SEC Info - Vanguard Valley Forge Funds - ‘N-30D’ for 6/30/02

SEC Info℠

Home

My Interests

Help

Please Sign In

Database maintenance is being performed. If something doesn’t work, please try again soon.

Vanguard Valley Forge Funds – ‘N-30D’ for 6/30/02

On: Wednesday, 8/28/02, at 2:41pm ET · For: 6/30/02 · Accession #: 932471-2-778 · File #s: 811-07023, 811-58431 · Correction: This Filing was Corrected by the SEC on 4/20/04. `®`

  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 8/28/02  Vanguard Valley Forge Funds       N-30D®      6/30/02    1:216K                                   Vanguard Horizon Funds

Annual or Semi-Annual Report Mailed to Shareholders — Rule 30d-1
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       Balanced Index Fund Semi Annual 2002                 116±   618K 

N-30D 1st “Page” of 67 TOC ↑Top Previous Next ↓Bottom Just 1st
 
VANGUARD(R) BALANCED INDEX FUND 

SEMIANNUAL REPORT * JUNE 30, 2002 

BALANCED                                                                        

                                                      [PHOTOS OF SHIPS ON WATER]
                                                    [THE VANGUARD GROUP(R) LOGO]

N-30D 2nd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 2nd
What You Can Control                                                            

As an investor,  you cannot control how the financial markets perform. But there
are vital variables that you can control. You can decide how much to invest. You
can limit the risk in your portfolio by diversifying your holdings.  And you can
control the investment costs you incur.                                         

Costs may seem the least dramatic of the three. But costs have a powerful impact
on how your wealth accumulates; they reduce, dollar for dollar, the returns that
you can derive from an investment.                                              

     Every mutual fund has operating  expenses--to pay for investment  managers,
telephone  support,  and so on. These costs appear in the fund's  expense ratio,
which reflects the  percentage of average net assets (your money)  consumed each
year by operating  costs.  In 2001, the average mutual fund had an expense ratio
of 1.34% (or $13.40 per $1,000 in assets), according to data from Lipper Inc.   

     For Vanguard[R]  funds,  the average expense ratio was less than one-fourth
that amount (0.27%,  or $2.70 per $1,000 in assets).  Our average  expense ratio
has been less than the industry  average for 25 years,  and it's an advantage we
aim to maintain.                                                                

     Under  our  unique  corporate  structure,  shareholders  like  you  own the
Vanguard  funds,  which in turn own The Vanguard  Group.  No  middleman  makes a
profit from managing the operation.  You bear all of the investment  risk.  It's
only right that you reap as much of the potential reward as possible.           

================================================================================
CONTENTS                                                                        

Letter from the Chairman                                  1                     
Fund Profile                                              5                     
Glossary of Investment Terms                              7                     
Performance Summary                                       9                     
Financial Statements                                     10                     
Advantages of Vanguard.com                               64                     
--------------------------------------------------------------------------------
SUMMARY                                                                         
*    Vanguard  Balanced Index Fund declined -5.9% during the first six months of
2002.                                                                 
*    The fund held up a bit  better  than its  average  competitor  (-6.8%)  and
narrowly trailed its composite index (-5.7%).                         
*    The broad stock market  continued to slump amid  concerns  about  corporate
     accounting irregularities and weak profits. Bonds generally performed well.

N-30D 3rd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 3rd
                                                      [PHOTO OF JOHN J. BRENNAN]
LETTER FROM THE CHAIRMAN                                                        

Fellow Shareholder,                                                             

VANGUARD[R]  BALANCED  INDEX FUND  recorded a total  return of -5.9%  during the
first half of 2002,  a period of  sharply  falling  prices  for most  stocks and
modestly rising prices for most bonds.  Your fund withstood a difficult period a
bit better than its  average  competitor,  but  narrowly  trailed its  composite
index.                                                                          
     The table below presents the six-month  total return  (capital  change plus
reinvested  distributions)  for each of the fund's  share  classes,  the average
balanced fund, and the unmanaged Balanced Composite Index, which mirrors the 60%
stock/40% bond  composition of the fund. As of June 30, the annualized yield for
the fund's Investor Shares was 3.2%, up from 3.0% when the year began.  Detailed
figures for each share class,  including  net asset values and income  dividends
paid during the half-year, are presented in the table that follows this letter. 

INVESTORS' ENTHUSIASM--AND MOST STOCKS--DECLINED                                
The broad U.S.  stock  market,  as measured by the  Wilshire  5000 Total  Market
Index,  fell  -11.8%  during  the six  months  ended June 30. A number of forces
drained  investors'  enthusiasm.  Among these were the slow pace of the economic
recovery,  a lackluster rebound in corporate profits,  allegations of wrongdoing
by corporate  executives,  and a series of government  warnings about  potential
terrorist  attacks.  The relentless decline in stock prices was also due in part
to the cascade of disclosures about overstated corporate financial results.     
     There were few pockets of strong equity  performance amid all the gloom. As
they did in 2000 and 2001,  small-capitalization  value  stocks,  which  command
modest  prices  relative to their  earnings or book values,  bucked the downward
trend,   recording  solid  gains  during  the  period.   Their   growth-oriented

=================================================                               
TOTAL RETURNS                   SIX MONTHS ENDED                                
   June 30, 2002
-------------------------------------------------                               
VANGUARD BALANCED INDEX FUND                                                    
Investor Shares                            -5.9%                              
Admiral Shares                             -5.9                               
Institutional Shares                       -5.9                               
Average Balanced Fund*                      -6.8                                
Balanced Composite Index**                  -5.7                                
-------------------------------------------------                               
*Derived from data provided by Lipper Inc.                                      
**Made up of unmanaged  benchmarks  weighted 60% in stocks and 40% in bonds. For
stocks:  the Wilshire 5000 Total Market Index;  for bonds:  the Lehman  Brothers
Aggregate Bond Index. (Returns for both component indexes appear in the table on
page 2.)                                                                        

--------------------------------------------------------------------------------
ADMIRAL[TM]SHARES                                                               
A lower-cost  class of shares  available to many  longtime  shareholders  and to
those with significant investments in the fund.                                 
INSTITUTIONAL SHARES                                                            
This class of shares also carries low  expenses  and is available  for a minimum
investment of $10 million.                                                      
--------------------------------------------------------------------------------

                                                                               1

N-30D 4th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 4th
--------------------------------------------------------------------------------
Market Barometer                                              Total Returns     
                                           Periods Ended June 30, 2002
                                          --------------------------------------
                                        Six          One        Five
                                     Months         Year      Years*
--------------------------------------------------------------------------------
STOCKS                                                                          
Russell 1000 Index (Large-caps)           -12.8%        -17.9%        3.9%    
Russell 2000 Index (Small-caps)            -4.7          -8.6         4.4     
Wilshire 5000 Index (Entire market)       -11.8         -16.6         3.6     
MSCI EAFE Index (International)            -1.6          -9.5        -1.5     
--------------------------------------------------------------------------------
BONDS                                                                           
Lehman Aggregate Bond Index                 3.8%          8.6%        7.6%    
(Broad taxable market)                                                      
Lehman 10 Year Municipal Bond Index         5.3           7.2         6.4     
Salomon Smith Barney 3-Month                                                  
U.S. Treasury Bill Index                   0.9           2.5         4.7    
================================================================================
CPI                                                                             
Consumer Price Index                        1.8%          1.1%        2.3%    
================================================================================
*Annualized.                                                                    

counterparts declined, however, bringing the overall return of small-cap stocks,
as measured by the Russell  2000 Index,  to -4.7%.  Mid-cap  stocks  delivered a
similar  result,  with value topping growth.  The large-cap  Russell 1000 Index,
which  accounts for roughly 90% of the market's total  capitalization,  returned
-12.8%.  Here,  too,  value stocks (-4.8%) held up far better than growth stocks
(-20.8%).                                                                       

THE ECONOMY GREW MODESTLY; INFLATION KEPT A LOW PROFILE                         
The  economy  turned in a mixed  performance.  Real  (inflation-adjusted)  gross
domestic  product  grew at a brisk  annual  rate of 5.0% in the  first  quarter.
Economists  noted,  however,  that much of the  advance  was due to a slowing in
inventory  reductions.  Growth  slowed to a rate of 1.1% in the second  quarter,
according to an early estimate.                                                 
     The Federal Reserve Board, which lowered its target for short-term interest
rates 11 times in 2001 to spur the  recovery,  kept that target at 1.75%  during
the first half of 2002.  With  rates at a 40-year  low and  little  evidence  of
inflation,  the  housing  market  continued  to  flourish,  making it one of the
economy's bright spots.                                                         

MOST BONDS PERFORMED SOLIDLY, WITH TREASURIES IN THE LEAD                       
Bonds generally  performed well during the period. The Lehman Brothers Aggregate
Bond Index,  a broad measure of the taxable  investment-grade  U.S. bond market,
returned 3.8%, as modest price increases supplemented interest income.          
     Many fixed income  investors,  however,  saw their  interest  payments drop
further.  Interest  rates  on all  but the  longest-term  Treasury  bonds  fell,
reducing  income  but  pushing  prices  higher.  The yield of the  3-month  U.S.
Treasury bill slid just 4 basis points to 1.68% as of June 30. But the yields of
3-year and 10-year  Treasury notes declined much further (49 basis points and 25
basis points,  respectively),  to 3.30% and 4.80%.  Anxiety over the economy and
corporate  accounting  scandals  took a toll  on  corporate  bonds--their  total
returns lagged those of  Treasuries,  despite their higher  coupons.  High-yield
("junk") bonds fared poorly, as investors shied away from riskier credits.      

2                                                                               

N-30D 5th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 5th
DIVERSIFICATION CONTINUED TO BUOY THE FUND                                      
We know that the shareholders of the Balanced Index Fund are disappointed by its
-5.9% return for the six months ended June 30, especially in light of the fund's
declines in 2001 (-3.0%) and 2000 (-2.0%). But we are not discouraged, and we do
not think that  long-term  investors in the fund should be either.  Indeed,  the
bear market in stocks--now  three months into its third  year--has  demonstrated
the value of the fund's chief strengths: balance and diversification.           
     In a  half-year  when the  overall  stock  market fell nearly -12% and many
market  sectors  did  even  worse,  the fund  declined  just  half as much.  Our
investment  in the bond  market  (which  accounts  for roughly 40% of the fund's
assets   at  all   times)   dampened   the   effect   of  the   stock   market's
volatility--exactly  as intended.  The fund's fixed income  holdings  produced a
3.0% return during the six months as we collected the interest  payments on them
and benefited from the rise in bond prices.                                     
     Looking  forward,  bear in mind that the higher bond prices that  accompany
falling  interest  rates reduce the future  returns you should  anticipate  from
bonds.  That is because lower interest rates diminish the income that bonds will
generate on  reinvested  dividends  over the long haul.  On the other hand,  the
steep  decline in stock prices has raised the expected  returns on stocks in the
future.                                                                         
     A prime  attribute of the Balanced  Index Fund, and one that you can expect
to remain  constant,  is its low operating  costs.  Investor  Shares in our fund
carry an annualized  expense ratio  (operating  costs as a percentage of average
net assets) of 0.22%, or $2.20 per $1,000 invested--a  fraction of the 1.31%, or
$13.10 per $1,000 invested,  charged by the average balanced fund,  according to
Lipper Inc. Our Admiral and Institutional  Shares have even lower expense ratios
(0.15% and 0.10%,  respectively),  thanks to the economies of scale  provided by
sizable accounts and those with long tenures.                                   
     It's important not to overlook the impact of expenses on returns. Operating
costs reduce--dollar for dollar--the share of a fund's gross return that ends up
in shareholders'  hands. As we note on the inside front cover of this report, at
Vanguard our view on costs is simple: Since you bear all of the investment risk,
it's only right that you reap as much of the potential reward as possible.      
     During the  half-year,  the fund's  lower costs  accounted  for most of our
0.9-percentage-point performance advantage over our average competitor.         

TO MEET LONG-TERM GOALS, KEEP YOUR FOCUS                                        
The first half of 2002 was a troubling  period for all investors,  with the most
severe bear market in equities  since  1973-1974  continuing to erode  portfolio
values.  Of course,  investors  who held all of their  assets in stocks were hit
hardest.  Investors  who  maintained  carefully  constructed,   well-diversified
portfolios--the kind                                                            
--------------------------------------------------------------------------------
Our  investment  in the bond market  dampened  the effect of the stock  market's
volatility--exactly as intended.                                                
--------------------------------------------------------------------------------

3                                                                               

N-30D 6th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 6th
Vanguard  has  long  advocated,  with a  suitable  mix  of  stocks,  bonds,  and
short-term  investments--did  not escape unscathed during the six-month  period,
but they should not have been devastated by it either.                          
     The challenge we all face as investors is to look ahead,  and not backward.
If your  investment  objective  is to meet a  long-term  financial  goal,  think
long-term.  Do not alter your investment plan in response to past events that no
one can change or  because of  "expert"  prognostications  about the  short-term
direction of the markets.                                                       
We thank you for your  confidence in our approach and for entrusting  your money
to us.                                                                          

Sincerely,                                                                      

/S/ JOHN J. BRENNAN                                                             

JOHN J. BRENNAN                                                                 
CHAIRMAN AND CHIEF EXECUTIVE OFFICER                                            

July 15, 2002                                                                   

                                                        [Enlarge/Download Table]

                                                                                                
----------------------------------------------------------------------------------------------- 
YOUR FUND'S PERFORMANCE AT A GLANCE: December 31, 2001-June 30, 2002                            

                                                                            Distributions       
                                                                             Per Share          
                                                                     -------------------------- 
                                  Starting               Ending            Income       Capital 
                               Share Price          Share Price         Dividends         Gains 
------------------------------------------------------------------------------------------------
Vanguard Balanced Index Fund                                                                    
 Investor Shares                    $17.86               $16.57            $0.240         $0.00 
 Admiral Shares                      17.86                16.57             0.247          0.00 
 Institutional Shares                17.86                16.57             0.250          0.00 
------------------------------------------------------------------------------------------------

4                                                                               

N-30D 7th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 7th
FUND PROFILE                                                 As of June 30, 2002
for BALANCED INDEX FUND                                                     

This Profile provides a snapshot of the fund's  characteristics,  compared where
appropriate with unmanaged market indexes. Key terms are defined on pages 7-8.  

================================                                                
TOTAL FUND CHARACTERISTICS                                                      

Yield                                                                           
Investor Shares           3.2%                                                
Admiral Shares            3.3%                                                
Institutional Shares      3.3%                                                
Turnover Rate              31%*                                                 
Expense Ratio                                                                   
Investor Shares         0.22%*                                                
Admiral Shares          0.15%*                                                
Institutional Shares    0.10%*                                                
Cash Investments           0.6%                                                 
--------------------------------                                                

===========================================                                     
TEN LARGEST STOCKS (% of equities)                                              

Microsoft Corp.                       2.6%                                      
(software)                                                                    
General Electric Co.                  2.5                                       
(conglomerate)                                                                
ExxonMobil Corp.                      2.5                                       
(oil)                                                                         
Wal-Mart Stores, Inc.                 2.2                                       
(retail)                                                                      
Pfizer, Inc.                          1.9                                       
(pharmaceuticals)                                                             
Citigroup, Inc.                       1.8                                       
(banking)                                                                     
American International Group, Inc.    1.6                                       
(insurance)                                                                   
Johnson & Johnson                     1.4                                       
(pharmaceuticals)                                                             
The Coca-Cola Co.                     1.2                                       
(beverage)                                                                    
International Business Machines Corp. 1.1                                       
(computer hardware)                                                           
-------------------------------------------                                     
Top Ten                              18.8%                                      
-------------------------------------------                                     
Top Ten as % of Total Net Assets 1    0.8%                                      
-------------------------------------------                                     

===========================================                                     
TOTAL FUND VOLATILITY MEASURES                                                  

Wilshire    
FUND            5000                
-------------------------------------------                                     
R-Squared             0.98            1.00                                      
Beta                  0.58            1.00                                      
-------------------------------------------                                     

============================================                                    
SECTOR DIVERSIFICATION (% common stocks)                                        

Wilshire    
Fund          5000              

Auto & Transportation    2.5%          2.5%                                     
Consumer Discretionary  15.4          15.4                                      
Consumer Staples         7.6           7.6                                      
Financial Services      22.5          22.5                                      
Health Care             13.3          13.3                                      
Integrated Oils          4.1           4.1                                      
Other Energy             2.0           2.0                                      
Materials & Processing   4.0           4.0                                      
Producer Durables        4.2           4.2                                      
Technology              12.9          12.9                                      
Utilities                6.8           6.8                                      
Other                    4.7           4.7                                      
-------------------------------------------                                     

==========================                                                      
FUND ASSET ALLOCATION                                                           

STOCKS                 57%                                                      
BONDS                  42%                                                      
CASH INVESTMENTS        1%                                                      
--------------------------                                                      

*Annualized.                                                                    

                                                                               5

N-30D 8th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 8th
FUND PROFILE (continued)                                                        

================================================================                
EQUITY CHARACTERISTICS                                                          

                                      Wilshire
                     Fund                 5000
----------------------------------------------------------------                
Number of Stocks                     3,376                5,838                 
Median Market Cap                   $28.2B               $28.2B                 
Price/Earnings Ratio                 26.9x                26.9x                 
Price/Book Ratio                      2.9x                 2.9x                 
Dividend Yield                        1.5%                 1.5%                 
Return on Equity                     21.3%                21.3%                 
Earnings Growth Rate                  9.6%                 9.6%                 
Foreign Holdings                      0.3%                 0.3%                 
----------------------------------------------------------------                

=============================                                                   
EQUITY INVESTMENT FOCUS                                                         

Market Cap             Large                                                    
Style                  Blend                                                    
-----------------------------                                                   

================================                                                
FIXED INCOME INVESTMENT FOCUS                                                   
Credit Quality   Treasury/Agency                                                
Average Maturity          Medium                                                
---------------------------------                                               

================================================================                
Fixed Income Characteristics                                                    
                                      Lehman
                    Fund              Index*
---------------------------------------------------------------                 
Number of Bonds                        584                6,873                 
Yield to Maturity                     5.3%                 5.3%                 
Average Coupon                        6.7%                 6.4%                 
Average Maturity                 7.9 years            7.8 years                 
Average Quality                        Aa1                  Aaa                 
Average Duration                 4.3 years            4.3 years                 
-----------------------------------------------------------------               

===========================================                                     
DISTRIBUTION BY CREDIT QUALITY (% of bonds)                                     

Treasury/Agency**                     55.6%                                     
Aaa                                    5.1                                      
Aa                                     5.0                                      
A                                     14.0                                      
Baa                                   19.1                                      
Ba                                     1.2                                      
B                                      0.0                                      
Not Rated                              0.0                                      
-------------------------------------------                                     
Total                                100.0%                                     
-------------------------------------------                                     

===========================================                                     
DISTRIBUTION BY ISSUER (% of bonds)                                             

Asset-Backed                           4.8%                                     
Commercial Mortgage-Backed             0.2                                      
Finance                               13.6                                      
Foreign                                1.3                                      
Government Mortgage-Backed            37.0                                      
Industrial                            18.9                                      
Treasury/Agency                       18.6                                      
Utilities                              5.6                                      
-------------------------------------------                                     
Total                                100.0%                                     
-------------------------------------------                                     

                                                           [PICTURE OF COMPUTER]
                                                               Visit our website
                                                                www.vanguard.com
                                                           for regularly updated
                                                               fund information.

*Lehman Aggregate Bond Index.                                                   
**Includes government mortgage-backed bonds.                                    

6                                                                               

N-30D 9th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 9th
GLOSSARY OF INVESTMENT TERMS                                                    

AVERAGE COUPON.  The average  interest rate paid on the fixed income  securities
held by a fund. It is expressed as a percentage of face value.                  
--------------------------------------------------------------------------------
AVERAGE DURATION.  An estimate of how much the value of the bonds held by a fund
will fluctuate in response to a change in interest  rates.  To see how the value
could change,  multiply the average duration by the change in rates. If interest
rates  rise by one  percentage  point,  the value of the bonds in a fund with an
average  duration of five years would decline by about 5%. If rates decreased by
a percentage point, the value would rise by 5%.                                 
--------------------------------------------------------------------------------
AVERAGE  MATURITY.  The average  length of time until bonds held by a fund reach
maturity (or are called) and are repaid.The prices of longer-term bonds are more
sensitive than those of shorter-term bonds to changes in interest rates.        
--------------------------------------------------------------------------------
AVERAGE QUALITY.  An indicator of credit risk, this figure is the average of the
ratings  assigned to a fund's fixed income holdings by  credit-rating  agencies.
The agencies make their  judgment after  appraising an issuer's  ability to meet
its  obligations.  Quality is graded on a scale,  with Aaa or AAA indicating the
most creditworthy bond issuers.  U.S. Treasury securities are considered to have
the highest credit quality.                                                     
--------------------------------------------------------------------------------
BETA. A measure of the magnitude of a fund's past  share-price  fluctuations  in
relation  to the ups and downs of the  overall  market  (or  appropriate  market
index).  The market (or index) is assigned a beta of 1.00, so a fund with a beta
of 1.20  would have seen its share  price  rise or fall by 12% when the  overall
market rose or fell by 10%.                                                     
--------------------------------------------------------------------------------
CASH  INVESTMENTS.  The  percentage  of a fund's  net assets  invested  in "cash
equivalents"--highly  liquid,  short-term,   interest-bearing  securities.  This
figure does not include cash invested in futures  contracts to simulate stock or
bond investment.                                                                
--------------------------------------------------------------------------------
DIVIDEND  YIELD.  The current,  annualized  rate of dividends paid on a share of
stock,  divided by its current  share price.  For a fund,  the weighted  average
yield for stocks it holds.  The index yield is based on the  current  annualized
rate of dividends paid on stocks in the index.                                  
--------------------------------------------------------------------------------
EARNINGS  GROWTH RATE.  The average  annual rate of growth in earnings  over the
past five years for the stocks now in a fund.                                   
--------------------------------------------------------------------------------
Expense  Ratio.  The  percentage of a fund's  average net assets used to pay its
annual  administrative  and advisory  expenses.  These expenses  directly reduce
returns to investors.                                                           
--------------------------------------------------------------------------------
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks
or American Depositary Receipts of companies based outside the United States.   
--------------------------------------------------------------------------------
MEDIAN  MARKET  CAP.  An  indicator  of the  size of  companies  in which a fund
invests;  the  midpoint  of  market   capitalization   (market  price  x  shares
outstanding) of a fund's stocks, weighted by the proportion of the fund's assets
invested  in each  stock.  Stocks  representing  half of the fund's  assets have
market capitalizations above the median, and the rest are below it.             
--------------------------------------------------------------------------------
PRICE/BOOK  RATIO.  The share price of a stock divided by its net worth, or book
value,  per share.  For a fund,  the weighted  average  price/book  ratio of the
stocks it holds.                                                                
--------------------------------------------------------------------------------
                                                                               7

N-30D 10th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 10th
PRICE/EARNINGS  RATIO.  The ratio of a stock's  current  price to its  per-share
earnings over the past year. For a fund, the weighted  average P/E of the stocks
it holds. P/E is an indicator of market expectations about corporate  prospects;
the higher the P/E, the greater the expectations for a company's future growth. 
--------------------------------------------------------------------------------
R-SQUARED.  A measure of how much of a fund's past  returns can be  explained by
the returns from the overall market (or its benchmark  index). If a fund's total
returns  were  precisely  synchronized  with the overall  market's  return,  its
R-squared  would be 1.00.  If the fund's  returns  bore no  relationship  to the
market's returns, its R-squared would be 0.                                     
--------------------------------------------------------------------------------
RETURN ON  EQUITY.  The annual  average  rate of return  generated  by a company
during the past five years for each dollar of  shareholder's  equity (net income
divided by  shareholder's  equity).  For a fund, the weighted  average return on
equity for the companies whose stocks it holds.                                 
--------------------------------------------------------------------------------
TURNOVER  RATE. An indication of the fund's  trading  activity.  Funds with high
turnover rates incur higher  transaction costs and are more likely to distribute
capital gains (which are taxable to investors).                                 
--------------------------------------------------------------------------------
YIELD.  A snapshot of a fund's  income from interest and  dividends.  The yield,
expressed  as a  percentage  of the fund's net asset  value,  is based on income
earned over the past 30 days and is  annualized,  or  projected  forward for the
coming year.                                                                    
--------------------------------------------------------------------------------
YIELD TO  MATURITY.  The rate of return an investor  would  receive if the fixed
income securities held by a fund were held to their maturity dates.             
--------------------------------------------------------------------------------
8                                                                               

N-30D 11th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 11th
PERFORMANCE SUMMARY                                          As of June 30, 2002
for BALANCED INDEX FUND                                                       

All of the data on this page represent past performance, which cannot be used to
predict  future returns that may be achieved by the fund.  Note,  too, that both
share  price and  return  can  fluctuate  widely.  An  investor's  shares,  when
redeemed,  could be worth more or less than their  original  cost.  The  returns
shown do not reflect taxes that a shareholder would pay on fund distributions or
on the redemption of fund shares.                                               

===============================================================                 
Fiscal-Year Total Returns (%) November 9, 1992-June 30, 2002                    
---------------------------------------------------------------                 

  Balanced Index Fund            Composite
  Investor Shares                   Index*

Fiscal       Capital        Income           Total      Total                   
Year          Return        Return          Return     Return                   
---------------------------------------------------------------                 
1992            2.9%          0.8%            3.7%       3.8%                   
1993            6.1           3.9            10.0       10.7                    
1994           -5.2           3.6            -1.6       -1.2                    
1995           24.0           4.6            28.6       29.0                    
1996           10.0           3.9            13.9       14.0                    
1997           18.2           4.0            22.2       22.5                    
1998           14.3           3.6            17.9       18.1                    
1999           10.2           3.4            13.6       13.5                    
2000           -5.1           3.1            -2.0       -2.2                    
2001           -6.3           3.3            -3.0       -3.1                    
2002**         -7.2           1.3            -5.9       -5.7                    
---------------------------------------------------------------                 
*60% Wilshire 5000 Index, 40% Lehman Aggregate Bond Index.                    
**Six months ended June 30, 2002.                                               
Note:  See Financial  Highlights  tables on pages 58-60 for dividend and capital
gains information.                                                              

================================================================================
AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2002                    
                                                     Since Inception
                                       One     Five  ---------------------------
                  Inception Date    Year    Years  Capital   Income    Total
--------------------------------------------------------------------------------
Balanced Index Fund                                                             
Investor Shares*       11/9/1992    -7.27%    5.56%    5.87%    3.68%    9.55%
Admiral Shares         11/13/2000   -7.20    -5.54**     --       --       -- 
Institutional Shares   12/1/2000    -7.16    -4.56**     --       --       -- 
--------------------------------------------------------------------------------
*Total  return  figures do not reflect the $10 annual  account  maintenance  fee
applied on balances under $10,000.                                            
**Return since inception.                                                       
                                                                               9

N-30D 12th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 12th
FINANCIAL STATEMENTS                                                            
June 30, 2002 (unaudited)                                                   

STATEMENT OF NET ASSETS                                                         

This Statement  provides a detailed list of the fund's holdings,  including each
security's market value on the last day of the reporting period.  Securities are
grouped and subtotaled by asset type (common stocks,  bonds,  etc.), with common
stocks listed in descending market-value order and bonds divided into government
and  industry  categories.  Other  assets  are added  to,  and  liabilities  are
subtracted  from,  the value of Total  Investments  to calculate  the fund's Net
Assets. Finally, Net Assets are divided by the outstanding shares of the fund to
arrive at its share price, or Net Asset Value (NAV) Per Share.                  
     At the end of the Statement of Net Assets, you will find a table displaying
the  composition  of the fund's net assets.  Because all income and any realized
gains must be  distributed  to  shareholders  each year,  the bulk of net assets
consists of Paid-in Capital (money invested by shareholders).  The amounts shown
for  Undistributed  Net  Investment  Income and  Accumulated  Net Realized Gains
usually   approximate   the  sums  the  fund  had  available  to  distribute  to
shareholders as income  dividends or capital gains as of the statement date, but
may  differ  because  certain   investments  or  transactions   may  be  treated
differently  for  financial  statement  and tax purposes.  Any  Accumulated  Net
Realized Losses,  and any cumulative excess of distributions  over net income or
net realized gains, will appear as negative  balances.  Unrealized  Appreciation
(Depreciation)  is the  difference  between  the  market  value  of  the  fund's
investments  and their  cost,  and  reflects  the gains  (losses)  that would be
realized if the fund were to sell all of its investments at their statement-date
values.                                                                         

                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
COMMON STOCKS (57.4%)(1)                                                                                    
------------------------------------------------------------------------------------------------------------
* Microsoft Corp.                                                                    1,189,065    $ 65,042  
  General Electric Co.                                                               2,174,944      63,182  
  ExxonMobil Corp.                                                                   1,490,018      60,972  
  Wal-Mart Stores, Inc.                                                                974,450      53,604  
  Pfizer, Inc.                                                                       1,367,020      47,846  
  Citigroup, Inc.                                                                    1,129,072      43,752  
  American International Group, Inc.                                                   574,059      39,168  
  Johnson & Johnson                                                                    659,625      34,472  
  The Coca-Cola Co.                                                                    545,400      30,542  
  International Business Machines Corp.                                                376,200      27,086  
  Intel Corp.                                                                        1,467,768      26,816  
  Procter & Gamble Co.                                                                 284,300      25,388  
  Merck & Co., Inc.                                                                    496,748      25,156  
  Verizon Communications                                                               596,928      23,967  
  Bank of America Corp.                                                                338,150      23,792  
* Cisco Systems, Inc.                                                                1,606,810      22,415  
  SBC Communications Inc.                                                              731,776      22,319  
* Berkshire Hathaway Inc. Class A                                                          331      22,111  
  ChevronTexaco Corp.                                                                  233,607      20,675  
  Philip Morris Cos., Inc.                                                             469,700      20,516  
  Home Depot, Inc.                                                                     515,497      18,934  
  Wells Fargo & Co.                                                                    374,308      18,738  
  PepsiCo, Inc.                                                                        387,590      18,682  
* Viacom Inc. Class B                                                                  386,629      17,155  
  Fannie Mae                                                                           218,600      16,122  
* Dell Computer Corp.                                                                  571,350      14,934  
  Wyeth                                                                                290,650      14,880  
  J.P. Morgan Chase & Co.                                                              437,639      14,845  
* AOL Time Warner Inc.                                                                 976,257      14,360  
  Eli Lilly & Co.                                                                      246,006      13,875  
  BellSouth Corp.                                                                      411,900      12,975  
  Abbott Laboratories                                                                  341,405      12,854  
  Wachovia Corp.                                                                       299,307      11,428  
* Oracle Corp.                                                                       1,205,970      11,421  
  Medtronic, Inc.                                                                      265,542      11,378  
  Bristol-Myers Squibb Co.                                                             425,600      10,938  
  Pharmacia Corp.                                                                      284,000      10,636  
  American Express Co.                                                                 292,252      10,615  
  3M Co.                                                                                85,300      10,492  
  Morgan Stanley                                                                       241,340      10,396  
  Hewlett-Packard Co.                                                                  661,827      10,113  
  Bank One Corp.                                                                       257,704       9,915  
  U.S. Bancorp                                                                         419,048       9,785  
  E.I. du Pont de Nemours & Co.                                                        218,477       9,700  
  Anheuser-Busch Cos., Inc.                                                            192,762       9,638  
* Amgen, Inc.                                                                          228,384       9,566  
  Freddie Mac                                                                          152,100       9,309  
  Texas Instruments, Inc.                                                              380,167       9,011  
  AT&T Corp.                                                                           834,433       8,928  
  Walgreen Co.                                                                         224,370       8,667  
  Fifth Third Bancorp                                                                  129,496       8,632  
  The Walt Disney Co.                                                                  447,200       8,452  
  The Boeing Co.                                                                       183,562       8,260  

