPS, and SAS; and Secretary for USAA Life Investment Trust,
a registered investment company offering five individual funds.
30
. . . C O N T I N U E D
========================--------------------------------------------------------
INFORMATION
DEBRA K. DUNN
Treasurer
Born: August 1969
Year of Appointment: 2005
Assistant Vice President, IMCO/FPS Finance, USAA (9/04-present);
Executive Director, IMCO/FPS Finance, USAA (12/03-9/04); Executive
Director, FPS Finance, USAA (2/03-12/03); Director, FPS Finance, USAA
(12/02-2/03); Director, Strategic Financial Analysis, IMCO
(1/01-12/02). Financial Business Analyst, Strategic Financial Analysis,
IMCO (3/00-1/01). Ms. Dunn also holds the Officer positions of
Assistant Vice President and Treasurer for IMCO, SAS, FPS, and FAI, and
Treasurer of USAA Life Investment Trust, a registered investment
company offering five individual funds.
EILEEN M. SMILEY
Assistant Secretary
Born: November 1959
Year of Appointment: 2003
Vice President, Securities Counsel, USAA (2/04-present); Assistant Vice
President, Securities Counsel, USAA (1/03-2/04); Attorney, Morrison &
Foerster, LLP (1/99-1/03). Ms. Smiley also holds the Officer position
of Vice President and Assistant Secretary of IMCO, SAS, FAI, and FPS;
and Assistant Secretary of USAA Life Investment Trust, a registered
investment company offering five individual funds.
ROBERTO GALINDO, JR.
Assistant Treasurer
Born: November 1960
Year of Appointment: 2000
Assistant Vice President, Portfolio Accounting/Financial
Administration, USAA (12/02-present); Assistant Vice President, Mutual
Fund Analysis & Support, IMCO (10/01-12/02); Executive Director, Mutual
Fund Analysis & Support, IMCO (6/00-10/01). Mr. Galindo also holds the
Officer position of Assistant Treasurer of USAA Life Investment Trust,
a registered investment company offering five individual funds.
31
. . . C O N T I N U E D
========================--------------------------------------------------------
INFORMATION
JEFFREY D. HILL
Chief Compliance Officer
Born: December 1967
Year of Appointment: 2004
Assistant Vice President, Mutual Funds Compliance, USAA (9/04-present);
Assistant Vice President, Investment Management Administration &
Compliance, USAA (12/02-9/04); Assistant Vice President, Investment
Management Administration & Compliance, IMCO (9/01-12/02); Senior
Manager, Investment Management Assurance and Advisory Services, KPMG
LLP (6/98-8/01). Mr. Hill also serves as Chief Compliance Officer of
USAA Life Investment Trust, a registered investment company offering
five individual funds.
(1) INDICATES THOSE OFFICERS WHO ARE EMPLOYEES OF USAA INVESTMENT
MANAGEMENT COMPANY OR AFFILIATED COMPANIES AND ARE CONSIDERED
"INTERESTED PERSONS" UNDER THE INVESTMENT COMPANY ACT OF 1940.
Annual report of the
MASTER EXTENDED MARKET INDEX SERIES
in which the USAA EXTENDED MARKET INDEX FUND
invests
33
R E P O R T O F I N D E P E N D E N T R E G I S T E R E D
========================--------------------------------------------------------
Public ACCOUNTING Firm
TO THE INVESTORS AND BOARD OF TRUSTEES OF QUANTITATIVE MASTER SERIES TRUST:
We have audited the accompanying statement of assets and liabilities,
including the schedule of investments, of Master Extended Market Index
Series, one of the portfolios constituting the Quantitative Master
Series Trust (the "Trust"), as of December 31, 2005, and the related
statement of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of the five years in the
period then ended. These financial statements and financial highlights
are the responsibility of the Trust's management. Our responsibility is
to express an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial
highlights are free of material misstatement. The Trust is not required
to have, nor were we engaged to perform, an audit of its internal
control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing
audit procedures that are appropriate in the circumstances, but not for
the purpose of expressing an opinion on the effectiveness of the
Trust's internal control over financial reporting. Accordingly, we
express no such opinion. An audit also includes examining, on a test
basis, evidence supporting amounts and disclosures in the financial
statements, assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall
financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2005, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide
a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the
financial position of Master Extended Market Index Series of the
Quantitative Master Series Trust as of December 31, 2005, the results
of its operations for the year then ended, the changes in its net
assets for each of the two years in the period then ended, and its
financial highlights for each of the five years in the period then
ended, in conformity with U.S. generally accepted accounting
principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 17, 2006
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MASTER EXTENDED MARKET INDEX SERIES
DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
AEROSPACE - 0.6%
200 Aerosonic Corp.(a) $ 1,290
1,900 Armor Holdings, Inc.(a) 81,035
2,900 Crane Co. 102,283
1,500 Cubic Corp. 29,940
1,681 DRS Technologies, Inc. 86,437
2,200 EDO Corp. 59,532
1,800 ESCO Technologies, Inc.(a) 80,082
2,482 Engineered Support Systems, Inc. 103,350
1,200 EnPro Industries, Inc.(a) 32,340
700 Esterline Technologies Corp.(a) 26,033
6,600 Garmin Ltd.(f) 437,910
3,100 GenCorp, Inc.(a) 55,025
1,792 Heico Corp. Class A 36,772
2,700 KVH Industries, Inc.(a) 26,406
1,500 Kaman Corp. Class A 29,535
400 MTC Technologies, Inc.(a) 10,952
1,200 Metrologic Instruments, Inc.(a) 23,112
700 SatCon Technology Corp.(a) 1,050
500 Spacehab, Inc.(a) 350
1,900 Teledyne Technologies, Inc.(a) 55,290
41 Timco Aviation Services, Inc.(a) 189
3,400 Trimble Navigation Ltd.(a) 120,666
2,100 Veeco Instruments, Inc.(a) 36,393
------------
1,435,972
------------
AIR TRANSPORT - 0.4%
1,900 AAR Corp.(a) 45,505
10,200 AMR Corp.(a)(f) 226,746
3,500 Airtran Holdings, Inc.(a) 56,105
1,500 Alaska Air Group, Inc.(a) 53,580
1,800 Aviall, Inc.(a) 51,840
1,200 Aviation General, Inc.(a) -
4,870 Continental Airlines, Inc. Class B(a) 103,731
2,595 EGL, Inc.(a) 97,494
1,600 ExpressJet Holdings, Inc.(a) 12,944
2,700 FLYi, Inc.(a)(f) 76
2,100 Frontier Airlines, Inc.(a) 19,404
700 Great Lakes Aviation Ltd.(a) 567
7,302 Hawaiian Holdings, Inc.(a) 29,135
7,875 JetBlue Airways Corp.(a) 121,118
900 LMI Aerospace, Inc.(a) 12,762
1,200 MAIR Holdings, Inc.(a) 5,652
1,900 Mesa Air Group, Inc.(a) 19,874
800 Midwest Air Group, Inc.(a) 4,512
5,100 Northwest Airlines Corp.(a) 2,754
700 Petroleum Helicopters Non-Voting Shares(a) 21,861
1,300 Pinnacle Airlines Corp.(a) 8,671
100 Republic Airways Holdings, Inc.(a) 1,520
3,500 Skywest, Inc. 94,010
17,005 UAL Corp.(a)(f) 16,070
3,258 US Airways Group, Inc.(a) 121,002
200 Vanguard Airlines, Inc.(a) -
------------
1,126,933
------------
APPAREL - 0.9%
2,850 Aeropostale, Inc.(a) 74,955
3,400 Ashworth, Inc.(a) 28,730
6,250 bebe Stores, Inc. 87,688
1,200 Brown Shoe Co., Inc. 50,916
700 The Buckle, Inc. 22,568
900 Cache, Inc.(a) 15,588
400 Cherokee, Inc. 13,756
2,400 Columbia Sportswear Co.(a) 114,552
4,300 DHB Industries, Inc.(a) 19,221
1,500 Deckers Outdoor Corp.(a)(f) 41,430
2,600 dELiA*s, Inc.(a) 21,580
600 Escalade, Inc. 7,062
600 Finlay Enterprises, Inc.(a) 5,862
4,117 Fossil, Inc.(a) 88,557
1,800 GSI Commerce, Inc.(a) 27,162
1,700 Guess?, Inc.(a) 60,520
600 Hampshire Group Ltd.(a) 14,281
2,100 Hartmarx Corp.(a) 16,401
4,600 Iconix Brand Group, Inc.(a) 46,874
1,900 The J. Jill Group, Inc.(a) 36,157
1,325 Jos. A. Bank Clothiers, Inc.(a) 57,518
1,600 K-Swiss, Inc. Class A 51,904
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
1,600 Kellwood Co. $ 38,208
1,100 Kenneth Cole Productions, Inc. Class A 28,050
500 Lacrosse Footwear, Inc.(a) 5,415
1,000 Magic Lantern Group, Inc.(a) -
800 Mossimo, Inc.(a) 4,320
300 Mothers Work, Inc.(a) 3,834
2,000 New York & Co.(a) 42,400
1,600 Oxford Industries, Inc. 87,520
600 Perry Ellis International, Inc.(a) 11,400
2,000 Phillips-Van Heusen Corp. 64,800
1,000 Phoenix Footwear Group, Inc.(a) 5,250
5,300 Polo Ralph Lauren Corp. 297,542
1,400 Quaker Fabric Corp.(a) 3,010
7,500 Quiksilver, Inc.(a) 103,800
1,000 Rocky Shoes & Boots, Inc.(a) 24,360
2,400 Russell Corp. 32,304
2,300 Skechers U.S.A., Inc. Class A(a) 35,236
1,500 Stage Stores, Inc. 44,670
800 Steven Madden Ltd. 23,384
2,400 Stride Rite Corp. 32,544
1,500 Superior Uniform Group, Inc. 15,375
200 Tandy Brands Accessories, Inc. 2,400
4,000 Timberland Co. Class A(a) 130,200
2,700 True Religion Apparel, Inc.(a) 41,580
3,200 Unifi, Inc.(a) 9,728
1,400 Volcom Inc.(a) 47,614
2,700 The Warnaco Group, Inc.(a) 72,144
300 Weyco Group, Inc. 5,730
1,300 Wilsons The Leather Experts(a) 4,719
3,600 Wolverine World Wide, Inc. 80,856
------------
2,201,675
------------
BANKS - 4.6%
800 Alabama National Bancorporation 51,808
200 Ameriana Bancorp 2,590
400 American National Bankshares, Inc. 9,304
600 AmericanWest Bancorp(a) 14,178
720 Ameris Bancorp 14,285
444 Arrow Financial Corp. 11,611
7,759 Associated Banc-Corp. 252,555
1,200 BCSB Bankcorp, Inc. 15,000
1,000 The Banc Corp.(a) 11,410
400 Bancfirst Corp. 31,600
4,100 Bancorpsouth, Inc. 90,487
3,800 Bank Mutual Corp. 40,280
525 Bank of Granite Corp. 9,728
3,500 Bank of Hawaii Corp. 180,390
3,500 BankAtlantic Bancorp, Inc. Class A 49,000
200 Bar Harbor Bankshares 5,264
300 Berkshire Bancorp, Inc. 5,025
2,500 Boston Private Financial Holdings, Inc. 76,050
3,499 Brookline Bancorp, Inc. 49,581
500 Bryn Mawr Bank Corp. 10,730
800 CFS Bancorp, Inc. 11,440
300 Camden National Corp. 9,864
1,100 Capital Bank Corp. 16,885
625 Capital City Bank Group, Inc. 21,431
420 Capitol Bancorp Ltd. 15,725
4,640 Capitol Federal Financial 152,842
210 Carrollton Bancorp 3,035
1,000 Cascade Bancorp 23,180
400 Cavalry Bancorp, Inc. 9,528
546 Center Bancorp, Inc. 5,984
727 Central Coast Bancorp(a) 17,986
1,300 Century Bancorp, Inc. Class A 38,051
1,113 Chemical Financial Corp. 35,349
2,333 Chittenden Corp. 64,881
3,300 Citizens Banking Corp. 91,575
2,428 Citizens South Banking Corp. 28,939
1,500 City Holding Co. 53,925
2,800 City National Corp. 202,832
300 CityBank 10,524
980 Clifton Savings Bancorp, Inc. 9,859
1,250 CoBiz, Inc. 22,788
7,555 The Colonial BancGroup, Inc. 179,960
400 Columbia Bancorp 16,500
1,830 Columbia Banking System, Inc. 52,247
100 Comm Bancorp, Inc. 4,145
6,820 Commerce Bancorp, Inc.(f) 234,676
4,604 Commerce Bancshares, Inc. 239,960
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
356 Commercial Bankshares, Inc. $ 12,592
100 Commercial National Financial Corp. 1,885
1,600 Community Bank System, Inc. 36,080
1,148 Community Banks, Inc. 32,144
880 Community Trust Bancorp, Inc. 27,060
1,500 Corus Bankshares, Inc. 84,405
3,440 Cullen/Frost Bankers, Inc. 184,659
6,350 Doral Financial Corp. 67,310
900 EFC Bancorp, Inc. 30,915
3,690 East-West Bancorp, Inc. 134,648
400 EuroBancshares, Inc.(a) 5,668
250 Exchange National Bancshares, Inc. 7,375
300 FNB Corp., North Carolina 5,685
2,985 FNB Corp., Pennsylvania 51,820
300 FNB Corp., Virginia 9,201
1,406 FNB Financial Services Corp. 23,058
300 Farmers Capital Bank Corp. 9,300
100 Financial Institutions, Inc. 1,962
600 First Bancorp, North Carolina 12,096
4,700 First BanCorp., Puerto Rico 58,327
750 First Busey Corp. 15,668
2,000 First Cash Financial Services, Inc.(a) 58,320
1,300 First Charter Corp. 30,758
600 First Citizens BancShares, Inc. Class A 104,652
3,300 First Commonwealth Financial Corp. 42,669
1,200 First Federal Bancshares of Arkansas, Inc. 29,160
2,510 First Financial Bancorp 43,975
466 First Financial Bankshares, Inc. 16,338
297 First Financial Service Corp. 8,601
300 First M&F Corp. 10,200
215 First Merchants Corp. 5,590
2,675 First Midwest Bancorp, Inc. 93,786
1,210 First Mutual Bancshares, Inc. 31,387
6,906 First Niagara Financial Group, Inc. 99,930
450 First Oak Brook Bancshares, Inc. 12,578
200 The First of Long Island Corp. 8,470
1,200 First Republic Bank 44,412
400 First South Bancorp, Inc. 14,128
2,300 First State Bancorporation 55,177
542 FirstBank NW Corp. 17,290
4,900 FirstMerit Corp. 126,959
500 Flag Financial Corp. 8,425
1,200 Franklin Bank Corp.(a) 21,588
600 Frontier Financial Corp. 19,200
9,938 Fulton Financial Corp. 174,909
661 German American Bancorp 8,699
4,400 Gold Banc Corp., Inc. 80,168
600 Great Southern Bancorp, Inc. 16,566
2,964 Greater Bay Bancorp 75,938
445 Greater Community Bancorp 6,631
1,600 Hancock Holding Co. 60,496
2,856 Hanmi Financial Corp. 51,008
1,400 Harbor Florida Bancshares, Inc. 51,870
1,618 Harleysville National Corp. 30,904
700 Heritage Commerce Corp. 15,050
1,200 Home Federal Bancorp 30,000
500 Horizon Financial Corp. 10,920
37,894 Hudson City Bancorp, Inc. 459,275
2,640 Hudson United Bancorp 110,035
800 Independent Bank Corp. 22,824
1,000 Integra Bank Corp. 21,340
975 Interchange Financial Services Corp. 16,819
2,175 Internet Capital Group, Inc.(a) 17,879
1,500 Irwin Financial Corp. 32,130
2,500 Jefferson Bancshares, Inc. 34,125
4,000 Kearny Financial Corp. 48,800
500 LSB Bancshares, Inc. 8,844
200 Lakeland Financial Corp. 8,076
250 MASSBANK Corp. 8,238
1,100 Main Street Banks, Inc. 29,953
363 MainSource Financial Group, Inc. 6,480
300 Mercantile Bank Corp. 11,550
5,033 Mercantile Bankshares Corp. 284,063
350 Merchants Bancshares, Inc. 8,415
1,400 Mid-State Bancshares 37,450
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MASTER EXTENDED MARKET INDEX SERIES
DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
1,000 Midwest Banc Holdings, Inc. $ 22,250
1,460 NBT Bancorp, Inc. 31,521
3,200 Nara Bancorp, Inc. 56,896
983 National Penn Bancshares, Inc. 18,726
2,900 Netbank, Inc. 20,822
5,400 NewAlliance Bancshares, Inc. 78,516
1,200 NewMil Bancorp, Inc. 35,760
1,500 North Valley Bancorp 26,730
300 Northern States Financial Corp. 5,610
150 Norwood Financial Corp. 4,838
700 OceanFirst Financial Corp. 15,932
875 Ohio Valley Banc Corp. 21,963
4,332 Old National Bancorp 93,744
1,000 Old Second Bancorp, Inc. 30,570
546 Omega Financial Corp. 15,217
1,294 Oriental Financial Group 15,994
2,460 PFF Bancorp, Inc. 75,079
1,000 Pamrapo Bancorp, Inc. 21,550
830 Park National Corp. 85,191
300 Parkvale Financial Corp. 8,460
363 Peapack Gladstone Financial Corp. 10,128
800 Pennfed Financial Services, Inc. 14,736
200 Peoples Bancorp 4,216
595 Peoples Bancorp, Inc. 16,975
220 Peoples Bancorp of North Carolina, Inc. 4,950
1,120 Peoples Banctrust Co., Inc. 21,190
8,013 People's Bank 248,884
1,200 Peoples Financial Corp. 20,280
400 Placer Sierra Bancshares 11,084
17,239 Popular, Inc. 364,605
1,700 PrivateBancorp, Inc. 60,469
1,100 Prosperity Bancshares, Inc. 31,614
2,856 Provident Bankshares Corp. 96,447
2,603 Provident New York Bancorp 28,659
3,300 Prudential Bancorp, Inc. of Pennsylvania 39,105
3,773 Republic Bancorp, Inc. 44,899
1,223 Republic Bancorp, Inc. Class A 26,233
2,600 Republic First Bancorp, Inc.(a) 34,190
749 Royal Bancshares of Pennsylvania Class A 17,339
1,500 S&T Bancorp, Inc. 55,230
6,000 S1 Corp.(a) 26,100
2,275 SVB Financial Group(a) 106,561
200 SY Bancorp, Inc. 5,004
750 Sandy Spring Bancorp, Inc. 26,160
151 Savannah Bancorp, Inc. 5,366
870 Seacoast Banking Corp. of Florida 19,967
300 Shore Bancshares, Inc. 9,510
1,700 Signature Bank(a) 47,719
400 Simmons First National Corp. Class A 11,080
5,904 Sky Financial Group, Inc. 164,249
4,455 The South Financial Group, Inc. 122,691
800 Southwest Bancorp, Inc. 16,000
132 Southwest Georgia Financial Corp. 2,884
525 State Bancorp, Inc. 8,789
1,105 Sterling Bancorp 21,802
3,950 Sterling Bancshares, Inc. 60,988
700 Suffolk Bancorp 23,639
700 Summit Bancshares, Inc. 12,586
1,037 Sun Bancorp, Inc.(a) 20,481
2,572 Susquehanna Bancshares, Inc. 60,905
8,890 TCF Financial Corp. 241,275
11,134 TD Banknorth, Inc. 323,443
1,400 Texas Capital Bancshares, Inc.(a) 31,374
3,725 Texas Regional Bancshares, Inc. Class A 105,418
484 Tompkins Trustco, Inc. 21,683
900 Trico Bancshares 21,051
4,160 TrustCo Bank Corp. NY 51,667
3,400 Trustmark Corp. 93,398
5,250 UCBH Holdings, Inc. 93,870
1,310 UMB Financial Corp. 83,722
983 USB Holding Co., Inc. 21,292
3,736 Umpqua Holdings Corp. 106,588
500 Union Bankshares Corp. 21,550
9,200 UnionBanCal Corp. 632,224
306 United Bancorp, Inc. 3,525
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DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
3,400 United Bankshares, Inc. $ 119,816
1,632 United Community Financial Corp. 19,274
1,232 Unizan Financial Corp. 32,722
1,200 Vail Banks, Inc. 18,000
7,050 Valley National Bancorp 169,905
831 Virginia Commerce Bancorp(a) 24,174
500 WSFS Financial Corp. 30,625
800 Washington Trust Bancorp, Inc. 20,944
1,300 WesBanco, Inc. 39,533
800 West Coast Bancorp 21,160
1,900 Westamerica Bancorporation 100,833
3,321 Westcorp 221,212
1,300 Western Alliance Bancorp(a) 38,831
3,625 Whitney Holding Corp. 99,905
3,900 Wilmington Trust Corp. 151,749
1,550 Wintrust Financial Corp. 85,095
1,500 Yardville National Bancorp 51,975
------------
11,706,809
------------
BUSINESS MACHINES - 1.8%
21,790 3Com Corp.(a) 78,444
600 3D Systems Corp.(a) 10,800
3,700 ActivCard Corp.(a) 12,913
9,400 Adaptec, Inc.(a) 54,708
5,200 Advanced Digital Information Corp.(a) 50,908
5,000 American Software Class A 32,690
900 Analogic Corp. 43,065
900 Applied Films Corp.(a) 18,693
2,500 Arbitron, Inc. 94,950
3,100 Artesyn Technologies, Inc.(a) 31,930
1,915 Avici Systems, Inc.(a) 7,488
2,700 Avocent Corp.(a) 73,413
25,540 BEA Systems, Inc.(a) 240,076
1,400 Black Box Corp. 66,332
4,800 Borland Software Corp.(a) 31,344
600 California First National Bancorp 7,800
1,400 Charles & Colvard Ltd. 28,280