10                                                                            

N-30D 13th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 13th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  McDonald's Corp.                                                                     278,700     $ 7,930  
  Schering-Plough Corp.                                                                322,000       7,921  
  Washington Mutual, Inc.                                                              213,076       7,907  
  Gillette Co.                                                                         231,166       7,831  
  Lowe's Cos., Inc.                                                                    169,984       7,717  
  Merrill Lynch & Co., Inc.                                                            189,562       7,678  
  Target Corp.                                                                         198,300       7,555  
  FleetBoston Financial Corp.                                                          229,496       7,424  
  Motorola, Inc.                                                                       499,213       7,199  
  United Technologies Corp.                                                            103,836       7,052  
  Kimberly-Clark Corp.                                                                 113,497       7,036  
* Applied Materials, Inc.                                                              360,126       6,850  
  Lockheed Martin Corp.                                                                 98,547       6,849  
  Dow Chemical Co.                                                                     198,900       6,838  
  General Motors Corp.                                                                 123,368       6,594  
  Ford Motor Co.                                                                       398,042       6,369  
  Honeywell International Inc.                                                         179,233       6,314  
  First Data Corp.                                                                     167,732       6,240  
  MBNA Corp.                                                                           187,198       6,191  
  Alcoa Inc.                                                                           186,096       6,169  
  UnitedHealth Group Inc.                                                               67,358       6,167  
  Cardinal Health, Inc.                                                                 98,813       6,067  
  Colgate-Palmolive Co.                                                                119,900       6,001  
  Automatic Data Processing, Inc.                                                      135,699       5,910  
  Schlumberger Ltd.                                                                    126,292       5,873  
  Baxter International, Inc.                                                           131,608       5,849  
  Marsh & McLennan Cos., Inc.                                                           60,200       5,815  
  Allstate Corp.                                                                       155,252       5,741  
  Duke Energy Corp.                                                                    181,524       5,645  
  The Bank of New York Co., Inc.                                                       159,962       5,400  
  HCA Inc.                                                                             112,459       5,342  
  United Parcel Service, Inc.                                                           85,788       5,297  
* Liberty Media Corp.                                                                  523,005       5,230  
* Kohl's Corp.                                                                          73,500       5,152  
* Tenet Healthcare Corp.                                                                71,282       4,999  
  Household International, Inc.                                                        100,384       4,989  
  Phillips Petroleum Co.                                                                84,120       4,953  
  Emerson Electric Co.                                                                  91,701       4,907  
* Comcast Corp.-Special Class A                                                        201,798       4,811  
  General Dynamics Corp.                                                                44,332       4,714  
* QUALCOMM Inc.                                                                        169,120       4,649  
  International Paper Co.                                                              106,012       4,620  
  Illinois Tool Works, Inc.                                                             67,110       4,583  
  Metropolitan Life Insurance Co.                                                      155,200       4,470  
  Gannett Co., Inc.                                                                     58,573       4,446  
  National City Corp.                                                                  133,448       4,436  
* Clear Channel Communications, Inc.                                                   134,687       4,313  
* Prudential Financial, Inc.                                                           128,200       4,278  
  SunTrust Banks, Inc.                                                                  62,577       4,238  
  Southern Co.                                                                         154,300       4,228  
  BB&T Corp.                                                                           105,100       4,057  
  Dominion Resources, Inc.                                                              60,385       3,984  
  Sysco Corp.                                                                          145,478       3,960  
  Electronic Data Systems Corp.                                                        105,100       3,904  
* Costco Wholesale Corp.                                                                99,330       3,836  
  Conoco Inc.                                                                          137,646       3,827  
* eBay Inc.                                                                             61,500       3,789  
  Sears, Roebuck & Co.                                                                  69,500       3,774  
  Caterpillar, Inc.                                                                     75,434       3,692  
* EMC Corp.                                                                            488,810       3,691  
  Exelon Corp.                                                                          70,173       3,671  
  AFLAC Inc.                                                                           113,948       3,646  
* Cendant Corp.                                                                        228,646       3,631  
* Sun Microsystems, Inc.                                                               712,880       3,572  
  Carnival Corp.                                                                       128,300       3,554  
  Raytheon Co.                                                                          87,045       3,547  
  Sara Lee Corp.                                                                       171,709       3,544  
  Waste Management, Inc.                                                               135,949       3,541  
  General Mills, Inc.                                                                   80,134       3,533  
  FedEx Corp.                                                                           65,428       3,493  
* AT&T Wireless Services Inc.                                                          594,477       3,478  
  Union Pacific Corp.                                                                   54,910       3,475  
* The Kroger Co.                                                                       174,336       3,469  
* Cox Communications, Inc. Class A                                                     125,869       3,468  
  Harley-Davidson, Inc.                                                                 66,400       3,405  
* Concord EFS, Inc.                                                                    112,056       3,376  
  Charles Schwab Corp.                                                                 299,946       3,359  
  Lehman Brothers Holdings, Inc.                                                        53,420       3,340  
  SLM Corp.                                                                             33,950       3,290  
  PNC Financial Services Group                                                          62,440       3,264  
  ConAgra Foods, Inc.                                                                  117,964       3,261  
  Kellogg Co.                                                                           89,500       3,209  
  The Hartford Financial Services Group Inc.                                            53,880       3,204  
  ALLTEL Corp.                                                                          68,076       3,200  
  The Goldman Sachs Group, Inc.                                                         43,500       3,191  
  State Street Corp.                                                                    71,302       3,187  
  NIKE, Inc. Class B                                                                    59,039       3,167  
  H.J. Heinz Co.                                                                        76,800       3,156  
* Safeway, Inc.                                                                        105,910       3,092  
  Northrop Grumman Corp.                                                                24,658       3,082  
  Weyerhaeuser Co.                                                                      47,995       3,064  
  Mellon Financial Corp.                                                                96,848       3,043  
  CIGNA Corp.                                                                           30,777       2,998  
  TXU Corp.                                                                             57,910       2,977  
  American Electric Power Co., Inc.                                                     74,293       2,973  
  Capital One Financial Corp.                                                           48,199       2,943  
  Masco Corp.                                                                          105,800       2,868  
  Tribune Co.                                                                           65,703       2,858  
* Forest Laboratories, Inc.                                                             39,100       2,768  
  Progressive Corp. of Ohio                                                             47,800       2,765  
  Equity Office Properties Trust REIT                                                   91,132       2,743  
  Southwest Airlines Co.                                                               169,199       2,734  
* Maxim Integrated Products, Inc.                                                       70,896       2,717  

                                                                              11

N-30D 14th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 14th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Albertson's, Inc.                                                                     89,190     $ 2,717  
  Wm. Wrigley Jr. Co.                                                                   49,050       2,715  
* Immunex Corp.                                                                        121,400       2,712  
  Avon Products, Inc.                                                                   51,818       2,708  
  The Gap, Inc.                                                                        189,587       2,693  
  Anadarko Petroleum Corp.                                                              54,431       2,682  
* Micron Technology, Inc.                                                              131,928       2,670  
  The Chubb Corp.                                                                       37,652       2,665  
  CVS Corp.                                                                             85,782       2,625  
* Boston Scientific Corp.                                                               88,748       2,602  
  Paychex, Inc.                                                                         82,465       2,580  
* Best Buy Co., Inc.                                                                    70,150       2,546  
  KeyCorp                                                                               92,570       2,526  
  Kraft Foods Inc.                                                                      61,575       2,521  
  Burlington Northern Santa Fe Corp.                                                    84,023       2,521  
  The McGraw-Hill Cos., Inc.                                                            42,196       2,519  
  Air Products & Chemicals, Inc.                                                        49,772       2,512  
  Deere & Co.                                                                           52,141       2,498  
  Progress Energy, Inc.                                                                 47,927       2,493  
  Occidental Petroleum Corp.                                                            82,438       2,472  
  Campbell Soup Co.                                                                     89,236       2,468  
* WellPoint Health Networks Inc.Class A                                                 31,694       2,466  
  El Paso Corp.                                                                        119,536       2,464  
  Baker Hughes, Inc.                                                                    73,934       2,460  
* The Principal Financial Group                                                         79,100       2,452  
  Franklin Resources Corp.                                                              57,066       2,433  
  Limited Brands, Inc.                                                                 113,969       2,428  
* Bed Bath & Beyond, Inc.                                                               63,892       2,411  
* Agilent Technologies, Inc.                                                           101,487       2,400  
* Analog Devices, Inc.                                                                  80,232       2,383  
  Comerica, Inc.                                                                        38,759       2,381  
  Golden West Financial Corp.                                                           34,161       2,350  
  TJX Cos., Inc.                                                                       118,500       2,324  
  FPL Group, Inc.                                                                       38,500       2,310  
* Intuit, Inc.                                                                          46,450       2,310  
  Stryker Corp.                                                                         42,900       2,297  
  John Hancock Financial Services, Inc.                                                 64,800       2,281  
  PPG Industries, Inc.                                                                  36,800       2,278  
  Newmont Mining Corp.(Holding Company)                                                 85,760       2,258  
  Loews Corp.                                                                           41,600       2,205  
  Danaher Corp.                                                                         33,100       2,196  
  Linear Technology Corp.                                                               69,600       2,189  
  Transocean Inc.                                                                       69,791       2,173  
  FirstEnergy Corp.                                                                     65,110       2,173  
  Coca-Cola Enterprises, Inc.                                                           97,700       2,157  
  Northern Trust Corp.                                                                  48,600       2,141  
  Pitney Bowes, Inc.                                                                    52,869       2,100  
* Starbucks Corp.                                                                       84,500       2,100  
  The Clorox Co.                                                                        50,492       2,088  
  Entergy Corp.                                                                         49,187       2,087  
  May Department Stores Co.                                                             63,382       2,087  
  Interpublic Group of Cos., Inc.                                                       83,978       2,079  
  Sprint Corp.                                                                         195,580       2,076  
  McKesson Corp.                                                                        62,949       2,058  
  Newell Rubbermaid, Inc.                                                               58,642       2,056  
* Guidant Corp.                                                                         66,940       2,024  
  Praxair, Inc.                                                                         35,489       2,023  
* Staples, Inc.                                                                        102,205       2,013  
  Computer Associates International, Inc.                                              126,520       2,010  
  Marriott International, Inc. Class A                                                  52,728       2,006  
  Mattel, Inc.                                                                          95,290       2,002  
* General Motors Corp. Class H                                                         192,344       2,000  
* Electronic Arts Inc.                                                                  30,100       1,988  
  SouthTrust Corp.                                                                      76,044       1,986  
  Unocal Corp.                                                                          53,700       1,984  
  Norfolk Southern Corp.                                                                84,700       1,980  
  Rohm & Haas Co.                                                                       48,248       1,954  
  Public Service Enterprise Group, Inc.                                                 45,060       1,951  
  Consolidated Edison Inc.                                                              46,678       1,949  
  Becton, Dickinson & Co.                                                               56,132       1,934  
* Yahoo! Inc.                                                                          130,845       1,931  
  The Pepsi Bottling Group, Inc.                                                        62,100       1,913  
  Allergan, Inc.                                                                        28,400       1,896  
* Yum! Brands, Inc.                                                                     64,804       1,896  
  Omnicom Group Inc.                                                                    41,152       1,884  
  Eastman Kodak Co.                                                                     64,014       1,867  
  Hershey Foods Corp.                                                                   29,616       1,863  
  H & R Block, Inc.                                                                     40,048       1,847  
  Marathon Oil Corp.                                                                    67,947       1,843  
  Cintas Corp.                                                                          37,250       1,841  
* KLA-Tencor Corp.                                                                      41,800       1,840  
* Quest Diagnostics, Inc.                                                               21,324       1,834  
  MBIA, Inc.                                                                            32,324       1,827  
  Archer-Daniels-Midland Co.                                                           142,657       1,825  
* USA Interactive                                                                       77,704       1,822  
  Fortune Brands, Inc.                                                                  32,500       1,818  
  Apache Corp.                                                                          31,320       1,801  
* Computer Sciences Corp.                                                               37,534       1,794  
* AutoZone Inc.                                                                         23,200       1,793  
  St. Paul Cos., Inc.                                                                   45,736       1,780  
  Synovus Financial Corp.                                                               64,570       1,777  
* Veritas Software Corp.                                                                89,478       1,771  
  AmSouth Bancorp                                                                       78,977       1,768  
  Regions Financial Corp.                                                               50,117       1,762  
  Aon Corp.                                                                             59,591       1,757  
  M & T Bank Corp.                                                                      20,237       1,736  
  AmerisourceBergen Corp.                                                               22,832       1,735  
  Lincoln National Corp.                                                                41,200       1,730  
                                                                            
12                                                                              

N-30D 15th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 15th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Equity Residential REIT                                                               60,186     $ 1,730  
* Federated Department Stores, Inc.                                                     43,354       1,722  
  New York Times Co. Class A                                                            33,050       1,702  
  Charter One Financial, Inc.                                                           49,400       1,698  
  Ingersoll-Rand Co.                                                                    37,000       1,689  
  Moody's Corp.                                                                         33,900       1,687  
  Devon Energy Corp.                                                                    34,109       1,681  
  Burlington Resources, Inc.                                                            43,750       1,663  
  Cincinnati Financial Corp.                                                            35,647       1,658  
* Xilinx, Inc.                                                                          73,400       1,646  
* SunGard Data Systems, Inc.                                                            62,000       1,642  
  CSX Corp.                                                                             46,696       1,637  
  Delphi Corp.                                                                         123,347       1,628  
* Genentech, Inc.                                                                       48,567       1,628  
  DTE Energy Co.                                                                        36,396       1,624  
  Amerada Hess Corp.                                                                    19,457       1,605  
  UnionBanCal Corp.                                                                     34,196       1,603  
  Biomet, Inc.                                                                          58,850       1,596  
  Johnson Controls, Inc.                                                                19,423       1,584  
* Univision Communications Inc.                                                         50,250       1,578  
  MGIC Investment Corp.                                                                 23,271       1,578  
  Ambac Financial Group, Inc.                                                           23,200       1,564  
  TRW, Inc.                                                                             27,514       1,563  
  Jefferson-Pilot Corp.                                                                 32,887       1,553  
* Lexmark International, Inc.                                                           28,500       1,550  
  Dover Corp.                                                                           44,116       1,544  
* Fiserv, Inc.                                                                          42,025       1,543  
  Aetna Inc.                                                                            31,949       1,534  
* PG&E Corp.                                                                            85,440       1,529  
  Halliburton Co.                                                                       95,594       1,524  
* Anthem, Inc.                                                                          22,550       1,522  
* Zimmer Holdings, Inc.                                                                 42,230       1,506  
  Adobe Systems, Inc.                                                                   52,600       1,499  
  Avery Dennison Corp.                                                                  23,887       1,499  
* Apollo Group, Inc. Class A                                                            37,737       1,487  
* Siebel Systems, Inc.                                                                 103,684       1,474  
* Chiron Corp.                                                                          41,704       1,472  
  MeadWestvaco Corp.                                                                    43,436       1,458  
  Xcel Energy, Inc.                                                                     86,463       1,450  
* MedImmune Inc.                                                                        54,906       1,450  
  Marshall & Ilsley Corp.                                                               46,690       1,445  
  Union Planters Corp.                                                                  44,525       1,441  
  Textron, Inc.                                                                         30,719       1,441  
* Fox Entertainment Group, Inc. Class A                                                 66,200       1,441  
  Starwood Hotels & Resorts Worldwide, Inc.                                             43,606       1,434  
  Molex, Inc.                                                                           42,533       1,426  
* St. Jude Medical, Inc.                                                                19,242       1,423  
* Laboratory Corp.of America Holdings                                                   31,148       1,422  
  Simon Property Group, Inc. REIT                                                       38,484       1,418  
  North Fork Bancorp, Inc.                                                              35,541       1,415  
* Gilead Sciences, Inc.                                                                 42,816       1,407  
  GlobalSanta Fe Corp.                                                                  51,410       1,406  
  ITT Industries, Inc.                                                                  19,893       1,405  
  Dollar General Corp.                                                                  73,018       1,389  
* Apple Computer, Inc.                                                                  78,032       1,384  
* Affiliated Computer Services, Inc. Class A                                            28,920       1,373  
  UnumProvident Corp.                                                                   53,124       1,352  
* Biogen, Inc.                                                                          32,500       1,347  
  Ameren Corp.                                                                          31,234       1,343  
* Amazon.com, Inc.                                                                      82,500       1,341  
  Family Dollar Stores, Inc.                                                            38,000       1,340  
  Bear Stearns Co., Inc.                                                                21,882       1,336  
  E.W. Scripps Co. Class A                                                              17,300       1,331  
  Genuine Parts Co.                                                                     37,845       1,320  
  Cinergy Corp.                                                                         36,462       1,312  
  Countrywide Credit Industries, Inc.                                                   27,090       1,307  
  Ecolab, Inc.                                                                          28,244       1,306  
* CNA Financial Corp.                                                                   48,600       1,288  
  J.C. Penney Co., Inc.(Holding Company)                                                58,461       1,287  
* Lucent Technologies, Inc.                                                            752,787       1,247  
  UST, Inc.                                                                             36,629       1,246  
  Georgia Pacific Group                                                                 50,427       1,239  
  Parker Hannifin Corp.                                                                 25,704       1,228  
  Plum Creek Timber Co. Inc. REIT                                                       40,059       1,226  
* Edison International                                                                  71,500       1,216  
* King Pharmaceuticals, Inc.                                                            54,329       1,209  
* Microchip Technology, Inc.                                                            43,712       1,198  
* DST Systems, Inc.                                                                     26,200       1,198  
* American Standard Cos., Inc.                                                          15,900       1,195  
  Tyson Foods, Inc.                                                                     76,905       1,193  
* IDEC Pharmaceuticals Corp.                                                            33,400       1,183  
  National Commerce Financial Corp.                                                     44,885       1,180  
  Kerr-McGee Corp.                                                                      22,009       1,179  
* MGM Mirage, Inc.                                                                      34,802       1,175  
* BJ Services Co.                                                                       34,400       1,165  
  RadioShack Corp.                                                                      38,700       1,163  
  Knight Ridder                                                                         18,393       1,159  
  KeySpan Corp.                                                                         30,654       1,154  
* National Semiconductor Corp.                                                          39,400       1,149  
  IMS Health, Inc.                                                                      63,800       1,145  
* Altera Corp.                                                                          84,100       1,144  
  Weatherford International Ltd.                                                        26,293       1,136  
* Office Depot, Inc.                                                                    67,587       1,135  
* Noble Corp.                                                                           29,400       1,135  
  PACCAR, Inc.                                                                          25,511       1,132  
  Hilton Hotels Corp.                                                                   81,052       1,128  
* Sabre Holdings Corp.                                                                  31,427       1,125  
* L-3 Communications Holdings, Inc.                                                     20,800       1,123  
* International Game Technology                                                         19,738       1,119  
                                                                            
                                                                              13

N-30D 16th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 16th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Tiffany & Co.                                                                         31,700    $  1,116  
  Reliant Energy, Inc.                                                                  65,871       1,113  
* Harrah's Entertainment, Inc.                                                          25,050       1,111  
* Solectron Corp.                                                                      180,106       1,108  
  Eaton Corp.                                                                           15,200       1,106  
* Nabors Industries, Inc.                                                               31,400       1,104  
  Nucor Corp.                                                                           16,941       1,102  
* HEALTHSOUTH Corp.                                                                     86,058       1,101  
  Rockwell Collins, Inc.                                                                40,083       1,100  
* Xerox Corp.                                                                          157,584       1,098  
  Washington Post Co. Class B                                                            2,000       1,090  
  R.J. Reynolds Tobacco Holdings, Inc.                                                  20,133       1,082  
* Novellus Systems, Inc.                                                                31,800       1,081  
  Golden State Bancorp Inc.                                                             29,800       1,081  
* SPX Corp.                                                                              9,131       1,073  
  Vornado Realty Trust REIT                                                             23,200       1,072  
  Green Point Financial Corp.                                                           21,800       1,070  
* Health Management Associates Class A                                                  52,870       1,066  
* Jones Apparel Group, Inc.                                                             28,257       1,060  
  First Tennessee National Corp.                                                        27,600       1,057  
  PPL Corp.                                                                             31,952       1,057  
  Huntington Bancshares Inc.                                                            54,300       1,055  
  Constellation Energy Group, Inc.                                                      35,800       1,050  
  Zions Bancorp                                                                         20,100       1,047  
  Torchmark Corp.                                                                       27,000       1,031  
* Broadcom Corp.                                                                        58,800       1,031  
  Brown-Forman Corp. Class B                                                            14,900       1,029  
* Symantec Corp.                                                                        31,300       1,028  
* Qwest Communications International Inc.                                              367,093       1,028  
  W.W. Grainger, Inc.                                                                   20,489       1,026  
  Archstone-Smith Trust REIT                                                            38,372       1,025  
* AutoNation, Inc.                                                                      70,430       1,021  
  Kinder Morgan, Inc.                                                                   26,792       1,019  
  Popular, Inc.                                                                         30,000       1,010  
* PeopleSoft, Inc.                                                                      67,892       1,010  
  ProLogis REIT                                                                         38,836       1,010  
* Weight Watchers International, Inc.                                                   23,155       1,007  
  Sherwin-Williams Co.                                                                  33,568       1,006  
  EOG Resources, Inc.                                                                   25,300       1,004  
  Leggett & Platt, Inc.                                                                 42,900       1,004  
  Radian Group, Inc.                                                                    20,620       1,004  
  Sempra Energy                                                                         45,100         998  
  Estee Lauder Cos. Class A                                                             28,300         996  
* EchoStar Communications Corp. Class A                                                 53,550         995  
  NiSource, Inc.                                                                        45,527         994  
* Dollar Tree Stores, Inc.                                                              24,800         977  
  Wendy's International, Inc.                                                           24,500         975  
* Sprint PCS                                                                           217,590         973  
  Whirlpool Corp.                                                                       14,878         973  
  Vulcan Materials Co.                                                                  22,000         959  
  VF Corp.                                                                              24,300         952  
  American Water Works Co., Inc.                                                        21,800         942  
* Teradyne, Inc.                                                                        40,042         941  
  Darden Restaurants Inc.                                                               38,000         940  
  Compass Bancshares Inc.                                                               27,900         937  
  Public Storage, Inc. REIT                                                             25,244         937  
* Synopsys, Inc.                                                                        17,076         936  
  Transatlantic Holdings, Inc.                                                          11,500         920  
* Cadence Design Systems, Inc.                                                          57,038         919  
* Jabil Circuit, Inc.                                                                   43,300         914  
  CenturyTel, Inc.                                                                      30,962         913  
* Network Appliance, Inc.                                                               73,300         910  
* Genzyme Corp.-General Division                                                        47,060         905  
  Applied Biosystems Group-Applera Corp.                                                46,400         904  
  ServiceMaster Co.                                                                     65,750         902  
  Apartment Investment & Management Co. Class A REIT                                    18,260         898  
* Mohawk Industries, Inc.                                                               14,561         896  
* Robert Half International, Inc.                                                       38,400         895  
  Dow Jones & Co., Inc.                                                                 18,466         895  
  T. Rowe Price Group Inc.                                                              27,200         894  
* Brocade Communications Systems, Inc.                                                  51,100         893  
* Oxford Health Plan                                                                    19,200         892  
* CDW Computer Centers, Inc.                                                            19,000         889  
* BMC Software, Inc.                                                                    53,130         882  
  Stilwell Financial, Inc.                                                              48,400         880  
* Express Scripts Inc.                                                                  17,500         877  
  Valero Energy Corp.                                                                   23,331         873  
  Lennar Corp.                                                                          14,222         870  
  SAFECO Corp.                                                                          28,106         868  
* BISYS Group, Inc.                                                                     26,000         867  
  Circuit City Stores, Inc.                                                             46,088         864  
  Mylan Laboratories, Inc.                                                              27,550         864  
  Federated Investors, Inc.                                                             24,900         861  
  Hudson City Bancorp, Inc.                                                             43,100         859  
  Sovereign Bancorp, Inc.                                                               57,209         855  
  Equifax, Inc.                                                                         31,640         853  
  Banknorth Group, Inc.                                                                 32,777         853  
  Black & Decker Corp.                                                                  17,675         852  
* Caremark Rx, Inc.                                                                     51,424         848  
  Duke Realty Corp. REIT                                                                29,250         847  
* BEA Systems, Inc.                                                                     89,000         846  
* ChoicePoint Inc.                                                                      18,580         844  
  Ocean Energy, Inc.                                                                    38,442         833  
  D. R. Horton, Inc.                                                                    31,878         830  
  TECO Energy, Inc.                                                                     33,500         829  
* Smurfit-Stone Container Corp.                                                         53,719         828  
                                                                            
14                                                                              

N-30D 17th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 17th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Old Republic International Corp.                                                      26,225      $  826  
  Murphy Oil Corp.                                                                      10,000         825  
* Pactiv Corp.                                                                          34,600         821  
  Royal Caribbean Cruises, Ltd.                                                         42,000         820  
  Diamond Offshore Drilling, Inc.                                                       28,700         818  
* Travelers Property Casualty Corp.                                                     46,095         816  
  TCF Financial Corp.                                                                   16,556         813  
* Toys R Us, Inc.                                                                       46,236         808  
  ENSCO International, Inc.                                                             29,624         808  
* JDS Uniphase Corp.                                                                   300,200         808  
  Total System Services, Inc.                                                           42,900         808  
  Engelhard Corp.                                                                       28,400         804  
  Sigma-Aldrich Corp.                                                                   16,003         803  
  Rockwell Automation, Inc.                                                             40,383         802  
  Boston Properties, Inc. REIT                                                          20,000         799  
  Cooper Industries, Inc. Class A                                                       20,304         798  
  Eastman Chemical Co.                                                                  16,950         795  
* Westwood One, Inc.                                                                    23,600         789  
* Trigon Healthcare, Inc.                                                                7,800         785  
  Phelps Dodge Corp.                                                                    19,010         783  
  McCormick & Co., Inc.                                                                 30,300         780  
  Centex Corp.                                                                          13,500         780  
* QLogic Corp.                                                                          20,449         779  
  Telephone & Data Systems, Inc.                                                        12,800         775  
  Hillenbrand Industries, Inc.                                                          13,800         775  
* Waters Corp.                                                                          28,800         769  
* Williams-Sonoma, Inc.                                                                 25,068         769  
* Vishay Intertechnology, Inc.                                                          34,910         769  
  Pulte Homes, Inc.                                                                     13,359         769  
  The Stanley Works                                                                     18,644         765  
* Lincare Holdings, Inc.                                                                23,600         762  
  Kimco Realty Corp. REIT                                                               22,700         760  
* Smith International, Inc.                                                             11,100         757  
  Expeditors International of Washington, Inc.                                          22,700         753  
  The PMI Group Inc.                                                                    19,700         753  
* Millennium Pharmaceuticals, Inc.                                                      61,914         752  
* NCR Corp.                                                                             21,581         752  
* Patterson Dental Co.                                                                  14,800         746  
  Liz Claiborne, Inc.                                                                   23,300         741  
* Corning, Inc.                                                                        208,460         740  
* PanAmSat Corp.                                                                        32,743         740  
* Convergys Corp.                                                                       37,900         739  
* Dean Foods Co.                                                                        19,648         733  
  Pinnacle West Capital Corp.                                                           18,500         731  
  DPL Inc.                                                                              27,626         731  
  Hormel Foods Corp.                                                                    30,400         728  
* Advanced Micro Devices, Inc.                                                          74,800         727  
* Health Net Inc.                                                                       27,040         724  
  Maytag Corp.                                                                          16,971         724  
* Sanmina-SCI Corp.                                                                    114,668         724  
  SuperValu Inc.                                                                        29,191         716  
  Legg Mason Inc.                                                                       14,500         714  
  Avalonbay Communities, Inc. REIT                                                      15,181         709  
* LSI Logic Corp.                                                                       80,915         708  
  SCANA Corp.                                                                           22,885         708  
  Allegheny Energy, Inc.                                                                27,400         707  
  Ross Stores, Inc.                                                                     17,300         705  
* Republic Services, Inc. Class A                                                       36,500         696  
  General Growth Properties Inc. REIT                                                   13,600         694  
  Hibernia Corp. Class A                                                                34,900         691  
* Lamar Advertising Co. Class A                                                         18,500         688  
  A.G. Edwards & Sons, Inc.                                                             17,687         687  
* Brinker International, Inc.                                                           21,600         686  
  Fluor Corp.                                                                           17,500         683  
  R.R. Donnelley & Sons Co.                                                             24,710         680  
  SEI Corp.                                                                             24,100         679  
  Williams Cos., Inc.                                                                  113,161         678  
  Temple-Inland Inc.                                                                    11,700         677  
  Beckman Coulter, Inc.                                                                 13,564         677  
* Park Place Entertainment                                                              65,685         673  
  International Flavors & Fragrances, Inc.                                              20,639         671  
  The Goodyear Tire & Rubber Co.                                                        35,687         669  
  Nordstrom, Inc.                                                                       29,464         667  
* Triad Hospitals, Inc.                                                                 15,740         667  
* Lear Corp.                                                                            14,300         662  
  Fidelity National Financial, Inc.                                                     20,916         661  
  Bowater Inc.                                                                          12,100         658  
* Pioneer Natural Resources Co.                                                         25,200         656  
  Host Marriott Corp. REIT                                                              57,600         651  
  Arthur J. Gallagher & Co.                                                             18,700         649  
* Mirant Corp.                                                                          88,345         645  
  The McClatchy Co. Class A                                                              9,975         644  
* Metro-Goldwyn-Mayer Inc.                                                              54,869         642  
* Universal Health Services Class B                                                     13,100         642  
* Sealed Air Corp.                                                                      15,919         641  
* Atmel Corp.                                                                          102,400         641  
  Astoria Financial Corp.                                                               20,000         641  
  C.R. Bard, Inc.                                                                       11,300         639  
  Wisconsin Energy Corp.                                                                25,300         639  
  Commerce Bancorp, Inc.                                                                14,464         639  
  Fastenal Co.                                                                          16,600         639  
* Intersil Corp.                                                                        29,900         639  
* Thermo Electron Corp.                                                                 38,548         636  
  New York Community Bancorp, Inc.                                                      23,419         635  
  Commerce Bancshares, Inc.                                                             14,338         634  
  Mercantile Bankshares Corp.                                                           15,450         634  
* AES Corp.                                                                            116,911         634  
  DENTSPLY International Inc.                                                           17,100         631  
* Unisys Corp.                                                                          70,100         631  
  Associated Banc-Corp.                                                                 16,651         628  
  Rouse Co. REIT                                                                        19,000         626  

                                                                              15

N-30D 18th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 18th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Constellation Brands, Inc. Class A                                                    19,468       $ 623  
* First Health Group Corp.                                                              22,200         622  
* Hispanic Broadcasting Corp.                                                           23,800         621  
  AVX Corp.                                                                             38,000         621  
  C.H. Robinson Worldwide, Inc.                                                         18,500         620  
* Network Associates, Inc.                                                              32,183         620  
  Manpower Inc.                                                                         16,700         614  
  Ashland, Inc.                                                                         15,080         611  
* Ceridian Corp.                                                                        32,100         609  
* Barr Laboratories, Inc.                                                                9,542         606  
  Goodrich Corp.                                                                        22,140         605  
* Varian Medical Systems, Inc.                                                          14,900         604  
* Fairchild Semiconductor Corp.                                                         24,800         604  
* BJ's Wholesale Club, Inc.                                                             15,600         601  
* Whole Foods Market, Inc.                                                              12,400         598  
  Dana Corp.                                                                            32,603         597  
  Sunoco, Inc.                                                                          16,706         595  
* Outback Steakhouse                                                                    16,950         595  
  Sonoco Products Co.                                                                   20,970         594  
  Diebold, Inc.                                                                         15,800         588  
* Watson Pharmaceuticals, Inc.                                                          23,255         588  
  City National Corp.                                                                   10,900         586  
* Humana Inc.                                                                           37,133         580  
  Valley National Bancorp                                                               20,877         580  
  Avnet, Inc.                                                                           26,276         578  
  Mercury General Corp.                                                                 11,900         577  
  KB HOME                                                                               11,200         577  
* Community Health Systems, Inc.                                                        21,500         576  
* Cooper Cameron Corp.                                                                  11,900         576  
* NEXTEL Communications, Inc.                                                          179,192         575  
* AMR Corp.                                                                             34,112         575  
* Calpine Corp.                                                                         81,800         575  
  Energy East Corp.                                                                     25,400         573  
  Erie Indemnity Co. Class A                                                            14,100         571  
* Tellabs, Inc.                                                                         90,336         571  
* Iron Mountain, Inc.                                                                   18,500         571  
  Liberty Property Trust REIT                                                           16,300         571  
  White Mountains Insurance Group Inc.                                                   1,800         570  
  Dynegy, Inc.                                                                          78,864         569  
  AMB Property Corp. REIT                                                               18,300         568  
* NVIDIA Corp.                                                                          33,000         567  
  Northeast Utilities                                                                   30,300         565  
* Freeport-McMoRan Copper & Gold, Inc. Class B                                          31,602         564  
  Neuberger Berman Inc.                                                                 15,400         564  
  Scientific-Atlanta, Inc.                                                              34,188         562  
* Michaels Stores, Inc.                                                                 14,400         562  
* Certegy, Inc.                                                                         15,120         561  
  First Virginia Banks, Inc.                                                            10,450         561  
  Deluxe Corp.                                                                          14,400         560  
  XTO Energy, Inc.                                                                      27,180         560  
  American National Insurance Co.                                                        5,800         559  
  Pall Corp.                                                                            26,766         555  
  Bemis Co., Inc.                                                                       11,600         551  
  Belo Corp. Class A                                                                    24,348         551  
  iStar Financial Inc. REIT                                                             19,285         550  
* NVR, Inc.                                                                              1,700         549  
  Brunswick Corp.                                                                       19,597         549  
* Energizer Holdings, Inc.                                                              19,992         548  
* Cephalon, Inc.                                                                        12,000         542  
  Delta Air Lines, Inc.                                                                 27,058         541  
* American Power Conversion Corp.                                                       42,800         541  
  Allmerica Financial Corp.                                                             11,689         540  
* The Dunn & Bradstreet Corp.                                                           16,250         537  
  Omnicare, Inc.                                                                        20,400         536  
  Health Care Properties Investors REIT                                                 12,546         535  
* Coach, Inc.                                                                            9,651         530  
  John Nuveen Co. Class A                                                               20,600         529  
  Unitrin, Inc.                                                                         14,800         529  
* AmeriCredit Corp.                                                                     18,800         527  
  Harris Corp.                                                                          14,500         527  
  The St. Joe Co.                                                                       17,500         525  
  Lafarge North America Inc.                                                            14,900         524  
* TMP Worldwide, Inc.                                                                   24,350         524  
* Abercrombie & Fitch Co.                                                               21,698         524  
  Dreyer's Grand Ice Cream, Inc.                                                         7,600         521  
* Alliant Techsystems, Inc.                                                              8,163         521  
  NSTAR                                                                                 11,595         519  
  Pentair, Inc.                                                                         10,700         514  
* KPMG Consulting Inc.                                                                  34,600         514  
* Citizens Communications Co.                                                           61,481         514  
  FirstMerit Corp.                                                                      18,595         513  
  Hasbro, Inc.                                                                          37,650         511  
  Ball Corp.                                                                            12,300         510  
* Manor Care, Inc.                                                                      22,100         508  
  Trizec Properties, Inc. REIT                                                          30,000         506  
  PepsiAmericas, Inc.                                                                   33,800         505  
  Viad Corp.                                                                            19,400         504  
  Allied Capital Corp.                                                                  22,180         502  
  Allete, Inc.                                                                          18,500         501  
* LAM Research Corp.                                                                    27,880         501  
  Potomac Electric Power Co.                                                            23,300         500  
  Hospitality Properties Trust REIT                                                     13,700         500  
  Big Lots Inc.                                                                         25,362         499  
  Conectiv, Inc.                                                                        19,278         498  
  Alliant Energy Corp.                                                                  19,352         497  
* Entercom Communications Corp.                                                         10,800         496  
* Compuware Corp.                                                                       81,500         495  
  Protective Life Corp.                                                                 14,900         493  
* Patterson-UTI Energy, Inc.                                                            17,400         491  
  Valspar Corp.                                                                         10,900         491  
  Teleflex Inc.                                                                          8,574         490  

16                                                                              

N-30D 19th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 19th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Gemstar-TV Guide International, Inc.                                                  90,486      $  487  
  Adolph Coors Co. Class B                                                               7,800         486  
* AdvancePCS                                                                            20,100         481  
* Pixar, Inc.                                                                           10,900         481  
  Eaton Vance Corp.                                                                     15,400         480  
  Dillard's Inc.                                                                        18,239         480  
  Winn-Dixie Stores, Inc.                                                               30,743         479  
* U.S. Cellular Corp.                                                                   18,800         478  
* Apogent Technologies Inc.                                                             23,208         477  
  Equitable Resources, Inc.                                                             13,900         477  
  Clayton Homes Inc.                                                                    30,027         474  
  Bank of Hawaii Corp.                                                                  16,700         474  
  Brown & Brown, Inc.                                                                   14,900         473  
  Investors Financial Services Corp.                                                    14,056         471  
* Sicor, Inc.                                                                           25,300         469  
  Alberto-Culver Co. Class B                                                             9,800         469  
* PETsMART, Inc.                                                                        29,148         468  
* Tech Data Corp.                                                                       12,300         466  
  International Speedway Corp.                                                          11,600         465  
  Wesco Financial Corp.                                                                  1,540         464  
* IVAX Corp.                                                                            42,637         460  
  Talbots Inc.                                                                          13,100         459  
* Packaging Corp. of America                                                            23,000         457  
* Gentex Corp.                                                                          16,652         457  
  Bunge Ltd.                                                                            21,600         456  
* Toll Brothers, Inc.                                                                   15,500         454  
* Pride International, Inc.                                                             29,000         454  
* Arrow Electronics, Inc.                                                               21,874         454  
* Hearst-Argyle Television Inc.                                                         20,068         453  
* Smithfield Foods, Inc.                                                                24,300         451  
  Noble Energy, Inc.                                                                    12,500         451  
* Ingram Micro, Inc. Class A                                                            32,750         450  
* Career Education Corp.                                                                 9,900         446  
* Foot Locker, Inc.                                                                     30,800         445  
  Questar Corp.                                                                         17,800         443  
* Owens-Illinois, Inc.                                                                  32,172         442  
* Swift Transportation Co., Inc.                                                        18,950         442  
  Crescent Real Estate, Inc. REIT                                                       23,600         441  
  NICOR Inc.                                                                             9,640         441  
  Rowan Cos., Inc.                                                                      20,500         441  
  United States Steel Corp.                                                             22,100         440  
  Mack-Cali Realty Corp. REIT                                                           12,500         439  
* E*TRADE Group, Inc.                                                                   80,470         439  
  Hubbell Inc. Class B                                                                  12,850         439  
  Boise Cascade Corp.                                                                   12,700         439  
* DaVita, Inc.                                                                          18,366         438  
  Wilmington Trust Corp.                                                                14,300         436  
  ICN Pharmaceuticals, Inc.                                                             17,993         436  
  Tootsie Roll Industries, Inc.                                                         11,290         435  
  Tidewater Inc.                                                                        13,200         435  
* Markel Corp.                                                                           2,200         433  
* Investment Technology Group, Inc.                                                     13,225         432  
  Pier 1 Imports Inc.                                                                   20,560         432  
* Valassis Communications, Inc.                                                         11,800         431  
* Semtech Corp.                                                                         16,100         430  
  New Plan Excel Realty Trust REIT                                                      20,560         428  
  Capitol Federal Financial                                                             16,420         428  
  Reynolds & Reynolds Class A                                                           15,300         428  
  Fulton Financial Corp.                                                                22,565         427  
  Navistar International Corp.                                                          13,300         426  
  Harte-Hanks, Inc.                                                                     20,700         425  
  Symbol Technologies, Inc.                                                             50,009         425  
* Mandalay Resort Group                                                                 15,300         422  
* Andrx Corp. - Andrx Group                                                             15,603         421  
* Mercury Interactive Corp.                                                             18,300         420  
* Henry Schein, Inc.                                                                     9,435         420  
* Allied Waste Industries, Inc.                                                         43,075         418  
  Martin Marietta Materials, Inc.                                                       10,711         418  
  Meredith Corp.                                                                        10,864         417  
  Roslyn Bancorp, Inc.                                                                  19,050         416  
  Lyondell Chemical Co.                                                                 27,500         415  
  Dial Corp.                                                                            20,700         414  
* Jacobs Engineering Group Inc.                                                         11,900         414  
* Integrated Device Technology Inc.                                                     22,800         414  
* Juniper Networks, Inc.                                                                73,100         413  
* Ticketmaster Class B                                                                  21,910         410  
  Webster Financial Corp.                                                               10,700         409  
* International Rectifier Corp.                                                         14,000         408  
* JetBlue Airways Corp.                                                                  8,925         407  
  MDU Resources Group, Inc.                                                             15,350         406  
  Reader's Digest Assn., Inc. Class A                                                   21,700         406  
  Visteon Corp.                                                                         28,552         405  
* Cypress Semiconductor Corp.                                                           26,700         405  
  The Phoenix Companies, Inc.                                                           22,000         404  
* Emulex Corp.                                                                          17,900         403  
  CNF Inc.                                                                              10,600         403  
  Cullen/Frost Bankers, Inc.                                                            11,200         402  
  Weingarten Realty Investors REIT                                                      11,350         402  
  W.R. Berkley Corp.                                                                     7,300         402  
  Waddell & Reed Financial, Inc.                                                        17,512         402  
  Arden Realty Group, Inc. REIT                                                         14,100         401  
  Bausch & Lomb, Inc.                                                                   11,800         399  
* Saks Inc.                                                                             30,936         397  
* ADC Telecommunications, Inc.                                                         173,402         397  
  Puget Energy, Inc.                                                                    18,980         394  
* CIENA Corp.                                                                           93,696         393  
  Valhi, Inc.                                                                           25,100         392  
* Activision, Inc.                                                                      13,500         392  
* The Cheesecake Factory                                                                11,050         392  
  National Fuel Gas Co.                                                                 17,400         392  
* Avaya Inc.                                                                            79,090         391  
* 99 Cents Only Stores                                                                  15,248         391  
  OGE Energy Corp.                                                                      17,100         391  

                                                                              17

N-30D 20th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 20th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Barnes & Noble, Inc.                                                                  14,748       $ 390  
  Helmerich & Payne, Inc.                                                               10,900         389  
  Colonial BancGroup, Inc.                                                              25,844         388  
  Cabot Corp.                                                                           13,600         386  
* Catellus Development Corp.                                                            18,900         386  
  Pogo Producing Co.                                                                    11,800         385  
* WebMD Corp.                                                                           68,300         385  
* Reebok International Ltd.                                                             12,995         383  
  Leucadia National Corp.                                                               12,100         383  
* Krispy Kreme Doughnuts, Inc.                                                          11,900         383  
  Snap-On Inc.                                                                          12,746         382  
  RPM Inc. (Ohio)                                                                       25,005         381  
  Sky Financial Group, Inc.                                                             17,996         381  
  J.M. Smucker Co.                                                                      11,132         380  
* BOK Financial Corp.                                                                   11,346         380  
  OM Group, Inc.                                                                         6,100         378  
* Comverse Technology, Inc.                                                             40,771         378  
  Regency Centers Corp. REIT                                                            12,700         377  
* Human Genome Sciences, Inc.                                                           28,100         377  
  Precision Castparts Corp.                                                             11,400         376  
  Forest City Enterprise Class A                                                        10,800         375  
  Lubrizol Corp.                                                                        11,200         375  
  Pennzoil-Quaker State Co.                                                             17,400         375  
* Tektronix, Inc.                                                                       20,000         374  
* Invitrogen Corp.                                                                      11,645         373  
* National-Oilwell, Inc.                                                                17,700         373  
  CBRL Group, Inc.                                                                      12,200         372  
* VeriSign, Inc.                                                                        51,559         371  
* Storage Technology Corp.                                                              23,192         370  
  Providian Financial Corp.                                                             62,828         369  
* Furniture Brands International Inc.                                                   12,200         369  
  Vectren Corp.                                                                         14,799         368  
* Cerner Corp.                                                                           7,700         368  
* Varco International, Inc.                                                             20,992         368  
  Independence Community Bank Corp.                                                     12,800         368  
  Ryder System, Inc.                                                                    13,572         368  
  United Dominion Realty Trust REIT                                                     23,300         367  
* Coventry Health Care Inc.                                                             12,845         365  
* National Instruments Corp.                                                            11,200         365  
  CONSOL Energy, Inc.                                                                   17,100         363  
  BancorpSouth, Inc.                                                                    17,700         362  
* United Rentals, Inc.                                                                  16,550         361  
  StanCorp Financial Group, Inc.                                                         6,500         361  
  American Financial Group, Inc.                                                        15,000         359  
  CarrAmerica Realty Corp. REIT                                                         11,600         358  
  The MONY Group Inc.                                                                   10,500         357  
* Newfield Exploration Co.                                                               9,600         357  
  Student Loan Corp.                                                                     4,300         356  
  First American Corp.                                                                  15,485         356  
  HCC Insurance Holdings, Inc.                                                          13,500         356  
  Harman International Industries, Inc.                                                  7,200         355  
* Rent-A-Center, Inc.                                                                    6,100         354  
  Dole Food Co.                                                                         12,200         354  
  21st Century Insurance Group                                                          18,600         353  
  ArvinMeritor, Inc.                                                                    14,724         353  
* Flowserve Corp.                                                                       11,840         353  
  Trustmark Corp.                                                                       13,800         353  
  Annaly Mortgage Management Inc. REIT                                                  18,100         351  
  HON Industries, Inc.                                                                  12,900         351  
  Doral Financial Corp.                                                                 10,500         351  
  People's Bank                                                                         13,400         350  
  Washington Federal Inc.                                                               13,838         350  
* Rational Software Corp.                                                               42,426         348  
* Devry, Inc.                                                                           15,200         347  
* Catalina Marketing Corp.                                                              12,120         342  
* 3Com Corp.                                                                            77,625         342  
  Greater Bay Bancorp                                                                   11,058         340  
  Old National Bancorp                                                                  13,374         340  
* Charles River Laboratories, Inc.                                                       9,700         340  
  Millipore Corp.                                                                       10,600         339  
  Worthington Industries, Inc.                                                          18,650         338  
  Herman Miller, Inc.                                                                   16,600         337  
* Renal Care Group, Inc.                                                                10,800         336  
  Donaldson Co., Inc.                                                                    9,600         336  
  Hawaiian Electric Industries Inc.                                                      7,900         336  
  Lee Enterprises, Inc.                                                                  9,600         336  
  La-Z-Boy Inc.                                                                         13,247         334  
* Acxiom Corp.                                                                          19,100         334  
* KEMET Corp.                                                                           18,700         334  
* Accredo Health, Inc.                                                                   7,234         334  
  Camden Property Trust REIT                                                             9,000         333  
* Fisher Scientific International Inc.                                                  11,900         333  
* American Eagle Outfitters, Inc.                                                       15,750         333  
* Mid Atlantic Medical Services, Inc.                                                   10,600         332  
  BorgWarner, Inc.                                                                       5,750         332  
  Reinsurance Group of America, Inc.                                                    10,750         331  
* Amphenol Corp.                                                                         9,200         331  
  Crane Co.                                                                             13,050         331  
  Autodesk, Inc.                                                                        24,940         330  
* Grant Prideco, Inc.                                                                   24,293         330  
* Extended Stay America, Inc.                                                           20,293         329  
  Cooper Tire & Rubber Co.                                                              16,000         329  
  Jack Henry & Associates                                                               19,700         329  
  Harsco Corp.                                                                           8,700         326  
* Borders Group, Inc.                                                                   17,700         326  
* AMN Healthcare Services, Inc.                                                          9,300         326  
  AmerUs Group Co.                                                                       8,784         326  
* Performance Food Group Co.                                                             9,600         325  
  Polaris Industries, Inc.                                                               5,000         325  
* Quintiles Transnational Corp.                                                         25,991         325  

18                                                                              

N-30D 21st “Page” of 67 TOC 1st Previous Next ↓Bottom Just 21st
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Chico's FAS, Inc.                                                                      8,925       $ 324  
  CMS Energy Corp.                                                                      29,500         324  
  John Wiley & Sons Class A                                                             13,500         323  
* Copart, Inc.                                                                          19,850         322  
* Scholastic Corp.                                                                       8,500         322  
  Peabody Energy Corp.                                                                  11,375         322  
  GATX Corp.                                                                            10,700         322  
* GTech Holdings Corp.                                                                  12,600         322  
* The Yankee Candle Company, Inc.                                                       11,850         321  
  Blyth, Inc.                                                                           10,250         320  
* Overture Services, Inc.                                                               12,800         320  
* O'Reilly Automotive, Inc.                                                             11,600         320  
  Developers Diversified Realty Corp. REIT                                              14,201         320  
* Pharmaceutical Product Development, Inc.                                              12,100         319  
* Corinthian Colleges, Inc.                                                              9,400         319  
* AGCO Corp.                                                                            16,200         316  
* West Corp.                                                                            14,300         315  
  Crompton Corp.                                                                        24,737         315  
* American Axle & Manufacturing Holdings, Inc.                                          10,600         315  
* Linens 'n Things, Inc.                                                                 9,600         315  
* J.D. Edwards & Co.                                                                    25,900         315  
* LifePoint Hospitals, Inc.                                                              8,666         315  
  Aquila, Inc.                                                                          39,318         315  
* Education Management Corp.                                                             7,700         314  
  IMC Global Inc.                                                                       25,089         314  
  Provident Financial Group, Inc.                                                       10,800         313  
  BRE Properties Inc. Class A REIT                                                      10,056         313  
* Gateway, Inc.                                                                         70,456         313  
* Scios, Inc.                                                                           10,100         309  
* The Titan Corp.                                                                       16,900         309  
* Service Corp. International                                                           63,981         309  
* Applied Micro Circuits Corp.                                                          65,312         309  
  Raymond James Financial, Inc.                                                         10,700         308  
* Alleghany Corp.                                                                        1,612         308  
* Andrew Corp.                                                                          21,430         307  
  MDC Holdings, Inc.                                                                     5,890         306  
* Affymetrix, Inc.                                                                      12,700         305  
  Highwood Properties, Inc. REIT                                                        11,600         303  
* AK Steel Corp.                                                                        23,617         303  
  PerkinElmer, Inc.                                                                     27,363         302  
  Media General, Inc. Class A                                                            5,000         302  
* Timberland Co.                                                                         8,400         301  
  International Bancshares Corp.                                                         7,100         300  
  Rayonier Inc.                                                                          6,100         300  
  Philadelphia Suburban Corp.                                                           14,825         299  
* IndyMac Bancorp, Inc. REIT                                                            13,200         299  
* National Processing, Inc.                                                             11,400         299  
  Ryland Group, Inc.                                                                     6,000         299  
* Advanced Fibre Communications, Inc.                                                   18,000         298  
  Cummins Inc.                                                                           8,992         298  
  Carlisle Co., Inc.                                                                     6,600         297  
  Westamerica Bancorporation                                                             7,500         297  
  Werner Enterprises, Inc.                                                              13,916         297  
  Ethan Allen Interiors, Inc.                                                            8,410         297  
* Edwards Lifesciences Corp.                                                            12,921         296  
  First Midwest Bancorp, Inc.                                                           10,643         296  
* Affiliated Managers Group, Inc.                                                        4,800         295  
  IKON Office Solutions, Inc.                                                           31,400         295  
  Fresh Del Monte Produce Inc.                                                          11,800         295  
  RGS Energy Group Inc.                                                                  7,500         294  
* LaBranche & Co. Inc.                                                                  12,800         293  
* FMC Technologies Inc.                                                                 14,243         293  
* Integrated Circuit Systems, Inc.                                                      14,500         293  
  Healthcare Realty Trust Inc. REIT                                                      9,144         293  
  The Timken Co.                                                                        13,100         293  
  Skywest, Inc.                                                                         12,500         292  
  Great Lakes Chemical Corp.                                                            11,000         292  
* Micrel, Inc.                                                                          20,300         292  
* Six Flags, Inc.                                                                       20,200         292  
* Agere Systems Inc. Class B                                                           194,106         291  
  CenterPoint Properties Corp. REIT                                                      5,000         291  
  Commercial Federal Corp.                                                              10,111         291  
  York International Corp.                                                               8,600         291  
* Scotts Co.                                                                             6,400         291  
* Stericycle, Inc.                                                                       8,200         290  
* Interactive Data Corp.                                                                19,914         290  
* Silicon Laboratories Inc.                                                             10,700         290  
  Downey Financial Corp.                                                                 6,100         289  
* Forest Oil Corp.                                                                      10,190         288  
  Lancaster Colony Corp.                                                                 8,082         288  
  ONEOK, Inc.                                                                           13,116         288  
* STERIS Corp.                                                                          15,208         287  
* Medicis Pharmaceutical Corp.                                                           6,713         287  
  Pittston Brink's Group                                                                11,960         287  
  Hudson United Bancorp                                                                 10,019         286  
* Quest Software, Inc.                                                                  19,600         285  
  Commerce Group, Inc.                                                                   7,200         285  
* Hercules, Inc.                                                                        23,775         284  
  AGL Resources Inc.                                                                    12,100         283  
  Citizens Banking Corp.                                                                 9,772         283  
  Albemarle Corp.                                                                        9,170         283  
  First Industrial Realty Trust REIT                                                     8,600         283  
* WCI Communities, Inc.                                                                  9,750         282  
  Peoples Energy Corp.                                                                   7,700         282  
  Hilb, Rogal and Hamilton Co.                                                           6,200         281  
  Applebee's International, Inc.                                                        12,200         280  
* Zebra Technologies Corp. Class A                                                       5,800         280  
* Shaw Group, Inc.                                                                       9,100         279  
* RF Micro Devices, Inc.                                                                36,600         279  

                                                                              19

N-30D 22nd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 22nd
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Allegheny Technologies Inc.                                                           17,590       $ 279  
* Expedia Inc.                                                                           4,700         279  
* Payless ShoeSource, Inc.                                                               4,832         279  
* Zale Corp.                                                                             7,600         278  
* The Corporate Executive Board Co.                                                      8,100         277  
* Sonic Corp.                                                                            8,825         277  
* Columbia Sportswear Co.                                                                8,650         277  
  WPS Resources Corp.                                                                    6,779         277  
  First Citizens BancShares Class A                                                      2,500         276  
* Cablevision Systems--NY Group Class A                                                 29,200         276  
  United Bankshares, Inc.                                                                9,400         276  
* Ohio Casualty Corp.                                                                   13,200         276  
* Retek Inc.                                                                            11,347         276  
  WGL Holdings Inc.                                                                     10,600         276  
* Cytec Industries, Inc.                                                                 8,742         275  
  Great Plains Energy, Inc.                                                             13,500         275  
  Interstate Bakeries Corp.                                                              9,500         274  
  Chelsea Property Group REIT                                                            8,200         274  
* The Neiman Marcus Group, Inc. Class A                                                  7,900         274  
  Ruby Tuesday, Inc.                                                                    14,100         274  
* Jack in the Box Inc.                                                                   8,600         273  
  Church & Dwight, Inc.                                                                  8,700         273  
  Callaway Golf Co.                                                                     17,200         272  
* Transkaryotic Therapies, Inc.                                                          7,500         270  
  Westcorp, Inc.                                                                         8,470         270  
  Kennametal, Inc.                                                                       7,400         270  
  Cousins Properties, Inc. REIT                                                         10,900         270  
  Western Gas Resources, Inc.                                                            7,200         269  
  Whitney Holdings                                                                       8,757         269  
* Hollywood Entertainment Corp.                                                         13,000         269  
* Vertex Pharmaceuticals, Inc.                                                          16,502         269  
* NetIQ Corp.                                                                           11,860         268  
* Cross Country, Inc.                                                                    7,100         268  
  Ametek Aerospace Products Inc.                                                         7,200         268  
  Prentiss Properties Trust REIT                                                         8,400         267  
* Apria Healthcare Group Inc.                                                           11,900         267  
* Silicon Valley Bancshares                                                             10,100         266  
  Tupperware Corp.                                                                      12,800         266  
  Graco, Inc.                                                                           10,388         266  
* CheckFree Corp.                                                                       17,000         266  
  Realty Income Corp. REIT                                                               7,200         266  
  Hollinger International, Inc.                                                         22,100         265  
  Park National Corp.                                                                    3,080         265  
* Southwest Bancorporation of Texas, Inc.                                                7,300         264  
* Rite Aid Corp.                                                                       112,390         264  
  F.N.B. Corp.                                                                           9,599         264  
* Meridian Gold Co.                                                                     16,400         263  
  Staten Island Bancorp, Inc.                                                           13,700         263  
* Charter Communications, Inc.                                                          64,465         263  
* Airgas, Inc.                                                                          15,200         263  
  Piedmont Natural Gas, Inc.                                                             7,100         263  
* Oakley, Inc.                                                                          15,000         263  
  Ferro Corp.                                                                            8,700         262  
* Heartland Express, Inc.                                                               10,957         262  
* Polycom, Inc.                                                                         21,777         261  
  Mills Corp. REIT                                                                       8,400         260  
  Arch Coal, Inc.                                                                       11,436         260  
* THQ Inc.                                                                               8,700         259  
* Spinnaker Exploration Co.                                                              7,200         259  
* Cymer, Inc.                                                                            7,400         259  
* CTI Molecular Imaging, Inc.                                                           11,300         259  
  Superior Industries International, Inc.                                                5,600         258  
* Chesapeake Energy Corp.                                                               35,800         258  
* Premcor, Inc.                                                                         10,000         257  
  Regis Corp.                                                                            9,510         257  
* Level 3 Communications, Inc.                                                          87,100         257  
* Techne Corp.                                                                           9,100         257  
* Veridian Corp.                                                                        11,200         256  
  CBL & Associates Properties, Inc. REIT                                                 6,300         255  
* Novell, Inc.                                                                          79,334         255  
* Orthodontic Centers of America, Inc.                                                  11,100         255  
* Perot Systems Corp.                                                                   23,200         253  
  Roper Industries Inc.                                                                  6,772         253  
* Celgene Corp.                                                                         16,500         252  
* Covance, Inc.                                                                         13,425         252  
* Getty Images, Inc.                                                                    11,500         251  
* CEC Entertainment Inc.                                                                 6,050         250  
* Key Energy Services, Inc.                                                             24,000         250  
  HRPT Properties Trust REIT                                                            28,200         250  
  Federal Realty Investment Trust REIT                                                   9,000         249  
* Insight Enterprises, Inc.                                                              9,900         249  
  Fair, Isaac & Co. Inc.                                                                 7,575         249  
* Respironics, Inc.                                                                      7,300         249  
  Shurgard Storage Centers, Inc.Class A REIT                                             7,200         249  
  Washington REIT                                                                        8,600         248  
* Varian Semiconductor Equipment Associates, Inc.                                        7,300         248  
  Lincoln Electric Holdings                                                              9,200         247  
  Pan Pacific Retail Properties, Inc. REIT                                               7,240         247  
* TIBCO Software Inc.                                                                   44,457         247  
  Odyssey Re Holdings Corp.                                                             14,200         247  
  Invacare Corp.                                                                         6,700         246  
* Extreme Networks, Inc.                                                                25,200         246  
* WFS Financial, Inc.                                                                    8,976         246  
* Emmis Communications, Inc.                                                            11,600         246  

20                                                                              

N-30D 23rd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 23rd
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Bio-Rad Laboratories, Inc. Class A                                                     5,400      $  246  
  Standard Pacific Corp.                                                                 7,000         246  
  The Macerich Co. REIT                                                                  7,900         245  
* Citrix Systems, Inc.                                                                  40,500         245  
  Post Properties, Inc. REIT                                                             8,100         244  
  Jefferies Group, Inc.                                                                  5,800         244  
  Claire's Stores, Inc.                                                                 10,650         244  
* Tom Brown, Inc.                                                                        8,600         244  
  Health Care REIT, Inc.                                                                 8,100         243  
* Axcelis Technologies, Inc.                                                            21,422         242  
* J.B. Hunt Transport Services, Inc.                                                     8,200         242  
  Louisiana-Pacific Corp.                                                               22,849         242  
  Corn Products International, Inc.                                                      7,750         241  
  Federal Signal Corp.                                                                  10,033         241  
* Varian, Inc.                                                                           7,300         241  
* AnnTaylor Stores Corp.                                                                 9,450         240  
* Agere Systems Inc.                                                                   171,344         240  
  AptarGroup Inc.                                                                        7,800         240  
* Yellow Corp.                                                                           7,400         240  
  First Bancorp/Puerto Rico                                                              6,400         240  
  Bob Evans Farms, Inc.                                                                  7,600         239  
  Global Payments Inc.                                                                   8,000         239  
* Maxtor Corp.                                                                          52,703         238  
* Thomas & Betts Corp.                                                                  12,800         238  
  Westar Energy, Inc.                                                                   15,500         238  
  La Quinta Corp. REIT                                                                  33,333         237  
* CACI International, Inc.                                                               6,200         237  
  Sensient Technologies Corp.                                                           10,400         237  
* The Nautilus Group, Inc.                                                               7,700         236  
  SL Green Realty Corp. REIT                                                             6,600         235  
* Mueller Industries Inc.                                                                7,400         235  
  American Greetings Corp. Class A                                                      14,100         235  
  Hughes Supply, Inc.                                                                    5,300         235  
* Credence Systems Corp.                                                                13,200         235  
  Longs Drug Stores, Inc.                                                                8,300         234  
* Speedway Motorsports, Inc.                                                             9,200         234  
* Men's Wearhouse, Inc.                                                                  9,150         233  
* Imation Corp.                                                                          7,840         233  
* Province Healthcare Co.                                                               10,425         233  
* Priority Healthcare Corp. Class B                                                      9,918         233  
  IDEX Corp.                                                                             6,950         233  
  Reckson Associates Realty Corp. REIT                                                   9,300         232  
* FMC Corp.                                                                              7,673         231  
* Enzon, Inc.                                                                            9,400         231  
* Sycamore Networks, Inc.                                                               59,900         231  
  American Capital Strategies, Ltd.                                                      8,400         231  
* Cabot Microelectronics Corp.                                                           5,342         231  
  CVB Financial Corp.                                                                   10,140         230  
* Too Inc.                                                                               7,469         230  
  Community First Bankshares, Inc.                                                       8,800         230  
  Diagnostic Products Corp.                                                              6,200         229  
  Hancock Holding Co.                                                                    3,400         229  
* Pure Resources, Inc.                                                                  11,000         229  
* Stone Energy Corp.                                                                     5,684         229  
* McDATA Corp. Class A                                                                  25,941         229  
  PolyOne Corp.                                                                         20,300         228  
  IDACORP, Inc.                                                                          8,300         228  
  Essex Property Trust, Inc. REIT                                                        4,166         228  
  Granite Construction Co.                                                               9,000         228  
  UMB Financial Corp.                                                                    4,852         227  
* Sybase, Inc.                                                                          21,546         227  
  Alexander & Baldwin, Inc.                                                              8,900         227  
* Northwest Airlines Corp. Class A                                                      18,800         227  
* Philadelphia Consolidated Holding Corp.                                                5,000         227  
* United Stationers, Inc.                                                                7,400         225  
* Entegris Inc.                                                                         15,400         225  
* MKS Instruments, Inc.                                                                 11,200         225  
* Knight Transportation, Inc.                                                            9,690         225  
  Cambrex Corp.                                                                          5,600         225  
* Alkermes, Inc.                                                                        14,000         224  
* Station Casinos, Inc.                                                                 12,550         224  
* Amkor Technology, Inc.                                                                36,000         224  
* ICOS Corp.                                                                            13,200         224  
  Olin Corp.                                                                            10,100         224  
  USFreightways Corp.                                                                    5,900         223  
  Florida Rock Industries, Inc.                                                          6,200         223  
* NBTY, Inc.                                                                            14,400         223  
* Hovnanian Enterprises Class A                                                          6,200         222  
  Lennox International Inc.                                                             12,340         222  
  Energen Corp.                                                                          8,200         222  
  Heritage Property Investment Trust REIT                                                8,300         222  
  The Pep Boys (Manny, Moe & Jack)                                                      13,140         221  
  Chemical Financial Corp.                                                               5,894         221  
* Earthlink, Inc.                                                                       32,887         221  
  Thor Industries, Inc.                                                                  3,100         221  
* DoubleClick Inc.                                                                      29,732         221  
* Aztar Corp.                                                                           10,600         220  
  FactSet Research Systems Inc.                                                          7,400         220  
* ITT Educational Services, Inc.                                                        10,100         220  
* CSG Systems International, Inc.                                                       11,500         220  
* Hanover Compressor Co.                                                                16,300         220  
  W Holding Co., Inc.                                                                    9,100         220  
* Palm, Inc.                                                                           125,015         220  
  Weis Markets, Inc.                                                                     5,900         220  
* Continental Airlines, Inc. Class B                                                    13,900         219  
* Cox Radio, Inc.                                                                        9,100         219  
* K-V Pharmaceutical Co. Class A                                                         8,075         218  
  Blockbuster Inc. Class A                                                               8,100         218  
* Red Hat, Inc.                                                                         37,100         218  
  CH Energy Group, Inc.                                                                  4,400         218  