700 Communication Intelligence(a) 301
1,900 Computer Horizons Corp.(a) 8,265
3,900 Concurrent Computer Corp.(a) 7,371
2,100 Convera Corp.(a) 20,790
5,100 Cray, Inc.(a)(f) 6,783
1,100 Crossroads Systems, Inc.(a) 957
3,800 Diebold, Inc. 144,400
200 Digi International, Inc.(a) 2,098
3,600 Digital Lightwave, Inc.(a)(f) 756
3,400 Emageon, Inc.(a) 54,060
1,624 Enterasys Networks, Inc.(a) 21,567
30 Exabyte Corp.(a) 26
4,051 Fair Isaac Corp. 178,933
900 Flow International Corp.(a) 7,578
7,900 Foundry Networks, Inc.(a) 109,099
2,900 Hanger Orthopedic Group, Inc.(a) 16,559
3,000 Hypercom Corp.(a) 19,170
8,200 IKON Office Solutions, Inc. 85,362
4,900 Immersion Corp.(a) 32,291
4,400 Input/Output, Inc.(a) 30,932
5,270 Integrated Device Technology, Inc.(a) 69,459
2,616 Intergraph Corp.(a) 130,303
3,250 Interland, Inc.(a) 14,398
2,200 InterVoice, Inc.(a) 17,512
3,060 Iomega Corp.(a) 7,619
6,800 Island Pacific, Inc.(a)(f) 442
31,347 Juniper Networks, Inc.(a) 699,038
3,500 LTX Corp.(a) 15,750
2,100 Lantronix, Inc.(a) 3,360
2,000 MIPS Technologies, Inc.(a) 11,360
200 MTI Technology Corp.(a) 244
14,412 Maxtor Corp.(a) 100,019
8,010 McData Corp.(a) 30,438
11,749 Microchip Technology, Inc. 377,730
4,700 Micromuse, Inc.(a) 46,483
2,500 Micros Systems, Inc.(a) 120,800
6,200 Napster Inc.(a) 21,824
7,500 Network Engines, Inc.(a) 9,675
1,500 Omnicell, Inc.(a) 17,925
1,763 Palm, Inc.(a) 56,063
3,385 Premiere Global Services, Inc.(a) 27,520
2,700 Rackable Systems, Inc.(a) 76,896
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MASTER EXTENDED MARKET INDEX SERIES
DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
8,990 Sandisk Corp.(a) $ 564,752
600 Scansource, Inc.(a) 32,808
300 Scientific Technologies, Inc.(a) 1,281
3,200 Sigma Designs, Inc.(a) 49,216
15,600 Silicon Graphics, Inc.(a) 6,708
445 SumTotal Systems, Inc.(a) 2,003
5,655 Sybase, Inc.(a) 123,618
1,700 Tech Data Corp.(a) 67,456
11,100 Total System Services, Inc. 219,669
100 Trans-Industries, Inc.(a) 32
940 Transact Technologies, Inc.(a) 7,426
2,700 VeriFone Holdings, Inc.(a) 68,310
1,300 Visual Networks, Inc.(a) 2,327
2,075 Vitria Technology, Inc.(a) 5,520
3,100 White Electronic Designs Corp.(a) 15,841
------------
4,652,957
------------
BUSINESS SERVICES - 13.3%
6,040 24/7 Real Media, Inc.(a) 44,334
600 4Kids Entertainment, Inc.(a) 9,414
4,900 @Road Inc.(a) 25,627
2,900 ABM Industries, Inc. 56,695
2,500 AMICAS, Inc.(a) 12,400
3,320 AMN Healthcare Services, Inc.(a) 65,670
11,100 Aastrom Biosciences, Inc.(a) 23,532
54,400 Accenture Ltd. Class A 1,570,528
3,700 Actuate Corp.(a) 11,618
40 Adept Technology, Inc.(a) 506
5,290 Adesa, Inc. 129,182
1,800 Administaff, Inc. 75,690
2,500 Advent Software, Inc.(a) 72,275
1,000 The Advisory Board Co.(a) 47,670
1,800 Advo, Inc. 50,724
2,600 Aether Holdings, Inc.(a) 8,632
3,560 Affymetrix, Inc.(a) 169,990
3,100 Agile Software Corp.(a) 18,538
8,800 Akamai Technologies, Inc.(a) 175,384
1,800 Aksys Ltd.(a)(f) 1,175
2,300 Alderwoods Group, Inc.(a) 36,501
3,400 Alfacell Corp.(a) 6,052
4,000 Alliance Data Systems Corp.(a) 142,400
1,000 The Allied Defense Group, Inc.(a) 22,770
2,500 Alteon, Inc.(a) 425
1,600 Altiris, Inc.(a) 27,024
600 Ambassadors International, Inc. 9,300
15,500 America Online Latin America, Inc. Class A(a) 388
2,660 American Ecology Corp. 38,384
48 American Independence Corp.(a) 552
2,000 American Reprographics Co.(a) 50,820
1,100 American Superconductor Corp.(a) 8,657
200 Analysts International Corp.(a) 480
500 Angelica Corp. 8,270
500 Ansoft Corp.(a) 17,025
2,600 answerthink, Inc.(a) 11,050
2,600 Ansys, Inc.(a) 110,994
1,400 Anteon International Corp.(a) 76,090
4,445 aQuantive, Inc.(a) 112,192
11,290 Aramark Corp. 313,636
900 Arbinet-Thexchange Inc.(a) 6,309
3,854 Ariba, Inc.(a) 28,327
21,171 Art Technology Group, Inc.(a) 41,495
12 Artemis International Solutions Corp.(a) 16
6,000 Aspen Technology, Inc.(a) 47,100
7,200 Atari Inc.(a) 7,776
3,300 Audible, Inc.(a) 42,372
2,000 Authentidate Holding Corp.(a) 3,860
6,900 The BISYS Group, Inc.(a) 96,669
900 Bankrate, Inc.(a) 26,568
102 Baran Group Ltd.(a) 592
600 Barrett Business Services(a) 14,994
9,900 BearingPoint, Inc.(a) 77,814
300 Bestway, Inc.(a) 2,100
7,300 BindView Development Corp.(a) 29,054
648 Blackbaud, Inc. 11,068
500 Blackboard, Inc.(a) 14,490
1,270 Blue Coat Systems, Inc.(a) 58,064
100 Bottomline Technologies, Inc.(a) 1,102
2,100 Bowne & Co., Inc. 31,164
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
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1,400 Bright Horizons Family Solutions, Inc.(a) $ 51,870
3,300 The Brink's Co. 158,103
1,988 BroadVision, Inc.(a)(f) 974
15,300 Brocade Communications Systems, Inc.(a) 62,271
1,150 Bsquare Corp.(a) 3,726
1,800 CACI International, Inc. Class A(a) 103,284
4,545 CBIZ, Inc.(a) 27,361
1,200 CDI Corp. 32,880
4,745 CDW Corp. 273,170
1,100 CRA International, Inc.(a) 52,459
3,865 CSG Systems International(a) 86,267
46 Callwave, Inc.(a) 230
3,468 Career Education Corp.(a) 116,941
1,500 Carreker Corp.(a) 7,485
1,200 Casella Waste Systems, Inc.(a) 15,348
2,400 Catalina Marketing Corp. 60,840
500 Catapult Communications Corp.(a) 7,395
4,600 Cbeyond Communications, Inc.(a) 47,380
3,550 Cell Genesys, Inc.(a)(f) 21,052
1,000 Centra Software, Inc.(a) 2,000
500 Cerbco, Inc. Class A 635
8,500 Ceridian Corp.(a) 211,225
2,200 Cerner Corp.(a) 200,002
3,600 Certegy, Inc. 146,016
4,790 CheckFree Corp.(a) 219,861
1,400 Chemed Corp. 69,552
5,333 ChoicePoint, Inc.(a) 237,372
4,300 Chordiant Software, Inc.(a) 11,266
3,800 Ciber, Inc.(a) 25,080
1,600 Clean Harbors, Inc.(a) 46,096
19,000 Clear Channel Outdoor Holdings, Inc. Class A(a) 380,950
1,800 Click Commerce, Inc.(a)(f) 37,836
4,000 Cogent, Inc.(a) 90,720
7,600 Cognizant Technology Solutions Corp.(a) 382,660
1,700 Collectors Universe(a) 27,404
1,300 Computer Programs & Systems, Inc. 53,859
1,900 Concur Technologies, Inc.(a) 24,491
3,400 Connetics Corp.(a) 49,130
5,250 Copart, Inc.(a) 121,065
7,405 Corillian Corp.(a) 20,142
5,035 Corinthian Colleges, Inc.(a) 59,312
800 Cornell Cos., Inc.(a) 11,056
2,700 Corporate Executive Board Co. 242,190
1,100 CoStar Group, Inc.(a) 47,487
337 Courier Corp. 11,573
1,400 Covansys Corp.(a) 19,054
225 Critical Path, Inc.(a) 61
1,900 Cross Country Healthcare, Inc.(a) 33,782
1,500 Cruzan International, Inc.(a) 42,015
2,300 CuraGen Corp.(a) 7,084
1,800 Cyberguard Corp.(a) 15,894
1,900 Cybersource Corp.(a) 12,540
1,000 DSL.Net, Inc.(a) 40
5,000 DST Systems, Inc.(a) 299,550
100 Deltathree, Inc. Class A(a) 291
3,600 Deluxe Corp. 108,504
2,100 Dendrite International, Inc.(a) 30,261
4,000 DeVry, Inc.(a) 80,000
4,100 Digimarc Corp.(a) 24,190
4,400 Digital Generation Systems(a) 2,376
2,500 Digital Insight Corp.(a) 80,050
1,500 Digital River, Inc.(a) 44,610
3,279 Digitas, Inc.(a) 41,053
17,634 Discovery Holding Co.(a) 267,155
1,200 Discovery Partners International, Inc.(a) 3,180
2,400 Diversa Corp.(a) 11,520
2,500 DocuCorp International, Inc.(a) 15,925
2,800 Dollar Financial Corp.(a) 33,600
3,900 Dot Hill Systems Corp.(a) 27,027
4,200 Dun & Bradstreet Corp.(a) 281,232
3,000 Dyax Corp.(a) 15,810
1,100 EPIQ Systems, Inc.(a) 20,394
1,775 EVCI Career Colleges Holding Corp.(a) 2,840
9,200 Earthlink, Inc.(a) 102,212
50 EasyLink Services Corp. Class A(a) 45
2,500 Echelon Corp.(a) 19,575
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
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2,600 Eclipsys Corp.(a) $ 49,218
1,200 eCollege.com, Inc.(a) 21,636
700 Educate, Inc.(a) 8,260
4,200 Education Management Corp.(a) 140,742
3,100 eFunds Corp.(a) 72,664
20 Egain Communications Corp.(a) 14
40 eLoyalty Corp.(a) 412
1,600 Embarcadero Technologies, Inc.(a) 11,648
18,692 Emdeon Corp.(a) 158,134
9,400 eMerge Interactive, Inc. Class B(a) 4,136
3,300 Encysive Pharmaceuticals, Inc.(a) 26,037
3,600 Ener1, Inc.(a) 1,404
3,000 Ennis, Inc. 54,510
2,900 Entrust, Inc.(a) 14,036
2,900 Epicor Software Corp.(a) 40,977
2,975 eResearch Technology, Inc.(a) 44,923
3,000 Essex Corp.(a) 51,150
1,845 Euronet Worldwide, Inc.(a) 51,291
2 Evolve Software, Inc.(a) -
3,200 Evolving Systems, Inc.(a) 6,688
3,800 Exelixis, Inc.(a) 35,796
500 Exponent, Inc.(a) 14,190
1,500 F5 Networks, Inc.(a) 85,785
1,500 FTD Group, Inc.(a) 15,585
2,050 FTI Consulting, Inc.(a) 56,252
2,750 Factset Research Systems, Inc. 113,190
2,800 FalconStor Software, Inc.(a) 20,692
700 Fargo Electronics, Inc.(a) 13,475
2,400 Federal Agricultural Mortgage Corp. Class A 52,680
3,005 Filenet Corp.(a) 77,679
1,500 First Consulting Group, Inc.(a) 8,805
8 Five Star Quality Care, Inc.(a) 63
1,200 Forrester Research, Inc.(a) 22,500
3,300 Franklin Covey Co.(a) 20,856
1,700 G&K Services, Inc. Class A 66,725
3,900 GP Strategies Corp.(a) 31,824
1,103 GSE Systems, Inc.(a) 1,368
6,400 GTECH Holdings Corp. 203,136
1,700 GTSI Corp.(a) 11,900
460 Gaiam, Inc.(a) 6,215
2,700 Gentiva Health Services, Inc.(a) 39,798
600 The Geo Group, Inc.(a) 13,758
1,600 Gevity HR, Inc. 41,152
100 Gliatech, Inc.(a) -
2,400 Global Cash Access, Inc.(a) 35,016
1,800 Global Imaging Systems, Inc.(a) 62,334
4,820 Global Payments, Inc. 224,660
18,000 Google, Inc. Class A(a)(f) 7,467,480
3,600 GoRemote Internet Communications, Inc.(a) 5,976
800 Hansen Natural Corp.(a)(f) 63,600
3,400 Harris Interactive, Inc.(a) 14,654
4,300 Harte-Hanks, Inc. 113,477
2,000 Heidrick & Struggles International, Inc.(a) 64,100
7,220 Hewitt Associates, Inc. Class A(a) 202,232
1,200 Hudson Highland Group, Inc.(a) 20,832
3,679 Hyperion Solutions Corp.(a) 131,782
2,800 I-many, Inc.(a) 3,920
18,777 IAC/InterActiveCorp(a) 531,577
800 ICT Group, Inc.(a) 13,560
1,400 IDX Systems Corp.(a) 61,488
1,000 IHS, Inc. Class A(a) 20,520
1,580 IPIX Corp.(a)(f) 2,686
3,110 ITT Educational Services, Inc.(a) 183,832
3,200 i2 Technologies, Inc.(a) 45,152
1,700 Idenix Pharmaceuticals Inc.(a) 29,087
8,890 Identix, Inc.(a) 44,539
2,100 iGate Corp.(a) 10,206
2,100 Imergent, Inc.(a) 13,860
350 The Immune Response Corp.(a) 29
1,400 Indus International, Inc.(a) 4,396
2,400 Infocrossing, Inc.(a)(f) 20,664
3,900 InFocus Corp.(a) 15,639
3,600 Informatica Corp.(a) 43,200
2,700 Inforte Corp. 10,665
1,840 Infospace, Inc.(a) 47,509
2,100 infoUSA, Inc. 22,953
2,093 Innovative Solutions & Support, Inc.(a) 26,749
83 Insweb Corp.(a) 274
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
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600 Integral Systems, Inc. $ 11,316
3,700 Integrated Alarm Services Group, Inc.(a)(f) 10,582
4,000 Intellisync Corp.(a) 20,640
600 Interactive Intelligence, Inc.(a) 3,060
500 Interchange Corp.(a)(f) 2,765
20,100 Internap Network Services Corp.(a) 8,643
2,600 Internet Security Systems(a) 54,470
1,000 Intersections, Inc.(a) 9,340
600 Intervideo, Inc.(a) 6,330
2,800 Interwoven, Inc.(a) 23,716
1,200 Intevac, Inc.(a) 15,840
1,000 Intrado, Inc.(a) 23,020
25 Intrusion, Inc.(a) 50
2,000 Invitrogen Corp.(a) 133,280
3,600 Ipass, Inc.(a) 23,616
7,650 Iron Mountain, Inc.(a) 322,983
1,400 iVillage, Inc.(a) 11,228
2,900 JDA Software Group, Inc.(a) 49,329
5,100 Jack Henry & Associates, Inc. 97,308
3,185 Jacobs Engineering Group, Inc.(a) 216,166
1,800 Jamdat Mobile, Inc.(a) 47,844
1,700 John H. Harland Co. 63,920
1,900 Jupitermedia Corp.(a) 28,082
1,821 Kana Software, Inc.(a) 2,440
900 Kanbay International, Inc.(a) 14,301
3,636 Keane, Inc.(a) 40,032
2,000 Kelly Services, Inc. Class A 52,440
500 Keynote Systems, Inc.(a) 6,425
1,870 Kforce, Inc.(a) 20,869
2,761 Kinder Morgan Management LLC(a) 125,515
1,700 Kintera, Inc.(a) 5,049
400 Knology, Inc.(a) 1,504
2,600 Korn/Ferry International(a) 48,594
1,875 Kronos, Inc.(a) 78,488
1,300 LECG Corp.(a) 22,594
42 LQ Corp., Inc.(a) 71
2,500 Labor Ready, Inc.(a) 52,050
6,207 Lamar Advertising Co. Class A(a) 286,391
2,900 Laureate Education, Inc.(a) 152,279
3,300 Lawson Software, Inc.(a) 24,255
700 Layne Christensen Co.(a) 17,801
300 Learning Care Group, Inc.(a) 2,235
1,000 Learning Tree International, Inc.(a) 12,830
100 Level 8 Systems, Inc.(a) 2
2,219 Lightbridge, Inc.(a) 18,396
1,500 Lincoln Educational Services Corp.(a) 21,390
2,700 Lionbridge Technologies(a) 18,954
7,500 LivePerson, Inc.(a) 42,075
2,200 LoJack Corp.(a) 53,086
1,342 Looksmart(a) 5,046
11,000 Loudeye Corp.(a)(f) 4,180
1,200 Luminex Corp.(a) 13,944
900 MAXIMUS, Inc. 33,021
4,400 MIVA, Inc.(a) 21,780
5,900 MPS Group, Inc.(a) 80,653
800 MPW Industrial Services Group, Inc.(a) 1,536
1,300 MRO Software, Inc.(a) 18,252
2,400 Macquarie Infrastructure Co. Trust 73,920
2,690 Macrovision Corp.(a) 45,004
2,040 Magma Design Automation, Inc.(a) 17,156
3,900 Management Network Group, Inc.(a) 9,321
1,800 Manhattan Associates, Inc.(a) 36,864
4,416 Manpower, Inc. 205,344
1,695 Mantech International Corp. Class A(a) 47,223
4,900 Manugistics Group, Inc.(a) 8,575
1,200 Mapinfo Corp.(a) 15,132
3,300 Marchex, Inc. Class B(a)(f) 74,217
1,187 Matria Healthcare, Inc.(a) 46,008
3,000 Matrixone, Inc.(a) 14,970
1,600 Maxygen, Inc.(a) 12,016
7,177 McAfee, Inc.(a) 194,712
4,100 Mechanical Technology, Inc.(a) 11,480
1,800 Medical Staffing Network Holdings, Inc.(a) 9,666
4,100 Mentor Graphics Corp.(a) 42,394
800 Merge Technologies, Inc.(a) 20,016
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
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1,900 MetaSolv, Inc.(a) $ 5,510
3,700 Metro One Telecommunications, Inc.(a) 1,332
400 Michael Baker Corp.(a) 10,220
990 MicroStrategy, Inc. Class A(a) 81,913
1,300 Microvision, Inc.(a)(f) 4,680
3,700 Millennium Cell, Inc.(a)(f) 4,847
5,966 Mindspeed Technologies, Inc.(a)(f) 14,020
2,800 Miravant Medical Technologies(a) 504
1,100 Mobius Management Systems, Inc.(a) 7,392
400 Moldflow Corp.(a) 5,576
2,500 Momenta Pharmaceuticals Inc.(a) 55,100
1,600 Morningstar, Inc.(a) 55,424
4,500 NAVTEQ Corp.(a) 197,415
1,837 NCO Group, Inc.(a) 31,082
2,200 NDCHealth Corp. 42,306
3,200 NIC, Inc.(a) 19,712
2,800 NMS Communications Corp.(a) 9,772
2,300 NMT Medical, Inc.(a) 36,800
800 NVE Corp.(a)(f) 11,808
1,900 NYFIX, Inc.(a) 8,094
4,500 National Instruments Corp. 144,225
240 Natural Health Trends Corp.(a) 2,316
2,000 Nautilus, Inc. 37,320
2,800 Navigant Consulting, Inc.(a) 61,544
13 Navisite, Inc.(a) 16
1,220 Neoforma, Inc.(a) 12,078
100 Neon Systems, Inc.(a) 617
200 NeoRx Corp.(a) 148
4,120 NetFlix, Inc.(a)(f) 111,487
100 Netguru, Inc. 110
3,196 NetIQ Corp.(a) 39,279
57 Netmanage, Inc.(a) 305
1,900 Netratings, Inc.(a) 23,427
200 Netscout Systems, Inc.(a) 1,090
20 NetSol Technologies, Inc.(a) 37
3,600 NeuStar, Inc. Class A(a) 109,764
200 New Century Equity Holdings Corp.(a) 42
3,800 New Frontier Media, Inc.(a) 24,814
400 New Horizons Worldwide, Inc.(a) 280
2,000 Nutri/System, Inc.(a) 72,040
4,000 On Assignment, Inc.(a) 43,640
200 On2 Technologies, Inc.(a) 212
60 Onvia, Inc.(a) 242
650 Onyx Software Corp.(a) 2,795
2,200 Open Solutions, Inc.(a) 50,424
1,400 OpenTV Corp.(a) 3,136
3,761 Openwave Systems, Inc.(a) 65,705
1,200 Opnet Technologies, Inc.(a) 11,028
4,400 Opsware, Inc.(a) 29,876
3,637 Option Care, Inc. 48,590
3,200 Orbital Sciences Corp.(a) 41,088
1,345 Orchid Cellmark, Inc.(a) 10,222
800 Overland Storage, Inc.(a) 6,416
700 PC Mall, Inc.(a) 3,962
1,200 PC-Tel, Inc.(a) 10,512
900 PDI, Inc.(a) 12,150
3,000 PHH Corp.(a) 84,060
1,391 PLATO Learning, Inc.(a) 11,045
400 PRA International(a) 11,260
5,700 PRG-Schultz International, Inc.(a) 3,477
2,900 Pac-West Telecomm, Inc.(a) 2,494
2,000 Packeteer, Inc.(a) 15,540
4,707 Panacos Pharmaceuticals, Inc.(a) 32,617
2,300 Paxar Corp.(a) 45,149
2,800 Pegasus Solutions, Inc.(a) 25,116
500 Pegasystems, Inc.(a) 3,655
3,000 Per-Se Technologies, Inc.(a) 70,080
6,500 Perot Systems Corp. Class A(a) 91,910
1,400 Phoenix Technologies Ltd.(a) 8,764
6,790 Pixar(a) 357,969
5,229 Polycom, Inc.(a) 80,004
2,300 Pomeroy IT Solutions, Inc.(a) 19,205
1,030 Pre-Paid Legal Services, Inc. 39,356
10 Prescient Applied Intelligence, Inc.(a) 1
2,333 Priceline.com, Inc.(a) 52,073
1,600 Princeton Review, Inc.(a) 8,240
2,800 Progress Software Corp.(a) 79,464
1,700 ProQuest Co.(a) 47,447
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DECEMBER 31, 2005
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34 Prosoft Learning Corp.(a) $ 4
102 Protection One, Inc.(a) 1,734
1,700 QAD, Inc. 12,988
1,200 Quality Systems, Inc. 92,112
4,400 Quest Software, Inc.(a) 64,196
500 Quixote Corp. 9,900
366 Quotesmith.com, Inc.(a) 1,083
1,500 Quovadx, Inc.(a) 3,615
2,000 R.H. Donnelley Corp.(a) 123,240
4,050 RPC, Inc. 106,677
3,700 RSA Security, Inc.(a) 41,551
1,700 Radiant Systems, Inc.(a) 20,672
6,800 RealNetworks, Inc.(a) 52,768
9,500 Red Hat, Inc.(a) 258,780
2,800 Redback Networks, Inc.(a) 39,368
400 Remedytemp, Inc. Class A(a) 3,700
1,700 Renaissance Learning, Inc. 32,147
8,500 Republic Services, Inc. Class A 319,175
3,200 Resources Connection, Inc.(a) 83,392
4,500 The Reynolds & Reynolds Co. Class A 126,315
4,865 Rigel Pharmaceuticals, Inc.(a) 40,671
2,200 RightNow Technologies, Inc.(a) 40,612
2,500 Rural Cellular Corp. Class A(a) 36,525
4,600 Rural/Metro Corp.(a) 41,446
600 SAVVIS, Inc.(a) 420
2,415 The SCO Group, Inc.(a) 9,539
2,750 SFBC International, Inc.(a)(f) 44,028
2,600 SM&A(a) 21,398
1,400 SPAR Group, Inc.(a) 1,260
709 SPSS, Inc.(a) 21,929
3,000 SRA International, Inc. Class A(a) 91,620
2,100 SSA Global Techonologies, Inc.(a) 38,199
2,400 SYKES Enterprises, Inc.(a) 32,088
400 SYNNEX Corp.(a) 6,044
875 Saba Software, Inc.(a)(f) 3,570
1,434 SafeNet, Inc.(a) 46,203
5,543 Salesforce.com, Inc.(a) 177,653
600 Salon Media Group, Inc.(a) 205
7,400 Sapient Corp.(a) 42,106
100 Scientific Learning Corp.(a) 565
1,600 Seachange International, Inc.(a) 12,640
2,100 Secure Computing Corp.(a) 25,746
5,700 Selectica, Inc.(a) 16,245
1,300 Senomyx, Inc.(a) 15,756
2,000 Sequenom, Inc.(a) 1,360
3,200 Serena Software, Inc.(a) 75,008
18,100 The ServiceMaster Co. 216,295
75,925 Sirius Satellite Radio, Inc.(a)(f) 508,698
4,400 Sitel Corp.(a) 13,728
16 Smartserv Online, Inc.(a) 4
300 Sonic Foundry, Inc.(a) 318
3,800 SonicWALL, Inc.(a) 30,096
1,200 Sourcecorp(a) 28,776
1,200 Spartech Corp. 26,340
3,600 Spherion Corp.(a) 36,036
1,400 The Standard Register Co. 22,134
27 Stantec, Inc.(a) 921
800 Startek, Inc. 14,400
2,900 Stericycle, Inc.(a) 170,752
620 Stratasys, Inc.(a) 15,506
6,000 Strategic Diagnostics, Inc.(a) 21,840
900 Strayer Education, Inc. 84,330
2,500 SupportSoft, Inc.(a) 10,550
16,100 Sycamore Networks, Inc.(a) 69,552
2,300 Symyx Technologies(a) 62,767
8,605 Synopsys, Inc.(a) 172,616
1,600 Synplicity, Inc.(a) 13,280
1,200 Syntel, Inc. 24,996
600 Sypris Solutions, Inc. 5,988
12,400 TIBCO Software, Inc.(a) 92,628
600 TNS, Inc.(a) 11,508
800 TRC Cos., Inc.(a) 8,760
1,882 Talx Corp. 86,026
8,800 Tapestry Pharmaceuticals, Inc.(a) 2,464
2,300 TechTeam Global, Inc.(a) 23,092
15 Technology Solutions Co.(a) 114
200 TeleCommunication Systems, Inc. Class A(a) 440
4,500 TeleTech Holdings, Inc.(a) 54,225
200 Tenfold Corp.(a) 42
600 TeraForce Technology Corp.(a) -
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DECEMBER 31, 2005
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3,225 Tetra Tech, Inc.(a) $ 50,536
3,375 Tetra Technologies, Inc.(a) 103,005
1,500 TheStreet.com, Inc.(a) 10,815
1,100 Tier Technologies, Inc. Class B(a) 8,074
4,900 TradeStation Group, Inc.(a) 60,662
2,800 Transaction Systems Architects, Inc. Class A(a) 80,612
4,700 Trident Microsystems, Inc.(a) 84,600
1,300 Trizetto Group(a) 22,087
8,777 Tumbleweed Communications Corp.(a) 27,033
4,200 UNOVA, Inc.(a) 141,960
1,800 URS Corp.(a) 67,698
1,200 Ultimate Software Group, Inc.(a) 22,884
10,700 Unigene Laboratories, Inc.(a) 47,187
3,653 United Online, Inc. 51,946
600 Universal Electronics, Inc.(a) 10,338
1,055 Universal Technical Institute, Inc.(a) 32,642
7,300 VA Software Corp.(a) 12,994
7,855 ValueClick, Inc.(a) 142,254
600 Vasco Data Security International(a) 5,910
2,880 Ventiv Health, Inc.(a) 68,026
1,800 Verint Systems, Inc.(a) 62,046
13,758 VeriSign, Inc.(a) 301,575
50 Versata, Inc.(a) 20
1,574 Verso Technologies, Inc.(a)(f) 1,605
460 VerticalNet, Inc.(a) 253
1,400 Vertrue, Inc.(a) 49,462
16,800 Via Net.Works, Inc.(a) 538
1,250 Viad Corp. 36,663
6,030 Viewpoint Corp.(a) 6,633
1,730 Vignette Corp.(a) 28,216
1,120 Viisage Technology, Inc.(a) 19,723
200 VistaPrint Ltd.(a) 4,551
600 Volt Information Sciences, Inc.(a) 11,412
2,850 Waste Connections, Inc.(a) 98,211
2,000 WatchGuard Technologies(a) 7,400
1,640 Watson Wyatt Worldwide, Inc. 45,756
2,000 Wave Systems Corp. Class A(a) 1,360
2,700 WebEx Communications, Inc.(a) 58,401
2,400 WebMD Health Corp. Class A(a) 69,720
3,200 webMethods, Inc.(a) 24,672
1,100 Websense, Inc.(a) 72,204
4,200 Website Pros, Inc.(a) 36,582
6,250 Weight Watchers International, Inc.(a) 308,938
500 Westaff, Inc.(a) 2,475
5,700 Wind River Systems, Inc.(a) 84,189
3,700 Wireless Facilities, Inc.(a) 18,870
1,100 Witness Systems, Inc.(a) 21,637
200 Worldgate Communications(a) 352
6,200 Wynn Resorts Ltd.(a)(f) 340,070
3,400 Zix Corp.(a)(f) 6,494
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33,749,526
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CHEMICALS - 1.8%
400 AEP Industries, Inc.(a) 10,000
1,500 AMCOL International Corp. 30,780
1,425 Aceto Corp. 9,377
4,300 Airgas, Inc. 141,470
2,600 Albemarle Corp. 99,710
1,400 Anika Therapeutics, Inc.(a) 16,366
800 Arch Chemicals, Inc. 23,920
1,500 Bio-Rad Laboratories, Inc. Class A(a) 98,160
1,800 Brady Corp. 65,124
3,500 Cabot Corp. 125,300
2,300 Calgon Carbon Corp. 13,087
7,500 Celanese Corp. Series A 143,400
9,880 Celgene Corp.(a) 640,224
11,300 Chemtura Corp. 143,510
2,400 Cytec Industries, Inc. 114,312
7,636 Entegris, Inc.(a) 71,931
2,400 Ferro Corp. 45,024
5,100 Foamex International, Inc.(a) 133
2,000 Georgia Gulf Corp. 60,840
1,700 H.B. Fuller Company 54,519
300 Hawkins, Inc. 4,197
13,100 Huntsman Corp.(a) 225,582
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DECEMBER 31, 2005
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550 KMG Chemicals, Inc. $ 4,125
3,182 Kronos Worldwide, Inc. 92,310
3,600 Landec Corp.(a) 28,008
3,515 Lubrizol Corp. 152,656
13,956 Lyondell Chemical Co. 332,432
1,600 MacDermid, Inc. 44,640
450 Mace Security International, Inc.(a) 1,112
1,900 Matrixx Initiatives, Inc.(a) 39,805
23,800 The Mosaic Co.(a) 348,194
6,800 Nalco Holding Co.(a) 120,428
120 NewMarket Corp.(a) 2,935
800 Nuco2, Inc.(a) 22,304
2,200 OM Group, Inc.(a) 41,272
3,392 Olin Corp. 66,755
2,400 Omnova Solutions, Inc.(a) 11,520
2,000 Oxigene, Inc.(a) 7,940
400 Penford Corp. 4,880
5,500 PolyOne Corp.(a) 35,365
600 Quaker Chemical Corp. 11,538
6,800 RPM International, Inc. 118,116
1,900 Repligen Corp.(a) 7,600
1,700 Rockwood Holdings, Inc.(a) 33,541
1,000 Rogers Corp.(a) 39,180
3,900 Rollins, Inc. 76,869
1,100 Schawk, Inc. 22,825
3,300 Schulman A, Inc. 71,016
3,200 Sensient Technologies Corp. 57,280
400 Stepan Co. 10,756
1,300 TOR Minerals International, Inc.(a) 5,135
2,200 Terra Nitrogen Co. LP(f) 41,800
1,600 Tredegar Corp. 20,624
1,600 Trex Co., Inc.(a) 44,880
6,100 Tronox, Inc. Class A 79,727
1,100 UAP Holding Corp. 22,462
7,000 Valspar Corp. 172,690
1,900 WD-40 Co. 49,894
3,800 WR Grace & Co.(a) 35,720
4,000 Wellman, Inc. 27,120
2,800 Westlake Chemical Corp. 80,668
1,000 Zoltek Cos., Inc.(a)(f) 8,780
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4,531,868
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CONSTRUCTION - 1.8%
400 Ablest, Inc.(a) 3,356
1,000 American Woodmark Corp. 24,790
400 Ameron International Corp. 18,232
2,900 Apogee Enterprises, Inc. 47,038
7,800 Armstrong Holdings, Inc.(a) 11,856
400 Beacon Roofing Supply, Inc.(a) 11,492
1,464 Beazer Homes USA, Inc. 106,638
1,000 BlueLinx Holdings, Inc. 11,250
1,876 Brookfield Homes Corp. 93,293
600 Bucyrus International, Inc. 31,620
1,900 Builders FirstSource, Inc.(a) 40,603
1,140 Building Material Holding Corp. 77,759
1,100 Carter's, Inc.(a) 64,735
1,410 Cavco Industries, Inc.(a) 53,975
2,175 Ceradyne, Inc.(a) 95,265
3,000 Comstock Homebuilding Cos., Inc. Class A(a) 42,330
500 Dominion Homes, Inc.(a)(f) 5,320
2,233 Dycom Industries, Inc.(a) 49,126
900 EMCOR Group, Inc.(a) 60,777
1,340 Eagle Materials, Inc. 163,962
1,800 ElkCorp 60,588
4,175 Florida Rock Industries, Inc. 204,826
600 Global Power Equipment Group, Inc.(a) 2,712
2,050 Granite Construction, Inc. 73,616
3,500 Hovnanian Enterprises, Inc. Class A(a) 173,740
500 Infrasource Services, Inc.(a) 6,540
1,600 Insituform Technologies, Inc. Class A(a) 30,992
2,200 Integrated Electrical Services, Inc.(a)(f) 891
1,800 Interline Brands Inc.(a) 40,950
800 International Aluminum Corp. 32,200
300 LS Starrett Co. Class A 4,662
750 LSI Industries, Inc. 11,745
4,400 Lafarge North America, Inc. 242,088
1,180 Levitt Corp. Class A 26,833
1,400 M/I Homes, Inc. 56,868
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
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2,616 MDC Holdings, Inc. $ 162,140
2,800 Martin Marietta Materials, Inc. 214,816
1,900 Mastec, Inc.(a) 19,893
1,700 Meritage Homes Corp.(a) 106,964
1,200 NCI Building Systems, Inc.(a) 50,976
319 NVR, Inc.(a) 223,938
2,300 Palm Harbor Homes, Inc.(a)(f) 43,240
100 Patriot Transportation Holding, Inc.(a) 6,488
500 Performance Technologies, Inc.(a) 4,095
1,400 Perini Corp.(a) 33,810
6,600 Quanta Services, Inc.(a) 86,922
1,800 Ryland Group, Inc. 129,834
4,800 SBA Communications Corp. Class A(a) 85,920
2,200 Simpson Manufacturing Co., Inc. 79,970
100 Skyline Corp. 3,640
4,600 Standard-Pacific Corp. 169,280
3,300 Technical Olympic USA, Inc. 69,597
1,300 Texas Industries, Inc. 64,792
7,100 Toll Brothers, Inc.(a) 245,944
5,900 US Concrete, Inc.(a) 55,932
3,000 USG Corp.(a) 195,000
500 United Mobile Homes, Inc. 7,900
2,600 WCI Communities, Inc.(a) 69,810
1,900 WESCO International, Inc.(a) 81,187
2,100 Walter Industries, Inc. 104,412
3,300 West Corp.(a) 139,095
5,300 Westell Technologies, Inc. Class A(a) 23,850
600 William Lyon Homes, Inc.(a) 60,540
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4,522,653
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CONSUMER - DURABLES - 0.6%
1,700 American Technology Corp.(a) 5,406
1,665 Applica, Inc.(a) 2,631
700 Bassett Furniture Industries, Inc. 12,950
4,200 Champion Enterprises, Inc.(a) 57,204
2,800 Compx International, Inc. 44,856
400 Conn's, Inc.(a) 14,748
800 Design Within Reach, Inc.(a) 4,240
1,700 Emerson Radio(a) 5,202
2,000 Ethan Allen Interiors, Inc. 73,060
200 Flexsteel Industries 2,858
3,100 Furniture Brands International, Inc. 69,223
25,100 Gemstar-TV Guide International, Inc.(a) 65,511
1,600 Genlyte Group, Inc.(a) 85,712
3,020 Griffon Corp.(a) 71,906
1,100 Haverty Furniture Cos., Inc. 14,179
2,400 Helen of Troy Ltd.(a) 38,664
3,400 Interface, Inc. Class A(a) 27,948
2,300 Kimball International, Inc. Class B 24,449
200 Koss Corp. 5,228
3,100 La-Z-Boy, Inc.(f) 42,036
600 Lifetime Brands, Inc. 12,402
500 Mac-Gray Corp.(a) 5,825
3,564 Mohawk Industries, Inc.(a) 309,997
400 National Presto Industries, Inc. 17,740
2,805 Restoration Hardware, Inc.(a) 16,886
1,700 Rockford Corp.(a) 5,695
500 The Rowe Cos.(a) 1,475
600 Salton, Inc.(a)(f) 1,236
2,100 Select Comfort Corp.(a) 57,435
1,500 Stanley Furniture Co., Inc. 34,770
1,600 Sturm Ruger & Co., Inc. 11,216
5,700 Tempur-Pedic International, Inc.(a) 65,550
2,890 Toro Co. 126,495
4,300 United Rentals, Inc.(a) 100,577
642 Virco Manufacturing Corp.(a) 3,531
600 Water Pik Technologies, Inc.(a) 12,882
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1,451,723
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CONTAINERS - 0.3%
1,500 Anchor Glass Container Corp.(a) 300
10,500 Crown Holdings, Inc.(a) 205,065
9,900 Graphic Packaging Corp.(a) 22,572
1,200 Greif, Inc. 79,536
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
1,600 Mobile Mini, Inc.(a) $ 75,840
9,500 Owens-Illinois, Inc.(a) 199,880
500 Packaging Dynamics Corp. 5,585
2,000 Silgan Holdings, Inc. 72,240
5,600 Sonoco Products Co. 164,640
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825,658
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DOMESTIC OIL - 3.1%
6,900 Abraxas Petroleum Corp.(a) 36,432
900 Alon USA Energy, Inc.(a) 17,685
1,393 Atlas America, Inc.(a) 83,886
2,000 Bill Barrett Corp.(a) 77,220
1,900 Bois d'Arc Energy, Inc.(a) 30,134
5,600 Cal Dive International, Inc.(a) 200,984
1,000 Callon Petroleum Co.(a) 17,650
2,500 Carrizo Oil & Gas, Inc.(a) 61,775
19,300 Chesapeake Energy Corp. 612,389
600 Clayton Williams Energy, Inc.(a) 25,044
2,000 Comstock Resources, Inc.(a) 61,020
4,910 Consol Energy, Inc. 320,034
3,000 Crosstex Energy LP 102,240
4,835 Delta Petroleum Corp.(a) 105,258
7,200 Diamond Offshore Drilling 500,832
400 Dorchester Minerals LP 10,188
3,100 Dresser-Rand Group, Inc.(a) 74,958
2,500 Edge Petroleum Corp.(a) 62,275
1,265 Enbridge Energy Management LLC(a) 57,368
1,800 Encore Acquisition Co.(a) 57,672
1,900 Energy Partners Ltd.(a) 41,401
5,300 FX Energy, Inc.(a) 42,294
4,000 Frontier Oil Corp. 150,120
1,300 GMX Resources Inc.(a) 46,800
9,430 Global Industries Ltd.(a) 107,031
1,230 Gulf Island Fabrication, Inc. 29,901
2,700 Gulfmark Offshore, Inc.(a) 79,974
4,200 Harvest Natural Resources, Inc.(a) 37,296
400 Hercules Offshore, Inc.(a) 11,364
1,700 Holly Corp. 100,079
1,400 Houston Exploration Co.(a) 73,920
1,200 Inergy Holdings LP 43,224
2,900 KCS Energy, Inc.(a) 70,238
2,600 Magellan Midstream Partners 83,798
4,200 Matrix Service Co.(a)(f) 41,328
3,400 McMoRan Exploration Co.(a)(f) 67,218
5,000 Meridian Resource Corp.(a) 21,000
6,998 Newfield Exploration Co.(a) 350,390
1,500 OYO Geospace Corp.(a) 42,690
900 PYR Energy Corp.(a) 1,215
3,600 Pacific Energy Partners LP 105,732
9,410 Patterson-UTI Energy, Inc. 310,060
7,016 PetroHawk Energy Corp.(a) 92,752
2,600 Petroquest Energy, Inc.(a) 21,528
6,575 Pioneer Natural Resources Co. 337,100
5,084 Plains Exploration & Production Co.(a) 201,987
3,600 Pogo Producing Co. 179,316
7,800 Pride International, Inc.(a) 239,850
2,880 Quicksilver Resources, Inc.(a) 120,989
1,800 Remington Oil & Gas Corp.(a) 65,700
4,400 St. Mary Land & Exploration Co. 161,964
1,579 Stone Energy Corp.(a) 71,892
800 Sunoco Logistics Partners LP 30,960
2,800 Superior Energy Services(a) 58,940
6,200 Syntroleum Corp.(a)(f) 55,986
3,400 TEPPCO Partners LP 118,456
3,900 Teekay Shipping Corp. 155,610
4,200 Tesoro Corp. 258,510
2,400 Todco Class A 91,344
7,100 Transmontaigne, Inc.(a) 46,860
10,200 Ultra Petroleum Corp.(a) 569,160
1,800 Universal Compression Holdings, Inc.(a) 74,016
1,900 Valero LP 98,344
500 Valley National Gases, Inc. 9,800
4,100 Vintage Petroleum, Inc. 218,653
2,600 W&T Offshore, Inc. 76,440
200 Warren Resources, Inc.(a) 3,164
1,100 Whiting Petroleum Corp.(a) 44,000
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7,775,438
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
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DRUGS & MEDICINE - 9.7%
400 ABX Air, Inc.(a) $ 3,132
3,100 AMERIGROUP Corp.(a) 60,326
900 ATS Medical, Inc.(a) 2,475
3,000 AVANIR Pharmaceuticals Class A(a) 10,320
9,700 AVI BioPharma, Inc.(a) 33,465
1,100 Abaxis, Inc.(a) 18,128
5,200 Abgenix, Inc.(a) 111,852
1,100 Abiomed, Inc.(a) 10,164
2,000 Able Laboratories, Inc.(a)(f) 290
1,600 Accelrys, Inc.(a) 12,848
1,200 Adams Respiratory Therapeutics, Inc.(a) 48,792
4,300 Adolor Corp.(a) 62,780
3,035 Advanced Medical Optics, Inc.(a) 126,863
1,400 Advancis Pharmaceutical Corp.(a) 1,932
2,700 Air Methods Corp.(a) 46,710
1,900 Albany Molecular Research, Inc.(a) 23,085
3,200 Alexion Pharmaceuticals, Inc.(a) 64,800
3,500 Align Technology, Inc.(a) 22,645
5,000 Alkermes, Inc.(a) 95,600
1,700 Alliance Imaging, Inc.(a) 10,115
5,800 Allos Therapeutics(a) 12,470
2,345 Allscripts Healthcare Solutions, Inc.(a) 31,423
2,600 Alpharma, Inc. Class A 74,126
1,600 Amedisys, Inc.(a) 67,584
400 America Service Group, Inc.(a) 6,344
2,500 American Healthways, Inc.(a) 113,125
4,000 American Medical Systems Holdings, Inc.(a) 71,320
4,450 American Pharmaceutical Partners, Inc.(a) 172,616
2,800 Amsurg Corp.(a) 64,008
6,300 Amylin Pharmaceuticals, Inc.(a) 251,496
3,400 Anadys Pharmaceuticals, Inc.(a) 29,920
4,200 Andrx Corp.(a) 69,174
513 Angiodynamics, Inc.(a) 13,097
100 Animas Corp.(a) 2,415
2,900 Antigenics, Inc.(a)(f) 13,804
5,585 Aphton Corp.(a) 1,731
4,300 Applera Corp. - Celera Genomics Group(a) 47,128
2,800 Apria Healthcare Group, Inc.(a) 67,508
8,200 Aradigm Corp.(a)(f) 5,986
4,340 Arena Pharmaceuticals, Inc.(a) 61,715
3,500 Ariad Pharmaceuticals, Inc.(a) 20,475
1,630 Arqule, Inc.(a) 9,976
1,400 Array Biopharma, Inc.(a) 9,814
2,400 Arrow International, Inc. 69,576
1,700 Arthrocare Corp.(a) 71,638
900 Aspect Medical Systems, Inc.(a) 30,915
3,100 Atherogenics Inc.(a) 62,031
4,400 Avant Immunotherapeutics, Inc.(a) 8,272
1,000 Avigen, Inc.(a) 3,030
3,000 Axonyx, Inc.(a) 2,430
5,063 Barr Pharmaceuticals, Inc.(a) 315,374
200 Barrier Therapeutics, Inc.(a) 1,640
2,300 Beckman Coulter, Inc. 130,870
6,400 Beverly Enterprises, Inc.(a) 74,688
3,400 BioCryst Pharmaceuticals, Inc.(a) 56,950
6,500 Bioenvision, Inc.(a) 42,445
2,400 Biolase Technology, Inc.(f) 19,176
7,400 BioMarin Pharmaceuticals, Inc.(a) 79,772
18,316 Biopure Corp.(a) 14,286
2,096 Bioscript, Inc.(a) 15,804
1,360 Biosite, Inc.(a) 76,554
900 BioSphere Medical, Inc.(a) 7,290
1,800 BioVeris Corp.(a) 8,226
2,400 Bradley Pharmaceuticals, Inc.(a) 22,800
388 Britesmile, Inc.(a) 287
2,200 Brookdale Senior Living, Inc. 65,582
800 CNS, Inc. 17,528
2,800 CV Therapeutics, Inc.(a) 69,244
16,300 Calypte Biomedical Corp.(a) 2,608
1,200 Cambrex Corp. 22,524
1,600 CancerVax Corp.(a) 2,208
510 Cardiac Science Corp.(a) 4,616
2,900 Cardiodynamics International Corp.(a) 3,509
1,476 Cardiotech International, Inc.(a) 3,321
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DECEMBER 31, 2005
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9,200 Cell Therapeutics, Inc.(a)(f) $ 20,056
3,300 Centene Corp.(a) 86,757
2,600 Cephalon, Inc.(a) 168,324
1,400 Cerus Corp.(a) 14,210
3,692 Charles River Laboratories International, Inc.(a) 156,430
900 Cholestech Corp.(a) 8,928
1,700 Ciphergen Biosystems, Inc.(a) 2,006
11,200 Clarient, Inc.(a)(f) 14,336
58 Clinical Data, Inc. 1,015
2,500 Collagenex Pharmaceuticals, Inc.(a) 30,175
7,700 Columbia Laboratories, Inc.(a) 35,805
5,000 Community Health Systems, Inc.(a) 191,700
2,700 Compex Technologies, Inc.(a) 17,658
3,600 Conceptus, Inc.(a) 45,432
2,050 Conmed Corp.(a) 48,503
500 Conor Medsystems, Inc.(a) 9,675
1,843 Cooper Cos., Inc. 94,546
142 CorAutus Genetics, Inc.(a) 538
400 Corgentech, Inc.(a) 4,112
600 Corvel Corp.(a) 11,394
3,600 Covance, Inc.(a) 174,780
2,400 CryoLife, Inc.(a) 8,016
3,600 Cubist Pharmaceuticals, Inc.(a) 76,500
1,935 Curative Health Services, Inc.(a) 445
2,300 Curis, Inc.(a) 8,188
1,800 Cutera, Inc.(a) 47,448
1,400 Cyberonics, Inc.(a) 45,220
6,500 Cypress Bioscience, Inc.(a) 37,830
930 Cytogen Corp.(a) 2,548
1,700 Cytokinetics, Inc.(a) 11,118
6,400 Cytyc Corp.(a) 180,672
500 DJ Orthopedics, Inc.(a) 13,790
5,650 Dade Behring Holdings, Inc. 231,029
1,400 Datascope Corp. 46,270
6,300 DaVita, Inc.(a) 319,032
900 Daxor Corp.(a) 15,480
3,430 Dendreon Corp.(a) 18,591
4,950 Dentsply International, Inc. 265,766
6,800 Depomed, Inc.(a) 40,800
500 DexCom, Inc.(a) 7,460
1,700 Diagnostic Products Corp. 82,535
1,300 Dialysis Corp. of America(a) 13,013
200 Diametrics Medical, Inc.(a) 12
1,000 Digene Corp.(a) 29,170
3,000 Discovery Laboratories, Inc.(a) 20,040
3,200 Dov Pharmaceutical, Inc.(a) 46,976
3,000 Durect Corp.(a) 15,210
600 Dusa Pharmaceuticals, Inc.(a) 6,462
4 Dynacq Healthcare, Inc.(a) 10
600 E-Z-EM, Inc.(a) 13,740
1,300 EPIX Pharmaceuticals, Inc.(a) 5,252
3,500 Edwards Lifesciences Corp.(a) 145,635