                                                                              21

N-30D 24th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 24th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Farmer Brothers, Inc.                                                                    600       $ 218  
  Minerals Technologies, Inc.                                                            4,400         217  
* MedQuist, Inc.                                                                         8,151         217  
* Kansas City Southern                                                                  12,950         217  
  Cleco Corp.                                                                            9,900         217  
  Fleming Cos., Inc.                                                                    11,800         217  
  DQE Inc.                                                                              15,450         216  
  Home Properties of New York, Inc. REIT                                                 5,700         216  
* Terex Corp.                                                                            9,600         216  
  Burlington Coat Factory Warehouse Corp.                                               10,140         215  
* Lone Star Technologies, Inc.                                                           9,400         215  
  Clarcor Inc.                                                                           6,800         215  
* Atlantic Coast Airlines Holdings Inc.                                                  9,900         215  
* Duane Reade Inc.                                                                       6,300         215  
  Glatfelter                                                                            11,400         214  
* Sepracor Inc.                                                                         22,400         214  
* Openwave Systems Inc.                                                                 38,078         214  
* Charming Shoppes, Inc.                                                                24,700         213  
  Kelly Services, Inc. Class A                                                           7,900         213  
* Argosy Gaming Co.                                                                      7,500         213  
* Sequa Corp. Class A                                                                    3,256         213  
* Polo Ralph Lauren Corp.                                                                9,500         213  
  Surewest Communications                                                                4,000         213  
  Spartech Corp.                                                                         7,800         212  
  FelCor Lodging Trust, Inc. REIT                                                       11,574         212  
  Great American Financial Resources, Inc.                                              11,000         212  
* Genesis Health Ventures, Inc.                                                         10,565         212  
  The Toro Co.                                                                           3,700         212  
  Reliance Steel & Aluminum Co.                                                          7,000         212  
  New Jersey Resources Corp.                                                             7,100         212  
* Armor Holdings, Inc.                                                                   8,300         212  
* CDI Corp.                                                                              6,500         212  
  Delphi Financial Group, Inc.                                                           4,891         212  
  Liberty Corp.                                                                          5,300         211  
* Hotels.com                                                                             5,000         211  
  Atmos Energy Corp.                                                                     9,000         211  
* AFC Enterprises, Inc.                                                                  6,750         211  
  Potlatch Corp.                                                                         6,200         211  
  Gables Residential Trust REIT                                                          6,600         211  
* Protein Design Labs, Inc.                                                             19,400         211  
* Cree, Inc.                                                                            15,908         210  
  Colonial Properties Trust REIT                                                         5,400         210  
* ShopKo Stores, Inc.                                                                   10,500         210  
* Lattice Semiconductor Corp.                                                           24,000         210  
  PS Business Parks, Inc. REIT                                                           6,000         210  
* UICI                                                                                  10,400         210  
* EGL, Inc.                                                                             12,350         209  
  Nationwide Financial Services, Inc.                                                    5,300         209  
* Perrigo Co.                                                                           16,100         209  
  NDCHealth Corp.                                                                        7,500         209  
* Commonwealth Telephone Enterprises, Inc.                                               5,199         209  
  Universal Corp. VA                                                                     5,700         209  
* Kinder Morgan Management, LLC REIT                                                     6,774         209  
  Thornburg Mortgage, Inc.                                                              10,600         209  
* SEACOR SMIT Inc.                                                                       4,400         208  
  Massey Energy Co.                                                                     16,400         208  
* City Holding Co.                                                                       8,895         208  
* Barra, Inc.                                                                            5,600         208  
* Fossil, Inc.                                                                          10,125         208  
  PNM Resources Inc.                                                                     8,600         208  
* Foundry Networks, Inc.                                                                29,600         208  
  Otter Tail Corp.                                                                       6,596         208  
  Trinity Industries, Inc.                                                               9,950         208  
  TrustCo Bank NY                                                                       15,774         208  
  MAF Bancorp, Inc.                                                                      5,525         208  
  Ruddick Corp.                                                                         12,400         208  
  Curtiss-Wright Corp.                                                                   2,600         208  
  Manufactured Home Communities, Inc. REIT                                               5,900         207  
  Brady Corp. Class A                                                                    6,000         207  
* Silgan Holdings, Inc.                                                                  5,100         206  
  Cubic Corp.                                                                            8,700         206  
* Pacificare Health Systems, Inc.                                                        7,580         206  
* Sonic Automotive, Inc.                                                                 8,000         206  
* ResMed Inc.                                                                            7,000         206  
* Asyst Technologies, Inc.                                                              10,112         206  
* Cobalt Corp.                                                                           9,000         205  
  Chittenden Corp.                                                                       7,080         205  
  The Standard Register Co.                                                              6,000         205  
* OfficeMax, Inc.                                                                       34,800         205  
* Syncor International Corp.                                                             6,500         205  
  Brandywine Realty Trust REIT                                                           7,900         205  
* Flowers Foods, Inc.                                                                    7,910         204  
* Southern Union Co.                                                                    12,018         204  
* Cytyc Corp.                                                                           26,800         204  
* Ralcorp Holdings, Inc.                                                                 6,533         204  
* Parametric Technology Corp.                                                           57,042         204  
* Evergreen Resources, Inc.                                                              4,800         204  
* Kindred Healthcare, Inc.                                                               4,566         204  
  Sun Communities, Inc. REIT                                                             4,900         204  
  Airborne, Inc.                                                                        10,600         204  
  Greif Brothers Corp. Class A                                                           6,100         204  
* Keane, Inc.                                                                           16,400         203  
* Mentor Graphics Corp.                                                                 14,300         203  
  USEC Inc.                                                                             23,100         203  
* Forward Air Corp.                                                                      6,200         203  
  Taubman Co. REIT                                                                      13,400         203  
  Tredegar Corp.                                                                         8,400         203  

22                                                                          

N-30D 25th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 25th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Nationwide Health Properties, Inc. REIT                                               10,800      $  203  
* Cal Dive International, Inc.                                                           9,200         202  
* Joy Global Inc.                                                                       11,400         202  
* Electronics Boutique Holdings Corp.                                                    6,900         202  
* United Surgical Partners International, Inc.                                           6,625         202  
* Unilab Corp.                                                                           7,365         202  
* Brooks-PRI Automation, Inc.                                                            7,892         202  
  The South Financial Group, Inc.                                                        9,000         202  
* Beverly Enterprises, Inc.                                                             26,500         202  
* 7-Eleven, Inc.                                                                        24,740         202  
  UIL Holdings Corp.                                                                     3,700         202  
* Jo-Ann Stores, Inc. Class A                                                            6,900         201  
  UCBH Holdings, Inc.                                                                    5,300         201  
* Stewart Enterprises, Inc. Class A                                                     31,600         201  
  Alfa Corp.                                                                            17,200         201  
* Tetra Tech, Inc.                                                                      13,675         201  
* AmeriTrade Holding Corp.                                                              43,700         201  
* ADVO, Inc.                                                                             5,200         201  
  Black Hills Corp.                                                                      5,800         201  
  Acuity Brands, Inc.                                                                   11,012         200  
  Technitrol, Inc.                                                                       8,600         200  
  Horace Mann Educators Corp.                                                           10,800         200  
  Northwest Natural Gas Co.                                                              6,850         200  
  Senior Housing Properties Trust REIT                                                  12,730         200  
* Trimeris, Inc.                                                                         4,500         200  
  PFF Bancorp, Inc.                                                                      5,200         200  
* Gaylord Entertainment Co. Class A                                                      8,883         200  
* Aramark Corp. Class B                                                                  8,000         200  
* Manhattan Associates, Inc.                                                             6,200         199  
  Cathay Bancorp, Inc.                                                                   4,800         199  
* Arbitron Inc.                                                                          6,380         199  
* American Italian Pasta Co.                                                             3,900         199  
  Carpenter Technology Corp.                                                             6,900         199  
* First Horizon Pharmaceutical Corp.                                                     9,600         199  
* Boyd Gaming Corp.                                                                     13,800         198  
  Kilroy Realty Corp. REIT                                                               7,400         198  
* Pacific Sunwear of California                                                          8,900         197  
  First Financial Bancorp                                                               10,082         197  
  Commercial Metals Co.                                                                  4,200         197  
  Waypoint Financial Corp.                                                              10,083         197  
* Tuesday Morning Corp.                                                                 10,600         197  
  Sierra Pacific Resources                                                              25,176         196  
* The Wet Seal, Inc. Class A                                                             8,075         196  
* Credit Acceptance Corp.                                                               15,600         196  
  Overseas Shipholding Group Inc.                                                        9,300         196  
  Susquehanna Bancshares, Inc.                                                           8,625         196  
  Chateau Communities, Inc. REIT                                                         6,400         196  
* Amylin Pharmaceuticals, Inc.                                                          17,900         196  
* Universal Compression Holdings, Inc.                                                   8,200         196  
* Advent Software, Inc.                                                                  7,600         195  
  Vintage Petroleum, Inc.                                                               16,400         195  
* Jones Lang Lasalle Inc.                                                                7,900         195  
* ProQuest Co.                                                                           5,500         195  
* The Dress Barn, Inc.                                                                  12,600         195  
  Wolverine World Wide, Inc.                                                            11,150         195  
* Cognex Corp.                                                                           9,700         194  
* Pharmaceutical Resources, Inc.                                                         7,000         194  
* Steel Dynamics, Inc.                                                                  11,800         194  
* Houston Exploration Co.                                                                6,700         194  
* Plantronics, Inc.                                                                     10,200         194  
  Millennium Chemicals, Inc.                                                            13,800         194  
  Banta Corp.                                                                            5,400         194  
* Stage Stores, Inc.                                                                     5,575         194  
* MAXIMUS, Inc.                                                                          6,100         193  
* FLIR Systems, Inc.                                                                     4,600         193  
  Southwest Gas Corp.                                                                    7,800         193  
* MSC Industrial Direct Co., Inc. Class A                                                9,900         193  
  Georgia Gulf Corp.                                                                     7,300         193  
* Haemonetics Corp.                                                                      6,600         193  
  Ventas, Inc. REIT                                                                     15,100         193  
* Tower Automotive, Inc.                                                                13,800         193  
  Texas Regional Bancshares, Inc.                                                        3,880         192  
* Penn National Gaming, Inc.                                                            10,600         192  
* Sotheby's Holdings Class A                                                            13,500         192  
* Del Monte Foods Co.                                                                   16,300         192  
* Landstar System, Inc.                                                                  1,800         192  
* Hot Topic, Inc.                                                                        7,200         192  
* Chiquita Brands International, Inc.                                                   10,736         192  
* Coherent, Inc.                                                                         6,500         192  
* Price Communications Corp.                                                            12,000         192  
* Neurocrine Biosciences, Inc.                                                           6,700         192  
  Cabot Oil & Gas Corp. Class A                                                          8,400         192  
* Intergraph Corp.                                                                      11,000         192  
  Kimball International, Inc. Class B                                                   11,700         192  
  G & K Services, Inc.                                                                   5,600         192  
* Tractor Supply Co.                                                                     2,700         192  
  UGI Corp. Holding Co.                                                                  6,000         192  
  Wallace Computer Services, Inc.                                                        8,900         191  
* Select Medical Corp.                                                                  12,200         191  
* Therasense, Inc.                                                                      10,350         191  
* IDEXX Laboratories Corp.                                                               7,400         191  
* The Children's Place Retail Stores, Inc.                                               7,200         191  
* The Great Atlantic & Pacific Tea Co., Inc.                                            10,200         191  
* CKE Restaurants Inc.                                                                  16,751         191  
  Pacific Northwest Bancorp                                                              6,086         191  
* Waste Connections, Inc.                                                                6,100         191  

                                                                              23

N-30D 26th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 26th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Roadway Corp.                                                                          5,300      $  190  
* Crown Castle International Corp.                                                      48,450         190  
  Alpharma, Inc. Class A                                                                11,200         190  
* OSI Pharmaceuticals, Inc.                                                              7,900         190  
  LNR Property Corp.                                                                     5,500         190  
* Anteon International Corp.                                                             7,500         190  
  A.O. Smith Corp.                                                                       6,150         189  
* Electronics for Imaging, Inc.                                                         11,900         189  
  Centex Construction Products, Inc.                                                     5,200         189  
* Conseco Inc.                                                                          94,631         189  
* Crown Cork & Seal Co., Inc.                                                           27,622         189  
* Group 1 Automotive, Inc.                                                               5,000         189  
* IGEN International, Inc.                                                               6,000         189  
  Cooper Cos., Inc.                                                                      4,000         188  
* MPS Group, Inc.                                                                       22,154         188  
  Baldor Electric Co.                                                                    7,500         188  
* Abgenix, Inc.                                                                         19,000         188  
  The Manitowac Co., Inc.                                                                5,300         188  
* Sinclair Broadcast Group, Inc.                                                        13,000         188  
  Arrow International, Inc.                                                              4,800         187  
* Entravision Communications Corp.                                                      15,300         187  
  Mentor Corp.                                                                           5,104         187  
* Papa John's International, Inc.                                                        5,600         187  
* Westport Resources Corp.                                                              11,390         187  
* CONMED Corp.                                                                           8,359         187  
  MeriStar Hospitality Corp. REIT                                                       12,220         186  
* Advanced Energy Industries, Inc.                                                       8,400         186  
  Northwest Bancorp, Inc.                                                               14,100         186  
  Landry's Restaurants, Inc.                                                             7,300         186  
* Choice Hotel International, Inc.                                                       9,300         186  
* Anixter International Inc.                                                             8,000         186  
  ABM Industries                                                                        10,700         186  
* GrafTech International Ltd.                                                           15,100         186  
  Matthews International Corp.                                                           7,900         184  
* TriQuint Semiconductor, Inc.                                                          28,745         184  
* Teletech Holdings Inc.                                                                19,300         184  
* R.H. Donnelley Corp.                                                                   6,580         184  
* Dollar Thrifty Automotive Group, Inc.                                                  7,100         184  
  Pacific Capital Bancorp                                                                7,700         184  
* CommScope, Inc.                                                                       14,700         184  
* Teledyne Technologies, Inc.                                                            8,911         184  
* SanDisk Corp.                                                                         14,800         184  
  John H. Harland Co.                                                                    6,400         183  
* Black Box Corp.                                                                        4,500         183  
  Woodward Governor Co.                                                                  3,100         183  
  Anchor Bancorp Wisconsin Inc.                                                          7,600         183  
* Journal Register Co.                                                                   9,100         183  
* Siliconix, Inc.                                                                        6,600         183  
* Grey Wolf, Inc.                                                                       45,000         183  
* Veeco Instruments, Inc.                                                                7,900         183  
* Adaptec, Inc.                                                                         23,100         182  
  Avista Corp.                                                                          13,200         182  
* US Oncology, Inc.                                                                     21,850         182  
* Sybron Dental Specialties, Inc.                                                        9,836         182  
  Harbor Florida Bancshares, Inc.                                                        8,200         182  
  Owens & Minor, Inc. Holding Co.                                                        9,200         182  
  Briggs & Stratton Corp.                                                                4,700         182  
  H.B. Fuller Co.                                                                        6,200         182  
* FEI Co.                                                                                7,400         181  
  First Commonwealth Financial Corp.                                                    13,500         181  
  Santander BanCorp                                                                     10,350         181  
* Stillwater Mining Co.                                                                 11,400         181  
* Celera Genomics Group-- Applera Corp.                                                 15,080         181  
* CUNO Inc.                                                                              5,000         181  
* Meritage Corp.                                                                         4,000         181  
  Winnebago Industries, Inc.                                                             4,100         180  
  Modine Manufacturing Co.                                                               7,338         180  
* Ariba, Inc.                                                                           56,500         180  
  Elcor Corp.                                                                            6,500         180  
  Nordson Corp.                                                                          7,300         180  
  Brown Shoe Co., Inc.                                                                   6,400         180  
  East West Bancorp, Inc.                                                                5,200         180  
* Paxar Corp.                                                                           10,700         179  
  Commercial Net Lease Realty REIT                                                      11,200         179  
  Corus Bankshares Inc.                                                                  3,900         179  
* Global Industries Ltd.                                                                25,600         179  
  FBL Financial Group, Inc. Class A                                                      8,071         179  
  State Auto Financial Corp.                                                            10,900         179  
* Endo Pharmaceuticals Holdings, Inc.                                                   25,500         179  
* Triad Guaranty, Inc.                                                                   4,100         178  
  Flagstar Bancorp, Inc.                                                                 7,725         178  
* Aeropostale, Inc.                                                                      6,500         178  
  United Community Banks, Inc.                                                           6,000         178  
  Glenborough Realty Trust, Inc. REIT                                                    7,500         178  
  Brookline Bancorp, Inc.                                                                7,000         177  
  FBR Asset Investment Corp. REIT                                                        5,300         177  
  Central Parking Corp.                                                                  7,700         177  
* Noven Pharmaceuticals, Inc.                                                            6,900         176  
* Iomega Corp.                                                                          13,680         176  
* Hain Celestial Group, Inc.                                                             9,500         176  
  St. Mary Land & Exploration Co.                                                        7,344         176  
* XM Satellite Radio Holdings, Inc.                                                     23,900         176  
* Exar Corp.                                                                             8,900         176  
* Rayovac Corp.                                                                          9,500         175  
  Russell Corp.                                                                          9,100         175  
* InterMune Inc.                                                                         8,300         175  
  The Trust Co. of New Jersey                                                            6,800         175  
  R.L.I. Corp.                                                                           3,381         174  
* Alliance Imaging, Inc.                                                                12,900         174  
* DIANON Systems, Inc.                                                                   3,252         174  

24                                                                              

N-30D 27th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 27th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* ESS Technology, Inc.                                                                   9,900      $  174  
* Playtex Products, Inc.                                                                13,400         174  
  CNA Surety Corp.                                                                      11,810         173  
  Summit Properties, Inc. REIT                                                           7,500         173  
* Sylvan Learning Systems, Inc.                                                          8,675         173  
  BankAtlantic Bancorp, Inc. Class A                                                    14,335         173  
* Atwood Oceanics, Inc.                                                                  4,566         173  
* Regeneron Pharmaceuticals, Inc.                                                       11,900         173  
* PRG-Schultz International, Inc.                                                       14,000         172  
* American Management Systems, Inc.                                                      9,000         172  
  K-Swiss, Inc.                                                                          6,600         171  
  Amcore Financial, Inc.                                                                 7,400         171  
  Wausau-Mosinee Paper Corp.                                                            14,226         171  
* Wright Medical Group, Inc.                                                             8,500         171  
  Sterling Bancshares, Inc.                                                             11,600         171  
  Anthracite Capital Inc. REIT                                                          12,900         171  
  Rollins, Inc.                                                                          8,400         171  
  UniSource Energy Corp.                                                                 9,200         171  
* Regal Entertainment Group Class A                                                      7,300         170  
* Ocular Sciences, Inc.                                                                  6,400         170  
* Net.B@nk, Inc.                                                                        14,522         169  
  Regal-Beloit Corp.                                                                     7,100         169  
* Plains Resources Inc.                                                                  6,317         169  
* Dionex Corp.                                                                           6,300         169  
  GenCorp, Inc.                                                                         11,800         169  
* Kenneth Cole Productions, Inc.                                                         5,950         169  
  JLG Industries, Inc.                                                                  12,000         168  
* PSS World Medical, Inc.                                                               20,750         168  
* AmeriPath, Inc.                                                                        7,000         168  
* Esterline Technologies Corp.                                                           7,400         168  
* IHOP Corp.                                                                             5,700         168  
  Casey's General Stores, Inc.                                                          13,900         167  
* Oceaneering International, Inc.                                                        6,310         167  
* Triarc Cos., Inc. Class A                                                              6,100         167  
* Unit Corp.                                                                             9,600         167  
* Stoneridge, Inc.                                                                       8,900         166  
  Presidential Life Corp.                                                                8,200         166  
* PTEK Holdings, Inc.                                                                   28,700         166  
* Prime Hospitality Corp.                                                               12,800         166  
  Zenith National Insurance Corp.                                                        5,200         166  
* Electro Scientific Industries, Inc.                                                    6,800         165  
  The Marcus Corp.                                                                       9,900         165  
  Walter Industries, Inc.                                                               12,200         165  
  Tecumseh Products Co. Class A                                                          3,100         165  
* Quicksilver Resources, Inc.                                                            6,400         164  
  Vector Group Ltd.                                                                      9,215         164  
  Mine Safety Appliances Co.                                                             4,100         164  
  LandAmerica Financial Group, Inc.                                                      5,200         164  
* Quiksilver, Inc.                                                                       6,600         164  
* Maverick Tube Corp.                                                                   10,900         164  
* FreeMarkets, Inc.                                                                     11,558         163  
* Plexus Corp.                                                                           9,020         163  
* Integra LifeSciences Holdings                                                          7,500         163  
  OceanFirst Financial Corp.                                                             6,750         163  
  Dime Community Bancshares                                                              7,175         163  
  Wabtec Corp.                                                                          11,814         163  
* Take-Two Interactive Software, Inc.                                                    7,900         163  
  Wintrust Financial Corp.                                                               4,700         162  
* bebe stores, inc                                                                       8,000         162  
  Glimcher Realty Trust REIT                                                             8,800         162  
* Integrated Defense Technology, Inc.                                                    5,500         162  
  N L Industries, Inc.                                                                  10,600         162  
* ADTRAN Inc.                                                                            8,500         161  
* Unifi, Inc.                                                                           14,800         161  
* Goody's Family Clothing                                                               14,100         161  
* ATMI, Inc.                                                                             7,200         161  
* Financial Federal Corp.                                                                4,800         161  
* Sunrise Assisted Living, Inc.                                                          6,000         161  
* MICROS Systems, Inc.                                                                   5,800         161  
  Texas Industries, Inc.                                                                 5,100         161  
  Cato Corp. Class A                                                                     7,200         161  
* Ryan's Family Steak Houses, Inc.                                                      12,150         161  
* VISX Inc.                                                                             14,716         160  
* Comcast Corp.-Special Class A                                                          6,600         160  
  EDO Corp.                                                                              5,600         160  
  Charter Financial Corp.                                                                5,600         159  
* Action Performance Cos., Inc.                                                          5,032         159  
  Solutia, Inc.                                                                         22,600         159  
* Odyssey Healthcare, Inc.                                                               4,400         158  
* Pinnacle Systems, Inc.                                                                14,400         158  
  Methode Electronics, Inc. Class A                                                     12,349         158  
  First Financial Holdings, Inc.                                                         4,900         158  
* Itron, Inc.                                                                            6,000         157  
* W-H Energy Services, Inc.                                                              7,100         157  
* Digital Insight Corp.                                                                  9,560         157  
* Photronics Labs Inc.                                                                   8,300         157  
* Alaska Air Group, Inc.                                                                 6,000         157  
* Pathmark Stores, Inc.                                                                  8,300         156  
* Skyworks Solutions, Inc.                                                              28,091         156  
* Standard Microsystem                                                                   6,600         156  
  Wellman, Inc.                                                                          9,300         156  
  Harleysville National Corp.                                                            5,760         156  
* BE Avionics Inc.                                                                      11,800         156  
* JDA Software Group, Inc.                                                               5,500         155  
* Offshore Logistics, Inc.                                                               6,500         155  
* BankUnited Financial Corp.                                                             8,100         155  
* Pediatrix Medical Group, Inc.                                                          6,200         155  
* Insituform Technologies Inc.Class A                                                    7,300         155  
* Silicon Storage Technology, Inc.                                                      19,800         154  
* Ascential Software Corp.                                                              55,264         154  
* Knight Trading Group, Inc.                                                            29,400         154  
* ExpressJet Holdings, Inc.                                                             11,800         154  

                                                                              25

N-30D 28th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 28th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  First Charter Corp.                                                                    8,500      $  154  
* Renaissance Learning, Inc.                                                             7,600         153  
* Avocent Corp.                                                                          9,612         153  
  Watts Industries Class A                                                               7,700         153  
  First Sentinel Bancorp Inc.                                                           11,100         153  
* Mediacom Communications Corp.                                                         19,580         153  
  Pulitzer, Inc.                                                                         2,933         152  
* Newpark Resources, Inc.                                                               20,700         152  
  JDN Realty Corp. REIT                                                                 12,200         152  
  Argonaut Group, Inc.                                                                   7,100         152  
* Alexander's, Inc. REIT                                                                 1,977         152  
  Carbo Ceramics Inc.                                                                    4,100         152  
* Dril-Quip, Inc.                                                                        6,000         151  
* NCO Group, Inc.                                                                        6,950         151  
* Protection One, Inc.                                                                  55,000         151  
  Kaydon Corp.                                                                           6,400         151  
  Boston Private Financial Holdings, Inc.                                                6,100         151  
* Dycom Industries, Inc.                                                                12,900         151  
* Infonet Services Corp.                                                                61,300         151  
* Magnum Hunter Resources Inc.                                                          19,112         151  
* The Buckle, Inc.                                                                       6,100         151  
* Omega Healthcare Investors, Inc. REIT                                                 19,866         151  
  Koger Equity, Inc. REIT                                                                7,800         151  
  Libbey, Inc.                                                                           4,400         150  
* Berkshire Hathaway Inc. Class B                                                           67         150  
* Macrovision Corp.                                                                     11,400         149  
* National Western Life Insurance Co. Class A                                            1,300         149  
* TBC Corp.                                                                              9,400         149  
* LTX Corp.                                                                             10,400         149  
* Boca Resorts, Inc. Class A                                                            11,200         148  
* McDermott International, Inc.                                                         18,300         148  
* Thoratec Corp.                                                                        16,487         148  
* Littelfuse, Inc.                                                                       6,400         148  
  First Source Corp.                                                                     5,981         148  
* CSK Auto Corp.                                                                        10,600         148  
  Hooper Holmes, Inc.                                                                   18,300         148  
* Quanta Services, Inc.                                                                 14,950         147  
* Southwestern Energy Co.                                                                9,700         147  
* Stein Mart, Inc.                                                                      12,400         147  
* AmSurg Corp.                                                                           5,600         147  
  CPB, Inc.                                                                              3,200         147  
* Photon Dynamics, Inc.                                                                  4,900         147  
* SPS Technologies, Inc.                                                                 3,848         147  
* Immucor Inc.                                                                           6,254         147  
  F & M Bancorp                                                                          4,157         147  
* Kronos, Inc.                                                                           4,800         146  
  Helix Technology Corp.                                                                 7,100         146  
  Franklin Electric, Inc.                                                                3,100         146  
  Belden, Inc.                                                                           7,000         146  
* Hyperion Solutions Corp.                                                               7,979         146  
* Remington Oil & Gas Corp.                                                              7,300         145  
* Rare Hospitality International Inc.                                                    5,400         145  
  Delta & Pine Land Co.                                                                  7,221         145  
* Advanced Digital Information Corp.                                                    17,200         145  
* International Multifoods Corp.                                                         5,500         145  
* Exult Inc.                                                                            22,300         145  
  Madison Gas & Electric Co.                                                             5,200         145  
* Trammell Crow Co.                                                                     10,000         145  
  Bowne & Co., Inc.                                                                      9,800         144  
  Penn Virginia Corp.                                                                    3,700         144  
* J. Jill Group, Inc.                                                                    3,800         144  
* Footstar Inc.                                                                          5,884         144  
* Websense, Inc.                                                                         5,600         143  
* First Federal Financial Corp.                                                          4,932         143  
* Silicon Graphics, Inc.                                                                48,604         143  
* Docucorp International, Inc.                                                          13,961         143  
* United Defense Industries Inc.                                                         6,200         143  
* Aftermarket Technology Corp.                                                           7,300         142  
* Interdigital Communications Corp.                                                     15,700         142  
* Navigators Group, Inc.                                                                 5,300         142  
  Republic Bancorp, Inc.                                                                 9,500         142  
* Orbital Sciences Corp.                                                                17,800         142  
  Steelcase Inc.                                                                        10,600         142  
  Landauer, Inc.                                                                         3,700         142  
  Redwood Trust, Inc. REIT                                                               4,500         142  
* Progress Software Corp.                                                                9,600         142  
* Albany Molecular Research, Inc.                                                        6,700         142  
* ValueVision Media, Inc.                                                                7,800         142  
* Quantum Corp.- DLT & Storage Systems                                                  33,700         142  
  Lone Star Steakhouse & Saloon, Inc.                                                    6,000         142  
* Applica Inc.                                                                          11,400         141  
* Hecla Mining Co.                                                                      30,200         141  
* Palm Harbor Homes, Inc.                                                                7,100         141  
* Chiles Offshore, Inc.                                                                  5,800         141  
* Talk America Holdings, Inc.                                                           34,050         141  
  Nash-Finch Co.                                                                         4,400         141  
* The Medicines Co.                                                                     11,400         141  
  S & T Bancorp, Inc.                                                                    5,200         140  
  Stewart & Stevenson Services, Inc.                                                     7,900         140  
  Herbalife International Class A                                                        7,333         140  
* Nortek, Inc.                                                                           3,100         140  
* RealNetworks, Inc.                                                                    34,300         140  
* Corrections Corp. of America REIT                                                      8,066         140  
  Longview Fibre Co.                                                                    14,800         139  
  Provident Bankshares Corp.                                                             5,880         139  
  Kansas City Life Insurance Co.                                                         3,600         139  
  Interface, Inc.                                                                       17,300         139  
* Cell Genesys, Inc.                                                                    10,300         139  
* School Specialty, Inc.                                                                 5,227         139  