2,300 Emisphere Technologies, Inc.(a) 9,982
400 Encore Medical Corp.(a) 1,980
7,800 Endo Pharmaceuticals Holdings, Inc.(a) 236,028
200 Endologix, Inc.(a) 1,380
4,300 Entremed, Inc.(a) 8,342
673 Enzo Biochem, Inc.(a) 8,359
2,600 Enzon Pharmaceuticals, Inc.(a) 19,240
725 Escalon Medical Corp.(a) 3,299
1,600 Exact Sciences Corp.(a) 3,536
700 Exactech, Inc.(a) 8,008
2,900 ev3, Inc.(a) 42,746
3,050 First Horizon Pharmaceutical Corp.(a) 52,613
17,300 Fonar Corp.(a) 11,764
1,300 FoxHollow Technologies Inc.(a)(f) 38,727
2,900 Gen-Probe, Inc.(a) 141,491
3,400 Genaera Corp.(a) 5,100
1,900 Gene Logic, Inc.(a) 6,365
1,060 Genelabs Technologies, Inc.(a) 1,908
63,740 Genentech, Inc.(a)(f) 5,895,950
1,150 Genesis HealthCare Corp.(a) 41,998
1,400 Genitope Corp.(a) 11,130
9,700 Genta, Inc.(a) 14,162
3,600 Geron Corp.(a) 30,996
1,600 GlobeTel Communications Corp.(a) 5,904
133 GlycoGenesys, Inc.(a) 57
1,200 Greatbatch, Inc.(a) 31,212
1,500 Haemonetics Corp.(a) 73,290
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
5,080 Health Net, Inc.(a) $ 261,874
2,451 Healthcare Services Group 50,760
2,200 HealthExtras, Inc.(a) 55,220
1,900 HealthTronics, Inc.(a) 14,535
1,300 Hemispherx Biopharma, Inc.(a)(f) 2,821
4,200 Henry Schein, Inc.(a) 183,288
3,000 Herbalife Ltd.(a) 97,560
1,050 Hi-Tech Pharmacal Co., Inc.(a) 46,505
3,545 Hillenbrand Industries, Inc. 175,158
2,300 Hollis-Eden Pharmaceuticals(a)(f) 11,132
2,500 Hologic, Inc.(a) 94,800
2,600 Hooper Holmes, Inc. 6,630
7,600 Human Genome Sciences, Inc.(a) 65,056
2,900 Hydron Technologies, Inc.(a) 856
1,100 I-Flow Corp.(a) 16,082
3,700 ICOS Corp.(a) 102,231
1,200 ICU Medical, Inc.(a) 47,052
1,600 II-VI, Inc.(a) 28,592
14,143 IVAX Corp.(a) 443,100
2,500 Idexx Laboratories, Inc.(a) 179,950
5,121 ImClone Systems, Inc.(a) 175,343
2,625 Immucor, Inc.(a) 61,320
4,000 Immunicon Corp.(a) 13,720
2,400 Immunogen, Inc.(a) 12,312
3,200 Immunomedics, Inc.(a)(f) 9,344
2,400 Inamed Corp.(a) 210,432
9,000 Incyte Corp.(a) 48,060
9,000 Indevus Pharmaceuticals, Inc.(a) 48,510
4,200 Insmed, Inc.(a)(f) 8,274
7,700 Inspire Pharmaceuticals, Inc.(a) 39,116
1,900 Integra LifeSciences Holdings Corp.(a) 67,374
4,200 InterMune, Inc.(a) 70,560
16 Intrabiotics Pharmaceuticals, Inc.(a) 58
2,700 IntraLase Corp.(a) 48,141
1,500 Introgen Therapeutics, Inc.(a)(f) 7,905
1,350 Intuitive Surgical, Inc.(a) 158,315
1,800 Invacare Corp. 56,682
828 Inverness Medical Innovations, Inc.(a) 19,632
4,400 Isis Pharmaceuticals, Inc.(a) 23,056
2,000 KV Pharmaceutical Co. Class A(a) 41,200
1,200 Kendle International, Inc.(a) 30,888
1,000 Kensey Nash Corp.(a) 22,030
2,190 Kindred Healthcare, Inc.(a) 56,414
3,615 Kinetic Concepts, Inc.(a) 143,732
1,700 Kosan Biosciences, Inc.(a) 7,548
1,900 Kyphon, Inc.(a) 77,577
1,150 LCA-Vision, Inc. 54,637
740 La Jolla Pharmaceutical Co.(a) 2,738
1,100 Lakeland Industries, Inc.(a) 20,669
400 Landauer, Inc. 18,436
300 Langer, Inc.(a) 1,560
200 Large Scale Biology Corp.(a) 20
800 Lectec Corp. 408
2,700 Lexicon Genetics, Inc.(a) 9,855
2,900 Lifecell Corp.(a) 55,303
700 Lifecore Biomedical, Inc.(a) 11,361
3,045 LifePoint Hospitals, Inc.(a) 114,188
5,700 Lincare Holdings, Inc.(a) 238,887
4,640 MGI Pharma, Inc.(a) 79,622
1,100 Macrochem Corp.(a) 22
1,479 Magellan Health Services, Inc.(a) 46,515
3,400 Mannatech, Inc. 46,954
500 MannKind Corp.(a) 5,630
1,700 Martek Biosciences Corp.(a) 41,837
3,300 Maxim Pharmaceuticals, Inc.(a) 3,630
600 Med-Design Corp.(a) 294
6,300 Medarex, Inc.(a) 87,255
1,100 Medcath Corp.(a) 20,405
800 Medical Action Industries, Inc.(a) 16,352
2,870 Medicines Co.(a) 50,082
3,200 Medicis Pharmaceutical Corp. Class A 102,560
1,030 Medis Technologies Ltd.(a)(f) 15,151
300 Medwave, Inc.(a) 807
2,800 Mentor Corp. 129,024
1,350 Meridian Bioscience, Inc. 27,189
1,568 Merit Medical Systems, Inc.(a) 19,036
300 Metropolitan Health Networks, Inc.(a) 720
2,900 Micro Therapeutics Inc.(a) 20,097
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DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
2,600 Microtek Medical Holdings, Inc.(a) $ 9,048
17,438 Millennium Pharmaceuticals, Inc.(a) 169,149
1,600 Mine Safety Appliances Co. 57,936
1,000 Molecular Devices Corp.(a) 28,930
1,100 Molina Healthcare, Inc.(a) 29,304
6,760 Monogram Biosciences, Inc.(a) 12,641
3,300 Myogen, Inc.(a) 99,528
1,800 Myriad Genetics, Inc.(a) 37,440
3,900 NBTY, Inc.(a) 63,375
3,740 NPS Pharmaceuticals, Inc.(a) 44,282
10,400 Nabi Biopharmaceuticals(a) 35,152
150 National Dentex Corp.(a) 3,381
400 National Healthcare Corp. 14,952
400 Natrol, Inc.(a) 638
900 Natures Sunshine Prods, Inc. 16,272
3,000 Natus Medical, Inc.(a) 48,420
4,900 Nektar Therapeutics(a) 80,654
2,086 Neopharm, Inc.(a) 22,508
1,900 Neose Technologies, Inc.(a) 3,667
2,145 Neurocrine Biosciences, Inc.(a) 134,556
1,200 Neurogen Corp.(a) 7,908
400 New River Pharmaceuticals, Inc.(a) 20,752
1,600 Northfield Laboratories, Inc.(a) 21,440
8,400 Novavax, Inc.(a)(f) 32,340
3,400 Noven Pharmaceuticals, Inc.(a) 51,442
1,400 Nutraceutical International Corp.(a) 18,970
2,800 NuVasive, Inc.(a) 50,680
2,421 Nuvelo, Inc.(a) 19,634
3,167 OSI Pharmaceuticals, Inc.(a) 88,803
4,100 Oakley, Inc. 60,229
3,050 Odyssey HealthCare, Inc.(a) 56,852
4,500 Omnicare, Inc. 257,490
2,000 Onyx Pharmaceuticals, Inc.(a) 57,520
5,275 OraSure Technologies, Inc.(a) 46,526
4,100 Orthologic Corp.(a) 20,090
5,920 Orthovita, Inc.(a) 22,970
4,400 Oscient Pharmaceuticals Corp.(a) 9,988
3,300 Osteotech, Inc.(a) 16,401
2,300 Owens & Minor, Inc. 63,319
5,600 PSS World Medical, Inc.(a) 83,104
6,500 Pain Therapeutics, Inc.(a) 43,940
1,700 Par Pharmaceutical Cos., Inc.(a) 53,278
2,700 Parexel International Corp.(a) 54,702
1,180 Pediatric Services of America, Inc.(a) 16,673
1,500 Pediatrix Medical Group, Inc.(a) 132,855
1,300 Penwest Pharmaceuticals Co.(a) 25,376
8,500 Peregrine Pharmaceuticals, Inc.(a) 7,650
5,000 Perrigo Co. 74,550
3,700 PetMed Express, Inc.(a) 52,429
3,400 Pharmaceutical Product Development, Inc. 210,630
700 Pharmacopeia Drug Discovery, Inc.(a) 2,492
2,290 Pharmacyclics, Inc.(a) 8,130
1,800 Pharmion Corp.(a) 31,986
1,140 Pharmos Corp.(a) 2,291
1,423 PolyMedica Corp. 47,628
2,300 Pozen, Inc.(a) 22,057
620 Praecis Pharmaceuticals, Inc.(a) 2,486
2,500 Prestige Brands Holdings, Inc.(a) 31,250
500 Progenics Pharmaceuticals, Inc.(a) 12,505
5,500 Protein Design Labs, Inc.(a) 156,310
800 Proxymed, Inc.(a) 3,248
125 Psychemedics Corp. 1,725
1,666 Psychiatric Solutions, Inc.(a) 97,861
2,700 QMed, Inc.(a) 26,055
1,900 Quidel Corp.(a) 20,444
2,000 Radiation Therapy Services, Inc.(a) 70,620
1,100 Radiologix, Inc.(a) 3,355
1,600 Regeneration Technologies, Inc.(a) 11,440
2,800 Regeneron Pharmaceuticals, Inc.(a) 44,660
1,900 RehabCare Group, Inc.(a) 38,380
4,450 Renal Care Group, Inc.(a) 210,530
2,500 Renovis, Inc.(a) 38,250
1,200 Res-Care, Inc.(a) 20,844
4,300 Resmed, Inc.(a) 164,733
3,900 Respironics, Inc.(a) 144,573
1,300 Retractable Technologies, Inc.(a) 4,667
7,000 Rita Medical Systems, Inc.(a) 27,370
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
3,603 Salix Pharmaceuticals Ltd.(a) $ 63,341
1,300 Sangamo Biosciences, Inc.(a) 5,239
6,000 Santarus, Inc.(a) 32,880
3,500 Savient Pharmaceuticals, Inc.(a) 13,090
5,700 Sciclone Pharmaceuticals, Inc.(a) 13,224
2,200 Seattle Genetics, Inc.(a) 10,384
6,055 Sepracor, Inc.(a) 312,438
2,385 Serologicals Corp.(a) 47,080
2,000 Sierra Health Services, Inc.(a) 159,920
2,015 Sirna Therapeutics, Inc.(a)(f) 6,105
3,500 Sonic Innovations, Inc.(a) 14,805
800 SonoSite, Inc.(a) 28,008
1,900 Sparta Surgical Corp.(a) -
1,400 Specialty Laboratories, Inc.(a) 18,270
16 Spectrum Pharmaceuticals, Inc.(a) 68
2,400 Staar Surgical Co.(a) 18,960
15,400 Star Scientific, Inc.(a)(f) 36,190
3,400 Steris Corp. 85,068
2,600 Sunrise Senior Living, Inc.(a)(f) 87,646
2,930 SuperGen, Inc.(a) 14,797
1,600 SurModics, Inc.(a) 59,184
2,300 Sybron Dental Specialties, Inc.(a) 91,563
100 Symbion, Inc.(a) 2,300
900 Symmetry Medical, Inc.(a) 17,451
2,100 Synovis Life Technologies, Inc.(a) 21,063
8,500 SyntheMed, Inc.(a) 3,400
3,800 Tanox, Inc.(a) 62,206
8,500 Targeted Genetics Corp.(a) 4,080
2,500 Techne Corp.(a) 140,375
4,130 Telik, Inc.(a) 70,169
1,900 Theragenics Corp.(a) 5,738
1,900 Theravance, Inc.(a) 42,788
2,400 Third Wave Technologies, Inc.(a) 7,152
3,200 Thoratec Corp.(a) 66,208
100 Threshold Pharmaceuticals, Inc.(a) 1,445
2,800 Titan Pharmaceuticals, Inc.(a) 4,004
900 Transgenomic, Inc.(a) 945
3,146 Triad Hospitals, Inc.(a) 123,418
1,600 Trimeris, Inc.(a) 18,384
1,600 TriPath Imaging, Inc.(a) 9,664
700 Tripos, Inc.(a) 2,065
700 US Physical Therapy, Inc.(a) 12,929
1,100 USANA Health Sciences, Inc.(a) 42,196
2,100 United Surgical Partners International, Inc.(a) 67,515
1,500 United Therapeutics Corp.(a) 103,680
1,100 Universal Display Corp.(a) 11,561
3,300 Universal Health Services, Inc. Class B 154,242
1,700 Urologix, Inc.(a) 6,562
1,100 Utah Medical Products, Inc. 35,244
4,740 VCA Antech, Inc.(a) 133,668
5,200 Valeant Pharmaceuticals International 94,016
193 Valentis, Inc.(a) 369
5,720 Varian Medical Systems, Inc.(a) 287,945
2,300 Vasomedical, Inc.(a) 575
2,000 Ventana Medical Systems(a) 84,700
4,462 Vertex Pharmaceuticals, Inc.(a) 123,464
500 ViaCell, Inc.(a) 2,810
1,800 Viasys Healthcare, Inc.(a) 46,260
1,000 Vical, Inc.(a) 4,200
3,300 Vion Pharmaceuticals, Inc.(a) 5,148
1,390 Viragen, Inc.(a)(f) 626
3,700 Viropharma, Inc.(a) 68,635
1,205 VistaCare, Inc. Class A(a) 15,063
700 Vital Signs, Inc. 29,974
7,600 Vivus, Inc.(a) 22,496
1,600 West Pharmaceutical Services, Inc. 40,048
1,400 Wright Medical Group, Inc.(a) 28,560
13,500 XOMA Ltd.(a)(f) 21,600
2,700 Zila, Inc.(a) 10,395
555 Zoll Medical Corp.(a) 13,980
2,000 Zymogenetics, Inc.(a) 34,020
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24,526,825
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ELECTRONICS - 5.2%
7,300 8x8, Inc.(a)(f) 13,505
56 ACE*COMM Corp.(a) 173
1,700 ADE Corp.(a) 40,902
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
3,600 AMIS Holdings, Inc.(a) $ 38,340
3,100 APAC Customer Services, Inc.(a) 5,673
1,800 ATMI, Inc.(a) 50,346
9,100 AVX Corp. 131,768
1,200 AXT, Inc.(a) 2,568
2,900 Actel Corp.(a) 36,917
2,500 Acuity Brands, Inc. 79,500
4,800 Acxiom Corp. 110,400
300 Advanced Analogic Technologies, Inc.(a) 4,155
2,200 Advanced Energy Industries, Inc.(a) 26,026
500 Advanced Power Technology, Inc.(a) 6,815
11,263 Agere Systems, Inc.(a) 145,293
2,200 Agilysys, Inc. 40,084
20 Airnet Communications Corp.(a) 20
1,400 Alliance Fiber Optic Products, Inc.(a) 1,582
5,000 Alliance Semiconductor Corp.(a) 13,000
2,262 Alliant Techsystems, Inc.(a) 172,297
8,400 Altair Nanotechnologies, Inc.(a)(f) 16,548
1,200 American Physicians Capital, Inc.(a) 54,948
1,000 American Science & Engineering, Inc.(a) 62,370
100 American Technical Ceramics Corp.(a) 902
10,510 Amkor Technology, Inc.(a) 58,856
600 Ampex Corp.(a) 12,234
5,005 Amphenol Corp. Class A 221,521
100 Amtech Systems, Inc.(a) 750
6,700 Anadigics, Inc.(a) 40,200
1,200 Anaren, Inc.(a) 18,756
2,200 Anixter International, Inc. 86,064
5,100 Arris Group, Inc.(a) 48,297
6,500 Arrow Electronics, Inc.(a) 208,195
4,300 Asyst Technologies Inc.(a) 24,596
1,600 Atheros Communications Inc.(a) 20,800
26,800 Atmel Corp.(a) 82,812
2,200 Audiovox Corp. Class A(a) 30,492
31,700 Avanex Corp.(a)(f) 43,429
2,656 Avid Technology, Inc.(a) 145,443
6,864 Avnet, Inc.(a) 164,324
900 Aware, Inc.(a) 3,996
6,400 Axcelis Technologies, Inc.(a) 30,528
1,500 Axsys Technologies, Inc.(a) 26,925
200 Badger Meter, Inc. 7,848
2,800 Belden CDT, Inc. 68,404
1,635 Bell Microproducts, Inc.(a) 12,508
2,500 Benchmark Electronics, Inc.(a) 84,075
2,880 Broadwing Corp.(a) 17,424
5,682 Brooks Automation, Inc.(a) 71,195
5,300 Bruker BioSciences Corp.(a) 25,758
1,500 C&D Technologies, Inc. 11,430
2,800 C-COR, Inc.(a) 13,608
764 CCC Information Services Group(a) 20,032
19,400 CMGI, Inc.(a) 29,488
2,200 CTS Corp. 24,332
1,400 Cabot Microelectronics Corp.(a) 41,062
15,600 Cadence Design Systems, Inc.(a) 263,952
2,600 CalAmp Corp.(a) 27,274
4,000 California Micro Devices CP(a) 26,040
1,685 Caliper Life Sciences, Inc.(a) 9,908
1,100 Candela Corp.(a) 15,884
6,800 Captaris, Inc.(a) 25,092
500 Celeritek, Inc. 73
2,400 Cepheid, Inc.(a) 21,072
1,101 Ceva, Inc.(a) 6,892
700 Champion Industries, Inc. 3,080
2,200 Checkpoint Systems, Inc.(a) 54,230
4,700 Cirrus Logic, Inc.(a) 31,396
2,400 Coherent, Inc.(a) 71,232
1,300 Cohu, Inc. 29,731
2,500 CommScope, Inc.(a) 50,325
1,800 Comtech Telecommunications Corp.(a) 54,972
27,048 Conexant Systems, Inc.(a) 61,128
2,200 Cox Radio, Inc. Class A(a) 30,976
5,100 Credence Systems Corp.(a) 35,496
4,200 Cree, Inc.(a)(f) 106,008
2,105 Cymer, Inc.(a) 74,749
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
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3,000 Cypress Semiconductor Corp.(a) $ 42,750
1,590 DDi Corp.(a) 1,511
2,600 DSP Group, Inc.(a) 65,156
300 DTS, Inc.(a) 4,440
1,100 Daktronics, Inc. 32,527
100 Dataram Corp. 526
2,400 Diodes, Inc.(a) 74,520
1,600 Dionex Corp.(a) 78,528
6,000 Dolby Laboratories, Inc. Class A(a) 102,300
600 Ducommun, Inc.(a) 12,816
1,400 Dynamics Research Corp.(a) 21,630
2,800 EFJ, Inc.(a) 28,420
700 EMS Technologies, Inc.(a) 12,390
4,000 ESS Technology, Inc.(a) 13,720
13,400 Eagle Broadband, Inc.(a) 1,206
2,500 Electro Scientific Industries, Inc.(a) 60,375
1,700 Electroglas, Inc.(a) 4,930
3,700 Electronics for Imaging(a) 98,457
200 eMagin Corp.(a) 114
1,900 Emcore Corp.(a) 14,098
2,000 Empire Resources, Inc. 21,780
4,800 Emulex Corp.(a) 94,992
1,000 EndWare Corp.(a)(f) 11,780
4,500 Energizer Holdings, Inc.(a) 224,055
1,900 Energy Conversion Devices, Inc.(a) 77,425
600 EnerSys(a) 7,824
25 Entrada Networks, Inc.(a) -
3,900 Exar Corp.(a) 48,828
300 Excel Technology, Inc.(a) 7,134
4,300 Exide Technologies(a) 15,910
2,000 FEI Co.(a) 38,340
1,800 FSI International, Inc.(a) 8,280
5,600 Fairchild Semiconductor International, Inc.(a) 94,696
1,600 Faro Technologies, Inc.(a) 32,000
4,300 Flir Systems, Inc.(a) 96,019
1,300 Formfactor, Inc.(a) 31,759
2,900 FuelCell Energy, Inc.(a)(f) 24,563
2,400 GTC Biotherapeutics, Inc.(a) 3,936
2,300 General Cable Corp.(a) 45,310
3,100 Genesis Microchip, Inc.(a) 56,079
3,300 Getty Images, Inc.(a) 294,591
500 Glenayre Technologies, Inc.(a) 1,625
200 Glowpoint, Inc.(a) 134
2,900 Harman International Industries, Inc. 283,765
4,300 Harmonic, Inc.(a) 20,855
6,990 Harris Corp. 300,640
1,520 Harvard Bioscience, Inc.(a) 6,764
3,100 Hearst-Argyle Television, Inc. 73,935
1,775 Herley Industries, Inc.(a) 29,305
447 Hifn, Inc.(a) 2,505
700 Hungarian Telephone & Cable(a) 10,885
1,495 Hutchinson Technology, Inc.(a) 42,533
1,900 IRIS International, Inc.(a) 41,534
1,900 IXYS Corp.(a) 22,211
2,400 Illumina, Inc.(a) 33,840
3,935 Innovex, Inc.(a) 13,576
2,100 Integrated Silicon Solutions, Inc.(a) 13,524
5,900 Interactive Data Corp. 133,989
100 Interlink Electronics, Inc.(a) 359
2,403 Intermagnetics General Corp.(a) 76,656
2,300 International Rectifier Corp.(a) 73,370
5,915 Intersil Corp. Class A 147,165
1,700 Itron, Inc.(a) 68,068
2,600 Ixia(a) 38,428
800 Keithley Instruments, Inc. 11,184
4,900 Kemet Corp.(a) 34,643
2,300 Komag, Inc.(a) 79,718
4,200 Kopin Corp.(a) 22,470
4,700 Kulicke & Soffa Industries, Inc.(a) 41,548
100 LCC International, Inc. Class A(a) 326
5,600 Lam Research Corp.(a) 199,808
1,650 Laserscope(a) 37,059
6,270 Lattice Semiconductor Corp.(a) 27,086
200 Leadis Technology, Inc.(a) 1,030
700 LeCroy Corp.(a) 10,703
100 Lightpath Technologies, Inc. Class A(a) 172
1,270 Littelfuse, Inc.(a) 34,608
1,200 Lowrance Electronics, Inc. 31,452
100 M-Wave, Inc.(a) 57
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DECEMBER 31, 2005
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---------------------------------------------------------------------------------
9,600 MEMC Electronic Materials, Inc.(a) $ 212,832
3,153 MKS Instruments, Inc.(a) 56,407
6,287 MRV Communications, Inc.(a) 12,888
2,000 MTS Systems Corp. 69,280
18,200 Marvell Technology Group Ltd.(a) 1,020,838
1,800 Mattson Technology, Inc.(a) 18,108
900 Maxwell Technologies, Inc.(a) 12,753
1,400 Mercury Computer Systems, Inc.(a) 28,882
500 Mestek, Inc.(a) 6,550
2,100 Methode Electronics, Inc. 20,937
3,600 Microsemi Corp.(a) 99,576
1,700 Mobility Electronics, Inc.(a) 16,422
2,155 Monolithic System Technology, Inc.(a) 11,853
600 Multi-Fineline Electronix, Inc.(a) 28,902
800 NU Horizons Electronics Corp.(a) 8,080
1,825 Nanogen, Inc.(a) 4,782
2,000 Nanometrics, Inc.(a) 22,020
3,000 Nanophase Technologies Corp.(a) 16,950
320 Neomagic Corp.(a) 2,739
1,000 Neoware Systems, Inc.(a) 23,300
2,700 Netgear, Inc.(a) 51,975
2,400 Newport Corp.(a) 32,496
250 Novoste Corp.(a) 558
8,535 Nuance Communications, Inc.(a) 65,122
14,950 ON Semiconductor Corp.(a) 82,674
700 OSI Systems, Inc.(a) 12,873
4,500 Omnivision Technologies, Inc.(a) 89,820
1,100 Oplink Communications, Inc.(a) 15,950
400 Optical Communication Products, Inc.(a) 924
200 PDF Solutions, Inc.(a) 3,250
1,500 PLX Technology, Inc.(a) 12,900
1,800 Palomar Medical Technologies, Inc.(a) 63,072
1,150 Park Electrochemical Corp. 29,877
800 ParkerVision, Inc.(a) 7,280
4,300 Paxson Communications Corp.(a) 3,870
2,700 Pemstar, Inc.(a) 3,996
1,500 Pericom Semiconductor Corp.(a) 11,955
1,600 Photon Dynamics, Inc.(a) 29,248
2,700 Pixelworks, Inc.(a) 13,716
900 Planar Systems, Inc.(a) 7,533
2,600 Plantronics, Inc. 73,580
2,300 Plexus Corp.(a) 52,302
2,700 Portalplayer, Inc.(a) 76,464
600 Powell Industries, Inc.(a) 10,776
1,800 Power Integrations, Inc.(a) 42,858
4,900 Power-One, Inc.(a) 29,498
4,400 Powerwave Technologies, Inc.(a) 55,308
300 Preformed Line Products Co. 12,837
6,100 Quantum Corp.(a) 18,605
200 QuickLogic Corp.(a) 790
10,835 RF Micro Devices, Inc.(a) 58,617
900 RadiSys Corp.(a) 15,606
6,000 Rambus, Inc.(a) 97,140
900 Raven Industries, Inc. 25,965
700 Rex Stores Corp.(a) 10,528
800 Richardson Electronics Ltd. 5,800
900 Rofin-Sinar Technologies, Inc.(a) 39,123
1,000 Rudolph Technologies, Inc.(a) 12,880
5,900 SAFLINK Corp.(a) 4,779
2,300 SBS Technologies, Inc.(a) 23,161
800 SCM Microsystems, Inc.(a) 2,736
1,200 Sagemark Cos. Ltd.(a) 1,740
27,200 Seagate Technology 543,728
1,100 Semitool, Inc.(a) 11,968
4,200 Semtech Corp.(a) 76,692
2,000 Sigmatel, Inc.(a) 26,200
1,200 Sigmatron International, Inc.(a) 13,272
4,400 Silicon Image, Inc.(a) 39,820
3,000 Silicon Laboratories, Inc.(a) 109,980
5,900 Silicon Storage Technology, Inc.(a) 29,795
2,800 SimpleTech, Inc.(a) 10,556
3,300 Sirenza Microdevices, Inc.(a) 15,213
1,700 Sirf Technology Holdings, Inc.(a) 50,660
9,100 Skyworks Solutions, Inc.(a) 46,319
2,500 Somera Communications, Inc.(a) 1,950
1,200 SpectraLink Corp. 14,244
3,100 Spectrum Brands, Inc.(a) 62,961
3,100 Staktek Holdings, Inc.(a) 23,064
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
1,400 Standard Microsystems Corp.(a) $ 40,166
5,600 Stratex Networks, Inc.(a) 20,048
200 Suntron Corp.(a) 244
4,320 Superconductor Technologies(a) 1,901
1,700 Superior Essex, Inc.(a) 34,272
100 Supertex, Inc.(a) 4,425
4,376 Symmetricom, Inc.(a) 37,065
2,300 Synaptics, Inc.(a) 56,856
1,900 TTM Technologies, Inc.(a) 17,860
4,730 Taser International, Inc.(a)(f) 32,968
1,900 Technitrol, Inc. 32,490
10,100 Tegal Corp.(a) 5,757
3,700 Tekelec(a) 51,430
75 Terabeam, Inc.(a) 202
4,400 Terayon Corp.(a) 10,164
1,800 Tessera Technologies, Inc.(a) 46,530
5,500 Therma-Wave, Inc.(a) 7,865
4,365 Thomas & Betts Corp.(a) 183,155
1,300 Three-Five Systems, Inc.(a) 150
800 Tollgrade Communications, Inc.(a) 8,744
11,200 Transmeta Corp.(a)(f) 12,656
3,600 TranSwitch Corp.(a) 6,588
3,000 Tripath Technology, Inc.(a)(f) 990
7,745 TriQuint Semiconductor, Inc.(a) 34,465
200 Tvia, Inc.(a) 422
1,500 Tweeter Home Entertainment Group, Inc.(a) 8,580
800 Ultralife Batteries, Inc.(a) 9,600
2,400 Ultratech, Inc.(a) 39,408
1,400 United Industrial Corp. 57,918
600 Unitil Corp. 15,060
4,000 Valence Technology, Inc.(a)(f) 6,000
900 Varian Semiconductor Equipment Associates, Inc.(a) 39,537
2,050 Varian, Inc.(a) 81,570
1,400 Viasat, Inc.(a) 37,422
2,200 Vicor Corp. 34,782
1,300 Virage Logic Corp.(a) 12,844
9,961 Vishay Intertechnology, Inc.(a) 137,063
12,800 Vitesse Semiconductor Corp.(a) 24,576
200 Volterra Semiconductor Corp.(a) 3,000
66 Vyyo, Inc.(a) 319
3,600 WJ Communications, Inc.(a) 5,832
4 Wave Wireless Corp.(a) 1
8,500 Western Digital Corp.(a) 158,185
4,117 Zebra Technologies Corp. Class A(a) 176,413
7,424 Zhone Technologies, Inc.(a) 14,922
3,361 Zoran Corp.(a) 54,482
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13,167,899
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ENERGY & RAW MATERIALS - 3.4%
1,000 APCO Argentina, Inc. 49,010
3,000 Alliance Resource Partners LP 111,600
3,200 Alpha Natural Resources, Inc.(a) 61,472
2,600 Arch Coal, Inc. 206,700
1,900 Atlas Pipeline Partners LP 77,140
1,400 Atwood Oceanics, Inc.(a) 109,242
600 Barnwell Industries, Inc. 15,060
1,000 Berry Petroleum Co. Class A 57,200
3,500 Boardwalk Pipeline Partners LP(a) 62,930
4,300 Brigham Exploration Co.(a) 50,998
1,500 Buckeye Partners LP 63,330
1,350 CARBO Ceramics, Inc. 76,302
3,720 Cabot Oil & Gas Corp. Class A 167,772
5,600 Canyon Resources Corp.(a) 4,088
4,616 Cimarex Energy Co. 198,534
1,700 Compass Minerals International, Inc. 41,718
5,000 Cooper Cameron Corp.(a) 207,000
1,500 Crosstex Energy, Inc. 94,590
2,000 Dawson Geophysical Co.(a) 61,640
6,400 Denbury Resources, Inc.(a) 145,792
1,000 Dril-Quip, Inc.(a) 47,200
6,720 ENSCO International, Inc. 298,032
600 Earle M. Jorgensen Holding Company, Inc.(a) 5,538
3,900 Enterprise GP Holdings LP 147,108
21,905 Enterprise Products Partners LP 525,939
6,400 The Exploration Co. of Delaware, Inc.(a) 41,088
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DECEMBER 31, 2005
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---------------------------------------------------------------------------------
3,500 FMC Technologies, Inc.(a) $ 150,220
2,100 Forest Oil Corp.(a) 95,697
2,200 Foundation Coal Holdings, Inc. 83,600
2,400 Goodrich Petroleum Corp.(a) 60,360
6,200 Grant Prideco, Inc.(a) 273,544
10,600 Grey Wolf, Inc.(a) 81,938
2,849 Hanover Compressor Co.(a) 40,199
3,100 Headwaters, Inc.(a) 109,864
2,900 Helmerich & Payne, Inc. 179,539
200 Holly Energy Partners LP 7,378
1,800 Hydril Co.(a) 112,680
1,900 Inergy LP 49,267
4,700 International Coal Group, Inc.(a) 44,650
1,800 James River Coal Co.(a) 68,760
6,900 Joy Global, Inc. 276,000
9 Kestrel Energy, Inc.(a) 855
1,500 Kirby Corp.(a) 78,255
1,100 Lufkin Industries, Inc. 54,857
600 MAXXAM, Inc.(a) 21,030
4,800 Massey Energy Co. 181,776
5,100 McDermott International, Inc.(a) 227,511
3,000 NL Industries, Inc. 42,270
1,900 Natural Gas Services Group(a) 32,224
600 Natural Resource Partners LP 30,150
5,000 Newpark Resources(a) 38,150
7,780 Noble Energy, Inc. 313,534
1,800 Offshore Logistics, Inc.(a) 52,560
1,700 Oil States International, Inc.(a) 53,856
4,000 Parallel Petroleum Corp.(a) 68,040
9,900 Parker Drilling Co.(a) 107,217
6,090 Peabody Energy Corp. 501,938
800 Penn Virginia Corp. 45,920
200 Penn Virginia Resource Partners LP 11,114
1,780 Petroleum Development Corp.(a) 59,345
4,400 Pioneer Drilling Co.(a) 78,892
3,300 Plains All American Pipeline LP 130,581
5,700 Prolong International Corp.(a) 63
3,112 Quantum Fuel Systems Technologies Worldwide, Inc.(a)(f) 8,341
100 RGC Resources, Inc. 2,526
8,000 Range Resources Corp. 210,720
1,477 SEACOR Holdings, Inc.(a) 100,584
9,600 Smith International, Inc. 356,256
7 Solexa, Inc.(a) 75
9,100 Southwestern Energy Co.(a) 327,054
1,900 Swift Energy Co.(a) 85,633
1,900 TC PipeLines LP 61,750
2,455 Tidewater, Inc. 109,149
4,200 USEC, Inc. 50,190
2,000 Union Drilling, Inc.(a) 29,060
2,900 Unit Corp.(a) 159,587
2,500 W-H Energy Services, Inc.(a) 82,700
4,000 Western Gas Resources, Inc. 188,360
500 Westmoreland Coal Co.(a) 11,450
2,000 Williams Partners LP 62,300
2,600 World Fuel Services Corp. 87,672
1,300 Xanser Corp.(a) 3,822
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8,628,086
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ENERGY & UTILITIES - 2.8%
4,400 AGL Resources, Inc. 153,164
1,100 ATG, Inc.(a) -
3,500 Active Power, Inc.(a) 13,475
1,500 Allete, Inc. 66,000
6,400 Alliant Energy Corp. 179,456
950 American States Water Co. 29,260
4,917 Aqua America, Inc. 134,234
7,810 Aquila, Inc.(a) 28,116
150 Artesian Resources Corp. Class A 4,440
4,800 Atmos Energy Corp. 125,568
200 Atrion Corp. 13,886
2,900 Avista Corp. 51,359
200 BIW Ltd. 3,590
7,730 Beacon Power Corp.(a)(f) 14,378
1,800 Black Hills Corp. 62,298
900 CH Energy Group, Inc. 41,310
900 California Water Service Group 34,407
800 Cascade Natural Gas Corp. 15,608
2,766 Catalytica Energy Systems, Inc.(a) 2,904
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DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
700 Central Vermont Public Service Corp. $ 12,607
1,300 Chesapeake Utilities Corp. 40,040
2,900 Cleco Corp. 60,465
400 Connecticut Water Service, Inc. 9,804
8,335 DPL, Inc. 216,793
100 Delta Natural Gas Co., Inc. 2,520
4,300 Duquesne Light Holdings, Inc. 70,176
3,900 El Paso Electric Co.(a) 82,056
2,700 The Empire District Electric Co. 54,891
4,800 Energen Corp. 174,336
8,400 Energy East Corp. 191,520
200 Energy West, Inc. 1,940
450 EnergySouth, Inc. 12,051
7,480 Equitable Resources, Inc. 274,441
199 Florida Public Utilities Co. 2,716
9,300 Gasco Energy, Inc.(a) 60,729
4,900 Great Plains Energy, Inc. 137,004
1,000 Green Mountain Power Corp. 28,770
4,720 Hawaiian Electric Industries, Inc. 122,248
2,300 IDACORP, Inc. 67,390
3,800 KFX, Inc.(a) 65,018
1,200 The Laclede Group, Inc. 35,052
5,750 MDU Resources Group, Inc. 188,255
400 MGE Energy, Inc. 13,564
666 Middlesex Water Co. 11,548
3,830 NRG Energy, Inc.(a) 180,470
6,100 NSTAR 175,070
4,650 National Fuel Gas Co. 145,034
2,140 New Jersey Resources Corp. 89,645
5,100 Northeast Utilities 100,419
1,600 Northwest Natural Gas Co. 54,638
2,000 NorthWestern Corp. 62,140
5,000 OGE Energy Corp. 133,950
5,790 Oneok, Inc. 154,188
300 Ormat Technologies, Inc. 7,842
1,200 Otter Tail Corp. 34,776
3,400 PNM Resources, Inc. 83,266
177 Pennichuck Corp. 3,618
10,573 Pepco Holdings, Inc. 236,518
4,800 Piedmont Natural Gas Co. 115,968
5,900 Puget Energy, Inc. 120,478
4,800 Questar Corp. 363,360
15,100 Reliant Energy, Inc.(a) 155,832
6,400 SCANA Corp. 252,032
5,800 SEMCO Energy, Inc.(a) 32,596
300 SJW Corp. 13,650
6,600 Sierra Pacific Resources(a) 86,064
1,600 South Jersey Industries, Inc. 46,624
7,054 Southern Union Co.(a) 166,686
2,000 Southwest Gas Corp. 52,800
1,572 Southwest Water Co. 22,493
600 Streicher Mobile Fueling, Inc.(a) 1,596
4,900 Sunpower Corp. Class A(a) 166,551
6,560 UGI Corp. 135,136
1,100 UIL Holdings Corp. 50,589
2,000 Unisource Energy Corp. 62,400
4,200 Vectren Corp. 114,072
2,840 Veritas DGC, Inc.(a) 100,792
2,700 WGL Holdings, Inc. 81,162
1,400 WPS Resources Corp. 77,434
5,225 Westar Energy, Inc. 112,338
7,280 Wisconsin Energy Corp. 284,357
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6,985,971
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FINANCE - 0.1%
1,800 First Advantage Corp. Class A(a) 48,078
300 Frontline Capital Group(a) -
4,900 IntercontinentalExchange, Inc.(a) 178,115
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226,193
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FOOD & AGRICULTURE - 2.8%
400 Alico, Inc. 18,076
1,100 American Italian Pasta Co. Class A 7,480
300 The Andersons, Inc. 12,924
500 Bridgford Foods Corp.(a) 3,365
6,600 Bunge Ltd. 373,626
200 CF Industries Holdings, Inc. 3,050
200 Cagle's, Inc. Class A(a) 1,530
1,802 Chiquita Brands International, Inc. 36,058
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
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400 Coca-Cola Bottling Co. Consolidated $ 17,200
300 Consolidated-Tomoka Land Co. 21,270
4,400 Corn Products International, Inc. 105,116
1,200 Cuisine Solutions, Inc.(a) 10,800
500 Dairy Mart Convenience Stores(a) -
700 Darling International, Inc.(a) 2,779
8,161 Dean Foods Co.(a) 307,343
12,800 Del Monte Foods Co. 133,504
2,280 Delta & Pine Land Co. 52,463
5,700 Dreyer's Grand Ice Cream Holdings, Inc. 472,416
2,700 Eden Bioscience Corp.(a) 1,512
400 Embrex, Inc.(a) 5,544
300 Farmer Bros. Co. 5,802
100 Fisher Communications, Inc.(a) 4,143
4,012 Flowers Foods, Inc. 110,571
900 Fresh Brands, Inc.(a) 6,179
4,500 Fresh Del Monte Produce, Inc. 102,465
600 Gehl Co.(a) 15,750
200 Glacier Water Services, Inc.(a) 4,200
1,700 Gold Kist, Inc.(a) 25,415
600 Golden Enterprises, Inc. 1,740
400 Green Mountain Coffee Roasters, Inc.(a) 16,240
1,000 Griffin Land & Nurseries, Inc.(a) 24,890
2,239 Hain Celestial Group, Inc.(a) 47,387
4,100 Hines Horticulture, Inc.(a) 14,760
7,990 Hormel Foods Corp. 261,113
12 Imperial Sugar Co. New Shares 163
1,800 Ingles Markets, Inc. Class A 28,170
2,165 Ionatron, Inc.(a)(f) 21,888
500 J&J Snack Foods Corp. 29,705
3,319 The J.M. Smucker Co. 146,036
600 John B. Sanfilippo & Son, Inc.(a) 7,758
102,880 Kraft Foods, Inc. 2,895,043
1,700 Lance, Inc. 31,671
1,700 Lifeway Foods, Inc.(a) 21,148
1,600 MGP Ingredients, Inc. 18,880
700 Marsh Supermarkets, Inc. Class B 6,069
400 Maui Land & Pineapple Co., Inc.(a) 13,572
700 Monterey Gourmet Foods, Inc.(a) 2,821
1,520 Nash Finch Co. 38,730
875 Neogen Corp.(a) 18,384
3,700 NitroMed, Inc.(a)(f) 51,615
1,200 The Pantry, Inc.(a) 56,388
1,000 Peet's Coffee & Tea, Inc.(a) 30,350
8,227 PepsiAmericas, Inc. 191,360
2,700 Performance Food Group Co.(a) 76,599
4,200 Pilgrim's Pride Corp. 139,272
1,900 Premium Standard Farms, Inc. 28,424
1,200 Provena Foods, Inc.(a) 1,212
1,732 Ralcorp Holdings, Inc.(a) 69,124
1,424 Rocky Mountain Chocolate Factory, Inc. 23,177
1,150 Sanderson Farms, Inc. 35,110
3,800 The Scotts Miracle-Gro Co. 171,912
100 Seaboard Corp. 151,100
200 Seneca Foods Corp.(a) 3,850
1,700 Smart & Final, Inc.(a) 21,896
7,100 Smithfield Foods, Inc.(a) 217,260
800 Spartan Stores, Inc.(a) 8,336
400 Tasty Baking Co. 3,000
400 Tejon Ranch Co.(a) 15,968
4,600 Terra Industries, Inc.(a) 25,760
3,088 Tootsie Roll Industries, Inc. 89,336
1,912 TreeHouse Foods, Inc.(a) 35,793
3,200 United Natural Foods, Inc.(a) 84,480
3,200 Wild Oats Markets, Inc.(a) 38,656
800 Willamette Valley Vineyards(a) 4,008
500 Zanett, Inc.(a) 1,635
800 Zapata Corp.(a) 4,616
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7,086,986
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GOLD - 0.2%
5,900 Glamis Gold Ltd.(a) 162,132
13,100 Hanover Gold Co., Inc.(a) 393
5,580 Meridian Gold, Inc.(a) 122,035
3,300 NGAS Resources, Inc.(a) 34,815
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2,535 Royal Gold, Inc. $ 88,041
9,000 US Gold Corp.(a) 30,960
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438,376
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INSURANCE - 4.3%
5,200 21st Century Insurance Group 84,136
300 Affirmative Insurance Holdings, Inc. 4,377
4,000 Alfa Corp. 64,400
532 Alleghany Corp.(a) 151,088
2,800 AmerUs Group Co. 158,676
4,200 American Equity Investment Life Holding Co. 54,810
4,200 American Financial Group, Inc. 160,902
1,700 American National Insurance Co. 198,883
5,500 Amerisafe, Inc.(a) 55,440
1,405 Arch Capital Group Ltd.(a) 76,924
1,700 Argonaut Group, Inc.(a) 55,709
5,000 Arthur J. Gallagher & Co. 154,400
3,200 Aspen Insurance Holdings Limited 75,744
7,905 Assurant, Inc. 343,788
2,700 Assured Guaranty Ltd. 68,553
700 Atlantic American Corp.(a) 1,890
7,100 Axis Capital Holdings Ltd. 222,088
950 Baldwin & Lyons, Inc. Class B 23,085
1,780 Bristol West Holdings, Inc. 33,873
7,000 Brown & Brown, Inc. 213,780
16,129 CNA Financial Corp.(a) 527,902
800 CNA Surety Corp.(a) 11,656
1,100 Clark, Inc. 14,575
2,100 Commerce Group, Inc. 120,288
8,500 Conseco, Inc.(a) 196,945
3,000 Crawford & Co. Class B 17,280
1,900 Delphi Financial Group Class A 87,419
2,688 Donegal Group, Inc. Class B 57,120
500 EMC Insurance Group, Inc. 9,970
2,600 Endurance Specialty Holdings Limited 93,210
3,600 Erie Indemnity Co. Class A 191,520
2,800 Everest Re Group Ltd. 280,980
800 FBL Financial Group, Inc. Class A 26,248
400 FMS Financial Corp. 7,023
600 FPIC Insurance Group, Inc.(a) 20,820
9,342 Fidelity National Financial, Inc. 343,692
8,434 Fidelity National Title Group, Inc. Class A 205,368
4,635 First American Corp. 209,966
400 First United Corp. 8,492
4,500 Fremont General Corp. 104,535
2,910 Great American Financial Resources, Inc. 57,734
5,850 HCC Insurance Holdings, Inc. 173,628
3,500 The Hanover Insurance Group, Inc. 146,195
1,800 Harleysville Group, Inc. 47,700
1,900 Hilb Rogal & Hobbs Co. 73,169
2,400 Horace Mann Educators Corp. 45,504
2,000 IPC Holdings, Ltd. 54,760
720 Independence Holding Co. 14,076
1,200 Infinity Property & Casualty Corp. 44,652
400 Kansas City Life Insurance Co. 20,156
1,200 LandAmerica Financial Group, Inc. 74,880
1,200 Liberty Corp. 56,172
600 Markel Corp.(a) 190,230
1,600 Max Re Capital Ltd. 41,552
400 Meadowbrook Insurance Group, Inc.(a) 2,336
100 Merchants Group, Inc. 3,015
3,000 Mercury General Corp. 174,660
3,300 Montpelier Re Holdings Ltd. 62,370
600 NYMAGIC, Inc. 14,874
3,300 National Atlantic Holdings Corp.(a) 36,135
1,000 National Medical Health Card Systems, Inc.(a) 27,200
8,200 Nationwide Financial Services, Inc. Class A 360,800
700 Navigators Group, Inc.(a) 30,527
3,900 Odyssey Re Holdings Corp. 97,812
4,600 Ohio Casualty Corp. 130,272
10,650 Old Republic International Corp. 279,669
2,895 PMA Capital Corp. Class A(a) 26,431
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DECEMBER 31, 2005
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4,700 The PMI Group, Inc. $ 193,029
2,600 Partner Re Ltd. 170,742
250 Penn Treaty American Corp.(a) 2,510
1,700 Philadelphia Consolidated Holding Co.(a) 164,373
5,500 The Phoenix Cos., Inc. 75,020
700 Pico Holdings, Inc.(a) 22,582
1,600 Platinum Underwriters Holdings Ltd. 49,712
1,700 Presidential Life Corp. 32,368
2,300 ProAssurance Corp.(a) 111,872
4,000 Protective Life Corp. 175,080
1,000 RLI Corp. 49,870
200 RTW, Inc.(a) 1,900
5,244 Radian Group, Inc. 307,246
3,300 Reinsurance Group of America, Inc. 157,608
5,500 Renaissance Re Holdings Ltd. 242,605
3,600 Republic Cos. Group, Inc. 55,728
400 SCPIE Holdings, Inc.(a) 8,320
1,300 Safety Insurance Group, Inc. 52,481
700 Scottish Annuity & Life Holdings, Ltd. 17,185
2,200 Selective Insurance Group 116,820
3,200 Stancorp Financial Group, Inc. 159,840
1,625 State Auto Financial Corp. 59,248
1,662 Sterling Financial Corp. 32,908
900 Stewart Information Services Corp. 43,803
3,100 Tower Group, Inc. 68,138
4,131 Transatlantic Holdings, Inc. 277,603
900 Triad Guaranty, Inc.(a) 39,591
3,700 UICI 131,387
1,200 USI Holdings Corp.(a) 16,524
300 Unico American Corp.(a) 2,805
1,400 United Fire & Casualty Co. 56,602
3,900 Unitrin, Inc. 175,695
3,500 Universal American Financial Corp.(a) 52,780
2,100 Vesta Insurance Group, Inc.(a) 2,100
7,627 W.R. Berkley Corp. 363,198
1,500 WellCare Health Plans, Inc.(a) 61,275
2,336 WellPoint, Inc.(a) 186,385
1,650 Zenith National Insurance Corp. 76,098
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10,837,095
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INTERNATIONAL OIL - 0.3%
1,700 ATP Oil & Gas Corp.(a) 62,917
15,889 GlobalSantaFe Corp. 765,055
6,200 Sulphco, Inc.(a) 70,060
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898,032
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LIQUOR - 0.0%
600 Boston Beer Co., Inc. Class A(a) 15,000
1,475 Central European Distribution Corp.(a) 59,207
2,300 National Beverage Corp.(a) 22,471
100 Pyramid Breweries, Inc.(a) 255
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96,933