26                                                                          

N-30D 29th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 29th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Watsco, Inc.                                                                           7,600      $  139  
* Mercury Computer Systems, Inc.                                                         6,400         139  
* Priceline.com Inc.                                                                    49,700         139  
* Powerwave Technologies, Inc.                                                          15,100         138  
* Ionics, Inc.                                                                           5,700         138  
* Spherion Corp.                                                                        11,600         138  
* Actuant Corp.                                                                          3,340         138  
  Metris Cos., Inc.                                                                     16,577         137  
  Vital Signs, Inc.                                                                      3,800         137  
  Empire District Electric Co.                                                           6,700         137  
* ImClone Systems, Inc.                                                                 15,785         137  
* Tejon Ranch Co.                                                                        4,210         137  
  Riggs National Corp.                                                                   9,200         137  
* On Assignment, Inc.                                                                    7,700         137  
* Borland Software Corp.                                                                13,300         137  
  First Place Financial Corp.                                                            6,880         137  
  Riviana Foods, Inc.                                                                    5,400         137  
* Aviall Inc.                                                                            9,775         137  
  Ameron International Corp.                                                             1,900         136  
* A.C. Moore Arts & Crafts, Inc.                                                         2,900         136  
  Simmons First National                                                                 3,200         136  
* Tyler Technologies, Inc.                                                              25,600         136  
* Power Integrations, Inc.                                                               7,600         136  
* LendingTree, Inc.                                                                     10,700         136  
* Vitesse Semiconductor Corp.                                                           43,000         136  
* Atrix Laboratories, Inc.                                                               6,100         136  
* i2 Technologies, Inc.                                                                 91,640         136  
* Foamex International, Inc.                                                            12,200         136  
* TETRA Technologies, Inc.                                                               5,100         135  
  Monsanto Co.                                                                           7,600         135  
* American Tower Corp. Class A                                                          39,180         135  
* Internet Security Systems, Inc.                                                       10,300         135  
  Community Trust Bancorp Inc.                                                           4,800         135  
  NBT Bancorp, Inc.                                                                      7,453         135  
  Interpool, Inc.                                                                        7,800         135  
  Columbia Bancorp                                                                       5,700         135  
* The Gymboree Corp.                                                                     8,400         135  
* Actel Corp.                                                                            6,400         135  
* Ultratech Stepper, Inc.                                                                8,300         134  
* Imagistics International Inc.                                                          6,257         134  
* General Binding Corp.                                                                  8,028         134  
  Frontier Oil Corp.                                                                     7,700         134  
* Input/Output, Inc.                                                                    14,900         134  
  Florida East Coast Industries, Inc.Class A                                             5,300         134  
* Reliant Resources, Inc.                                                               15,300         134  
  UAL Corp.                                                                             11,700         134  
* Systems & Computer Technology Corp.                                                    9,900         134  
  Hancock Fabrics, Inc.                                                                  7,200         134  
* Shuffle Master, Inc.                                                                   7,273         134  
* Rogers Corp.                                                                           4,800         133  
* BroadWing Inc.                                                                        51,309         133  
* InFocus Corp.                                                                         11,300         133  
  Sovran Self Storage, Inc. REIT                                                         4,000         133  
* Hollywood Casino Corp.                                                                12,300         133  
  Pennsylvania REIT                                                                      4,900         133  
  Seacoast Banking Corp. of Florida                                                      2,300         133  
* Dura Automotive Systems, Inc.                                                          6,393         133  
  Phillips-Van Heusen Corp.                                                              8,500         133  
* Cirrus Logic                                                                          17,700         133  
* Genencor International Inc.                                                           13,540         133  
* Gulfmark Offshore, Inc.                                                                3,200         133  
* GameStop Corp.                                                                         6,300         132  
* William Lyon Homes, Inc.                                                               5,100         132  
  MCG Capital Corp.                                                                      7,900         132  
  United National Bancorp                                                                5,738         132  
* WebEx Communications, Inc.                                                             8,300         132  
* Western Digital Corp.                                                                 40,600         132  
* MTR Gaming Group Inc.                                                                  7,900         132  
* Transaction Systems Architects, Inc.                                                  11,200         132  
* Vail Resorts Inc.                                                                      7,700         132  
  Getty Realty Holding Corp. REIT                                                        6,500         132  
  Value Line, Inc.                                                                       3,200         132  
  The Laclede Group, Inc.                                                                5,600         131  
* Collins & Aikman Corp.                                                                14,440         131  
  Suffolk Bancorp                                                                        3,600         131  
  Arrow Financial Corp.                                                                  3,865         131  
* Kulicke & Soffa Industries, Inc.                                                      10,600         131  
  JP Realty Inc. REIT                                                                    4,900         131  
* Viasys Healthcare Inc.                                                                 7,474         130  
* Syntel, Inc.                                                                          10,550         130  
  First Federal Capital Corp.                                                            5,900         130  
  Cascade Bancorp                                                                        7,236         130  
* Handleman Co.                                                                          9,000         130  
* Nautica Enterprises, Inc.                                                             10,000         130  
  Caraustar Industries, Inc.                                                            10,400         130  
  C & D Technologies, Inc.                                                               7,200         130  
* Pegasus Solutions Inc.                                                                 7,400         130  
* PEC Solutions, Inc.                                                                    5,400         129  
  Coca-Cola Bottling Co.                                                                 3,000         129  
  Medford Bancorp, Inc.                                                                  3,700         129  
  Apex Mortgage Capital, Inc. REIT                                                       8,600         129  
* Trimble Navigation Ltd.                                                                8,300         129  
* Interland Inc.                                                                        40,800         129  
  NUI Corp.                                                                              4,700         128  
* Kopin Corp.                                                                           19,400         128  
* American Real Estate Partners, LP                                                     13,200         128  
  IRT Property Co. REIT                                                                 10,100         127  
* Bally Total Fitness Holding Corp.                                                      6,800         127  
* Hologic, Inc.                                                                          8,200         127  
* Galyan's Trading Co.                                                                   5,700         127  
  Hudson River Bancorp. Inc.                                                             4,700         127  

                                                                              27

N-30D 30th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 30th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Lance, Inc.                                                                            8,700     $   127  
  Parkway Properties Inc. REIT                                                           3,500         127  
* Insight Communications Co., Inc.                                                      10,800         127  
* Biosite Inc.                                                                           4,500         127  
* UNOVA, Inc.                                                                           19,500         127  
  Alberto-Culver Co. Class A                                                             2,800         127  
  St. Francis Capital Corp.                                                              5,100         126  
  National Health Investors REIT                                                         7,900         126  
* Hawthorne Financial Corp.                                                              3,900         126  
* Water Pik Technologies, Inc.                                                          10,089         126  
* Avatar Holding, Inc.                                                                   4,500         126  
  Lindsay Manufacturing Co.                                                              5,450         126  
* Guitar Center, Inc.                                                                    6,800         126  
* Bright Horizons Family Solutions, Inc.                                                 3,800         126  
  MacDermid, Inc.                                                                        5,900         125  
* Pegasystems Inc.                                                                      13,900         125  
* Newport Corp.                                                                          8,000         125  
* Symyx Technologies                                                                     9,000         125  
* Hutchinson Technology, Inc.                                                            8,000         125  
  Apogee Enterprises, Inc.                                                               8,700         125  
  EastGroup Properties, Inc. REIT                                                        4,900         125  
* Insurance Auto Auctions, Inc.                                                          6,400         125  
  A. Schulman Inc.                                                                       5,800         124  
  Chemed Corp.                                                                           3,300         124  
* Aeroflex, Inc.                                                                        17,830         124  
  Chesapeake Corp. of Virginia                                                           4,700         124  
* Crown Media Holdings, Inc.                                                            15,665         124  
* HNC Software, Inc.                                                                     7,400         124  
* DuPont Photomasks, Inc.                                                                3,800         123  
  First Financial Corp.-Indiana                                                          2,400         123  
* Pre-Paid Legal Services, Inc.                                                          6,200         123  
  Southwest Bancorp, Inc.                                                                4,450         123  
  Inter-Tel, Inc.                                                                        7,200         123  
  U.S.B. Holding Co., Inc.                                                               6,045         123  
* Right Management Consultants, Inc.                                                     4,675         123  
  Standard Commercial Tobacco Co.                                                        5,663         123  
* Medarex, Inc.                                                                         16,500         122  
* ProBusiness Services, Inc.                                                             8,400         122  
* SurModics, Inc.                                                                        4,700         122  
* SCP Pool Corp.                                                                         4,400         122  
* AirTran Holdings, Inc.                                                                22,700         121  
* Denbury Resources, Inc.                                                               11,800         121  
* Boston Beer Co., Inc. Class A                                                          7,600         121  
  Independent Bank Corp. MA                                                              5,300         121  
* SERENA Software, Inc.                                                                  8,850         121  
* Clark/Bardes Inc.                                                                      5,300         121  
* NCI Building Systems, Inc.                                                             6,800         121  
* Magma Design Automation, Inc.                                                          7,200         121  
  Westbanco Inc.                                                                         5,100         121  
  United Fire & Casualty Co.                                                             3,200         121  
* Durect Corp.                                                                          15,100         121  
* Ventana Medical Systems, Inc.                                                          5,500         121  
* Pacer International, Inc.                                                              7,000         121  
* Plug Power, Inc.                                                                      15,200         120  
  Blair Corp.                                                                            4,700         120  
* RehabCare Group, Inc.                                                                  5,000         120  
* Gardner Denver Inc.                                                                    5,996         120  
  American States Water Co.                                                              4,550         120  
  Innkeepers USA Trust REIT                                                             12,500         120  
* American Medical Security Group, Inc.                                                  5,000         120  
  World Fuel Services Corp.                                                              4,900         120  
  Oriental Financial Group Inc.                                                          4,710         119  
* Information Resources, Inc.                                                           12,706         119  
* Tweeter Home Entertainment Group, Inc.                                                 7,300         119  
  LTC Properties, Inc. REIT                                                             14,200         119  
* SOURCECORP, Inc.                                                                       4,500         119  
  RFS Hotel Investors, Inc. REIT                                                         8,800         119  
* Encore Acquisition Co.                                                                 6,900         119  
* Radio One, Inc. Class D                                                                8,000         119  
* CorVel Corp.                                                                           3,550         119  
* FileNET Corp.                                                                          8,200         119  
* Ligand Pharmaceuticals Inc. Class B                                                    8,200         119  
* WMS Industries, Inc.                                                                   9,700         119  
* Enzo Biochem, Inc.                                                                     8,268         118  
* FuelCell Energy, Inc.                                                                 11,500         118  
  AAR Corp.                                                                             11,700         118  
  RPC Inc.                                                                              10,000         118  
* Penwest Pharmaceuticals Co.                                                            6,050         118  
  Berry Petroleum Class A                                                                7,000         118  
* Isis Pharmaceuticals, Inc.                                                            12,400         118  
* Genta Inc.                                                                            14,200         118  
  Pilgrim's Pride Corp.                                                                  8,400         118  
  ChemFirst Inc.                                                                         4,100         117  
* Cumulus Media Inc.                                                                     8,500         117  
* The Sports Authority, Inc.                                                            10,300         117  
  Angelica Corp.                                                                         6,800         117  
  Dimon Inc.                                                                            16,900         117  
  Spartan Motors, Inc.                                                                   7,700         117  
  Schweitzer-Mauduit International, Inc.                                                 4,750         117  
  Crawford & Co. Class B                                                                14,350         117  
  Corporate Office Properties Trust, Inc. REIT                                           8,000         117  
  Merchants Bancshares, Inc.                                                             4,100         117  
  Tanger Factory Outlet Centers, Inc. REIT                                               3,989         116  
* Shoe Carnival, Inc.                                                                    5,450         116  
* Quality Systems, Inc.                                                                  6,900         116  
* Strattec Security Corp.                                                                2,100         116  

28                                                                          

N-30D 31st “Page” of 67 TOC 1st Previous Next ↓Bottom Just 31st
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  L. S. Starrett Co. Class A                                                             4,600      $  116  
* Alliance Gaming Corp.                                                                  9,500         116  
  NACCO Industries, Inc. Class A                                                         1,991         116  
* Incyte Genomics, Inc.                                                                 15,900         116  
* Informatica Corp.                                                                     16,300         116  
* Cable Design Technologies Corp.                                                       10,750         116  
  CTS Corp.                                                                              9,600         115  
* United Natural Foods, Inc.                                                             5,900         115  
* Startek, Inc.                                                                          4,300         115  
  LSI Industries Inc.                                                                    6,246         115  
* General Maritime Corp.                                                                11,700         115  
* RailAmerica, Inc.                                                                     10,596         115  
* GlobespanVirata, Inc.                                                                 29,610         115  
* PETCO Animal Supplies, Inc.                                                            4,600         115  
* Skechers U.S.A., Inc.                                                                  5,300         115  
  Barnes Group, Inc.                                                                     5,000         115  
* Drexler Technology Corp.                                                               5,300         114  
  Strayer Education, Inc.                                                                1,800         114  
* Advance Auto Parts, Inc.                                                               2,100         114  
  Town & Country Trust REIT                                                              5,100         114  
* Inhale Therapeutic Systems                                                            11,500         114  
* InterCept, Inc.                                                                        5,500         114  
  German American Bancorp                                                                6,160         114  
* Quaker City Bancorp, Inc.                                                              2,750         114  
  Patriot Bank Corp.                                                                     8,100         114  
  Independent Bank Corp. (Michigan)                                                      3,600         114  
* Embrex, Inc.                                                                           5,200         114  
  Universal Health Realty Income REIT                                                    4,300         114  
* Gartner, Inc. Class A                                                                 11,400         113  
* Kroll Inc.                                                                             5,400         113  
  Omega Financial Corp.                                                                  3,100         113  
  Bassett Furniture Industries, Inc.                                                     5,800         113  
  BSB Bancorp, Inc.                                                                      4,237         113  
* Sykes Enterprises, Inc.                                                               14,700         113  
* Martek Biosciences Corp.                                                               5,400         113  
  Bryn Mawr Bank Corp.                                                                   2,800         113  
* Macromedia, Inc.                                                                      12,700         113  
* Consolidated Graphics, Inc.                                                            6,000         113  
  Irwin Financial Corp.                                                                  5,600         113  
* Coinstar, Inc.                                                                         4,600         112  
* Kmart Corp.                                                                          109,100         112  
* Impax Laboratories, Inc.                                                              15,000         112  
  Horizon Financial Corp.                                                                7,630         112  
* Veritas DGC Inc.                                                                       8,900         112  
  Connecticut Water Services, Inc.                                                       3,675         112  
* Gene Logic Inc.                                                                        8,000         112  
* Cerus Corp.                                                                            3,300         112  
* Vivus, Inc.                                                                           16,500         112  
  Ryerson Tull, Inc.                                                                     9,591         112  
* S&K Famous Brands Inc.                                                                 9,100         111  
* Adolor Corp.                                                                           9,900         111  
* HPL Technologies, Inc.                                                                 7,400         111  
* PAREXEL International Corp.                                                            8,000         111  
* Ocwen Financial Corp.                                                                 20,800         111  
* Learning Tree International, Inc.                                                      6,000         111  
  Equity Inns, Inc. REIT                                                                13,900         111  
  Oneida Ltd.                                                                            5,800         111  
* APAC Teleservices, Inc.                                                               18,800         111  
* Zymogenetics, Inc.                                                                    12,575         111  
* IDT Corp. CLass B                                                                      6,800         111  
* Maxygen Inc.                                                                           9,244         111  
  Peoples Holding Co.                                                                    2,700         111  
* The Topps Co., Inc.                                                                   11,000         111  
  First South Bancorp, Inc.                                                              3,050         111  
  Middlesex Water Co.                                                                    4,200         110  
* The Boyds Collection, Ltd.                                                            17,500         110  
* Mothers Work, Inc.                                                                     2,800         110  
* Alliance Data Systems Corp.                                                            4,300         110  
  Advanced Marketing Services                                                            6,000         110  
* DSP Group Inc.                                                                         5,600         110  
  Fleetwood Enterprises, Inc.                                                           12,600         110  
  Coachmen Industries, Inc.                                                              7,604         109  
  AMCOL International Corp.                                                             16,900         109  
* eResearch Technology, Inc.                                                             4,300         109  
  Kramont Realty Trust REIT                                                              6,800         109  
  Arch Chemicals, Inc.                                                                   4,450         109  
  Sealed Air Corp. $2.00 Cvt. Pfd.                                                       2,660         109  
* Forrester Research, Inc.                                                               5,600         109  
  Capstead Mortgage Corp. REIT                                                           4,812         108  
  Movado Group, Inc.                                                                     4,400         108  
* Buckeye Technology, Inc.                                                              10,800         108  
* Nuevo Energy Co.                                                                       6,800         107  
  First Indiana Corp.                                                                    4,922         107  
  Dover Downs Gaming & Entertainment, Inc.                                               8,470         107  
* Bio-Technology General Corp.                                                          17,800         107  
* IDX Systems Corp.                                                                      8,200         107  
* Advanced Neuromodulation Systems, Inc.                                                 3,500         107  
* Loral Space & Communications                                                         107,800         107  
* Energy Conversion Devices, Inc.                                                        6,800         107  
  Fidelity Bancorp, Inc.                                                                 4,950         107  
* Checkpoint Systems, Inc.                                                               9,100         106  
  The Stride Rite Corp.                                                                 13,300         106  
* Parker Drilling Co.                                                                   32,500         106  
  McGrath Rent Corp.                                                                     4,100         106  
  W.P. Carey & Co. LLC                                                                   4,700         106  
  Pioneer Standard Electronics Inc.                                                     10,200         106  
* Alliance Semiconductor Corp.                                                          14,900         106  
  Granite State Bankshares, Inc.                                                         3,300         106  
* Nextel Partners, Inc.                                                                 35,080         106  
* Silicon Image, Inc.                                                                   17,200         105  
* Mesa Air Group Inc.                                                                   11,400         105  
                                                                              29                            

N-30D 32nd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 32nd
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Churchill Downs, Inc.                                                                  2,600      $  105  
  Mid Atlantic Realty Trust REIT                                                         5,950         105  
* ILEX Oncology, Inc.                                                                    7,400         104  
  Washington Trust Bancorp, Inc.                                                         4,400         104  
* UnitedGlobalCom Inc. Class A                                                          37,800         104  
* AMC Entertainment, Inc.                                                                7,300         104  
* Helen of Troy Corp.                                                                    8,900         104  
* EMS Technologies, Inc.                                                                 5,000         103  
  Crown American Realty Trust REIT                                                      11,000         103  
* InVision Technologies, Inc.                                                            4,300         103  
* Metro One Telecommunications, Inc.                                                     7,400         103  
* Casella Waste Systems, Inc.                                                            8,600         103  
  MTS Systems Corp.                                                                      8,220         103  
* Echelon Corp.                                                                          8,000         103  
* Swift Energy Co.                                                                       6,600         103  
* URS Corp.                                                                              3,700         103  
* Lexar Media, Inc.                                                                     24,060         103  
* Cole National Corp. Class A                                                            5,400         103  
  Donnelly Corp.                                                                         3,800         103  
* Friendly Ice Cream Corp.                                                              13,400         103  
  Wabash National Corp.                                                                 10,250         103  
* Coldwater Creek Inc.                                                                   4,200         102  
* Guess ?, Inc.                                                                         14,200         102  
  Central Vermont Public Service Corp.                                                   5,800         102  
* CompuCredit Corp.                                                                     14,500         102  
* Amerco, Inc.                                                                           6,900         102  
  Milacron Inc.                                                                          9,900         102  
* Intermagnetics General Corp.                                                           5,032         102  
  Fremont General Corp.                                                                 24,300         102  
* USG Corp.                                                                             14,500         102  
  Puerto Rican Cement Co., Inc.                                                          2,900         102  
* Florida Banks, Inc.                                                                   12,300         101  
* Vestcom International, Inc.                                                           17,400         101  
* Multimedia Games Inc.                                                                  4,650         101  
* Cadiz Inc.                                                                            11,900         101  
* Spanish Broadcasting System, Inc.                                                     10,100         101  
* MedCath Corp.                                                                          5,900         101  
  CB Bancshares Inc./Hawaii                                                              2,662         101  
  Heritage Financial Corp.                                                               6,300         101  
* j2 Global Communications, Inc.                                                         6,125         101  
* Antigenics, Inc.                                                                      10,212         101  
* CV Therapeutics, Inc.                                                                  5,400         101  
  First Financial Bankshares, Inc.                                                       2,400         100  
* Century Business Services, Inc.                                                       30,800         100  
* DVI, Inc.                                                                              5,200         100  
* Wackenhut Corrections Corp.                                                            6,700         100  
* webMethods, Inc.                                                                      10,129         100  
* Oregon Steel Mills, Inc.                                                              16,700         100  
* Tanox, Inc.                                                                            9,224         100  
  Gold Banc Corp., Inc.                                                                  9,100         100  
* Finisar Corp.                                                                         42,100         100  
* Myriad Genetics, Inc.                                                                  4,900         100  
  Summit Bancshares, Inc.                                                                4,100         100  
* NPS Pharmaceuticals Inc.                                                               6,500         100  
  West Coast Bancorp                                                                     5,800          99  
  Calgon Carbon Corp.                                                                   11,800          99  
* Therma-Wave Inc.                                                                       8,700          99  
* Vignette Corp.                                                                        50,195          99  
* Eon Labs, Inc.                                                                         5,500          99  
* Ciber, Inc.                                                                           13,600          99  
* International Specialty Products, Inc.                                                12,800          99  
  Advanta Corp. Class A                                                                  9,063          98  
* Capital Corp. of the West                                                              5,182          98  
* Power-One, Inc.                                                                       15,800          98  
* Encore Wire Corp.                                                                      6,900          98  
  Centennial Bancorp                                                                    12,458          98  
  Oxford Industries, Inc.                                                                3,500          98  
  Thomas Nelson, Inc.                                                                    9,250          98  
  Gorman-Rupp Co.                                                                        3,100          98  
* United Therapeutics Corp.                                                              7,900          98  
* Key Production Co., Inc.                                                               5,000          98  
  Southern Peru Copper Corp.                                                             6,500          97  
* Pericom Semiconductor Corp.                                                            8,400          97  
* Documentum, Inc.                                                                       8,100          97  
* Tekelec                                                                               12,100          97  
* California Pizza Kitchen, Inc.                                                         3,900          97  
* General Communication, Inc.                                                           14,500          97  
* Intuitive Surgical, Inc.                                                              11,400          97  
  Flushing Financial Corp.                                                               4,700          96  
* Royal Appliance Manufacturing Co.                                                     15,114          96  
* S1 Corp.                                                                              12,994          96  
* Young Broadcasting Inc.                                                                5,400          96  
* Forgent Networks, Inc.                                                                19,200          96  
* Acclaim Entertainment Inc.                                                            27,191          96  
* Computer Horizons Corp.                                                               19,800          96  
* Pinnacle Entertainment, Inc.                                                           9,000          96  
  Associated Estates Realty Corp. REIT                                                   9,000          95  
* Inet Technologies, Inc.                                                               14,100          95  
* VitalWorks Inc.                                                                       11,600          95  
* Serologicals Corp.                                                                     5,200          95  
* Navigant International, Inc.                                                           6,144          95  
* Midway Games Inc.                                                                     11,174          95  
* Lifeline Systems, Inc.                                                                 3,600          95  
  TF Financial Corp.                                                                     4,100          95  
* Local Financial Corp.                                                                  5,800          95  
* ChipPAC, Inc.                                                                         15,300          95  
* Steak n Shake Co.                                                                      6,100          95  
* Radiant Systems, Inc.                                                                  7,250          94  
* The Advisory Board Co.                                                                 2,600          94  
  Newmil Bancorp, Inc.                                                                   4,700          94  
30                                                                                                          

N-30D 33rd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 33rd
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Cubist Pharmaceuticals, Inc.                                                          10,000       $  94  
* ParkerVision, Inc.                                                                     4,900          94  
* Theragenics Corp.                                                                     11,116          94  
  First Bancorp North Carolina                                                           3,400          94  
* MSCI, Inc.                                                                             8,300          93  
* Mykrolis Corp.                                                                         7,897          93  
  Pulaski Financial Corp.                                                                4,800          93  
* Mail-Well, Inc.                                                                       17,900          93  
* Proxim Corp. CL-A                                                                     31,012          93  
  Novastar Financial, Inc. REIT                                                          2,600          93  
  National Presto Industries, Inc.                                                       2,900          93  
* Molecular Devices Corp.                                                                5,200          93  
* Mastec Inc.                                                                           12,575          93  
* Viacom Inc. Class A                                                                    2,080          92  
  Correctional Properties Trust REIT                                                     4,200          92  
* K2 Inc.                                                                                9,464          92  
  Myers Industries, Inc.                                                                 5,403          92  
* Kyphon Inc.                                                                            6,300          92  
* Ultra Petroleum Corp.                                                                 12,100          92  
* Playboy Enterprises, Inc. Class B                                                      7,200          92  
* Microtune, Inc.                                                                       10,300          92  
* Tularik, Inc.                                                                         10,000          92  
* Inrange Technologies Corp.                                                            19,300          92  
* Champion Enterprises, Inc.                                                            16,300          92  
* Beasley Broadcast Group, Inc.                                                          6,200          91  
* infoUSA Inc.                                                                          16,684          91  
* Steven Madden, Ltd.                                                                    4,600          91  
* Virage Logic Corp.                                                                     7,000          91  
* Zoll Medical Corp.                                                                     2,800          91  
* 4Kids Entertainment Inc.                                                               4,500          91  
* Touch America Holdings, Inc.                                                          33,100          91  
* SCM Microsystems, Inc.                                                                 6,800          91  
* SpaceLabs Medical, Inc.                                                                6,400          91  
  State Financial Services Corp. Class A                                                 6,200          91  
* Petroleum Helicopters, Inc.                                                            3,100          91  
  Quaker Chemical Corp.                                                                  3,700          91  
* ANSYS, Inc.                                                                            4,500          90  
  Holly Corp.                                                                            5,400          90  
* Manugistics Group, Inc.                                                               14,800          90  
* Conexant Systems, Inc.                                                                55,814          90  
* 1-800-FLOWERS.COM, Inc.                                                                8,100          90  
* Old Dominion Freight Line, Inc.                                                        6,000          90  
  Massbank Corp.                                                                         2,550          90  
* Aaon, Inc.                                                                             4,800          90  
  Sandy Spring Bancorp, Inc.                                                             2,800          90  
* MatrixOne, Inc.                                                                       14,978          90  
* Material Sciences Corp.                                                                6,400          90  
* Department 56 Inc.                                                                     5,505          90  
* MEMC Electronic Materials, Inc.                                                       17,700          90  
* Cepheid, Inc.                                                                         16,000          89  
  SJW Corp.                                                                              1,100          89  
* NASSDA Corp.                                                                           7,200          89  
* Keynote Systems Inc.                                                                  12,100          89  
  BCSB Bankcorp, Inc.                                                                    6,800          89  
* OraSure Technologies, Inc.                                                            13,600          88  
* Remec, Inc.                                                                           15,750          88  
* Exelixis, Inc.                                                                        11,730          88  
  Winston Hotels, Inc. REIT                                                              9,300          88  
  Farmers Capital Bank Corp.                                                             2,500          88  
* Wellsford Real Properties Inc.                                                         4,256          88  
* Impath, Inc.                                                                           4,900          88  
* Aerosonic Corp.                                                                        3,700          88  
  Virco Manufacturing Corp.                                                              6,469          88  
  Great Southern Bancorp, Inc.                                                           2,200          88  
* United Capital Corp.                                                                   3,600          87  
  Investors Real Estate Trust REIT                                                       8,200          87  
* Sola International Inc.                                                                7,600          87  
* US Physical Therapy, Inc.                                                              4,300          87  
* Energy Partners, Ltd.                                                                  9,900          87  
  United Mobile Homes, Inc. REIT                                                         6,700          87  
* eFunds Corp.                                                                           9,161          87  
* Neoforma, Inc.                                                                         6,670          87  
  Alabama National BanCorporation                                                        2,000          87  
* Scientific Games Corp.                                                                10,900          87  
* Hanmi Financial Corp.                                                                  5,000          86  
* Neurogen Corp.                                                                         7,380          86  
* Gulf Island Fabrication, Inc.                                                          4,700          86  
* Versicor, Inc.                                                                         6,400          86  
* NS Group Inc.                                                                          9,300          86  
* Administaff, Inc.                                                                      8,600          86  
* NeoPharm, Inc.                                                                         6,830          86  
  HMN Financial, Inc.                                                                    4,500          86  
* Designs, Inc.                                                                         12,650          86  
* Agile Software Corp.                                                                  11,750          85  
* Trans World Entertainment Corp.                                                       14,650          85  
* Wesco International, Inc.                                                             13,550          85  
* Alloy, Inc.                                                                            5,900          85  
* Isle of Capri Casinos, Inc.                                                            4,200          85  
* Legato Systems, Inc.                                                                  23,577          85  
* Petrocorp, Inc.                                                                        8,822          85  
* NetRatings, Inc.                                                                       9,240          85  
* Per-Se Technologies, Inc.                                                              9,184          84  
* Northwest Pipe Co.                                                                     3,600          84  
* Audiovox Corp.                                                                        10,600          84  
* Charles River Associates Inc.                                                          4,200          84  
* Syms Corp.                                                                            12,600          84  
* Conceptus, Inc.                                                                        5,100          84  
* Concord Communications, Inc.                                                           5,100          84  
* Enesco Group, Inc.                                                                     9,600          84  
* Sonus Networks, Inc.                                                                  41,500          84  
* Lin TV Corp.                                                                           3,100          84  
  NYMAGIC, Inc.                                                                          5,600          84  
  Hunt Corp.                                                                             7,700          84  
                                                                              31                            