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MATERIAL SERVICES - 0.0%
3 Polymer Group, Inc. Class B(a) 69
MEDIA - 2.7%
1,500 ACCO Brands Corp.(a) 36,750
1,000 Acme Communications, Inc.(a) 3,550
650 America's Car Mart, Inc.(a) 10,738
1,400 Banta Corp. 69,720
400 Beasley Broadcasting Group, Inc. Class A 5,404
6,680 Belo Corp. Class A 143,019
8,100 Blockbuster, Inc. Class A 30,375
8,600 CNET Networks, Inc.(a) 126,334
50 CTN Media Group, Inc.(a) -
18,100 Cablevision Systems Corp. Class A(a) 424,807
600 Cadmus Communications Corp. 12,078
1,600 Carmike Cinemas, Inc. 40,576
45,400 Charter Communications, Inc. Class A(a)(f) 55,388
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DECEMBER 31, 2005
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HELD INDUSTRY++/ISSUE VALUE
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6,500 Citadel Broadcasting Corp. $ 87,360
500 Consolidated Graphics, Inc.(a) 23,670
29 Cross Media Marketing Corp.(a) -
6,500 Crown Media Holdings, Inc. Class A(a) 59,605
3,365 Cumulus Media, Inc. Class A(a) 41,760
87,245 The DIRECTV Group, Inc.(a) 1,231,899
100 Daily Journal Corp.(a) 4,200
9,200 Dex Media, Inc. 249,228
5,100 DreamWorks Animation SKG, Inc. Class A(a) 125,256
13,665 EchoStar Communications Corp. Class A(a) 371,278
4,000 Emmis Communications Corp. Class A(a) 79,640
2,700 Entercom Communications Corp.(a) 80,109
3,900 Entravision Communications Corp. Class A(a) 27,768
7,580 Gartner, Inc. Class A(a) 97,782
2,220 Gaylord Entertainment Co.(a) 96,770
1,200 Gray Television, Inc. 11,784
4,980 Hollinger International, Inc. Class A 44,621
80 iBEAM Broadcasting Corp.(a) -
20 Intraware, Inc.(a) 136
3,700 John Wiley & Sons, Inc. Class A 144,448
4,900 Journal Communications, Inc. Class A 68,355
1,300 Journal Register Co. 19,435
2,600 Lee Enterprises, Inc. 95,966
24,896 Liberty Global, Inc.(a) 560,160
4,496 Liberty Global, Inc. Series C(a) 95,315
400 Lifeline Systems, Inc.(a) 14,624
3,000 Lin TV Corp. Class A(a) 33,420
1 Lynch Interactive Corp.(a) 2,174
3,600 Martha Stewart Living Omnimedia, Inc. Class A(a)(f) 62,748
2,900 McClatchy Co. Class A 171,390
1,300 Media General, Inc. Class A 65,910
8,800 Mediacom Communications Corp. Class A(a) 48,312
1,600 Navarre Corp.(a)(f) 8,848
1,400 Network Equipment Technologies, Inc.(a) 6,160
2,500 Nexstar Broadcasting Group, Inc. Class A(a) 12,525
10,600 Palatin Technologies, Inc.(a) 34,556
5,900 PanAmSat Holding Corp. 144,550
1,700 Penton Media, Inc.(a) 901
1,500 Playboy Enterprises, Inc. Class B(a) 20,835
15,534 Primedia, Inc.(a) 25,010
5,000 Radio One, Inc. Class A(a) 51,350
3,300 Raindance Communications, Inc.(a) 6,732
5,600 The Reader's Digest Association, Inc. Class A 85,232
9,100 Regal Entertainment Group Series A(f) 173,082
1,900 Regent Communications, Inc.(a) 8,816
1,500 Rewards Network, Inc.(a) 9,600
425 Saga Communications, Inc. Class A(a) 4,620
1,000 Salem Communications Corp. Class A(a) 17,490
2,210 Scholastic Corp.(a) 63,007
5,200 Sinclair Broadcast Group, Inc. Class A 47,840
3,230 Source Interlink Cos., Inc.(a) 35,918
8,800 Spanish Broadcasting System Class A(a) 44,968
1,550 The Sportsman's Guide, Inc.(a) 36,968
800 Thomas Nelson, Inc. 19,720
7,065 TiVo, Inc.(a)(f) 36,173
500 United Capital Corp.(a) 12,335
9,900 Univercell Holdings, Inc.(a) 111
2,900 Valassis Communications, Inc.(a) 84,303
2,200 ValueVision Media, Inc. Class A(a) 27,720
2,100 WPT Enterprises, Inc.(a)(f) 12,474
525 Washington Post Class B 401,625
6,200 Westwood One, Inc. 101,060
4,500 WorldSpace, Inc. Class A(a) 65,295
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DECEMBER 31, 2005
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12,175 XM Satellite Radio Holdings, Inc. Class A(a) $ 332,134
2,400 Young Broadcasting, Inc. Class A(a) 6,240
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6,912,060
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MISCELLANEOUS - 0.0%
2,300 Coinstar, Inc.(a) 52,509
1,400 Gerber Scientific, Inc.(a) 13,398
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65,907
------------
MISCELLANEOUS FINANCE - 8.9%
1,000 1st Source Corp. 25,150
740 ACE Cash Express, Inc.(a) 17,279
4,950 AG Edwards, Inc. 231,957
300 ASB Financial Corp. 6,450
2,900 Aames Investment Corp. 18,734
2,000 Accredited Home Lenders Holding Co.(a) 99,160
3,900 Advance America, Cash Advance Centers, Inc. 48,360
1,700 Advanta Corp. 51,221
1,800 Affiliated Managers Group(a) 144,450
400 Agree Realty Corp. 11,560
5,400 Alliance Capital Management Holding LP 305,046
1,500 Amcore Financial, Inc. 45,615
900 Ameralia, Inc.(a) 324
8,300 American Financial Realty Trust 99,600
2,344 American Home Mortgage Investment Corp. 76,344
8,750 AmeriCredit Corp.(a) 224,263
26,480 Ameritrade Holding Corp.(a) 635,520
100 Ampal American Israel Class A(a) 394
1,600 Anchor Bancorp Wisconsin, Inc. 48,544
1,200 Ashford Hospitality Trust, Inc. 12,588
1,100 Asset Acceptance Capital Corp.(a) 24,706
1,500 Asta Funding, Inc. 41,010
6,750 Astoria Financial Corp. 198,450
74 Atlantic Coast Federal Corp. 1,040
300 Atlantic Realty Trust Inc. 6,600
2,800 Atlantis Plastics, Inc. 20,300
300 BNP Residential Properties, Inc. 4,800
3,101 BOK Financial Corp. 140,878
1,700 BP Prudhoe Bay Royalty Trust 113,220
900 Bank of the Ozarks, Inc. 33,210
2,835 BankUnited Financial Corp. Class A 75,326
600 Banner Corp. 18,720
2,300 Bay View Capital Corp.(a) 40,940
79 Berkshire Hathaway, Inc. Class A(a) 7,000,980
476 Berkshire Hathaway, Inc. Class B(a) 1,397,298
300 Berkshire Hills Bancorp, Inc. 10,050
4,100 BlackRock, Inc. 444,768
3,037 CVB Financial Corp. 61,681
2,400 Calamos Asset Management, Inc. Class A 75,480
500 Camco Financial Corp. 7,125
540 Capital Corp. of the West 17,523
1,500 Capital Lease Funding, Inc. 15,795
583 Capital One Financial Corp. 50,357
7,000 CapitalSource, Inc.(a) 156,800
412 Cascade Financial Corp. 7,387
1,700 Cash America International, Inc. 39,423
2,922 Cathay General Bancorp 105,017
2,700 Cbot Holdings, Inc. Class A(a) 253,152
1,876 Central Pacific Financial Corp. 67,386
2,800 Cenveo, Inc.(a) 36,848
1,700 Ceres Group, Inc.(a) 8,789
500 Charter Financial Corp. 17,855
3,400 CharterMac 72,012
1,960 Chicago Mercantile Exchange Holdings, Inc. 720,280
500 Citizens First Bancorp, Inc. 11,790
1,190 Citizens, Inc.(a)(f) 6,485
692 Coastal Financial Corp. 8,823
700 Cohen & Steers, Inc. 13,041
100 Collegiate Funding Services LLC(a) 1,975
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DECEMBER 31, 2005
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---------------------------------------------------------------------------------
3,722 Commercial Capital Bancorp, Inc. $ 63,721
2,000 CompuCredit Corp.(a) 76,960
2,200 Corrections Corp. of America(a) 98,934
5,680 Covanta Holding Corp.(a) 85,541
1,056 Cross Timbers Royalty Trust 51,638
3,100 Deerfield Triarc Capital Corp. 42,470
3,700 Dime Community Bancshares, Inc. 54,057
1,800 Downey Financial Corp. 123,102
4,900 ECC Capital Corp. 11,074
629 ESB Financial Corp. 7,057
300 Eastern Virginia Bankshares, Inc. 6,150
7,600 Eaton Vance Corp. 207,936
1,300 Encore Capital Group, Inc.(a) 22,555
2,500 ePlus, Inc.(a) 34,580
3,400 eSpeed, Inc. Class A(a) 26,214
1,700 Extra Space Storage, Inc. 26,180
2,200 Ezcorp, Inc.(a) 33,616
900 The FINOVA Group, Inc.(a) 54
1,450 Fidelity Bankshares, Inc. 47,415
1,000 Financial Federal Corp. 44,450
2,400 First Albany Cos., Inc. 16,680
1,000 First Community Bancorp, Inc. 54,370
400 First Defiance Financial Corp. 10,836
800 First Financial Corp. 21,600
1,400 First Financial Holdings, Inc. 43,008
600 First Indiana Corp. 20,628
3,300 The First Marblehead Corp.(f) 108,438
615 First Place Financial Corp. 14,791
900 FirstFed Financial Corp.(a) 49,068
3,600 Flagstar Bancorp, Inc. 51,840
750 Flushing Financial Corp. 11,678
500 Foothill Independent Bancorp 12,560
1,300 Franklin Street Properties Corp. 27,235
9,710 Friedman Billings Ramsey Group, Inc. Class A 96,129
1,100 GAMCO Investors, Inc. Class A 47,883
900 GFI Group, Inc.(a) 42,687
1,355 Giant Industries, Inc.(a) 70,406
1,371 Glacier Bancorp, Inc. 41,199
710 Greater Delaware Valley Savings Bank 17,750
1,100 Greenhill & Co., Inc. 61,776
900 HMN Financial, Inc. 26,550
300 Heartland Payment Systems, Inc.(a) 6,498
420 Heritage Financial Corp. 10,256
3,400 Hugoton Royalty Trust 128,894
1,000 IBERIABANK Corp. 51,010
200 ITC Holdings Corp. 5,618
900 ITLA Capital Corp.(a) 43,965
4,868 Independence Community Bank Corp. 193,406
242 Independence Federal Savings Bank(a) 2,904
1,304 Independent Bank Corp. 35,508
4,400 IndyMac Bancorp, Inc. 171,688
800 InnSuites Hospitality Trust 984
3,656 International Bancshares Corp. 107,340
2,100 International Securities Exchange, Inc.(a) 57,792
300 Interpool, Inc. 5,664
3,000 Investment Technology Group, Inc.(a) 106,320
3,900 Investors Financial Services Corp. 143,637
1,500 iPayment, Inc.(a) 62,280
1,800 Jackson Hewitt Tax Service, Inc. 49,878
3,300 Jefferies Group, Inc. New Shares 148,434
6,000 John D Oil & Gas Co. 3,600
4,400 KKR Financial Corp. 105,556
1,790 KNBT Bancorp, Inc. 29,159
6,900 Knight Capital Group, Inc. Class A(a) 68,241
10,600 La Quinta Corp.(a) 118,084
5,600 LaBranche & Co., Inc.(a) 56,616
2,781 Ladenburg Thalmann Financial Services, Inc.(a) 1,279
5,212 Legg Mason, Inc. 623,824
5,902 Leucadia National Corp. 280,109
1,000 Lincoln Bancorp 16,450
1,000 Lipid Sciences, Inc.(a) 2,420
1,980 MAF Bancorp, Inc. 81,932
1,450 MB Financial, Inc. 51,330
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DECEMBER 31, 2005
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200 Malan Realty Investors, Inc. $ -
300 Maxus Realty Trust, Inc. 4,178
1,200 McGrath RentCorp 33,360
4,000 Medallion Financial Corp. 45,040
2,200 Medical Properties Trust, Inc. 21,516
500 MicroFinancial, Inc. 1,970
105 Mid Penn Bancorp, Inc. 2,683
300 The Midland Company 10,812
5,000 MoneyGram International, Inc. 130,400
400 Monmouth Capital Corp. 2,276
2,200 Monmouth Real Estate Investment Corp. Class A 17,644
4,900 MortgageIT Holdings, Inc. 66,934
300 MutualFirst Financial, Inc. 6,579
400 NASB Financial, Inc. 15,604
3,600 The Nasdaq Stock Market, Inc.(a) 126,648
1,090 Nastech Pharmaceutical Co., Inc.(a) 16,045
1,900 National Financial Partners Corp. 99,845
120 National Security Group, Inc. 1,948
200 National Western Life Insurance Co. Class A 41,382
3,000 Nelnet, Inc. Class A(a) 122,040
15,464 New York Community Bancorp, Inc. 255,465
400 North American Scientific, Inc.(a) 860
1,800 Northwest Bancorp, Inc. 38,268
5,500 Nuveen Investments, Inc. Class A 234,410
1,400 Oak Hill Financial, Inc. 46,508
3,300 Ocwen Financial Corp.(a) 28,710
200 One Liberty Properties, Inc. 3,682
2,900 optionsXpress Holdings, Inc. 71,195
600 PAB Bankshares, Inc. 10,950
2,125 PMC Commercial Trust 26,138
321 PVF Capital Corp. 3,403
1,900 PW Eagle, Inc. 38,950
2,710 Pacific Capital Bancorp 96,422
2,308 Partners Trust Financial Group, Inc. 27,811
1,045 Piper Jaffray Cos.(a) 42,218
1,600 Portfolio Recovery Associates, Inc.(a) 74,304
400 Provident Financial Holdings, Inc. 10,520
2,689 Provident Financial Services, Inc. 49,773
2,900 R-G Financial Corp. Class B 38,280
3,700 Raymond James Financial, Inc. 139,379
450 Renasant Corp. 14,234
1,000 Resource America, Inc. Class A 17,050
100 Riverview Bancorp, Inc. 2,331
300 Roberts Realty Investors, Inc.(a) 2,370
6,760 SEI Investments Co. 250,120
1,210 SWS Group, Inc. 25,337
900 Sanders Morris Harris Group, Inc. 14,751
1,903 Santander BanCorp 47,803
300 Security Bank Corp. 6,987
3,300 Siebert Financial Corp.(a) 7,854
700 Sound Federal Bancorp, Inc. 13,370
3,600 Specialty Underwriters' Alliance, Inc.(a) 22,176
3,000 Sports Resorts International, Inc.(a) 2,250
3,088 Sterling Financial Corp. 77,138
1,132 Student Loan Corp. 236,848
300 Supertel Hospitality, Inc. 1,410
100 TF Financial Corp. 2,845
679 Tarragon Corp.(a) 14,001
1,000 TierOne Corp. 29,410
1,500 Transnational Financial Network, Inc.(a) 525
1,100 United Community Banks, Inc. 29,326
1,000 United PanAm Financial Corp.(a) 25,870
100 Value Line, Inc. 3,493
9,752 W Holding Co., Inc. 80,259
2,560 WFS Financial, Inc.(a) 194,944
1,500 WP Carey & Co. LLC 38,040
800 WP Stewart & Co. Ltd. 18,856
200 WVS Financial Corp. 3,242
3,500 Waddell & Reed Financial, Inc. Class A 73,395
5,161 Washington Federal, Inc. 118,651
500 Washington Group International, Inc. 26,485
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DECEMBER 31, 2005
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151 Wayne Savings Bancshares, Inc. $ 2,288
3,000 Webster Financial Corp. 140,700
2,000 Wellsford Real Properties, Inc. 12,000
402 Wesco Financial Corp. 154,770
742 White Mountains Insurance Group Inc. 414,444
200 Willis Lease Finance Corp.(a) 1,630
2,498 Willow Grove Bancorp, Inc. 37,795
6,356 Winthrop Realty Trust, Inc.(a) 36,102
1,800 World Acceptance Corp.(a) 51,300
1,800 Wright Express Corp.(a) 39,600
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22,407,521
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MOTOR VEHICLES - 0.9%
1,800 AO Smith Corp. 63,180
2,800 ASV, Inc.(a) 69,944
305 Aftermarket Technology Corp.(a) 5,929
600 American Axle & Manufacturing Holdings, Inc. 10,998
1,700 Arctic Cat, Inc. 34,102
3,900 ArvinMeritor, Inc. 56,121
3,200 BorgWarner, Inc. 194,016
2,000 CSK Auto Corp.(a) 30,160
700 Cascade Corp. 32,837
700 Coachmen Industries, Inc. 8,267
4,800 Donaldson Co., Inc. 152,640
3,300 Dura Automotive Systems, Inc. Class A(a) 7,392
3,300 Federal-Mogul Corp.(a)(f) 1,155
3,190 Fleetwood Enterprises, Inc.(a) 39,397
10,490 Gentex Corp. 204,555
1,000 Group 1 Automotive, Inc.(a) 31,430
1,600 Hayes Lemmerz International, Inc.(a) 5,632
1,300 IMPCO Technologies, Inc.(a) 6,669
600 Keystone Automotive Industries, Inc.(a) 18,888
2,100 LKQ Corp.(a) 72,702
200 The Lamson & Sessions Co.(a) 5,004
2,045 Lear Corp. 58,201
1,000 Lithia Motors, Inc. Class A 31,440
800 MarineMax, Inc.(a) 25,256
900 Midas, Inc.(a) 16,524
1,900 Modine Manufacturing Co. 61,921
1,800 Monaco Coach Corp. 23,940
750 Monro Muffler, Inc. 22,740
2,020 Myers Industries, Inc. 29,452
500 Noble International Ltd. 10,420
4,600 Oshkosh Truck Corp. 205,114
2,700 Polaris Industries, Inc. 135,540
447 Proliance International, Inc.(a) 2,365
3,000 Rush Enterprises, Inc. Class B(a) 43,200
1,700 Sonic Automotive, Inc. 37,876
2,700 Spartan Motors, Inc. 27,783
1,200 Standard Motor Products, Inc. 11,076
1,300 Stoneridge, Inc.(a) 8,606
1,510 Superior Industries International, Inc.(a)(f) 33,613
5,000 TRW Automotive Holdings Corp.(a) 131,750
3,685 Thor Industries, Inc. 147,658
1,000 Titan International, Inc. 17,250
2,000 United Auto Group, Inc. 76,400
1,800 Winnebago Industries, Inc. 59,904
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2,269,047
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NON-DURABLES - 1.8%
4,600 AFC Enterprises 69,552
11,044 Activision, Inc.(a) 151,745
3,900 American Greetings Class A 85,683
5,665 Applebees International, Inc. 127,972
1,100 BJ's Restaurants, Inc.(a) 25,146
430 Benihana, Inc. Class A(a) 9,907
600 Blue Nile, Inc.(a) 24,186
2,000 Bob Evans Farms, Inc. 46,120
210 Bowl America, Inc. Class A 2,867
3,700 Boyds Collection Ltd.(a) 333
3,200 Brinker International, Inc. 123,712
2,600 Buca, Inc.(a) 14,170
500 Buffalo Wild Wings, Inc.(a) 16,605
3,500 CBRL Group, Inc. 123,025
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DECEMBER 31, 2005
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2,250 CEC Entertainment, Inc.(a) $ 76,590
2,300 CKE Restaurants, Inc. 31,073
2,000 Cabela's, Inc. Class A(a)(f) 33,200
1,100 California Pizza Kitchen, Inc.(a) 35,167
2,400 Centillium Communications, Inc.(a) 8,400
2,800 Champps Entertainment, Inc.(a) 18,088
2,600 Checkers Drive-In Restaurant(a) 39,416
4,417 The Cheesecake Factory(a) 165,152
2,200 Cheniere Energy, Inc.(a) 81,884
200 Churchill Downs, Inc. 7,346
1,800 Cosi, Inc.(a) 14,940
700 Dave & Buster's, Inc.(a) 12,327
5,200 Denny's Corp.(a) 20,696
2,500 Domino's Pizza, Inc. 60,500
6,000 Dover Motorsports, Inc. 36,660
1,200 Drew Industries, Inc.(a) 33,828
1,200 EMAK Worldwide, Inc.(a) 8,351
2,500 Famous Dave's of America, Inc.(a) 28,175
1,100 Forward Industries, Inc.(a)(f) 9,790
1,300 Gaming Partners International Corp. 14,547
1,500 Handleman Co. 18,630
2,118 Hibbett Sporting Goods, Inc.(a) 60,321
4,300 Hollywood Media Corp.(a) 18,533
900 IHOP Corp. 42,219
6,900 International DisplayWorks, Inc.(a) 40,986
3,000 International Speedway Corp. Class A 143,700
2,800 Isle of Capri Casinos, Inc.(a) 68,208
2,200 Jack in the Box, Inc.(a) 76,846
2,513 Jakks Pacific, Inc.(a) 52,622
300 Kreisler Manufacturing Corp.(a) 2,070
3,600 Krispy Kreme Doughnuts, Inc.(a)(f) 20,664
2,000 Lancaster Colony Corp. 74,100
1,700 Landry's Restaurants, Inc. 45,407
300 Lazare Kaplan International, Inc.(a) 2,361
2,100 Leapfrog Enterprises, Inc.(a) 24,465
800 Lenox Group, Inc.(a) 10,592
1,100 Lodgenet Entertainment Corp.(a) 15,334
1,900 Lone Star Steakhouse & Saloon, Inc. 45,106
1,100 Luby's, Inc.(a) 14,630
6,100 Marvel Entertainment, Inc.(a) 99,918
5,200 Midway Games, Inc.(a)(f) 98,644
1,400 Movado Group, Inc. 25,620
2,505 O'Charleys, Inc.(a) 38,853
4,300 Outback Steakhouse, Inc. 178,923
1,495 PF Chang's China Bistro, Inc.(a) 74,197
1,200 Panera Bread Co. Class A(a) 78,816
1,700 Papa John's International, Inc.(a) 100,827
900 Peco II, Inc.(a) 1,530
5,800 Penn National Gaming, Inc.(a) 191,110
1,170 RC2 Corp.(a) 41,558
2,900 Rare Hospitality International, Inc.(a) 88,131
800 Red Robin Gourmet Burgers, Inc.(a) 40,768
2,500 Regis Corp. 96,425
3,200 Ruby Tuesday, Inc. 82,848
1,300 Russ Berrie & Co., Inc. 14,846
2,600 Ryan's Restaurant Group, Inc.(a) 31,356
3,400 Samsonite Corp.(a) 2,108
20,800 Service Corp. International 170,144
400 Servotronics, Inc.(a) 1,856
4,425 Sonic Corp.(a) 130,538