N-30D 34th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 34th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* TransMontaigne Inc.                                                                   13,800       $  83  
* Insignia Financial Group, Inc.                                                         8,566          83  
* Verity, Inc.                                                                           7,500          83  
* Dendrite International, Inc.                                                           8,600          83  
  UniFirst Corp.                                                                         3,300          83  
* Wind River Systems Inc.                                                               16,552          83  
* Chalone Wine Group Ltd.                                                                9,210          83  
* The Neiman Marcus Group, Inc.Class B                                                   2,561          83  
* Navigant Consulting, Inc.                                                             11,800          82  
* Identix, Inc.                                                                         11,300          82  
* Todd Shipyards Corp.                                                                   6,565          82  
* Lydall, Inc.                                                                           5,400          82  
  Alico, Inc.                                                                            2,800          82  
* Bel Fuse, Inc. Class A                                                                 3,600          82  
  CFS Bancorp, Inc.                                                                      5,300          82  
* Rambus Inc.                                                                           20,000          82  
  Sizeler Property Investors, Inc. REIT                                                  7,500          82  
  Federal Agricultural Mortgage Corp. Class A                                            3,500          81  
* Comstock Resources, Inc.                                                              10,700          81  
* Aspect Communications Corp.                                                           25,400          81  
* PICO Holdings, Inc.                                                                    4,902          81  
* The TriZetto Group, Inc.                                                               9,500          81  
  Mid-State Bancshares                                                                   4,200          81  
* Volt Information Sciences Inc.                                                         3,300          81  
* Nastech Pharmaceutical Co., Inc.                                                       4,900          81  
  MutualFirst Financial Inc.                                                             4,213          80  
* Alexion Pharmaceuticals, Inc.                                                          5,300          80  
  Consolidated-Tomoka Land Co.                                                           4,000          80  
* Aspen Technologies, Inc.                                                               9,600          80  
  Green Mountain Power Corp.                                                             4,400          80  
* NYFIX, Inc.                                                                            9,400          80  
* Midas Inc.                                                                             6,383          80  
* Rudolph Technologies, Inc.                                                             3,200          80  
* First Consulting Group, Inc.                                                           9,255          80  
  BNP Residential Properties, Inc. REIT                                                  6,300          79  
* Eclipsys Corp.                                                                        12,100          79  
* Universal Electronics, Inc.                                                            5,300          79  
* Somera Communications, Inc.                                                           11,100          79  
  Second Bancorp, Inc.                                                                   2,900          79  
  Alamo Group, Inc.                                                                      5,100          79  
  FNB Financial Services Corp.                                                           4,600          79  
  American National Financial, Inc.                                                      5,100          79  
* Cyberonics, Inc.                                                                       6,000          79  
  Sauer-Danfoss, Inc.                                                                    6,900          78  
* NaPro BioTherapeutics, Inc.                                                           11,900          78  
* Kensey Nash Corp.                                                                      4,800          78  
* FSI International, Inc.                                                               10,400          78  
* The Penn Traffic Co.                                                                   7,762          78  
* American Physicians Capital, Inc.                                                      4,200          78  
* UTStarcom, Inc.                                                                        3,840          77  
* Omnova Solutions Inc.                                                                  9,200          77  
* CIMA Labs Inc.                                                                         3,200          77  
* PriceSmart, Inc.                                                                       2,000          77  
* CardioDynamics International Corp.                                                    20,700          77  
* Instinet Group Inc.                                                                   11,800          77  
  Marine Products Corp.                                                                  6,800          77  
* 1-800 CONTACTS, Inc.                                                                   5,700          77  
* Edgewater Technology, Inc.                                                            18,801          77  
* World Acceptance Corp.                                                                 9,100          76  
* Magnatek, Inc.                                                                         7,700          76  
* Factory 2-U Stores Inc.                                                                5,500          76  
  North Valley Bancorp                                                                   4,700          76  
* SITEL Corp.                                                                           24,400          76  
* Kadant Inc.                                                                            4,610          76  
* FalconStor Software, Inc.                                                             17,940          76  
  Tremont Corp.                                                                          2,542          76  
* MRO Software Inc.                                                                      6,650          76  
* Closure Medical Corp.                                                                  5,400          76  
* Centennial Communications Corp. Class A                                               30,900          75  
* Comfort Systems USA, Inc.                                                             15,400          75  
* Perry Ellis International Corp.                                                        4,950          75  
  First Essex Bancorp, Inc.                                                              2,200          75  
* Diversa Corp.                                                                          7,561          75  
  First Merchants Corp.                                                                  2,500          75  
* Capital Trust Class A                                                                 14,400          75  
  X-Rite Inc.                                                                            8,700          75  
* Group 1 Software, Inc.                                                                 5,400          75  
* SuperGen, Inc.                                                                        10,300          75  
* Riverstone Networks, Inc.                                                             23,809          75  
* Titanium Metals Corp.                                                                 18,800          74  
* Dave & Busters, Inc.                                                                   6,077          74  
  CIRCOR International, Inc.                                                             4,300          74  
  Bandag, Inc.                                                                           2,600          74  
* First Republic Bank                                                                    2,700          74  
  Standard Motor Products, Inc.                                                          4,400          74  
* Hexcel Corp.                                                                          16,900          74  
* Regent Communications, Inc.                                                           10,400          73  
* Todhunter International, Inc.                                                          6,700          73  
* ON Semiconductor Corp.                                                                35,603          73  
* Oak Technology, Inc.                                                                  16,100          73  
* Signal Technology Corp.                                                                7,747          73  
* Stanley Furniture Co., Inc.                                                            2,700          72  
  Covest Bankshares, Inc.                                                                3,200          72  
  Banner Corp.                                                                           2,900          72  
  Schnitzer Steel Industries, Inc. Class A                                               3,200          71  
* Quovadx, Inc.                                                                         11,362          71  
  Gentiva Health Services, Inc.                                                          7,931          71  

32                                                                              

N-30D 35th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 35th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* SpeedFam-IPEC, Inc.                                                                   13,602      $   71  
* Arris Group Inc.                                                                      16,200          71  
  Atlantic Tele-Network, Inc.                                                            4,680          71  
* Verisity Ltd.                                                                          4,100          71  
* Pharmacopeia, Inc.                                                                     8,300          71  
* United Online, Inc.                                                                    5,876          71  
* Curative Health Services Inc.                                                          4,200          70  
* Pozen Inc.                                                                            13,600          70  
* Acmat Corp. Class A                                                                    7,000          70  
* Manufacturers' Services Ltd.                                                          14,800          70  
  CPI Corp.                                                                              3,700          70  
* Revlon, Inc. Class A                                                                  14,200          70  
  LSB Corp.                                                                              5,100          70  
* Horizon Offshore, Inc.                                                                 8,300          70  
* National Dentex Corp.                                                                  2,900          70  
* Garden Fresh Restaurant Corp.                                                          5,900          70  
* Enterasys Networks, Inc.                                                              39,210          70  
* Gartner, Inc. Class B                                                                  7,400          70  
* American Power Technology, Inc.                                                        4,800          70  
  Atlanta Sosnoff Capital                                                                6,400          69  
* Asbury Automotive Group, Inc.                                                          5,100          69  
* SonoSite, Inc.                                                                         4,800          69  
  Wainwright Bank & Trust Co.                                                            7,381          69  
* Traffix, Inc.                                                                         14,100          69  
* Transcontinental Realty Investors, Inc. REIT                                           3,485          69  
* Micromuse Inc.                                                                        15,500          69  
* Pixelworks, Inc.                                                                       8,200          69  
* Nashua Corp.                                                                           9,686          69  
  Bridge View Bancorp                                                                    3,675          69  
  Century Bancorp, Inc. Class A                                                          2,500          68  
* Marvel Enterprises Inc.                                                               12,700          68  
* Aksys, Ltd.                                                                            9,900          68  
* SonicWALL, Inc.                                                                       13,600          68  
* Giant Industries, Inc.                                                                 8,500          68  
* World Wrestling Entertainment, Inc.                                                    4,800          68  
* Integrated Silicon Solution, Inc.                                                      7,600          68  
  Dover Motorsports, Inc.                                                               12,100          68  
  Paul Mueller Co.                                                                       2,100          68  
* Jos. A. Bank Clothiers, Inc.                                                           3,800          68  
* Phoenix Technologies Ltd.                                                              6,770          68  
  Vesta Insurance Group, Inc.                                                           15,800          68  
  Hopfed Bancorp, Inc.                                                                   5,400          68  
* Artesyn Technologies, Inc.                                                            10,400          67  
* BioMarin Pharmaceutical Inc.                                                          12,900          67  
  Leeds Federal Bankshares Inc.                                                          2,100          67  
* Bruker Daltonics, Inc.                                                                16,980          67  
* Electroglas, Inc.                                                                      6,700          67  
* Acacia Research Corp.                                                                  9,410          67  
* Possis Medical Inc.                                                                    5,400          67  
* Buca, Inc.                                                                             3,500          67  
* Layne Christensen Co.                                                                  7,200          67  
* PracticeWorks Inc.                                                                     3,700          67  
* F5 Networks, Inc.                                                                      6,800          67  
* Luminex Corp.                                                                          8,848          66  
  Ameriserv Financial Inc.                                                              14,500          66  
* ValueClick, Inc.                                                                      20,491          66  
* Lifecore Biomedical Inc.                                                               5,800          66  
* Prima Energy Corp.                                                                     2,900          66  
  Florida East Coast Industries, Inc. Class B                                            2,772          66  
* Heidrick & Struggles International, Inc.                                               3,300          66  
* E.Piphany Inc.                                                                        14,850          65  
* Progenics Pharmaceuticals, Inc.                                                        5,300          65  
  HF Financial Corp.                                                                     5,200          65  
* Centillium Communications, Inc.                                                        7,420          65  
* Esperion Therapeutics, Inc.                                                           11,900          65  
* ArthroCare Corp.                                                                       5,000          64  
* CryoLife Inc.                                                                          4,000          64  
  National Golf Properties, Inc. REIT                                                    7,500          64  
* Hoenig Group, Inc.                                                                     6,100          64  
* Triton PCS, Inc.                                                                      16,400          64  
* DJ Orthopedics Inc.                                                                    7,800          64  
* Anaren Microwave, Inc.                                                                 7,400          64  
* Raindance Communications, Inc.                                                        11,100          64  
* Stamps.Com Inc.                                                                       14,400          64  
* PRIMEDIA Inc.                                                                         52,254          64  
* Ixia                                                                                  10,950          64  
* ABIOMED, Inc.                                                                          7,500          64  
  Titan International, Inc.                                                             15,700          64  
* Blount International, Inc.                                                            15,137          64  
* Ace Cash Express, Inc.                                                                 6,350          63  
* Interpore International                                                                6,600          63  
* Mobile Mini, Inc.                                                                      3,700          63  
* Intertrust Technologies Corp.                                                         21,000          63  
* MemberWorks, Inc.                                                                      3,400          63  
* Luby's, Inc.                                                                           9,900          63  
  Cadmus Communications                                                                  5,600          63  
  Team Financial, Inc.                                                                   6,000          63  
* Danielson Holdings Corp.                                                              12,320          63  
* Interwoven, Inc.                                                                      20,500          63  
* Transmeta Corp.                                                                       26,542          62  
* Nu Horizons Electronics Corp.                                                          7,522          62  
* Universal Display Corp.                                                                7,500          62  
* eSPEED, Inc.                                                                           5,700          62  
* Ulticom, Inc.                                                                          9,168          62  
  WSFS Financial Corp.                                                                   2,400          62  
  General Cable Corp.                                                                    9,850          62  
* dELiA*s Corp. Class A                                                                 12,153          62  
  Prosperity Bancshares, Inc.                                                            3,400          62  
* Korn/Ferry International                                                               6,800          62  
* Concurrent Computer Corp.                                                             13,300          62  
* SeeBeyond Technology Corp.                                                            19,900          62  

                                                                              33

N-30D 36th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 36th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* QCF Bancorp, Inc.                                                                      2,200       $  62  
  Curtiss-Wright Corp. Class B                                                             811          62  
* Mapics Inc.                                                                           11,000          61  
* Medical Action Industries Inc.                                                         4,800          61  
* Inverness Medical Innovations, Inc.                                                    3,040          61  
  Community Bank System, Inc.                                                            1,900          61  
* Ceres Group, Inc.                                                                     15,700          61  
* Mortons Restaurant Group                                                               4,056          61  
  A.M. Castle & Co.                                                                      4,900          61  
* Corixa Corp.                                                                           8,900          61  
* Liberate Technologies, Inc.                                                           23,100          61  
  Superior Uniform Group, Inc.                                                           5,900          61  
* Midwest Express Holdings, Inc.                                                         4,600          61  
* XOMA Ltd.                                                                             15,200          61  
* The Good Guys, Inc.                                                                   17,100          60  
* ZixIt Corp.                                                                           11,000          60  
* Impco Technologies Inc.                                                                4,600          60  
* Saxon Capital Inc.                                                                     3,700          60  
* Total Entertainment Restaurant Corp.                                                   3,700          60  
  Timberline Software Corp.                                                             11,058          60  
* Consumer Portfolio Services, Inc.                                                     22,700          60  
* Ventiv Health, Inc.                                                                   21,306          60  
* Netegrity, Inc.                                                                        9,750          60  
* Tenneco Automotive, Inc.                                                               9,560          60  
* Worldwide Restaurant Concepts Inc.                                                    20,400          60  
  Maine Public Service Co.                                                               2,000          60  
* Paypal Inc.                                                                            2,950          60  
  American Land Lease, Inc. REIT                                                         3,900          59  
* Daisytek International Corp.                                                           3,500          59  
* Witness Systems, Inc.                                                                  8,000          59  
* Expedia Inc. Warrants                                                                  2,034          59  
* Wink Communications, Inc.                                                             20,400          59  
* Turnstone Systems, Inc.                                                               13,600          59  
  HEICO Corp.                                                                            4,200          59  
* Cross Media Marketing Corp.                                                            6,264          59  
  Cash America International Inc.                                                        6,400          59  
* Norstan, Inc.                                                                         14,700          59  
* EMCORE Corp.                                                                           9,800          59  
* Vicor Corp.                                                                            8,400          59  
* Computer Task Group, Inc.                                                             11,800          59  
* Redback Networks Inc.                                                                 32,700          59  
* Actuate Software Corp.                                                                13,000          59  
* Benihana Inc. Class A                                                                  3,100          58  
* Gadzooks, Inc.                                                                         4,600          58  
* WorldCom Inc.-WorldCom Group                                                         641,361          58  
* TriPath Imaging, Inc.                                                                 13,200          58  
* Sirius Satellite Radio, Inc.                                                          15,300          58  
* Stratus Properties Inc.                                                                6,100          57  
  Allen Organ Co.                                                                        1,400          57  
* Sonic Innovations, Inc.                                                                8,100          57  
* Arena Pharmaceuticals, Inc.                                                            6,808          57  
* Kendle International Inc.                                                              4,200          57  
* Hartmarx Corp.                                                                        22,800          57  
* Digital River, Inc.                                                                    6,200          57  
  Oil-Dri Corp. of America                                                               6,800          57  
  Talx Corp.                                                                             3,000          57  
* La Jolla Pharmaceutical Co.                                                            9,100          57  
* American Pharmaceuticals Partners, Inc.                                                4,600          57  
  Greater Delaware Valley Savings Bank                                                   2,175          57  
* Lexicon Genetics Inc.                                                                 11,600          57  
* Strategic Distribution, Inc.                                                           4,020          57  
* US Airways Group, Inc.                                                                15,305          57  
* SPSS, Inc.                                                                             3,644          57  
* ePresence, Inc.                                                                       15,100          57  
* Carreker Corp.                                                                         5,000          57  
* The Meridian Resource Corp.                                                           15,200          57  
* Verint Systems Inc.                                                                    5,000          56  
* Safeguard Scientifics, Inc.                                                           28,218          56  
* Zebra Technologies Corp. Class B                                                       1,170          56  
* RadiSys Corp.                                                                          4,850          56  
* Immunomedics Inc.                                                                     10,800          56  
  Meridian Bioscience Inc.                                                               8,100          56  
* Rochester Medical Corp.                                                                9,300          56  
* Merix Corp.                                                                            6,500          56  
  Urstadt Biddle Properties Class A REIT                                                 5,100          56  
* Avigen, Inc.                                                                           5,900          56  
* Acceptance Insurance Cos. Inc.                                                        13,500          55  
* CuraGen Corp.                                                                         10,000          55  
  American Home Mortgage Holdings, Inc.                                                  4,400          55  
* Specialty Laboratories, Inc.                                                           6,600          55  
* C-COR Electronics, Inc.                                                                7,800          55  
* Numerex Corp.                                                                          6,100          55  
* MRV Communications Inc.                                                               35,488          54  
* Liquidmetal Technologies                                                               4,600          54  
  Ampco-Pittsburgh Corp.                                                                 4,500          54  
* Torch Offshore, Inc.                                                                   7,500          54  
  Coastal Bancorp, Inc.                                                                  1,700          54  
* PLATO Learning, Inc.                                                                   5,466          54  
* Medical Staffing Network Holdings, Inc.                                                2,200          54  
* GSI Commerce, Inc.                                                                     7,227          54  
* The Exploration Co. of Delaware                                                        8,000          54  
* Provident Financial Holdings, Inc.                                                     1,600          54  
* Avid Technology, Inc.                                                                  5,800          54  
* America's Car-Mart, Inc.                                                               3,900          54  
* MSC.Software Corp.                                                                     6,000          54  
  Koss Corp.                                                                             3,200          54  
* Synagro Technologies Inc.                                                             16,700          53  

34                                                                          

N-30D 37th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 37th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
  Three Rivers Bancorp, Inc.                                                             3,000      $   53  
  Prime Group Realty Trust REIT                                                          8,200          53  
* CNET Networks, Inc.                                                                   26,731          53  
* iGATE Corp.                                                                           11,500          53  
* Viewpoint Corp.                                                                       10,997          53  
* Digene Corp.                                                                           4,500          53  
* International Shipholding Corp.                                                        8,075          53  
* McMoRan Exploration Co.                                                               12,297          53  
* Covansys Corp.                                                                         9,400          53  
* EEX Corp.                                                                             26,348          53  
* Rainbow Technologies, Inc.                                                            10,700          53  
  Intermet Corp.                                                                         4,900          53  
* ITXC Corp.                                                                            10,100          53  
* Handspring, Inc.                                                                      30,200          53  
* Banc Corp.                                                                             6,100          53  
  Community Banks, Inc.                                                                  1,785          53  
* Main Street & Main, Inc.                                                               8,300          52  
* RSA Security Inc.                                                                     10,850          52  
* Canaan Energy Corp.                                                                    2,900          52  
* EPIQ Systems, Inc.                                                                     3,050          52  
* Presstek, Inc.                                                                        12,931          52  
  Main Street Banks, Inc.                                                                2,500          52  
* NMT Medial, Inc.                                                                       8,100          52  
  HEICO Corp. Class A                                                                    4,609          52  
* MGI Pharma, Inc.                                                                       7,300          52  
* Columbia Banking System, Inc.                                                          3,990          52  
* Wyndham International, Inc. Class A                                                   44,326          51  
* QRS Corp.                                                                              6,600          51  
* Three-Five Systems, Inc.                                                               4,500          51  
* IXYS Corp.                                                                             9,513          51  
* Huttig Building Products, Inc.                                                         9,522          51  
* Zomax Inc.                                                                            13,100          51  
* Hall, Kinion & Associates, Inc.                                                        6,800          51  
  Unizan Financial Corp.                                                                 2,385          51  
* SureBeam Corp.                                                                         9,300          51  
* Cell Therapeutics, Inc.                                                                9,300          51  
* Regeneration Technologies, Inc.                                                        8,400          51  
* Innotrac Corp.                                                                        10,500          51  
* Mobius Management Systems, Inc.                                                       15,600          51  
  Sanders Morris Harris Group Inc.                                                       7,800          51  
* Autobytel Inc.                                                                        16,610          51  
* ImmunoGen, Inc.                                                                       18,800          51  
* Lipid Sciences, Inc.                                                                  10,877          51  
* Global Power Equipment Group Inc.                                                      5,100          50  
* Value City Department Stores, Inc.                                                    18,000          50  
* Consolidated Freightways Corp.                                                        15,400          50  
* Cavalier Homes, Inc.                                                                  13,240          50  
  Tecumseh Products Co. Class B                                                          1,000          50  
* SRI/Surgical Express, Inc.                                                             4,000          50  
* Storage Computer Corp.                                                                12,500          50  
  Fedders Corp.                                                                         18,590          50  
* PDI, Inc.                                                                              3,200          50  
  Resource America, Inc.                                                                 4,700          50  
* ANADIGICS, Inc.                                                                        6,000          49  
* Candie's, Inc.                                                                        12,200          49  
* OPNET Technologies, Inc.                                                               5,500          49  
* Lightbridge, Inc.                                                                      6,000          49  
  Oak Hill Financial, Inc.                                                               2,400          49  
  Gulf West Banks, Inc.                                                                  3,322          49  
* Health Management Systems, Inc.                                                       15,553          49  
* Multex.com Inc.                                                                       12,000          49  
* Western Wireless Corp. Class A                                                        15,100          49  
* Gerber Scientific, Inc.                                                               13,900          49  
* Telik, Inc.                                                                            3,900          49  
* Allied Holdings, Inc.                                                                  9,300          49  
* Clayton Williams Energy, Inc.                                                          4,200          49  
* Park-Ohio Holdings Corp.                                                              10,800          49  
  Lillian Vernon Corp.                                                                   6,800          48  
  Codorus Valley Bancorp, Inc.                                                           3,038          48  
* Secure Computing Corp.                                                                 6,400          48  
* SeaChange International, Inc.                                                          5,500          48  
* Digitas Inc.                                                                          10,556          48  
* Corvis Corp.                                                                          73,676          48  
  First Union Real Estate REIT                                                          21,080          48  
* Air Methods Corp.                                                                      5,300          48  
  Reckson Associates Realty Corp. Class B REIT                                           1,840          48  
* American Residential Investment Trust, Inc. REIT                                      11,000          48  
* First Mariner Bancorp, Inc.                                                            4,300          48  
* Paradyne Networks, Inc.                                                               12,200          48  
* CCC Information Services Group                                                         3,400          48  
* Mesaba Holdings, Inc.                                                                  8,100          48  
* Applied Innovation Inc.                                                               11,100          47  
* America West Holdings Corp. Class B                                                   17,200          47  
* Earthshell Corp.                                                                      40,900          47  
* Price Legacy Corp. REIT                                                               12,200          47  
* Checkers Drive-In Restaurants, Inc.                                                    3,950          47  
* U.S. Industries, Inc.                                                                 13,590          47  
* Labor Ready, Inc.                                                                      8,000          47  
  Comm Bancorp, Inc.                                                                     1,300          47  
* Seven Seas Petroleum Inc.                                                             20,600          47  
  Tech/Ops Sevcon, Inc.                                                                  5,700          47  
* M&F Worldwide Corp.                                                                   12,300          47  
* Diametrics Medical, Inc.                                                              12,700          47  
* SoundView Technology Group, Inc.                                                      27,400          47  
  Investors Title Co.                                                                    2,400          47  
* SilverStream Software, Inc.                                                            5,200          46  
  Met-Pro Corp.                                                                          3,200          46  
* Neogen Corp.                                                                           3,400          46  
* United PanAm Financial Corp.                                                           5,800          46  

                                                                              35

N-30D 38th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 38th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Symmetricom Inc.                                                                      12,650      $   46  
* Infinity, Inc.                                                                         5,400          46  
* Dynamics Research Corp.                                                                1,900          46  
* PC Connection, Inc.                                                                   11,200          46  
* Nabi Biopharmaceuticals                                                                8,500          46  
* U.S. Laboratories Inc.                                                                 3,500          46  
* Ribapharm Inc.                                                                         5,000          45  
* Terra Industries, Inc.                                                                21,400          45  
* Novoste Corp.                                                                          9,800          45  
* V.I. Technologies, Inc.                                                               12,400          45  
* Ag Services of America, Inc.                                                           3,700          45  
* Curon Medical Inc.                                                                    13,000          45  
  Ziegler Cos., Inc.                                                                     3,000          45  
* Strategic Diagnostics Inc.                                                            10,200          45  
* Ampal-American Israel Corp.                                                           12,400          45  
  Keithley Instruments Inc.                                                              3,100          45  
* Matria Healthcare, Inc.                                                                5,425          45  
* New Focus, Inc.                                                                       15,000          45  
  Commonwealth Bancorp                                                                   1,500          45  
* Aurora Foods Inc.                                                                     27,600          44  
* Griffin Land & Nurseries, Inc.                                                         3,200          44  
* Daily Journal Corp.                                                                    1,700          44  
* Systemax Inc.                                                                         18,400          44  
* Datastream Systems, Inc.                                                               6,200          44  
* Cone Mills Corp.                                                                      16,400          44  
* Allegiance Telecom, Inc.                                                              24,000          44  
* ViaSat, Inc.                                                                           5,200          44  
* Harmonic, Inc.                                                                        11,922          44  
* Biopure Corp.                                                                          5,700          44  
* Answerthink Consulting Group, Inc.                                                    11,500          44  
* DutchFork Bancshares, Inc.                                                             1,800          43  
* Lakes Entertainment, Inc.                                                              6,362          43  
* Carriage Services, Inc.                                                               10,000          43  
* Bone Care International, Inc.                                                          8,200          43  
* RCN Corp.                                                                             31,300          43  
* Applied Molecular Evolution                                                            7,400          43  
* Capital Pacific Holdings, Inc.                                                        10,300          43  
* MIPS Technologies, Inc.                                                                6,900          43  
* Westpoint Stevens, Inc.                                                               11,000          43  
  Howell Corp.                                                                           3,200          43  
* Team, Inc.                                                                             4,700          43  
* Medialink Worldwide, Inc.                                                             11,300          42  
* Xanser Corp.                                                                          23,184          42  
* Catalytica Energy Systems, Inc.                                                       13,326          42  
* Candela Corp.                                                                          7,650          42  
* Capstone Turbine Corp.                                                                25,276          42  
* Concerto Software Inc.                                                                 6,650          42  
* Trover Solutions, Inc.                                                                 7,100          42  
  First Midwest Financial, Inc.                                                          3,000          42  
* Fairchild Corp.                                                                       13,241          42  
* TurboChef, Inc.                                                                       15,600          42  
* Lazare Kaplan International, Inc.                                                      5,800          41  
* Spectranetics Corp.                                                                   20,500          41  
* Workflow Management, Inc.                                                             12,109          41  
* Integrated Electrical Services, Inc.                                                   6,600          41  
* Bioject Medical Technologies Inc.                                                     11,300          41  
  Medallion Financial Corp.                                                              7,800          41  
* Owens Corning                                                                         34,600          41  
* Zoltek Cos., Inc.                                                                     15,300          41  
* Troy Group, Inc.                                                                      12,100          41  
* Tollgrade Communications, Inc.                                                         2,800          41  
  Greater Community Bancorp                                                              2,567          41  
* Katy Industries, Inc.                                                                  8,200          41  
* SciClone Pharmaceuticals, Inc.                                                        20,500          41  
* Click Commerce, Inc.                                                                  36,600          41  
* JNI Corp.                                                                             11,700          41  
* Illumina, Inc.                                                                         6,080          41  
  ISCO, Inc.                                                                             4,400          41  
* Technology Solutions Co.                                                              31,750          41  
  California Independent Bancorp                                                         2,072          41  
* Lancer Corp.                                                                           6,702          41  
* Coeur D'Alene Mines Corp.                                                             23,900          41  
* LodgeNet Entertainment Corp.                                                           2,800          40  
* Rentrak Corp.                                                                          7,900          40  
* Unity Bancorp, Inc.                                                                    6,100          40  
* Rainbow Rentals, Inc.                                                                  6,100          40  
* PC-Tel, Inc.                                                                           5,900          40  
* Avanex Corp.                                                                          20,584          40  
* Caliper Technologies Corp.                                                             4,780          40  
* ACTV, Inc.                                                                            34,700          40  
* Aphton Corp.                                                                           5,300          40  
* SVB Financial Services                                                                 3,300          39  
* Net2Phone, Inc.                                                                        9,200          39  
* PRAECIS Pharmaceuticals Inc.                                                          11,274          39  
* Telular Corp.                                                                         12,375          39  
* ONYX Software Corp.                                                                   11,600          39  
* Sipex Corp.                                                                            8,000          39  
* DOV Pharmaceutical, Inc.                                                               9,500          39  
  Energy West Inc.                                                                       4,000          39  
* Paragon Technologies, Inc.                                                             4,800          39  
* AP Pharma Inc.                                                                        18,500          39  
* OneSource Information Services, Inc.                                                   5,800          39  
  Midwest Banc Holdings, Inc.                                                            1,300          39  
* TTM Technologies, Inc.                                                                 7,400          39  
* Allied Healthcare International Inc.                                                   6,774          39  
* Global Payment Tech Inc.                                                               6,500          39  
* Allscripts Healthcare Solutions, Inc.                                                 10,300          39  
* Planar Systems, Inc.                                                                   2,000          39  
* Taser International Inc.                                                               3,200          38  
* Applied Imaging Corp.                                                                 13,000          38  
* EZCORP, Inc.                                                                          10,800          38  
* Konover Property Trust, Inc. REIT                                                     18,900          38  
* Valence Technology Inc.                                                               27,600          38  

36                                                                              

N-30D 39th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 39th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* BayCorp Holdings, Ltd.                                                                 3,200       $  38  
* McAfee.com Corp.                                                                       2,600          38  
* Oakwood Homes Corp.                                                                    7,620          38  
* Toymax International, Inc.                                                             8,700          38  
* Five Star Quality Care, Inc.                                                           6,786          38  
* Martha Stewart Living Omnimedia, Inc.                                                  3,300          38  
* Metrologic Instruments, Inc.                                                           5,800          38  
* Alamosa Holdings, Inc.                                                                26,652          38  
* Amcast Industrial Corp.                                                                8,204          38  
* Novavax, Inc.                                                                          8,810          38  
* Indevus Pharmaceuticals, Inc.                                                         31,900          37  
* Racing Champions ERTL Corp.                                                            2,000          37  
* Partners Trust Financial Group, Inc.                                                   2,300          37  
* Penton Media, Inc. Class A                                                            17,100          37  
* GP Strategies Corp.                                                                    7,900          37  
  Peapack Gladstone Financial Corp.                                                        600          37  
* Rubio's Restaurants, Inc.                                                              4,100          37  
* Microsemi Corp.                                                                        5,500          36  
  CoBiz Inc.                                                                             2,100          36  
* LCA-Vision, Inc.                                                                      34,400          36  
* Embarcadero Technologies, Inc.                                                         5,800          36  
  First Federal Bancshares of Arkansas, Inc.                                             1,400          36  
* Wireless Facilities, Inc.                                                              7,300          36  
* U.S. Energy Corp.                                                                     13,900          36  
* eCollege.com Inc.                                                                     10,500          36  
* KCS Energy, Inc.                                                                      20,400          36  
* Superior Consultant Holdings Corp.                                                     6,200          36  
* Micro Linear Corp.                                                                     9,500          36  
* Sanchez Computer Associates, Inc.                                                      7,962          36  
* Texas Biotechnology Corp.                                                              9,100          35  
* Trump Hotels & Casino Resorts, Inc.                                                   16,400          35  
* QuickLogic Corp.                                                                       9,700          35  
* Alcide Corp.                                                                           1,900          35  
  Jacksonville Bancorp, Inc.                                                             1,400          35  
* Syntroleum Corp.                                                                      12,200          35  
* AXT, Inc.                                                                              4,400          35  
* Glenayre Technologies, Inc.                                                           27,900          35  
* Xicor, Inc.                                                                            8,600          35  
* Armstrong Holdings, Inc.                                                              19,400          35  
* Mattson Technology, Inc.                                                               7,500          35  
  Gray Communications Systems, Inc. Class B                                              2,600          35  
* CenterSpan Communications Corp.                                                        7,500          35  
* Omega Worldwide, Inc.                                                                 16,295          34  
* Numerical Technologies, Inc.                                                           8,582          34  
* Wiser Oil Co.                                                                          9,700          34  
* Microvision, Inc.                                                                      6,500          34  
* The Smith & Wollensky Restaurant Group, Inc.                                           6,000          34  
* QAD Inc.                                                                              11,900          34  
* I-STAT Corp.                                                                           9,500          34  
* Zygo Corp.                                                                             4,200          34  
* DMC Stratex Networks, Inc.                                                            16,800          34  
* Entrust, Inc.                                                                         12,400          34  
* Parallel Petroleum Corp.                                                              12,700          34  
* Harvard Bioscience, Inc.                                                               6,000          34  
* Royale Energy, Inc.                                                                    5,645          34  
* California Amplifier, Inc.                                                             7,000          33  
* Webco Industries, Inc.                                                                 8,300          33  
* COMARCO, Inc.                                                                          4,200          33  
* LMI Aerospace, Inc.                                                                    7,800          33  
  Chester Valley Bancorp                                                                 2,100          33  
* Selectica, Inc.                                                                        8,300          33  
  Pennrock Financial Services Corp.                                                      1,000          33  
  National Service Ind., Inc.                                                            3,503          33  
* ePlus Inc.                                                                             4,700          33  
* MetaSolv, Inc.                                                                         8,300          33  
* MIPS Technologies, Inc. Class B                                                        5,846          33  
  Inveresk Research Group Inc.                                                           2,500          33  
* W.R. Grace & Co.                                                                      11,700          32  
* CMGI Inc.                                                                             66,697          32  
* Capital Title Group, Inc.                                                             12,300          32  
* Track Data Corp.                                                                      26,600          32  
* ScreamingMedia Inc.                                                                   20,300          32  
* WatchGuard Technologies, Inc.                                                          6,200          32  
* Alliance Pharmaceutical Corp.                                                         20,540          32  
* DiamondCluster International, Inc.                                                     5,271          32  
* Conrad Industries, Inc.                                                                8,400          32  
  Synalloy Corp.                                                                        10,400          31  
  Stifel Financial Corp.                                                                 2,500          31  
* Rocky Mountain Chocolate Factory, Inc.                                                 2,957          31  
* Criimi Mae, Inc. REIT                                                                  4,220          31  
* Online Resources Corp.                                                                 9,700          31  
* Allen Telecom Inc.                                                                     7,300          31  
* Maxim Pharmaceuticals, Inc.                                                            9,600          31  
* Willis Lease Finance Corp.                                                             6,400          31  
* Maxxam Inc.                                                                            2,800          31  
* Nuance Communications Inc.                                                             7,400          31  
* Advanced Switching Communications, Inc.                                               27,000          31  
* Big Dog Holdings, Inc.                                                                 9,200          31  
* Chordiant Software, Inc.                                                              15,700          31  
* Spherix Inc.                                                                           5,100          31  
* Greka Energy Corp.                                                                     5,320          31  
* Sangamo BioSciences, Inc.                                                              5,200          31  
* Mossimo, Inc.                                                                          3,400          31  
* Rock of Ages Corp.                                                                     4,300          30  
* Republic First Bancorp, Inc.                                                           4,800          30  
* Nanogen, Inc.                                                                          8,700          30  
* InKine Pharmaceutical Co., Inc.                                                       35,800          30  
* hi/fn, inc                                                                             5,067          30  

                                                                              37

N-30D 40th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 40th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* DigitalThink, Inc.                                                                    21,700       $  30  
* Switchboard Inc.                                                                       8,964          30  
* Hewitt Associates, Inc.                                                                1,300          30  
* Correctional Services Corp.                                                           12,597          30  
* Roxio, Inc.                                                                            4,196          30  
* 3 Dimensional Pharmaceuticals                                                          6,776          30  
* Vical, Inc.                                                                            5,700          30  
  Collins Industries, Inc.                                                               6,600          30  
* Hector Communications Corp.                                                            2,500          30  
* Atlas Air Worldwide Holdings, Inc.                                                     8,100          30  
* ARTISTdirect, Inc.                                                                     3,141          30  
* SignalSoft Corp.                                                                      13,244          30  
* Sequenom, Inc.                                                                         8,420          30  
* Integrated Telecom Express, Inc.                                                      18,440          30  
  BMC Industries, Inc.                                                                  29,237          30  
* Colorado MEDtech, Inc.                                                                11,800          30  
* Foster Wheeler Ltd.                                                                   18,400          29  
* MedSource Technologies, Inc.                                                           2,400          29  
  Psychemedics, Inc.                                                                     9,800          29  
* E-Z-EM, Inc. Class A                                                                   3,000          29  
* SkillSoft Corp.                                                                        3,700          29  
* Technisource, Inc.                                                                     7,300          29  
* HomeStore, Inc.                                                                       20,000          29  
  Commonwealth Industries Inc.                                                           4,000          29  
* Active Power, Inc.                                                                     7,946          29  
* Ditech Communications Corp.                                                           10,100          29  
* Sapient Corp.                                                                         27,000          29  
* Advanced Tissue Sciences Inc.                                                         19,800          29  
* InfoSpace, Inc.                                                                       63,236          28  
* Vicinity Corp.                                                                        14,200          28  
* Integral Systems, Inc.                                                                 1,300          28  
* Badger Paper Mills, Inc.                                                               3,200          28  
* TransPro Inc.                                                                          4,500          28  
* Juno Lighting, Inc.                                                                    2,893          28  
* Lifeway Foods, Inc.                                                                    4,600          28  
* Infogrames, Inc.                                                                      10,220          28  
* iVillage Inc.                                                                         22,010          28  
* INT Media Group, Inc.                                                                 14,000          28  
* Hypercom Corp.                                                                         3,600          28  
* Saba Software, Inc.                                                                   10,856          28  
  Analysts International Corp.                                                           6,500          28  
* Cygnus Inc.                                                                           13,588          27  
* BTU International, Inc.                                                                7,100          27  
* Lexent Inc.                                                                           12,100          27  
* Vyyo Inc.                                                                             32,400          27  
  Penford Corp.                                                                          1,500          27  
* Kforce Inc.                                                                            4,489          27  
  Spiegel, Inc. Class A                                                                 31,600          27  
* Cardima, Inc.                                                                         18,400          27  
* Advanced Magnetics, Inc.                                                               7,100          27  
* Aware, Inc.                                                                            7,000          27  
* Geron Corp.                                                                            5,800          27  
  Landmark Bancorp Inc.                                                                  1,165          27  
* SafeNet, Inc.                                                                          1,900          26  
* Caminus Corp.                                                                          4,540          26  
  NASB Financial Inc.                                                                    1,200          26  
* Maxcor Financial Group Inc.                                                            4,500          26  
* Avenue A, Inc.                                                                         7,400          26  
* SpeechWorks International Inc.                                                         7,140          26  
* SONICblue Inc.                                                                        25,490          26  
* Stratos Lightwave, Inc.                                                               16,346          26  
* Inktomi Corp.                                                                         29,700          26  
* Callon Petroleum Co.                                                                   5,300          26  
* Computer Programs                                                                      1,200          26  
* Corvas International, Inc.                                                            12,000          26  
* Pharmacyclics, Inc.                                                                    5,800          26  
* Aether Systems, Inc.                                                                   8,700          26  
  Donegal Group Inc.                                                                     2,500          26  
* Comshare                                                                              11,653          26  
* Latitude Communications, Inc.                                                         19,400          26  
  Bank of Granite Corp.                                                                  1,300          26  
* Westell Technologies, Inc.                                                            16,500          26  
  Stepan Co.                                                                               900          25  
* ClearOne Communications Inc.                                                               2          25  
* Akamai Technologies, Inc.                                                             19,537          25  
* NMS Communications Corp.                                                              10,400          25  
* Packeteer, Inc.                                                                        5,700          25  
* Franklin Electronic Publishers, Inc.                                                  20,000          25  
* TiVo Inc.                                                                              6,700          25  
* Cannondale Corp.                                                                      10,400          25  
* Cytogen Corp.                                                                         23,000          25  
* Genus, Inc.                                                                           12,700          25  
* DT Industries, Inc.                                                                    7,000          25  
* LookSmart, Ltd.                                                                       12,500          25  
* Oplink Communications, Inc.                                                           33,485          24  
* Vitria Technology, Inc.                                                               25,400          24  
* TSR, Inc.                                                                              4,600          24  
* Epicor Software Corp.                                                                 15,574          24  
* Bottomline Technologies, Inc.                                                          4,300          24  
  Herbalife International Class B                                                        1,267          24  
* COMFORCE Corp.                                                                        20,213          24  
  Gevity HR, Inc.                                                                        6,100          24  
* New Frontier Media, Inc.                                                              11,500          24  
* ManTech International Corp.                                                            1,000          24  
* Actrade Financial Technologies, Ltd.                                                   2,300          24  
* Optika Inc.                                                                           14,600          24  
* Aspect Medical Systems, Inc.                                                           6,636          24  
* ILX Resorts Inc.                                                                       3,100          24  
* Extended Systems Inc.                                                                  7,100          24  
* Liquid Audio, Inc.                                                                     9,700          24  
* Sunrise Telecom Inc.                                                                  11,000          24  
* TheStreet.com, Inc.                                                                   10,350          24  
* Summa Industries                                                                       2,400          24  

38                                                                              

N-30D 41st “Page” of 67 TOC 1st Previous Next ↓Bottom Just 41st
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Rehabilicare, Inc.                                                                     4,880       $  23  
* SONUS Pharmaceuticals, Inc.                                                           11,200          23  
* BSQUARE Corp.                                                                         10,300          23  
* Tradestation Group Inc.                                                               19,060          23  
* RWD Technologies, Inc.                                                                10,400          23  
* dick clark productions, Inc.                                                           1,600          23  
* Titan Pharmaceuticals, Inc.                                                            6,300          23  
* Portal Software, Inc.                                                                 30,500          23  
* Ciphergen Biosystems, Inc.                                                             6,200          23  
* Inforte Corp.                                                                          2,284          23  
* Championship Auto Racing Teams, Inc.                                                   2,300          23  
* Radiologix Inc.                                                                        1,500          23  
  Webster City Federal Bancorp                                                           1,200          23  
* OAO Technology Solutions, Inc.                                                        15,061          23  
* Orchid Biosciences                                                                    17,100          23  
* I.D. Systems, Inc.                                                                     5,800          23  
* FARO Technologies, Inc.                                                               14,100          23  
* I-many, Inc.                                                                           8,200          23  
* Miller Industries, Inc.                                                                6,040          23  
* Clarus Corp.                                                                           4,500          23  
* Terayon Communications Systems, Inc.                                                  16,920          23  
  CompX International Inc.                                                               1,700          22  
  Capital Bank Corp.                                                                     1,500          22  
* Official Payments Corp.                                                                7,500          22  
  Burnham Pacific Properties, Inc.REIT Liquidating Trust Unit                           19,000          22  
* Century Casinos, Inc.                                                                  7,400          22  
* Carrier Access Corp.                                                                  16,400          22  
* Baldwin Technology Class A                                                            15,700          22  
* Commerce One, Inc.                                                                    57,880          22  
* SupportSoft, Inc.                                                                      7,940          22  
* Stellent Inc.                                                                          4,800          22  
* Optical Communication Products, Inc.                                                  18,000          22  
* ATP Oil & Gas Corp.                                                                    7,200          22  
* Management Network Group Inc.                                                          9,400          22  
* Hycor Biomedical Inc.                                                                  6,000          22  
  Foothill Independent Bancorp                                                           1,488          22  
* Tellium, Inc.                                                                         23,350          22  
* Digital Generation Systems                                                            19,500          22  
* DHB Industries, Inc.                                                                   5,300          21  
* MeriStar Hotels & Resorts, Inc. REIT                                                  23,600          21  
* Beta Oil & Gas, Inc.                                                                   9,600          21  
* Netscreen Technologies, Inc.                                                           2,300          21  
* WJ Communications, Inc.                                                               18,200          21  
* Genome Therapeutics Corp.                                                              9,090          21  
* Proton Energy Systems, Inc.                                                            6,500          21  
* Covista Communications, Inc.                                                           6,200          21  
* Cysive, Inc.                                                                           8,500          21  
* RMH Teleservices, Inc.                                                                 3,000          21  
  D&E Communications, Inc.                                                               1,957          21  
  First Keystone Financial, Inc.                                                         1,100          20  
* Ramtron International Corp.                                                            9,660          20  
* Resonate Inc.                                                                         10,230          20  
* Intelidata Technologies Corp.                                                         15,300          20  
* Mississippi Chemical Corp.                                                            18,100          20  
* SM&A Corp.                                                                             5,300          20  
* Navarre Corp.                                                                         11,500          20  
* Mechanical Technology Inc.                                                            18,600          20  
* Netro Corp.                                                                            8,800          20  
* H Power Corp.                                                                         21,096          20  
* Collagenex Pharmaceuticals, Inc.                                                       2,700          20  
* Cell Pathways, Inc.                                                                   13,300          20  
* Viant Corp.                                                                           16,200          20  
* Dyax Corp.                                                                             4,892          20  
* Genzyme Molecular Oncology                                                             7,821          20  
* Drugstore.com, Inc.                                                                    7,300          20  
* PLX Technology, Inc.                                                                   4,600          20  
* Lightspan Inc.                                                                        11,200          20  
* VaxGen, Inc.                                                                           3,500          19  
* Applix, Inc.                                                                          12,500          19  
* FairMarket, Inc.                                                                      14,140          19  
* Merry Land Properties, Inc. REIT                                                       1,942          19  
* Loudcloud, Inc.                                                                       13,500          19  
* Paradigm Medical Industries, Inc.                                                     24,100          19  
* Diacrin, Inc.                                                                         13,600          19  
* iManage, Inc.                                                                          5,699          19  
* Next Level Communications, Inc.                                                       18,900          19  
* U.S. Energy Systems, Inc.                                                             10,900          19  
* ActionPoint, Inc.                                                                     11,900          19  
* LightPath Technologies, Inc.                                                          21,000          19  
* Braun Consulting, Inc.                                                                 5,400          19  
* Triangle Pharmaceuticals, Inc.                                                         6,900          19  
* Argonaut Technologies Inc.                                                            16,400          19  
* Versar Inc.                                                                            7,000          19  
* US SEARCH.com Inc.                                                                    23,800          19  
* RF Monolithics, Inc.                                                                   4,400          19  
* Celeritek, Inc.                                                                        2,800          18  
* Wave Systems Corp.                                                                    12,800          18  
* Electric Fuel Corp.                                                                   19,900          18  
* High Speed Access Corp.                                                               15,900          18  
* Oxigene, Inc.                                                                         13,800          18  
* Centra Software, Inc.                                                                  9,788          18  
* Matritech Inc.                                                                         7,100          18  
  Bush Industries, Inc.                                                                  1,500          18  
* SoftNet Systems, Inc.                                                                  9,700          18  
* TranSwitch Corp.                                                                      27,500          18  
* TippingPoint Technologies Inc.                                                         1,454          18  
* Sorrento Networks Corp.                                                               18,200          17  
* Redhook Ale Brewery, Inc.                                                              8,000          17  

39                                                                              

N-30D 42nd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 42nd
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Humphrey Hospitality Trust, Inc. REIT                                                  7,300       $  17  
* Peco II, Inc.                                                                          5,204          17  
* Choice One Communications Inc.                                                        19,568          17  
* E-LOAN, Inc.                                                                          15,800          17  
* EnPro Industries, Inc.                                                                 3,068          17  
* Toreador Resources Corp.                                                               4,200          17  
* Virologic, Inc.                                                                        6,100          17  
* Time Warner Telecom Inc.                                                              10,100          17  
* Interlink Electronics Inc.                                                             3,700          17  
* Deltagen, Inc.                                                                         6,864          17  
* Digi International, Inc.                                                               5,000          17  
* BroadVision, Inc.                                                                     53,105          16  
* MarketWatch.com, Inc.                                                                  3,500          16  
* Quidel Corp.                                                                           2,400          16  
* Carrington Labs Inc.                                                                  13,400          16  
* Emisphere Technologies, Inc.                                                           3,900          16  
* Nutrition 21 Inc.                                                                     26,700          16  
* Art Technology Group, Inc.                                                            15,800          16  
* Optical Cable Corp.                                                                   29,500          16  
* Digital Lightwave, Inc.                                                                6,800          16  
  Amerivest Properties, Inc. REIT                                                        2,600          16  
* Endocare, Inc.                                                                         1,200          16  
* Merge Technologies, Inc.                                                               2,300          16  
* InterVoice-Brite, Inc.                                                                10,888          16  
* Gallery of History, Inc.                                                               2,700          15  
* Federal-Mogul Corp.                                                                   22,000          15  
* Exabyte Corp.                                                                         14,000          15  
* Internet Capital Group, Inc.                                                          57,000          15  
* Airnet Communications Corp.                                                           19,180          15  
* Magellan Health Services, Inc.                                                        13,800          15  
* Blue Martini Software, Inc.                                                           17,032          15  
* Lynx Therapeutics Inc.                                                                11,500          15  
* Crossroads Systems, Inc.                                                              14,500          15  
* Hyseq, Inc.                                                                            6,500          15  
* AT&T Latin America Corp. Class A                                                      27,300          15  
* EntreMed, Inc.                                                                         4,800          15  
* UbiquiTel Inc.                                                                        21,300          15  
* Chiquita Brands International-WTS                                                      2,293          15  
* Aclara Biosciences, Inc.                                                               8,520          15  
* PDF Solutions, Inc.                                                                    2,000          15  
* Targeted Genetics Corp.                                                               13,400          14  
* Large Scale Biology Corp.                                                              6,600          14  
* SPEEDUS Corp.                                                                         15,700          14  
* CTC Communications Group, Inc.                                                         8,200          14  
* Double Eagle Petroleum Co.                                                             3,500          14  
* Net Perceptions, Inc.                                                                 12,800          14  
* Interactive Intelligence Inc.                                                          4,200          14  
* Third Wave Technologies                                                                6,300          14  
* Universal American Financial Corp.                                                     2,100          14  
* Previo, Inc.                                                                           9,417          14  
* Belmont Bancorp                                                                        2,900          14  
* SpectRx, Inc.                                                                          3,574          14  
* eXcelon Corp.                                                                         15,697          14  
* Artisoft, Inc.                                                                         9,300          14  
* Digital Impact, Inc.                                                                   7,100          14  
* M-WAVE, Inc.                                                                           3,800          14  
* Alteon, Inc.                                                                           6,700          14  
* Divine, Inc.                                                                           3,534          14  
* VIA NET.WORKS, Inc.                                                                   16,572          14  
* Conductus, Inc.                                                                       11,400          14  
* Millennium Cell Inc.                                                                   4,400          14  
* Read Rite Corp.                                                                       28,400          14  
* Bluegreen Corp.                                                                        4,000          14  
  Stephan Co.                                                                            3,700          14  
* IDT Corp.                                                                                800          14  
* Dendreon Corp.                                                                         6,400          14  
  Bedford Bancshares, Inc.                                                                 800          14  
  Capitol Bancorp Ltd.                                                                     569          13  
* Primus Telecommunications Group, Inc.                                                 19,100          13  
* ACT Teleconferencing, Inc.                                                             4,600          13  
* Tripath Technology Inc.                                                               12,700          13  
* ResortQuest International, Inc.                                                        2,200          13  
* Tumbleweed Communications Corp.                                                        7,120          13  
* NIC Inc.                                                                               8,900          13  
* VA Software Corp.                                                                     13,169          13  
* EXE Technologies, Inc.                                                                11,756          13  
* Sirenza Microdevices, Inc.                                                             6,500          13  
* Versant Corp.                                                                         17,500          13  
* Paradigm Genetics, Inc.                                                                9,400          13  
* Critical Path, Inc.                                                                   12,800          13  
* BindView Development Corp.                                                            12,800          13  
* Sheffield Pharmaceuticals, Inc.                                                        8,700          13  
* StorageNetworks, Inc.                                                                  6,600          13  
* Larscom, Inc. Class A                                                                 19,000          13  
* Aetrium, Inc.                                                                         10,300          13  
* Netopia, Inc.                                                                          4,700          13  
* SBA Communications Corp.                                                               9,100          13  
* Cardinal Financial Corp.                                                               2,700          13  
* Personnel Group of America, Inc.                                                      14,200          13  
* Docent, Inc.                                                                          10,950          13  
* SIGA Technologies, Inc.                                                               11,200          13  
* Eden Bioscience Corp.                                                                  6,245          13  
* MacroChem Corp.                                                                        7,100          12  
* Peregrine Systems, Inc.                                                               40,917          12  
* Z-Tel Technologies, Inc.                                                              14,680          12  
* Avici Systems Inc.                                                                    12,060          12  
* Copper Mountain Networks, Inc.                                                        14,500          12  
* On Command Corp.                                                                       7,200          12  
* Corel Participation Rights                                                            11,900          12  
* MTI Technology Corp.                                                                  18,000          12  
* i3 Mobile, Inc.                                                                       17,340          12  

40                                                                              

N-30D 43rd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 43rd
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Inspire Pharmaceuticals, Inc.                                                          3,100      $   12  
* Fresh Choice, Inc.                                                                     5,100          12  
* Interleukin Genetics, Inc.                                                            15,100          12  
* Leap Wireless International, Inc.                                                     11,025          12  
* Lantronix, Inc.                                                                       14,000          12  
* TCSI Corp.                                                                            23,800          12  
* Mercator Software, Inc.                                                                7,800          12  
* BioSphere Medical Inc.                                                                 3,000          12  
* Insmed Inc.                                                                            8,250          12  
* V-One Corp.                                                                           19,900          12  
* Micro Component Technology, Inc.                                                       4,600          11  
* Impreso, Inc.                                                                          5,300          11  
* Media 100 Inc.                                                                         6,149          11  
* Variagenics, Inc.                                                                      8,700          11  
* Corio, Inc.                                                                           10,000          11  
* Tut Systems, Inc.                                                                      7,600          11  
* Equitable Bank                                                                           400          11  
* eLoyalty Corp.                                                                         1,835          11  
* LCC International, Inc. Class A                                                        7,500          11  
* Extensity, Inc.                                                                        9,920          11  
* DDi Corp.                                                                             10,700          11  
* Kana Software, Inc.                                                                    2,655          11  
* Anthony & Sylvan Pools Corp.                                                           1,711          11  
* Alpine Group, Inc.                                                                     9,200          11  
* Wilshire Oil Co. of Texas                                                              3,000          11  
* Interep National Radio Sales, Inc.                                                     2,700          11  
* Frontstep, Inc.                                                                        3,500          10  
* Curis, Inc.                                                                            8,570          10  
* SEEC, Inc.                                                                             8,900          10  
* Zonagen, Inc.                                                                          6,900          10  
* WHX Corp.                                                                             13,700          10  
* Ethyl Corp.                                                                           13,700          10  
* Visual Networks, Inc.                                                                  7,200          10  
* Advanced Lighting Technologies, Inc.                                                  12,600          10  
* Scherer Health                                                                         3,200          10  
* Goodrich Petroleum Corp.                                                               2,700          10  
* Valentis, Inc.                                                                         7,400          10  
  Weider Nutritional International, Inc.                                                 5,000          10  
* IntraBiotics Pharmaceuticals, Inc.                                                     7,600          10  
* Edison Schools Inc.                                                                   10,400          10  
* barnesandnoble.com inc                                                                10,500          10  
* HealthAxis, Inc.                                                                      19,600          10  
* Encompass Services Corp.                                                              17,080          10  
* Andrea Radio Corp.                                                                    16,700          10  
* Cosine Communications, Inc.                                                           22,460          10  
* All American Semiconductor, Inc.                                                       3,400          10  
* MicroStrategy Inc.                                                                    19,100          10  
* Sagent Technology, Inc.                                                               14,100          10  
* Cellstar Corp.                                                                         2,900           9  
* Predictive Systems, Inc.                                                              30,300           9  
* GTC Biotherapeutics, Inc.                                                              7,400           9  
* NetManage, Inc.                                                                       16,647           9  
* NTELOS Inc.                                                                            6,600           9  
* WorldGate Communications, Inc.                                                         6,700           9  
* eXegenics Inc.                                                                        11,400           9  
* ViroPharma Inc.                                                                        6,400           9  
* Lante Corp.                                                                           14,840           9  
* Gilman & Ciocia, Inc.                                                                  8,400           9  
* Axeda Systems Inc.                                                                     4,700           9  
  Bank of the Ozarks, Inc.                                                                 400           9  
* Multilink Technology Corp.                                                            17,800           9  
  Laser Mortgage Management, Inc. REIT                                                   7,100           9  
* Genuity Inc. Class A                                                                   2,324           9  
* Aradigm Corp.                                                                          2,000           9  
* Pumatech, Inc.                                                                        15,500           9  
* Applied Microsystems Corp.                                                            17,000           9  
* SAVVIS Communications Corp.                                                           16,280           9  
  Ameriana Bancorp                                                                         600           9  
* Bell Industries, Inc.                                                                  4,500           9  
* SBS Technologies, Inc.                                                                   700           9  
* IVAX Diagnostics, Inc.                                                                 4,500           9  
* SteelCloud Inc.                                                                        3,300           8  
* Com21, Inc.                                                                           18,800           8  
* Dobson Communications Corp.                                                            9,800           8  
* Pegasus Communications Corp. Class A                                                  11,300           8  
* Computer Motion, Inc.                                                                 11,100           8  
  SLI, Inc.                                                                             20,350           8  
* Artisan Components, Inc.                                                                 900           8  
* SRA International, Inc.                                                                  300           8  
* Genaissance Pharmaceuticals, Inc.                                                      6,100           8  
  SNB Bancshares, Inc.                                                                     400           8  
* Pfsweb Inc.                                                                           15,764           8  
* Reading International Inc. Class A                                                     2,000           8  
* Perficient, Inc.                                                                       6,000           8  
* Tanning Technology Corp.                                                               7,100           8  
* GMX Resources Inc.                                                                     3,000           8  
* Creative Host Services, Inc.                                                           5,500           8  
* American Bank Note Holographics, Inc.                                                  5,535           8  
* ebix.com Inc.                                                                         12,600           8  
* Abraxas Petroleum Corp.                                                               10,100           8  
* ImageWare Systems, Inc.                                                                2,100           8  
* Vixel Corp.                                                                            2,900           8  
* U.S. Vision, Inc.                                                                      2,000           8  
* SL Industries, Inc.                                                                    1,000           8  
* Equinix, Inc.                                                                         21,080           8  
* Orapharma Inc.                                                                         1,600           7  
* SYNAVANT Inc.                                                                          5,170           7  
* J Net Enterprises, Inc.                                                                9,100           7  
* Harken Energy Corp.                                                                   14,490           7  

                                                                              41

N-30D 44th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 44th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Informax, Inc.                                                                         8,000       $   7  
* Network Engines, Inc.                                                                  6,700           7  
* Proxymed Pharmacy, Inc.                                                                  346           7  
* Twinlab Corp.                                                                         16,200           7  
  Salient 3 Communications Class A                                                       5,900           7  
* GoAmerica, Inc.                                                                       14,500           7  
* Key3Media Group, Inc.                                                                 13,800           7  
* Insightful Corp.                                                                       3,000           7  
* Iridex Corp.                                                                           2,000           7  
* Niku Corp.                                                                            15,800           7  
* Marimba, Inc.                                                                          4,500           7  
* Rohn Industries Inc.                                                                  25,800           7  
* Auspex Systems, Inc.                                                                  26,600           7  
* Radio Unica Corp.                                                                      4,500           7  
* Cortex Pharmaceuticals, Inc.                                                           4,000           7  
* Terra Nitrogen Co., LP                                                                 1,100           7  
* InsWeb Corp.                                                                           2,808           6  
* Adept Technology, Inc.                                                                 3,000           6  
* Mayor's Jeweler's, Inc.                                                               17,400           6  
* Triton Network Systems, Inc.                                                          10,328           6  
* Bethlehem Steel Corp.                                                                 29,140           6  
  FNB Corp. VA                                                                             200           6  
* SatCon Technology Corp.                                                                3,807           6  
* Adelphia Communications Corp. Class A                                                 39,939           6  
* Internap Network Services Corp.                                                       25,800           6  
* Cellular Technical Services                                                            5,160           6  
* Ask Jeeves, Inc.                                                                       5,700           6  
* Evergreen Solar, Inc.                                                                  4,100           6  
* CyberSource Corp.                                                                      2,500           6  
  Superior Financial Corp.                                                                 300           6  
* Simpson Manufacturing Co.                                                                100           6  
* AirGate PCS, Inc.                                                                      5,700           6  
* Spectrasite Holdings, Inc.                                                            31,640           6  
  Oregon Trail Financial Corp.                                                             300           6  
* TechTeam Global, Inc.                                                                    700           6  
* Industri-Matematik International Corp.                                                 9,300           6  
* Epimmune Inc.                                                                          3,300           6  
* 3DO Co.                                                                                9,500           6  
* American Access Technologies Inc.                                                     10,000           6  
* Miravant Medical Technologies                                                         10,300           5  
  Union Bankshares Corp.                                                                   200           5  
* Darling International, Inc.                                                            6,600           5  
* Aastrom Biosciences, Inc.                                                             14,400           5  
* T/R Systems, Inc.                                                                      4,100           5  
  Onvia.com, Inc.                                                                       27,000           5  
* Click2learn, Inc.                                                                      3,000           5  
* The Fortress Group, Inc.                                                               1,400           5  
* Life Financial Corp.                                                                   1,460           5  
* Omtool, Ltd.                                                                           6,000           5  
* Community West Bancshares                                                              1,100           5  
* Verso Technologies, Inc.                                                              10,000           5  
* Virage, Inc.                                                                           6,200           5  
* Altiris, Inc.                                                                            900           5  
* Daktronics, Inc.                                                                         500           5  
* NeoRx Corp.                                                                            4,100           5  
* Genomic Solutions Inc.                                                                 7,000           5  
* Trailer Bridge, Inc.                                                                   2,000           5  
* Scheid Vineyards, Inc. Class A                                                         1,500           5  
  eBT International, Inc.                                                               15,000           5  
* Vornado Operating Inc. REIT                                                            5,595           5  
* Lowrance Electronics, Inc.                                                               800           5  
* Zamba Corp.                                                                           21,100           5  
* Pac-West Telecom, Inc.                                                                10,481           5  
* Novatel Wireless, Inc.                                                                13,900           5  
* VCampus Corp.                                                                         10,600           5  
* Immune Response                                                                       12,800           4  
* SportsLine.com, Inc.                                                                   4,300           4  
* Ista Pharmaceuticals Inc.                                                              4,900           4  
* Saucony Inc.                                                                             600           4  
* Digex, Inc.                                                                           19,000           4  
  Wayne Savings Bancshares, Inc.                                                           200           4  
* BioLase Technology, Inc.                                                                 800           4  
* AvantGo, Inc.                                                                          8,000           4  
* Precision Optics Corp.                                                                 9,300           4  
* Brightpoint, Inc.                                                                      1,543           4  
* Chart Industries, Inc.                                                                 2,000           4  
* FirePond, Inc.                                                                        11,200           4  
  WorldCom, Inc. - MCI Group                                                            22,385           4  
* IGI, Inc.                                                                              6,710           4  
* Hathaway Corp.                                                                         1,500           4  
  Knape & Vogt Manufacturing Co.                                                           300           4  
* Universal Access Global Holdings Inc.                                                 19,440           4  
* Syntellect Inc.                                                                        6,000           4  
  Rouge Industries Inc.                                                                  2,000           4  
* Comdial Corp.                                                                          9,400           4  
* ANC Rental Corp.                                                                      19,678           4  
* DA Consulting Group, Inc.                                                              8,800           4  
* NetFlix.com, Inc.                                                                        250           4  
* Rainmaker Systems, Inc.                                                               10,200           3  
* Visual Data Corp.                                                                     13,800           3  
  Deb Shops, Inc.                                                                          100           3  
* Ampex Corp. Class A                                                                   30,700           3  
* Axonyx Inc.                                                                            1,500           3  
* Transgenomic, Inc.                                                                     1,300           3  
* Network-1 Security Solutions, Inc.                                                     4,400           3  
* o2wireless Solutions, Inc.                                                            10,100           3  
* Immersion Corp.                                                                        3,000           3  
* Perceptron, Inc.                                                                       2,000           3  
* CacheFlow Inc.                                                                         6,097           3  
* Cytrx Corp.                                                                            5,000           3  
* Procom Technology, Inc.                                                                5,600           3  