3,600 Sotheby's Holdings Class A(a) 66,096
800 The Steak n Shake Co.(a) 13,560
510 Steinway Musical Instruments(a) 13,010
5,800 Stewart Enterprises, Inc. Class A 31,378
4,350 THQ, Inc.(a) 103,748
4,400 Take-Two Interactive Software, Inc.(a) 77,880
2,400 The Topps Co., Inc. 17,832
3,300 Traffix, Inc. 16,896
2,400 Trans World Entertainment Corp.(a) 13,680
4,600 Triarc Cos. 68,310
4,555 Tupperware Corp. 102,032
7,100 Warner Music Group Corp. 136,817
2,300 World Wrestling Entertainment, Inc. 33,764
3,090 Youbet.com, Inc.(a) 14,616
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4,632,582
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NON-FERROUS METALS - 0.6%
800 AM Castle & Co.(a) $ 17,472
1,637 Aleris International, Inc.(a) 52,777
1,100 Brush Engineered Materials, Inc.(a) 17,490
2,200 Century Aluminum Co.(a) 57,662
17,500 Coeur d'Alene Mines Corp.(a) 70,000
3,400 Commercial Metals Co. 127,636
1,327 Encore Wire Corp.(a) 30,203
14,700 Hecla Mining Co.(a) 59,682
10,800 Kaiser Aluminum Corp.(a) 324
1,300 Minerals Technologies, Inc. 72,657
2,600 Mueller Industries, Inc. 71,292
2,100 RTI International Metals, Inc.(a) 79,695
1,400 Reliance Steel & Aluminum Co. 85,568
8,800 Southern Copper Corp. 589,424
4,784 Stillwater Mining Co.(a) 55,351
1,900 Titanium Metals Corp.(a)(f) 120,194
900 Wolverine Tube, Inc.(a) 4,554
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1,511,981
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OPTICAL PHOTO & EQUIPMENT - 0.2%
1,000 AugustTechnology Corp.(a) 10,990
1,900 CPI Corp. 35,549
1,100 Cyberoptics Corp.(a)(f) 14,828
2,000 Imation Corp. 92,140
9,230 Ingram Micro, Inc. Class A(a) 183,954
2,095 LaserCard Corp.(a)(f) 31,404
7,200 Lexar Media, Inc.(a) 59,112
200 Meade Instruments Corp.(a) 546
300 Panavision, Inc.(a) 900
1,900 Photronics, Inc.(a) 28,614
100 StockerYale, Inc.(a) 96
1,600 Zomax, Inc.(a) 3,328
1,100 Zygo Corp.(a) 16,159
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477,620
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PAPER & FOREST PRODUCTS - 0.4%
200 Badger Paper Mills, Inc.(a) 12
900 Bowater, Inc. 27,648
200 Buckeye Technologies, Inc.(a) 1,610
604 CSS Industries, Inc. 18,561
1,700 Caraustar Industries, Inc.(a) 14,773
600 Chesapeake Corp. 10,188
700 Deltic Timber Corp. 36,302
480 Kadant, Inc.(a) 8,880
2,900 Longview Fibre Co. 60,349
1,000 Lydall, Inc.(a) 8,150
1,700 Neenah Paper, Inc. 47,600
2,400 P.H. Glatfelter Co. 34,056
5,100 Packaging Corp. of America 117,045
900 Pope & Talbot, Inc. 7,497
300 Potlatch Corp. 15,294
4,371 Rayonier, Inc. 174,184
900 Rock-Tenn Co. Class A 12,285
15,780 Smurfit-Stone Container Corp.(a) 223,603
1,400 Universal Forest Products, Inc. 77,350
3,100 Wausau Paper Corp. 36,735
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932,122
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PRODUCER GOODS - 3.2%
5,023 AGCO Corp.(a) 83,231
500 Aaon, Inc.(a) 8,960
1,800 Actuant Corp. Class A 100,440
4,400 Aeroflex, Inc.(a) 47,300
600 Alamo Group, Inc. 12,300
1,700 Albany International Corp. Class A 61,472
115 Allied Motion Technologies, Inc.(a) 480
900 American Vanguard Corp. 21,150
4,500 Ametek, Inc. 191,430
1,800 Applied Industrial Technologies, Inc. 60,642
2,300 Aptargroup, Inc. 120,060
200 Arotech Corp.(a) 74
1,100 Astec Industries, Inc.(a) 35,926
3,100 BE Aerospace, Inc.(a) 68,200
1,800 Baldor Electric Co. 46,170
1,600 Barnes Group, Inc. 52,800
1,000 Blount International, Inc.(a) 15,930
2,600 Blyth, Inc. 54,470
3,000 Briggs & Stratton Corp. 116,370
600 CIRCOR International, Inc. 15,396
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900 Cantel Medical Corp.(a) $ 16,146
14,400 Capstone Turbine Corp.(a) 43,056
200 Catalyst Semiconductor, Inc.(a) 970
1,100 Cherokee International Corp.(a) 5,071
100 Chicago Rivet & Machine Co. 2,000
3,000 Clarcor, Inc. 89,130
3,485 Cognex Corp. 104,864
2,400 Columbus McKinnon Corp.(a) 52,752
1,900 Comfort Systems USA, Inc. 17,480
1,800 Concord Camera Corp.(a) 2,142
1,900 Cryo-Cell International, Inc.(a) 6,460
600 Culp, Inc.(a) 2,838
1,200 Curtiss-Wright Corp. 65,520
2,000 DiamondCluster International, Inc. Class A(a) 15,880
5,500 Distributed Energy Systems Corp.(a) 41,580
800 Duratek, Inc.(a) 11,944
1,600 Dynamic Materials Corp.(f) 48,960
200 The Eastern Co. 3,902
4,900 Evergreen Solar, Inc.(a)(f) 52,185
2,100 FMC Corp.(a) 111,657
1,600 The Fairchild Corp.(a) 4,080
8,690 Fastenal Co. 340,561
4,220 Fedders Corp. 7,258
4,000 Federal Signal Corp. 60,040
1,600 Flanders Corp.(a) 19,456
2,800 Flowserve Corp.(a) 110,768
1,840 Foster Wheeler Ltd.(a) 67,675
700 Franklin Electric Co., Inc. 27,678
1,500 Gardner Denver, Inc.(a) 73,950
125 The Gorman-Rupp Co. 2,764
4,687 Graco, Inc. 170,982
5,800 GrafTech International Ltd.(a) 36,076
700 HI Shear Technology Corp.(a) 1,960
3,300 HNI Corp. 181,269
200 Hardinge, Inc. 3,450
2,400 Harsco Corp. 162,024
4,690 Herman Miller, Inc. 132,211
1,700 Hexcel Corp.(a) 30,685
3,500 Hubbell, Inc. Class B 157,920
3,800 Hughes Supply, Inc. 136,230
3,150 IDEX Corp. 129,497
100 Ibis Technology Corp.(a) 350
400 Inplay Technologies, Inc.(a) 1,304
500 IntriCon Corp.(a) 2,055
1,900 JLG Industries, Inc. 86,754
4,500 Jacuzzi Brands, Inc.(a) 37,800
3,075 Jarden Corp.(a) 92,711
2,500 Kaydon Corp. 80,350
2,000 Kennametal, Inc. 102,080
2,700 Knoll, Inc. 46,197
2,690 Kos Pharmaceuticals, Inc.(a) 139,154
600 LB Foster Co. Class A(a) 8,924
700 Ladish Co., Inc.(a) 15,645
600 Lawson Products, Inc. 22,644
3,200 Lennox International, Inc. 90,240
782 Libbey, Inc. 7,992
2,295 Lincoln Electric Holdings, Inc. 91,020
1,500 Lindsay Manufacturing Co. 28,845
1,700 Lone Star Technologies(a) 87,822
4,100 MSC Industrial Direct Co. Class A 164,902
1,700 Magnetek, Inc.(a) 5,525
1,700 Manitowoc Co. 85,374
900 Material Sciences Corp.(a) 12,690
1,400 Matthews International Corp. Class A 50,974
2,500 Maverick Tube Corp.(a) 99,650
2,300 Merix Corp.(a) 16,629
5,160 Micrel, Inc.(a) 59,856
500 Middleby Corp.(a) 43,250
4,356 Milacron, Inc.(a) 5,489
900 Modtech Holdings, Inc.(a) 8,406
2,325 Moog, Inc. Class A(a) 65,984
400 NACCO Industries, Inc. Class A 46,860
800 NATCO Group, Inc. Class A(a) 16,368
1,000 NN, Inc. 10,600
2,000 Nordson Corp. 81,020
1,500 Oceaneering International, Inc.(a) 74,670
3,850 Pentair, Inc. 132,902
4,307 Plug Power, Inc.(a) 22,095
1,600 Possis Medical, Inc.(a) 15,920
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7,050 Precision Castparts Corp. $ 365,261
3,140 Presstek, Inc.(a) 28,386
2,600 Raytech Corporation(a) 3,276
2,505 Regal-Beloit Corp. 88,677
800 Research Frontiers, Inc.(a) 4,040
400 Riviera Holdings Corp.(a) 6,556
800 Robbins & Myers, Inc. 16,280
972 Ronson Corp. 1,351
5,400 Roper Industries, Inc. 213,354
470 SI International, Inc.(a) 14,368
2,948 SPX Corp. 134,930
7,200 Safeguard Scientifics, Inc.(a) 13,896
1,600 Sauer-Danfoss, Inc. 30,096
500 Sequa Corp. Class A(a) 34,525
3,400 The Shaw Group, Inc.(a) 98,906
1,800 Sonic Solutions, Inc.(a) 27,198
200 Spectrum Control, Inc.(a) 1,242
700 Standex International Corp. 19,432
6,700 Steelcase, Inc. Class A 106,061
3,000 Stewart & Stevenson Services 63,390
1,500 Sun Hydraulics, Inc. 28,995
2,500 T-3 Energy Services Inc.(a) 24,265
765 TRM Corp.(a) 5,699
1,500 Technology Research Corp. 6,375
1,600 Tecumseh Products Co. Class A 36,656
2,300 Teleflex, Inc. 149,454
500 Tennant Co. 26,000
2,500 Tenneco, Inc.(a) 49,025
3,104 Terex Corp.(a) 184,378
2,500 ThermoGenesis Corp.(a) 11,600
5,400 Timken Co. 172,908
2,700 Trinity Industries, Inc. 118,989
800 Triumph Group, Inc.(a) 29,288
2,500 TurboChef Technologies, Inc.(a)(f) 35,900
100 Twin Disc, Inc. 4,469
2,100 Tyler Technologies, Inc.(a) 18,438
7,540 Valhi, Inc. 139,490
1,100 Valmont Industries, Inc. 36,806
700 Watsco, Inc. 41,867
1,900 Watts Water Technologies, Inc. Class A 57,551
700 Woodhead Industries, Inc. 9,709
600 Woodward Governor Co. 51,606
1,100 X-Rite, Inc. 11,000
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8,146,616
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RAILROADS & SHIPPING - 0.4%
2,700 Alexander & Baldwin, Inc. 146,448
300 American Commercial Lines, Inc.(a) 9,087
4,600 Diamondhead Casino Corp.(a) 7,682
1,800 Florida East Coast Industries, Inc. 76,266
1,600 Freightcar America, Inc. 76,928
2,800 GATX Corp. 101,024
1,600 General Maritime Corp. 59,264
1,300 Genesee & Wyoming, Inc. Class A(a) 48,815
1,900 Greenbrier Cos., Inc. 53,960
100 Hornbeck Offshore Services, Inc.(a) 3,270
300 International Shipholding Corp.(a) 4,665
3,700 Kansas City Southern(a) 90,391
2,100 Maritrans, Inc. 54,642
1,100 Martin Midstream Partners LP 32,670
5,300 OMI Corp. New Shares 96,195
2,300 Overseas Shipholding Group 115,897
2,100 RailAmerica, Inc.(a) 23,079
1,800 SCS Transportation, Inc.(a) 38,250
1,800 Ship Finance International Ltd. 30,420
2,100 Westinghouse Air Brake Technologies Corp. 56,490
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1,125,443
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REAL PROPERTY - 5.6%
4,800 AMB Property Corp. 236,016
1,450 AMLI Residential Properties Trust 55,173
3,200 Acadia Realty Trust 64,160
2,400 Affordable Residential Communities 22,872
200 Alexander's, Inc.(a) 49,100
1,100 Alexandria Real Estate Equities, Inc. 88,550
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2,700 America Retirement Corp.(a) $ 67,851
400 American Land Lease, Inc. 9,468
500 American Mortgage Acceptance Co. 7,295
1,800 American Real Estate Partners LP 69,390
500 American Realty Investors, Inc.(a) 4,010
4,400 Amerivest Properties, Inc. 18,348
7,700 Annaly Mortgage Management, Inc. 84,238
3,200 Anthracite Capital, Inc. 33,696
2,700 Anworth Mortgage Asset Corp. 19,710
4,250 Arden Realty, Inc. 190,528
4,400 Associated Estates Realty Corp. 39,776
4,545 AvalonBay Communities, Inc. 405,641
500 Avatar Holdings, Inc.(a)(f) 27,460
3,235 BRE Properties 147,128
300 BRT Realty Trust 7,155
1,000 Bedford Property Investors 21,940
400 Big 5 Sporting Goods Corp. 8,756
500 BioMed Realty Trust, Inc. 12,200
6,420 Boston Properties, Inc. 475,915
1,000 Boykin Lodging Co.(a) 12,220
2,720 Brandywine Realty Trust 75,915
3,900 CB Richard Ellis Group, Inc.(a) 229,515
4,300 CBL & Associates Properties, Inc. 169,893
400 California Coastal Communities, Inc.(a) 15,692
3,557 Camden Property Trust 206,021
8,600 Capital Title Group, Inc. 47,558
2,500 Capstead Mortgage Corp. 14,525
4,000 CarrAmerica Realty Corp. 138,520
1,100 Cedar Shopping Centers, Inc. 15,477
3,100 Centerpoint Properties Trust 153,388
600 CentraCore Properties Trust 16,122
2,500 Colonial Properties Trust 104,950
3,091 Commercial Net Lease Realty 62,964
2,000 Corporate Office Properties Trust 71,080
2,300 Cousins Properties, Inc. 65,090
7,500 Crescent Real Estate EQT Co. 148,650
900 Criimi MAE, Inc.(a) 17,820
5,883 Developers Diversified Realty Corp. 276,619
8,875 Duke Realty Corp. 296,425
1,200 Eastgroup Properties 54,192
900 Education Realty Trust, Inc. 11,601
1,800 Entertainment Properties Trust 73,350
5,200 Equity Inns, Inc. 70,460
1,600 Equity Lifestyle Properties, Inc. 71,200
2,955 Equity One, Inc. 68,320
1,400 Essex Property Trust, Inc. 129,080
3,340 Federal Realty Investment Trust 202,571
3,500 FelCor Lodging Trust, Inc. 60,235
2,300 Fieldstone Investment Corp. 27,278
1,127 First Acceptance Corp.(a) 11,597
3,000 First Industrial Realty Trust, Inc. 115,500
1,100 First Potomac Realty Trust 29,260
6,100 Forest City Enterprises, Inc. Class A 231,373
1,400 GMH Communities Trust 21,714
15,030 General Growth Properties, Inc. 706,260
1,000 Getty Realty Corp. 26,290
2,400 Gladstone Commercial Corp. 39,576
1,100 Glenborough Realty Trust, Inc. 19,910
2,700 Glimcher Realty Trust 65,664
3,200 Global Signal, Inc. 138,112
1,400 Government Properties Trust, Inc. 13,062
322 Grubb & Ellis Co.(a) 3,993
12,600 HRPT Properties Trust 130,410
8,200 Health Care Property Investors, Inc. 209,592
3,300 Health Care REIT, Inc. 111,870
3,000 Healthcare Realty Trust, Inc. 99,810
100 Heartland Partners LP Class A(a) 99
2,000 Heritage Property Investment Trust 66,800
2,900 Highland Hospitality Corp. 32,045
3,950 Highwoods Properties, Inc. 112,378
2,000 Home Properties, Inc. 81,600
10,424 Homestore, Inc.(a) 53,162
3,805 Hospitality Properties Trust 152,581
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DECEMBER 31, 2005
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20,200 Host Marriott Corp. $ 382,790
5,700 IMPAC Mortgage Holdings, Inc. 53,637
2,100 Inland Real Estate Corp. 31,059
2,500 Innkeepers USA Trust 40,000
2,600 Investors Real Estate Trust 23,998
6,600 iStar Financial, Inc. 235,290
1,900 Jones Lang LaSalle, Inc. 95,665
1,400 Kilroy Realty Corp. 86,660
14,200 Kimco Realty Corp. 455,536
900 LTC Properties, Inc. 18,927
1,700 LaSalle Hotel Properties 62,424
1,700 Lexington Corporate Properties Trust 36,210
4,160 Liberty Property Trust 178,256
4,670 Luminent Mortgage Capital, Inc. 35,072
4,800 MFA Mortgage Investments, Inc. 27,360
3,400 The Macerich Co. 228,276
3,500 Mack-Cali Realty Corp. 151,200
2,500 Maguire Properties, Inc. 77,250
4,700 Meristar Hospitality Corp.(a) 44,180
1,200 Mid-America Apartment Communities, Inc. 58,200
3,400 The Mills Corp. 142,596
1,100 Mission West Properties 10,714
1,600 National Health Investors, Inc. 41,536
600 National Health Realty, Inc. 11,142
4,000 Nationwide Health Properties, Inc. 85,600
3,545 New Century Financial Corp. 127,868
5,900 New Plan Excel Realty Trust 136,762
2,505 Newcastle Investment Corp. 62,249
900 NorthStar Realty Finance Corp. 9,171
1,700 Novastar Financial, Inc.(f) 47,787
3,000 Omega Healthcare Investors, Inc. 37,770
200 Origen Financial, Inc. 1,424
900 Orleans Homebuilders, Inc. 16,515
700 PS Business Parks, Inc. 34,440
2,809 Pan Pacific Retail Properties, Inc. 187,894
800 Parkway Properties, Inc. 32,112
2,099 Pennsylvania Real Estate Investment Trust 78,419
2,400 Post Properties, Inc. 95,880
2,600 Prentiss Properties Trust 105,768
1,500 RAIT Investment Trust 38,880
1,000 Ramco-Gershenson Properties Trust 26,650
1,300 Reading International, Inc. Class A(a) 10,127
5,000 Realty Income Corp. 108,100
4,870 Reckson Associates Realty Corp. 175,223
1,500 Redwood Trust, Inc. 61,890
3,500 Regency Centers Corp. 206,325
2,600 SL Green Realty Corp. 198,614
1,000 Saul Centers, Inc. 36,100
1,500 Saxon Capital Inc. 16,995
3,200 Senior Housing Properties Trust 54,112
2,900 Shurgard Storage Centers, Inc. 164,459
800 Sizeler Property Investors, Inc. 10,280
900 Sovran Self Storage, Inc. 42,273
2,900 Spirit Finance Corp. 32,915
4,500 The St. Joe Co. 302,490
1,600 Stonemor Partners LP 32,800
3,300 Strategic Hotel Capital, Inc. 67,914
200 Stratus Properties, Inc.(a) 4,600
1,000 Sun Communities, Inc. 31,400
1,795 Sunset Financial Resources, Inc. 15,222
3,200 Sunstone Hotel Investors, Inc. 85,024
2,700 Tanger Factory Outlet Centers, Inc. 77,598
2,900 Taubman Centers, Inc. 100,775
5,455 Thornburg Mortgage, Inc. 142,921
2,200 Toreador Resources Corp.(a) 46,354
1,000 The Town & Country Trust 33,810
2,100 Trammell Crow Co.(a) 53,865
100 Transcontinental Realty Investors, Inc.(a) 1,665
7,900 Trizec Properties, Inc. 181,068
3,400 Trustreet Properties, Inc. 49,708
1,300 U-Store-It Trust 27,365
7,565 United Dominion Realty Trust, Inc. 177,324
1,500 Universal Health Realty Income Trust 47,010
1,300 Urstadt Biddle Properties, Inc. 20,423
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DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
900 Urstadt Biddle Properties, Inc. Class A $ 14,589
6,500 Ventas, Inc. 208,130
2,000 Washington Real Estate Investment Trust 60,700
5,375 Weingarten Realty Investors 203,229
1,300 Winston Hotels, Inc. 12,870
------------
14,315,199
------------
RETAIL - 3.1%
600 1-800 Contacts, Inc.(a) 7,026
3,670 1-800-FLOWERS.COM, Inc. Class A(a) 23,561
3,966 99 Cents Only Stores(a) 41,484
1,100 AC Moore Arts & Crafts, Inc.(a) 16,005
2,275 Aaron Rents, Inc. 47,957
3,800 Abercrombie & Fitch Co. Class A 247,684
600 Able Energy, Inc.(a)(f) 3,894
4,400 Advance Auto Parts(a) 191,224
5,200 Alloy, Inc.(a) 15,028
6,010 American Eagle Outfitters 138,110
2,375 AnnTaylor Stores Corp.(a) 81,985
200 Arden Group, Inc. Class A 18,198
400 Asbury Automotive Group, Inc.(a) 6,584
2,100 BJ's Wholesale Club, Inc.(a) 62,076
4,000 Barnes & Noble, Inc. 170,680
151 Blair Corp. 5,880
400 Bluegreen Corp.(a) 6,320
2,100 The Bombay Co., Inc.(a) 6,216
1,000 The Bon-Ton Stores, Inc. 19,130
4,500 Borders Group, Inc. 97,515
2,598 Brightpoint, Inc.(a) 72,043
2,200 Build-A-Bear Workshop, Inc.(a)(f) 65,208
2,700 Burlington Coat Factory Warehouse Corp. 108,567
6,000 Carmax, Inc.(a) 166,080
3,000 Casey's General Stores, Inc. 74,400
3,900 Casual Male Retail Group, Inc.(a) 23,907
1,950 The Cato Corp. Class A 41,828
1,100 Central Garden and Pet Co.(a) 50,534
1,500 Charlotte Russe Holding, Inc.(a)$ 31,245
6,855 Charming Shoppes, Inc.(a) 90,486
8,100 Chico's FAS, Inc.(a) 355,833
1,605 The Children's Place Retail Stores, Inc.(a) 79,319
2,238 Christopher & Banks Corp. 42,030
5,300 Claire's Stores, Inc. 154,866
3,580 Coldwater Creek, Inc.(a) 109,297
2,200 Cost Plus, Inc.(a) 37,730
200 DEB Shops, Inc. 5,946
2,500 DSW, Inc. Class A(a) 65,550
6,605 Dollar Tree Stores, Inc.(a) 158,124
2,953 Dress Barn, Inc.(a) 114,015
3,400 drugstore.com, Inc.(a) 9,690
120 eCost.com, Inc.(a) 139
2,200 Escala Group, Inc.(a)(f) 44,616
2,400 The Finish Line, Inc. Class A 41,808
200 Flanigan's Enterprises, Inc. 2,080
9,000 Foot Locker, Inc. 212,310
2,250 Fred's, Inc. 36,608
2,200 GameStop Corp. Class A(a)(f) 70,004
1,400 Gander Mountain Co.(a)(f) 8,288
1,300 Genesco, Inc.(a) 50,427
2,400 Great Atlantic & Pacific Tea Co.(a) 76,272
1,500 Guitar Center, Inc.(a) 75,015
2,900 Gymboree Corp.(a) 67,860
2,850 HOT Topic, Inc.(a) 40,613
4,500 Hancock Fabrics, Inc. 18,315
3,800 Insight Enterprises, Inc.(a) 74,518
1,365 Jo-Ann Stores, Inc.(a) 16,107
1,100 Kirkland's, Inc.(a) 6,567
2,700 Linens 'N Things, Inc.(a) 71,820
2,200 Longs Drug Stores Corp. 80,058
3,400 Men's Wearhouse, Inc.(a) 100,096
7,800 Michaels Stores, Inc. 275,886
2,295 Movie Gallery, Inc. 12,875
6,310 O'Reilly Automotive, Inc.(a) 201,983
1,200 Overstock.com, Inc.(a)(f) 33,780
1,500 PC Connection, Inc.(a) 8,070
3,400 PEP Boys-Manny, Moe & Jack 50,626
8,900 PETsMART, Inc. 228,374
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DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
4,325 Pacific Sunwear of California, Inc.(a) $ 107,779
3,700 Pathmark Stores, Inc.(a) 36,963
2,400 Payless Shoesource, Inc.(a) 60,240
3,400 Petco Animal Supplies, Inc.(a) 74,630
4,900 Pier 1 Imports, Inc. 42,777
750 Pricesmart, Inc.(a) 6,270
700 Provide Commerce, Inc.(a) 23,177
4,800 Rent-A-Center, Inc.(a) 90,528
2,000 Retail Ventures, Inc.(a) 24,880
27,600 Rite Aid Corp.(a) 96,048
8,700 Ross Stores, Inc. 251,430
2,600 Ruddick Corp. 55,328
200 Ruth's Chris Steak House, Inc.(a) 3,620
8,000 Saks, Inc.(a) 134,880
1,800 School Specialty, Inc.(a) 65,592
900 Sharper Image Corp.(a) 8,766
700 Shoe Carnival, Inc.(a) 15,344
2,350 Stamps.com, Inc.(a) 53,956
1,700 Stein Mart, Inc. 30,855
700 Systemax, Inc.(a) 4,368
3,400 Talbots, Inc. 94,588
2,200 Texas Roadhouse, Inc. Class A(a) 34,210
2,900 Too, Inc.(a) 81,809
2,700 Tractor Supply Co.(a) 142,938
2,400 Tuesday Morning Corp. 50,208
4,200 Under Armour, Inc. Class A(a) 160,902
400 Unifirst Corp. 12,440
1,900 United Stationers, Inc.(a) 92,150
7,100 Urban Outfitters, Inc.(a) 179,701
500 VSI Holdings, Inc.(a) -
1,700 Weis Markets, Inc. 73,168
2,400 West Marine, Inc.(a) 33,552
4,675 The Wet Seal, Inc. Class A(a)(f) 20,757
900 Whitehall Jewellers, Inc.(a) 810
2,945 Whole Foods Market, Inc. 227,914
4,800 Williams-Sonoma, Inc.(a) 207,120
2,300 Yankee Candle Co., Inc. 58,880
3,900 Zale Corp.(a) 98,085
1,500 Zumiez, Inc.(a) 64,830
------------
7,789,863
------------
SOAPS & COSMETICS - 0.3%
1,700 Chattem, Inc.(a) 61,863
3,600 Church & Dwight Co., Inc. 118,908
1,600 Elizabeth Arden, Inc.(a) 32,096
7,080 The Estee Lauder Cos., Inc. Class A 237,038
1,200 Inter Parfums, Inc. 21,552
4,300 Nu Skin Enterprises, Inc. Class A 75,594
1,700 Parlux Fragrances, Inc.(a)(f) 51,901
3,600 Playtex Products, Inc.(a) 49,212
15,187 Revlon, Inc. Class A(a) 47,080
------------
695,244
------------
STEEL - 0.4%
6,500 AK Steel Holding Corp.(a) 51,675
200 Ampco-Pittsburgh Corp. 2,902
1,400 Carpenter Technology Corp. 98,658
1,300 Chaparral Steel Co.(a) 39,325
1,300 Cleveland-Cliffs, Inc. 115,141
1,400 Cold Metal Products, Inc.(a) 1
600 Friedman Industries 3,534
1,700 Gibraltar Industries, Inc. 38,998
600 NS Group, Inc.(a) 25,086
300 Northwest Pipe Co.(a) 8,040
1,905 Olympic Steel, Inc.(a) 47,339
500 Omega Flex, Inc.(a) 8,695
2,100 Oregon Steel Mills, Inc.(a) 61,782
1,500 Quanex Corp. 74,955
600 Roanoke Electric Steel Corp. 14,160
3,100 Ryerson, Inc. 75,392
2,750 Schnitzer Steel Industries, Inc. Class A 84,123
400 Shiloh Industries, Inc.(a) 5,304
2,800 Steel Dynamics, Inc. 99,428
2,000 Steel Technologies, Inc. 55,980
4,700 Worthington Industries, Inc. 90,287
------------
1,000,805
------------
TECHNOLOGY - 0.0%
53 Splinex Technology, Inc.(a) 13
------------
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MASTER EXTENDED MARKET INDEX SERIES
DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
TELEPHONE - 2.6%
2,280 Adtran, Inc. $ 67,807
9,908 Alamosa Holdings, Inc.(a) 184,388
6,800 Alaska Communications Systems Group, Inc. 69,088
25,353 American Tower Corp. Class A(a) 687,066
3,305 Applied Digital Solutions, Inc.(a) 8,626
600 Applied Innovation, Inc.(a) 1,986
700 Applied Signal Technology, Inc. 15,890
200 Atlantic Tele-Network Inc. 8,380
2,200 Autobytel, Inc.(a) 10,868
2,900 Boston Communications Group(a) 3,277
800 CT Communications, Inc. 9,712
2,000 Carrier Access Corp.(a) 9,880
3,155 CellStar Corp.(a) 5,995
4,600 Centennial Communications Corp.(a) 71,392
12,400 Cincinnati Bell, Inc.(a) 43,524
1,900 Commonwealth Telephone Enterprises, Inc. 64,163
12,386 Covad Communications Group, Inc.(a)(f) 12,138
13,440 Crown Castle International Corp.(a) 361,670
3,699 D&E Communications, Inc. 30,813
2,000 Ditech Communications Corp.(a) 16,700
11,200 Dobson Communications Corp. Class A(a) 85,232
815 Equinix, Inc.(a) 33,219
7,200 Extreme Networks(a) 34,200
2,100 FairPoint Communications, Inc. 21,756
1 Fibernet Telecom Group, Inc.(a) 2
24,500 Finisar Corp.(a) 50,960
4,500 Fusion Telecommunications International, Inc.(a) 12,060
3,400 General Communication Class A(a) 35,122
2,195 Global Crossing Ltd.(a)(f) 35,186
6 GoAmerica, Inc.(a) 23
100 Hector Communications Corp. 2,830
800 HickoryTech Corp. 6,312
1,600 ID Systems, Inc.(a) 38,160
3,300 IDT Corp. Class B(a) 38,610
3,000 InPhonic, Inc.(a)(f) 26,070
2,500 Inter-Tel, Inc. 48,925
3,200 Interdigital Communications Corp.(a) 58,624
300 Iowa Telecommunications Services, Inc. 4,647
1,400 j2 Global Communications, Inc.(a) 59,836
3,600 Leap Wireless International, Inc.(a) 136,368
39,780 Level 3 Communications, Inc.(a)(f) 114,169
164,845 Liberty Media Corp. Class A(a) 1,297,330
20,500 MCI, Inc. 404,465
300 NET2000 Communications, Inc.(a) -
8,800 NII Holdings, Inc.(a) 384,384
5,422 NTL, Inc.(a) 369,130
14,665 Nextel Partners, Inc. Class A(a) 409,740
600 North Pittsburgh Systems, Inc. 11,322
2,886 Novatel Wireless, Inc.(a) 34,949
247 Optical Cable Corp.(a) 1,348
2,080 Pegasus Communications Corp. Class A(a) 8,216
3,420 Price Communications Corp.(a) 50,855
29,100 Primus Telecommunications GP(a) 21,825
1,200 RCN Corp.(a) 28,140
14,400 Sonus Networks, Inc.(a) 53,568
390 Stratos International, Inc.(a) 2,379
4,200 SunCom Wireless Holdings, Inc. Class A(a) 11,634
4,800 Sunrise Telecom, Inc. 8,160
700 SureWest Communications 18,459
2,700 Syniverse Holdings, Inc.(a) 56,430
2,933 Talk America Holdings, Inc.(a) 25,312
2,900 Telephone & Data Systems, Inc. 104,487
3,400 Telephone & Data Systems, Inc. (Special Shares) 117,674
200 Telular Corp.(a) 657
5,800 Terremark Worldwide, Inc.(a) 26,970
7,000 Time Warner Telecom, Inc. Class A(a) 68,950
4 Trinsic, Inc.(a) 3
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MASTER EXTENDED MARKET INDEX SERIES
DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
175 Tut Systems, Inc.(a) $ 523
5,500 US Cellular Corp.(a) 271,700
500 US LEC Corp. Class A(a) 855
1,600 USA Mobility, Inc. 44,352
5,400 Ubiquitel, Inc.(a) 53,406
1,700 Ulticom, Inc.(a) 16,677
6,000 Utstarcom, Inc.(a) 48,360
3,800 Valor Communications Group, Inc. 43,320
1,500 Warwick Valley Telephone Co. 28,635
------------
6,549,889
------------
TIRES & RUBBER GOODS - 0.1%
200 American Biltrite, Inc.(a) 2,170
1,100 Bandag, Inc. 46,937
1,900 Carlisle Cos., Inc. 131,385
1,000 SRI/Surgical Express, Inc.(a) 6,000
------------
186,492
------------
TOBACCO - 0.2%
5,100 Alliance One International, Inc. 19,890
4,100 Loews Corp. - Carolina Group 180,359
1,000 M&F Worldwide Corp.(a) 16,320
900 Schweitzer-Mauduit International, Inc. 22,302
1,845 Universal Corp. 79,999
4,160 Vector Group Ltd. 75,587
------------
394,457
------------
TRAVEL & RECREATION - 2.1%
4,038 All-American SportPark, Inc.(a) 1,010
3,000 Alliance Gaming Corp.(a) 39,060
1,200 Ambassadors Group, Inc. 27,468
1,300 Amerco, Inc.(a) 93,665
100 American Classic Voyages Co.(a) -
3,800 Ameristar Casinos, Inc. 86,260
2,200 Aztar Corp.(a) 66,858
4,800 Bally Total Fitness Holding Corp.(a) 30,144
5,000 Boyd Gaming Corp. 238,300
600 Buckhead America Corp.(a) 6
2,600 CKX, Inc.(a) 33,800
4,200 Callaway Golf Co. 58,128
2,400 Cedar Fair, LP 68,496
4,800 Choice Hotels International, Inc. 200,448
3,100 Dick's Sporting Goods, Inc.(a) 103,044
1,500 Dollar Thrifty Automotive Group(a) 54,105
2,989 Dover Downs Gaming & Entertainment, Inc. 42,294
5,600 Empire Resorts, Inc.(a)(f) 42,280
20,777 Expedia, Inc.(a) 497,817
1,000 Full House Resorts, Inc.(a) 3,100
300 Great Wolf Resorts, Inc.(a) 3,093
800 Hudson Hotels Corp.(a) -
12,000 Jameson Inns, Inc.(a)(f) 25,800
1,392 K2, Inc.(a) 14,073
1,500 Kerzner International Ltd.(a) 103,125
20,600 Las Vegas Sands Corp.(a) 813,082
1,100 Life Time Fitness, Inc.(a) 41,899
17,600 MGM Mirage(a) 645,392
3,400 MTR Gaming Group, Inc.(a) 35,394
900 Marcus Corp. 21,150
600 Marine Products Corp. 6,294
2,300 Mikohn Gaming Corp.(a) 22,701
1,100 Monarch Casino & Resort, Inc.(a) 24,860
2,200 Multimedia Games, Inc.(a) 20,350
1,900 Orient Express Hotels Ltd. "A" 59,888
3,400 Pinnacle Entertainment, Inc.(a) 84,014
2,300 President Casinos, Inc.(a) 437
300 Red Lion Hotels Corp.(a) 2,685
1,200 Rent-Way, Inc.(a) 7,668
13,900 Royal Caribbean Cruises Ltd. 626,334
3,350 SCP Pool Corp. 124,687
5,500 Scientific Games Corp. Class A(a) 150,040
2,643 Shuffle Master, Inc.(a) 66,445
6,900 Silverleaf Resorts, Inc.(a) 22,494
5,300 Six Flags, Inc.(a)(f) 40,863
200 Sonesta International Hotels Class A 5,400
2,300 Speedway Motorsports, Inc. 79,741
1,592 The Sports Authority, Inc.(a) 49,559
3,600 Station Casinos, Inc. 244,080
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MASTER EXTENDED MARKET INDEX SERIES
DECEMBER 31, 2005
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SHARES
HELD INDUSTRY++/ISSUE VALUE
---------------------------------------------------------------------------------
1,200 Stellent, Inc.(a) $ 11,916
3,800 Sunterra Corp.(a) 54,036
1,400 Travelzoo, Inc.(a)(f) 30,800
1,700 Vail Resorts, Inc.(a) 56,151
1,800 WMS Industries, Inc.(a) 45,162
------------
5,225,896
------------
TRUCKING & FREIGHT - 1.1%
1,500 Arkansas Best Corp. 65,520
300 BancTrust Financial Group, Inc. 6,030
9,600 CH Robinson Worldwide, Inc. 355,488
2,700 CNF, Inc. 150,903
1,700 Celadon Group, Inc.(a) 48,960
1,100 Central Freight Lines, Inc.(a) 1,958
900 Covenant Transport, Inc. Class A(a) 12,582
5,705 Expeditors International Washington, Inc. 385,145
1,900 Forward Air Corp. 69,635
800 Frozen Food Express Industries(a) 8,824
2,000 HUB Group, Inc. Class A(a) 70,700
4,581 Heartland Express, Inc. 92,948
6,800 Hythiam, Inc.(a) 41,820
9,400 JB Hunt Transport Services, Inc. 212,816
4,500 Knight Transportation, Inc. 93,285
6,610 Laidlaw International, Inc. 153,550
4,400 Landstar System, Inc. 183,656
1,237 Marten Transport Ltd.(a) 22,538
2,062 Old Dominion Freight Line(a) 55,633
400 PAM Transportation Services(a) 7,116
2,200 Pacer International, Inc. 57,332
1,100 Quality Distribution, Inc.(a) 8,767
3,300 Sirva, Inc.(a) 26,400
4,670 Swift Transportation Co., Inc.(a) 94,801
1,700 US Xpress Enterprises, Inc. Class A(a) 29,546
1,900 USA Truck, Inc.(a) 55,347
1,400 UTI Worldwide, Inc. 129,976
400 Universal Truckload Services, Inc.(a) 9,200
1,800 Wabash National Corp. 34,290
4,400 Werner Enterprises, Inc. 86,680
3,229 Yellow Roadway Corp.(a) 144,046
------------
2,715,492
------------
TOTAL COMMON STOCKS
(Cost - $173,036,247) - 92.6% 234,227,926
------------
PREFERRED STOCKS
TELEPHONE - 0.0%
50 ATSI Communications, Inc. Series H(a)(g) 11
------------
TOTAL PREFERRED STOCKS
(Cost - $200) - 0.0% 11
------------
RIGHTS
APPAREL - 0.0%
300 dELiA*s, Inc.(h) 300
------------
TOTAL RIGHTS
(Cost - $0) - 0.0% 300
------------
WARRANTS(d)
TECHNOLOGY - 0.0%
121 Optical Cable Corp. (expires 10/24/2007) 70
------------
TELEPHONE - 0.0%
46 Spectrasite, Inc. (expires 2/10/2010) 5,750
------------
TOTAL WARRANTS
(Cost - $253) - 0.0% 5,820
------------
BENEFICIAL
INTEREST/
SHARES HELD
-----------
OTHER INTERESTS(e)
ENERGY & UTILITIES - 0.0%
600 PetroCorp Incorporated (Escrow Shares) -
------------
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MASTER EXTENDED MARKET INDEX SERIES
DECEMBER 31, 2005
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BENEFICIAL
INTEREST INDUSTRY++/ISSUE VALUE
----------------------------------------------------------------------------------------------------
TELEPHONE - 0.0%
$ 600 High Speed Access Corp. (Liquidating Shares) $ -
16,016 McLeodUSA, Inc. (Litigation Trust Certificates) -
------------
-
------------
TOTAL OTHER INTERESTS
(Cost - $764) - 0.0% -
------------
SHORT-TERM SECURITIES
17,606,466 Merrill Lynch Liquidity LLC Cash Sweep Series I(b) 17,606,466
14,827,134 Merrill Lynch Liquidity Series, LLC Money Market Series(b)(c) 14,827,134
------------
TOTAL SHORT-TERM SECURITIES
(Cost - $32,433,600) - 12.8% 32,433,600
------------
TOTAL INVESTMENTS
(Cost - $205,471,064(+)) - 105.4% 266,667,657
------------
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.4%) (13,712,974)
------------
NET ASSETS - 100.0% $252,954,683
============
(+) The cost and unrealized appreciation (depreciation) of investments as of
December 31, 2005, as computed for federal income tax purposes, were as
follows:
ˇ Download Table
Aggregate cost $206,346,499
============
Gross unrealized appreciation $ 75,377,753
Gross unrealized depreciation (15,056,595)
------------
Net unrealized appreciation $ 60,321,158
============
(a) Non-income-producing security.
(b) Investments in companies considered to be an affiliate of the Series,
for purposes of Section 2(a)(3)of the Investment Company Act of 1940,
were as follows:
ˇ Enlarge/Download Table
NET INTEREST
AFFILIATE ACTIVITY INCOME
-----------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $7,654,431 $379,000
Merrill Lynch Liquidity Series, LLC Money Market Series 9,171,714 $ 81,572
(c) Security was purchased with the cash proceeds from securities loans.
(d) Warrants entitle the Series to purchase a predetermined number of shares of
common stock and are non-income-producing. The purchase price and number of
shares are subject to adjustment under certain conditions until the
expiration date.
(e) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income-producing.
(f) Security, or a portion of security, is on loan.
(g) Convertible security.
(h) The rights may be exercised until 1/27/2006.
Financial futures contracts purchased as of December 31, 2005, were as follows:
ˇ Download Table
NUMBER OF EXPIRATION FACE UNREALIZED
CONTRACTS ISSUE DATE VALUE DEPRECIATION
---------------------------------------------------------------------------
19 Russell
2000 Index March 2006 $ 6,563,656 $(119,806)
33 S&P
MidCap 400
Index March 2006 12,331,515 (68,715)
---------
TOTAL UNREALIZED DEPRECIATION - NET $(188,521)
=========
For Series compliance purposes, the Series' industry classifications refer to
any one or more of the industry sub-classifications used by one or more widely
recognized market indexes or ratings group indexes, and/or as defined by Series'
management. This definition may not apply for purposes of this report, which may
combine industry sub-classifications for reporting ease. Industries are shown as
a percent of net assets. These industry classifications are unaudited.
SEE NOTES TO FINANCIAL STATEMENTS.
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MASTER EXTENDED MARKET INDEX SERIES
PORTFOLIO INFORMATION AS OF DECEMBER 31, 2005 (UNAUDITED)
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INDUSTRY PERCENT OF TOTAL
REPRESENTATION INVESTMENTS
------------------------------------------------------------
Business Services 12.7%
Drugs & Medicine 9.2
Miscellaneous Finance 8.4
Real Property 5.4
Electronics 4.9
Banks 4.4
Insurance 4.1
Energy 3.2
Producer Goods 3.1
Domestic Oil 2.9
Retail 2.9
Food & Agriculture 2.7
Energy & Utilities 2.6
Media 2.6
Telephone 2.5
Travel & Recreation 2.0
Business Machines 1.7
Chemicals 1.7
Construction 1.7
Non-Durables 1.7
Trucking & Freight 1.0
Motor Vehicles 0.9
Apparel 0.8
Non-Ferrous Metals 0.6
Aerospace 0.5
Consumer Durables 0.5
Air Transport 0.4
Railroads & Shipping 0.4
Steel 0.4
Containers 0.3
International Oil 0.3
Paper & Forest Products 0.3
Soaps & Cosmetics 0.3
Gold 0.2
Optical Photo & Equipment 0.2
Finance 0.1
Tires & Rubber Goods 0.1
Tobacco 0.1
Liquor 0.0
Material Services 0.0
Miscellaneous 0.0
Technology 0.0
Other* 12.2
* Includes portfolio holdings in short-term investments.
For Series compliance purposes, the Series' industry classifications refer
to any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as defined
by Series' management. This definition may not apply for purposes of this
report, which may combine industry sub-classifications for reporting ease.
SEE NOTES TO FINANCIAL STATEMENTS.
81
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MASTER EXTENDED MARKET INDEX SERIES
AS OF DECEMBER 31, 2005
ˇ Enlarge/Download Table
ASSETS
Investments in unaffiliated securities, at value (including
securities loaned of $14,333,530) (identified
cost - $173,037,464) $234,234,057
Investments in affiliated securities, at value (identified
cost - $32,433,600) 32,433,600
Cash on deposit for financial futures contracts 769,500
Cash 46,389
Receivables:
Contributions $660,470
Dividends 269,732
Securities sold 241,397
Securities lending 8,232 1,179,831
--------
Prepaid expenses and other assets 1,952
------------
Total assets 268,665,329
------------
LIABILITIES
Collateral on securities loaned, at value 14,827,134
Payables:
Withdrawals 744,067
Securities purchased 61,959
Variation margin 57,954
Other affiliates 2,491
Investment adviser 1,959 868,430
--------
Accrued expenses 15,082
------------
Total liabilities 15,710,646
------------
Net assets $252,954,683
============
NET ASSETS CONSIST OF:
Investors' capital $191,946,611
Unrealized appreciation - net 61,008,072
------------
Net assets $252,954,683
============
SEE NOTES TO FINANCIAL STATEMENTS.
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MASTER EXTENDED MARKET INDEX SERIES
FOR THE YEAR ENDED DECEMBER 31, 2005
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INVESTMENT INCOME
Dividends (net of $2,077 foreign withholding tax) $ 2,561,539
Interest from affiliates 379,000
Securities lending - net 81,572
Other 3,643
-----------
Total income 3,025,754
-----------
EXPENSES
Professional fees 