42                                                                              

N-30D 45th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 45th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
                                                                                        SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* Superior Telecom Inc.                                                                  6,487       $   3  
  Sphinx International Inc.                                                              4,100           3  
* Audible, Inc.                                                                          6,000           3  
* Level 8 Systems Inc.                                                                   5,900           3  
* Storage Engine Inc.                                                                    2,500           3  
* DSL.Net, Inc.                                                                          7,800           3  
* McLeod USA Inc.                                                                        6,532           3  
* Res-Care, Inc.                                                                           400           3  
* Samsonite Corp.                                                                        2,642           3  
* eGain Communications Corp.                                                            10,100           3  
* Interstate Hotels Corp. REIT                                                             720           3  
* Organogenesis, Inc.                                                                   13,076           3  
* Beacon Power Corp.                                                                    11,800           3  
  Pittsburgh & West Virginia Railroad REIT                                                 300           3  
* Metawave Communications Corp.                                                         11,864           2  
* Prime Energy Corp.                                                                       300           2  
* Telaxis Communications Corp.                                                           3,736           2  
* Intraware, Inc.                                                                        2,400           2  
* International Assets Holding Corp.                                                     2,395           2  
* ICO, Inc.                                                                              1,900           2  
* Euroweb International Corp.                                                            1,200           2  
* The A Consulting Team, Inc.                                                            6,000           2  
* Ezenia!, Inc.                                                                         16,700           2  
* Navidec, Inc.                                                                          8,600           2  
* Innovative Gaming Corp.                                                               10,000           2  
* VerticalNet, Inc.                                                                     14,300           2  
* SciQuest, Inc.                                                                         3,000           2  
* Aqua Care Systems, Inc.                                                                2,344           2  
* Kaiser Aluminum Corp.                                                                 22,300           2  
* Razorfish Inc.                                                                        13,700           2  
* Merisel, Inc.                                                                            880           2  
* PurchasePro.com, Inc.                                                                  4,460           2  
* Suburban Lodges of America, Inc.                                                       2,700           2  
* Williams Communications Group, Inc.                                                  101,371           2  
  Classic Vacation Group, Inc.                                                          11,500           2  
* Green Mountain Coffee, Inc.                                                              100           2  
* Evolve Software, Inc.                                                                 16,008           2  
* On2 Technologies, Inc.                                                                 9,000           2  
* Occam Networks, Inc.                                                                  10,016           2  
* Rita Medical Systems, Inc.                                                               200           2  
* Viasystems Group, Inc.                                                                27,900           2  
* 24/7 Real Media, Inc.                                                                  9,200           2  
* NexPrise, Inc.                                                                           366           2  
* Versata, Inc.                                                                          1,500           2  
* Accrue Software, Inc.                                                                 11,100           2  
* GenVec, Inc.                                                                             800           2  
* Focal Communications Corp.                                                               733           2  
* Hanover Direct, Inc.                                                                   7,100           2  
* iBasis, Inc.                                                                           4,600           2  
* New Century Equity Holdings Corp.                                                      3,700           2  
* GraphOn Corp.                                                                         10,000           2  
* TenFold Corp.                                                                          4,300           2  
* MedicaLogic/Medscape, Inc.                                                             6,348           2  
* Metromedia Fiber Network, Inc.                                                       104,990           2  
* ClickAction, Inc.                                                                      2,700           2  
* Frontline Communications Corp.                                                         9,600           2  
* Engage, Inc.                                                                          25,300           2  
* American Skiing Co.                                                                   11,500           1  
* Plumtree Software, Inc.                                                                  300           1  
* NaviSite, Inc.                                                                         9,900           1  
* Osteotech, Inc.                                                                          200           1  
* Adams Golf, Inc.                                                                       4,300           1  
* SmartDisk Corp.                                                                        5,100           1  
* Headway Corporate Resources, Inc.                                                     17,800           1  
* Alterra Healthcare Corp.                                                              17,600           1  
* Ostex International, Inc.                                                              1,000           1  
* Primus Knowledge Solutions, Inc.                                                       1,700           1  
* Cylink Corp.                                                                           1,300           1  
* Billserv, Inc.                                                                         1,000           1  
* Geerlings & Wade Inc.                                                                  1,200           1  
* Gadzoox Networks, Inc.                                                                 7,800           1  
* Lanvision Systems, Inc.                                                                  400           1  
* Vertel Corp.                                                                           9,600           1  
* ITC DeltaCom, Inc.                                                                    18,400           1  
* Comdisco, Inc.                                                                        39,800           1  
* Apropos Technology, Inc.                                                                 500           1  
* ProcureNet, Inc.                                                                       6,800           1  
* Applied Graphics Technologies, Inc.                                                    1,764           1  
* Alanco Technologies, Inc.                                                              1,986           1  
* P-Com, Inc.                                                                            2,640           1  
* eMerge Interactive, Inc.                                                               4,099           1  
* Information Architects Corp.                                                           1,920           1  
* Astea International, Inc.                                                              1,000           1  
* EasyLink Services Corp.                                                                  742           1  
* USDATA Corp.                                                                           2,360           1  
* Interliant Inc.                                                                        9,200           1  
* Cogent Communications Group, Inc.                                                        647           1  
* Magnum Hunter Resources Wts                                                            1,080           1  
* Major Automotive Companies Inc.                                                          800           1  
* Captaris Inc.                                                                            300           1  
* Genstar Therapeutics Corp.                                                             2,100           1  
* Continucare Corp.                                                                      4,600           1  
* uniView Technologies Corp.                                                             2,238           1  
* ATEC Group, Inc.                                                                       2,000           1  
* Uniroyal Technology Corp.                                                              8,000           1  
* Imperial Credit                                                                       29,400           1  
* YouthStream Media Networks, Inc.                                                       6,100           1  
* Caldera International, Inc.                                                            1,025           1  
* Metromedia International Group, Inc.                                                  10,000           1  

                                                                              43

N-30D 46th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 46th
                                                        [Enlarge/Download Table]

                                                                                                            
------------------------------------------------------------------------------------------------------------
                                                                                                    MARKET  
                                                                                                    VALUE*  
BALANCED INDEX FUND                                                                     SHARES       (000)  
------------------------------------------------------------------------------------------------------------
* NeoMedia Technologies, Inc.                                                            8,500      $    1  
* Tickets.com, Inc.                                                                        650           1  
* Appiant Technologies Inc.                                                              2,100           1  
* Geoworks Corp. (Delaware)                                                              4,000           1  
* Amtech Systems, Inc.                                                                     100           1  
* DriverShield Corp.                                                                       600           1  
* Scient, Inc.                                                                           1,160           1  
* Jupiter Media Metrix, Inc.                                                             2,178           1  
* Vertex Interactive, Inc.                                                               5,800          --  
* Horizon Group Properties, Inc. REIT                                                      270          --  
* Entrada Networks, Inc.                                                                 2,150          --  
* NewPower Holdings, Inc.                                                               21,235          --  
* A.D.A.M., Inc.                                                                           300          --  
* APW Ltd.                                                                               8,500          --  
* Neon Communications, Inc.                                                              7,900          --  
* iPrint Technologies Inc.                                                               3,100          --  
* Adelphia Business Solutions, Inc.                                                     26,659          --  
* I-Link, Inc. Pfd.                                                                          6          --  
* IEC Electronics Corp.                                                                  1,682          --  
* StarMedia Network, Inc.                                                                8,500          --  
* York Research Corp.                                                                    8,400          --  
* General Magic, Inc.                                                                    2,500          --  
* Integra, Inc.                                                                          2,100          --  
* Exchange Applications, Inc.                                                              206          --  
* PeoplePC Inc.                                                                          5,520          --  
* Internet Pictures Corp.                                                                   54          --  
* eLEC Communications Corp.                                                              2,425          --  
* Pinnacle Holdings Inc. REIT                                                            6,700          --  
* Frontline Capital Group                                                                9,300          --  
* AppliedTheory Corp.                                                                    6,900          --  
* American Classic Voyager Co.                                                           6,000          --  
* Heartland Technology, Inc.                                                             5,500          --  
----------------------------------------------------------------------------------------------------------- 
TOTAL COMMON STOCKS                                                                                         
(Cost $2,577,847)                                                                                2,479,933  
----------------------------------------------------------------------------------------------------------- 
                                                                                          Face      Market  
                                                                                        Amount      Value*  
                                                                                         (000)       (000)  
----------------------------------------------------------------------------------------------------------- 
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (23.1%)                                                              
----------------------------------------------------------------------------------------------------------- 
U.S. GOVERNMENT SECURITIES (5.6%)                                                                           
U.S. Treasury Bonds                                                                                         
 10.75%, 2/15/2003                                                                   $   1,000    $  1,055  
 11.125%, 8/15/2003                                                                        850         934  
 11.875%, 11/15/2003                                                                    13,475      15,193  
 5.50%, 5/15/2009                                                                       14,975      15,848  
 12.75%, 11/15/2010                                                                      5,315       6,820  
 5.00%, 8/15/2011                                                                        6,125       6,210  
 14.00%, 11/15/2011                                                                        865       1,208  
 9.875%, 11/15/2015                                                                        275         394  
 7.50%, 11/15/2016                                                                      23,000      27,684  
 8.75%, 5/15/2017                                                                          540         720  
 8.125%, 8/15/2019                                                                       1,905       2,440  
 8.50%, 2/15/2020                                                                        1,555       2,061  
 8.75%, 5/15/2020                                                                        5,025       6,815  
 8.75%, 8/15/2020                                                                           50          68  
 7.875%, 2/15/2021                                                                       7,800       9,816  
 8.125%, 8/15/2021                                                                       7,675       9,905  
 8.00%, 11/15/2021                                                                       6,370       8,147  
 7.625%, 11/15/2022                                                                     12,050      14,913  
 7.50%, 11/15/2024                                                                       4,250       5,231  
 6.75%, 8/15/2026                                                                       10,760      12,252  
 6.625%, 2/15/2027                                                                      13,645      15,322  
U.S. Treasury Notes                                                                                         
 5.75%, 8/15/2003                                                                       25,100      26,114  
 5.875%, 2/15/2004                                                                         900         947  
 3.375%, 4/30/2004                                                                      10,775      10,891  
 5.875%, 11/15/2004                                                                         75          80  
 6.625%, 5/15/2007                                                                          75          83  
 6.125%, 8/15/2007                                                                         200         218  
 5.625%, 5/15/2008                                                                      18,625      19,885  
 6.50%, 2/15/2010                                                                        2,410       2,694  
 5.75%, 8/15/2010                                                                        3,575       3,825  
 5.00%, 2/15/2011                                                                        8,850       9,001  
Private Export Funding Corp.                                                                                
 (U.S. Government Guaranteed)                                                                               
 7.20%, 1/15/2010                                                                        6,900       7,795  
                                                                                                 ---------  
                                                                                                   244,569  
                                                                                                 ---------  
AGENCY BONDS AND NOTES (2.1%)                                                                               
Federal Farm Credit Bank                                                                                    
 5.675%, 8/18/2003                                                                       5,000       5,185  
 5.575%, 9/2/2003                                                                        1,950       2,021  
 4.80%, 11/6/2003                                                                        3,500       3,601  
 4.875%, 4/16/2004                                                                       2,400       2,481  
 6.50%, 8/15/2007                                                                        3,500       3,816  
 5.865%, 9/2/2008                                                                        1,300       1,374  
 5.88%, 11/25/2008                                                                       1,200       1,225  
 7.625%, 5/14/2010                                                                       8,800      10,186  
Federal Home Loan Mortgage Corp.                                                                            
 5.375%, 1/5/2004                                                                          575         598  
 5.75%, 3/15/2009                                                                       14,000      14,661  
Federal National Mortgage Assn.                                                                             
 5.75%, 4/15/2003                                                                        3,845       3,957  
 5.97%, 7/3/2003                                                                         2,000       2,074  
 5.91%, 8/25/2003                                                                        1,300       1,352  
 5.50%, 2/15/2006                                                                       11,125      11,684  
 5.64%, 12/10/2008                                                                       3,500       3,542  
 6.40%, 5/14/2009                                                                        5,700       5,922  
 7.25%, 1/15/2010                                                                        3,250       3,682  
 6.25%, 2/1/2011                                                                         1,425       1,488  
 5.50%, 3/15/2011                                                                        2,450       2,485  
 6.625%, 11/15/2030                                                                      1,400       1,482  

44                                                                              

N-30D 47th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 47th
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
Tennessee Valley Auth.                                                                                     
 5.375%, 11/13/2008                                                                  $   2,400   $   2,468 
 7.125%, 5/1/2030                                                                        4,000       4,458 
                                                                                                 --------- 
                                                                                                   89,742  
                                                                                                 --------- 
MORTGAGE-BACKED SECURITIES (15.4%)                                                                         
Federal Home Loan Mortgage Corp.                                                                           
(3)      5.50%, 4/1/2007--12/1/2028                                                     14,374      14,482 
(3)      6.00%, 12/1/2003--4/1/2032                                                     69,030      69,954 
(3)      6.50%, 7/1/2002--6/1/2032                                                      93,817      96,437 
(3)      7.00%, 6/1/2003--6/1/2032                                                      43,560      45,393 
(3)      7.50%, 9/1/2003--1/1/2032                                                      19,090      20,158 
(3)      8.00%, 12/1/2007--10/1/2031                                                     9,351       9,972 
(3)      8.50%, 11/1/2007--5/1/2030                                                        919         986 
(3)      9.00%, 1/1/2005--7/1/2030                                                         909         984 
(3)      9.50%, 8/1/2003--4/1/2025                                                         173         190 
(3)      10.00%, 3/1/2017--4/1/2025                                                         67          73 
Federal National Mortgage Assn.                                                                            
(3)      5.50%, 11/1/2008--1/1/2032                                                     14,084      14,145 
(3)      6.00%, 5/1/2003--4/1/2032                                                      75,505      76,284 
(3)      6.50%, 3/1/2003--5/1/2032                                                     101,581     104,133 
(3)      7.00%, 1/1/2003--12/1/2031                                                     46,790      48,655 
(3)      7.50%, 8/1/2007--1/1/2032                                                      20,531      21,609 
(3)      8.00%, 10/25/2003--1/1/2031                                                     4,142       4,418 
(3)      8.50%, 10/1/2004--9/1/2030                                                      1,797       1,927 
(3)      9.00%, 7/1/2007--8/1/2026                                                         228         249 
(3)      9.50%, 4/1/2005--2/1/2025                                                         120         131 
(3)      10.00%, 7/1/2005--8/1/2021                                                         18          19 
(3)      10.50%, 8/1/2020                                                                   10          11 
Government National Mortgage Assn.                                                                         
(3)      6.00%, 3/15/2009--2/15/2032                                                    18,687      18,818 
(3)      6.50%, 9/15/2008--5/15/2032                                                    43,640      44,818 
(3)      7.00%, 5/15/2008--2/15/2032                                                    34,395      35,945 
(3)      7.50%, 5/15/2008--3/15/2032                                                    18,871      20,014 
(3)      8.00%, 9/15/2009--12/15/2030                                                   10,265      10,984 
(3)      8.50%, 3/15/2017--9/15/2030                                                     2,400       2,575 
(3)      9.00%, 6/15/2016--8/15/2030                                                     1,564       1,688 
(3)      9.50%, 9/15/2018--8/15/2030                                                       323         349 
(3)      10.00%, 10/15/2017--12/15/2020                                                     63          72 
(3)      10.50%, 9/15/2019                                                                   5           6 
(3)      11.00%, 7/15/2013--12/15/2015                                                       8           9 
(3)      12.00%, 2/15/2014                                                                   8           9 
                                                                                               ----------- 
                                                                                                   665,497 
                                                                                               ----------- 
---------------------------------------------------------------------------------------------------------- 
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS                                                               
(Cost $961,516)                                                                                    999,808 
---------------------------------------------------------------------------------------------------------- 
CORPORATE BONDS (18.0%)                                                                                    
---------------------------------------------------------------------------------------------------------- 
ASSET-BACKED SECURITIES (2.0%)                                                                             
American Express Credit Card Master Trust                                                                  
(3)      6.40%, 4/15/2005                                                            $   3,000   $   3,028 
Bear Stearns Commercial Mortgage Securities Inc.                                                           
(3)      5.61%, 11/15/2033                                                               1,000       1,000 
California Infrastructure & Econ. Dev. Special                                                             
Purpose Bank Trust PG&E-1                                                                                  
(3)      6.42%, 9/25/2008                                                               10,900      11,586 
California Infrastructure & Econ. Dev. Special                                                             
Purpose Bank Trust SCE-1                                                                                   
(3)      6.38%, 9/25/2008                                                               10,000      10,648 
California Infrastructure & Econ. Dev. Special Purpose                                                     
Bank Trust SDG&E                                                                                           
(3)      6.31%, 9/25/2008                                                                5,000       5,315 
Capital Auto Receivables Asset Trust                                                                       
(3)      4.16%, 7/16/2007                                                                1,100       1,111 
Capital One Auto Finance Trust                                                                             
(3)      4.88%, 9/15/2008                                                                  625         641 
Capital One Master Trust                                                                                   
(3)      4.60%, 8/17/2009                                                               10,000       9,956 
Centex Asset-Backed Securities                                                                             
(3)      4.64%, 8/25/2026                                                                  625         632 

                                                                              45

N-30D 48th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 48th
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
Chase Manhattan Auto Owner Trust                                                                           
(3)      4.24%, 9/15/2008                                                             $    900    $    909 
CIT RV Trust                                                                                               
(3)      5.96%, 4/15/2011                                                                1,325       1,340 
Citibank Credit Card Issuance Trust                                                                        
(3)      4.95%, 2/9/2009                                                                 1,700       1,724 
First Union National Bank Corp.                                                                            
(3)      6.223%, 12/12/2033                                                                350         364 
Ford Credit Auto Owner Trust                                                                               
(3)      7.40%, 4/15/2005                                                                2,250       2,308 
(3)      3.62%, 1/15/2006                                                                1,500       1,500 
(3)      4.36%, 8/15/2006                                                                1,850       1,832 
Harley-Davidson Motorcycle Trust                                                                           
(3)      4.50%, 1/15/2010                                                                1,000       1,022 
Honda Auto Lease Trust                                                                                     
(3)      6.65%, 7/15/2005                                                                  507         515 
Honda Auto Receivables Owner Trust                                                                         
(3)      4.22%, 4/15/2007                                                                1,100       1,115 
MBNA America Bank NA                                                                                       
(3)      4.95%, 6/15/2009                                                                1,700       1,731 
Nissan Auto Receivables                                                                                    
(3)      4.60%, 9/15/2005                                                                2,000       2,030 
PP&L Transition Bond Co. LLC                                                                               
(3)      6.96%, 12/26/2007                                                               5,000       5,429 
PSE&G Transition Funding LLC                                                                               
(3)      6.89%, 12/15/2017                                                               2,000       2,159 
PECO Energy Transition Trust                                                                               
(3)      5.63%, 3/1/2005                                                                 2,612       2,651 
(3)      5.80%, 3/1/2009                                                                 5,000       5,240 
(3)      6.05%, 3/1/2009                                                                 1,100       1,166 
Sears Credit Account Master Trust                                                                          
(3)      6.35%, 2/16/2007                                                                1,667       1,690 
(3)      6.05%, 1/15/2008                                                                  417         430 
Toyota Auto Receivables Owner Trust                                                                        
(3)      4.00%, 7/15/2008                                                                  700         703 
Washington Mutual Mortgage Pass-Through Certificates                                                       
(3)      5.435%, 2/25/2032                                                               1,250       1,269 
(3)      5.55%, 3/25/2032                                                                  700         718 
(3)      5.598%, 4/25/2032                                                               1,200       1,229 
(3)      4.777%, 6/25/2032                                                               2,100       2,117 
World Omni Auto                                                                                            
(3)      3.79%, 11/20/2005                                                               1,250       1,267 
                                                                                                ---------- 
                                                                                                    86,375 
                                                                                                ---------- 
COMMERCIAL MORTGAGE--                                                                                      
 BACKED SECURITIES (0.1%)                                                                                  
Bank of America Mortgage Securities                                                                        
(3)      4.654%, 7/25/2032                                                               1,250       1,251 
Countrywide Home Loan                                                                                      
(3)      4.633%, 9/20/2032                                                               1,900       1,898 
                                                                                              ------------ 
                                                                                                     3,149 
                                                                                             ------------- 
FINANCE (5.7%)                                                                                             
  BANKING (1.6%)                                                                                           
  BBVA-Bancomer Capital Trust I                                                                            
  (4)      10.50%, 2/16/2011                                                             1,600       1,712 
  Bank of Nova Scotia                                                                                      
   6.875%, 5/1/2003                                                                        250         259 
  Bank One Corp.                                                                                           
   7.625%, 8/1/2005                                                                      2,500       2,699 
  BankAmerica Corp.                                                                                        
   10.00%, 2/1/2003                                                                        200         209 
  Barclays Bank PLC                                                                                        
  (4)      8.55%, 6/15/2011                                                              2,000       2,297 
  BT Capital Trust B                                                                                       
   7.90%, 1/15/2027                                                                        500         500 
  Citicorp                                                                                                 
   7.625%, 5/1/2005                                                                        700         756 
  Citicorp Capital II                                                                                      
   8.015%, 2/15/2027                                                                     1,050       1,127 
  Citicorp Lease Pass-Through Trust                                                                        
  (4)      7.22%, 6/15/2005                                                                469         505 
  (4)      8.04%, 12/15/2019                                                             1,700       1,862 
  Citigroup Inc.                                                                                           
   4.125%, 6/30/2005                                                                     4,625       4,658 
   6.75%, 12/1/2005                                                                      3,250       3,481 
   5.50%, 8/9/2006                                                                       4,000       4,144 
  Commercial Credit Corp.                                                                                  
   5.90%, 9/1/2003                                                                         450         467 
  CoreStates Capital Corp.                                                                                 
   6.625%, 3/15/2005                                                                       700         734 
  (4)      8.00%, 12/15/2026                                                             2,000       2,043 
  Credit Suisse First Boston USA Inc.                                                                      
   5.75%, 4/15/2007                                                                      1,725       1,767 
  Donaldson Lufkin & Jenrette, Inc.                                                                        
   8.00%, 3/1/2005                                                                       2,500       2,686 
  Fleet Boston Financial Corp.                                                                             
   4.875%, 12/1/2006                                                                     2,425       2,425 
  Fleet Capital Trust II                                                                                   
   7.92%, 12/11/2026                                                                       500         504 
  Fleet Financial Group, Inc.                                                                              
   6.875%, 3/1/2003                                                                        400         412 
   7.125%, 4/15/2006                                                                       500         536 
  JP Morgan Chase & Co.                                                                                    
   5.25%, 5/30/2007                                                                      1,850       1,859 
  Mellon Financial Co.                                                                                     
   5.75%, 11/15/2003                                                                       600         623 
  Mellon Capital II                                                                                        
   7.995%, 1/15/2027                                                                     1,250       1,310 
  NB Capital Trust IV                                                                                      
   8.25%, 4/15/2027                                                                      1,000       1,033 
  National Westminster Bancorp Inc.                                                                        
   9.375%, 11/15/2003                                                                      500         542 

46                                                                            

N-30D 49th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 49th
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
  Overseas Chinese Banking Corp.                                                                           
  (4)      7.75%, 9/6/2011                                                           $   1,500   $   1,620 
  PNC Funding Corp.                                                                                        
   7.00%, 9/1/2004                                                                       2,000       2,144 
 PaineWebber Group, Inc.                                                                                   
  6.375%, 5/15/2004                                                                      1,250       1,337 
 Regions Financial Corp.                                                                                   
  6.375%, 5/15/2012                                                                      5,000       5,133 
 Republic New York Corp.                                                                                   
  7.75%, 5/15/2009                                                                         300         332 
 Royal Bank of Scotland PLC                                                                                
  7.648%, 9/30/2031                                                                      2,900       3,002 
  Standard Chartered Bank                                                                                  
  (4) 8.00%, 5/30/2031                                                                   2,500       2,610 
  Swiss Bank Corp.                                                                                         
   7.25%, 9/1/2006                                                                         500         544 
   7.375%, 7/15/2015                                                                       250         275 
   7.00%, 10/15/2015                                                                       500         530 
  Synovus Financial Corp.                                                                                  
   7.25%, 12/15/2005                                                                     1,850       1,988 
  US Bancorp                                                                                               
   7.00%, 3/15/2003                                                                      2,450       2,524 
  Wachovia Corp.                                                                                           
   4.95%, 11/1/2006                                                                      1,500       1,521 
  Washington Mutual Bank                                                                                   
   6.875%, 6/15/2011                                                                     2,300       2,392 
  Wells Fargo & Co.                                                                                        
   4.25%, 8/15/2003                                                                      2,000       2,041 

  BROKERAGE (0.8%)                                                                                         
  Bear Stearns & Co., Inc.                                                                                 
   6.70%, 8/1/2003                                                                       1,300       1,353 
   6.625%, 1/15/2004                                                                       300         312 
  Lehman Brothers Holdings Inc.                                                                            
   6.25%, 4/1/2003                                                                       2,000       2,053 
   7.75%, 1/15/2005                                                                      4,500       4,904 
   6.625%, 2/5/2006                                                                      1,765       1,863 
   6.25%, 5/15/2006                                                                      4,750       4,968 
  Merrill Lynch & Co., Inc.                                                                                
   5.88%, 1/15/2004                                                                      1,400       1,449 
  Morgan Stanley, Dean Witter & Co.                                                                        
   6.10%, 4/15/2006                                                                      1,150       1,201 
   5.80%, 4/1/2007                                                                       1,875       1,920 
   7.25%, 4/1/2032                                                                         475         482 
  Salomon Smith Barney Holdings Inc.                                                                       
   6.875%, 6/15/2005                                                                       200         212 
   5.875%, 3/15/2006                                                                     3,000       3,137 
  Spear, Leeds & Kellogg, LP                                                                               
  (4)      8.25%, 8/15/2005                                                              5,000       5,538 
  Waddell & Reed Financial                                                                                 
   7.50%, 1/18/2006                                                                      4,000       4,217 

  FINANCE COMPANIES (2.1%)                                                                                 
  Boeing Capital Corp.                                                                                     
   5.75%, 2/15/2007                                                                      2,000       2,071 
   6.50%, 2/15/2012                                                                      2,100       2,202 
  Tyco Capital                                                                                             
   6.50%, 2/7/2006                                                                       4,000       3,920 
  CIT Group Holdings                                                                                       
   7.375%, 4/2/2007                                                                      1,650       1,658 
  Capital One Bank                                                                                         
   6.875%, 2/1/2006                                                                      2,300       2,331 
   8.75%, 2/1/2007                                                                       1,700       1,715 
  Commercial Mortgage Lease--                                                                              
   Backed Certificates                                                                                     
  (4)      6.746%, 6/20/2031                                                               770         799 
  Countrywide Home Loan                                                                                    
   5.50%, 8/1/2006                                                                       3,500       3,556 
   5.50%, 2/1/2007                                                                       3,300       3,345 
   5.625%, 5/15/2007                                                                     3,700       3,768 
  Ford Motor Credit Co.                                                                                    
   7.60%, 8/1/2005                                                                       2,000       2,095 
   6.50%, 1/25/2007                                                                      3,000       3,008 
   7.25%, 10/25/2011                                                                     2,500       2,498 
  General Electric Capital Corp.                                                                           
   5.375%, 3/15/2007                                                                     1,600       1,634 
   6.75%, 3/15/2032                                                                      3,450       3,397 
  General Motors Acceptance Corp.                                                                          
   5.80%, 3/12/2003                                                                      5,050       5,123 
   6.85%, 6/17/2004                                                                      1,000       1,047 
   5.25%, 5/16/2005                                                                      2,475       2,494 
   7.50%, 7/15/2005                                                                      1,000       1,067 
   6.125%, 9/15/2006                                                                     4,000       4,062 
   6.125%, 2/1/2007                                                                      2,000       2,023 
   6.875%, 9/15/2011                                                                     1,500       1,486 
   7.00%, 2/1/2012                                                                       1,500       1,497 
   8.00%, 11/1/2031                                                                      1,500       1,527 
  Household Finance Corp.                                                                                  
   7.625%, 1/15/2003                                                                     1,500       1,537 
   5.75%, 1/30/2007                                                                      2,325       2,307 
   7.65%, 5/15/2007                                                                        350         375 
   6.40%, 6/17/2008                                                                        375         378 
   6.375%, 10/15/2011                                                                      750         721 
   7.00%, 5/15/2012                                                                      5,000       5,009 
   7.625%, 5/17/2032                                                                     2,750       2,713 
  International Lease Finance Corp.                                                                        
   5.625%, 6/1/2007                                                                      4,625       4,683 
  MBNA America Bank NA                                                                                     
   7.75%, 9/15/2005                                                                      1,500       1,618 
  Residential Asset Securities Corp.                                                                       
   4.988%, 2/25/2027                                                                     3,050       3,109 
  Sears, Roebuck & Co. Acceptance Corp.                                                                    
   6.75%, 9/15/2005                                                                        400         423 
   6.125%, 1/15/2006                                                                       350         361 

                                                                              47

N-30D 50th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 50th
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
  Toyota Motor Credit                                                                                      
   5.625%, 11/13/2003                                                                $   3,750   $   3,896 
  USA Education Inc.                                                                                       
   5.625%, 4/10/2007                                                                     1,625       1,702 
  Washington Mutual Finance Corp.                                                                          
   6.25%, 5/15/2006                                                                      2,000       2,078 
  Insurance (0.7%)                                                                                         
  AIG SunAmerica Global Financing IX                                                                       
  (4)      6.90%, 3/15/2032                                                              1,900       1,953 
  Ace Ltd.                                                                                                 
   6.00%, 4/1/2007                                                                       1,650       1,700 
  Allstate Corp.                                                                                           
   5.375%, 12/1/2006                                                                     2,000       2,046 
   7.20%, 12/1/2009                                                                      3,000       3,261 
  American General Capital II                                                                              
   8.50%, 7/1/2030                                                                       1,300       1,536 
  AXA SA                                                                                                   
   8.60%, 12/15/2030                                                                       300         342 
  Conseco Inc.                                                                                             
  (4)      9.00%, 4/15/2008                                                              1,425         641 
  John Hancock Global Funding II                                                                           
  (4)      5.625%, 6/27/2006                                                             2,150       2,209 
  Jackson National Life Insurance Co.                                                                      
  (4)      5.25%, 3/15/2007                                                                850         865 
  (4)      6.125%, 5/30/2012                                                             1,125       1,135 
  (4)      8.15%, 3/15/2027                                                              2,000       2,202 
  Marsh & McLennan Cos. Inc.                                                                               
  (4)      6.25%, 3/15/2012                                                                525         541 
  Metlife Inc.                                                                                             
   5.25%, 12/1/2006                                                                      1,500       1,529 
  Monumental Global Funding II                                                                             
  (4)      6.05%, 1/19/2006                                                              2,300       2,417 
  Nationwide Financial Services                                                                            
   5.90%, 7/1/2012                                                                         700         688 
  Nationwide Life Global Funding                                                                           
  (4)      5.35%, 2/15/2007                                                              1,700       1,733 
  Principal Life Global Funding I                                                                          
  (4)      6.125%, 3/1/2006                                                              2,000       2,082 
  Prudential Holdings, LLC                                                                                 
  (4)      8.695%, 12/18/2023                                                            1,500       1,584 
  Reinsurance Group of America                                                                             
   6.75%, 12/15/2011                                                                     1,500       1,527 
  St. Paul Companies Inc.                                                                                  
  5.75%, 3/15/2007                                                                         200         201 
  Travelers Property Casualty Corp.                                                                        
   7.75%, 4/15/2026                                                                        450         478 

  REAL ESTATE INVESTMENT TRUSTS (0.5%)                                                                     
  Camden Property Trust                                                                                    
   7.00%, 11/15/2006                                                                       750         785 
  Centerpoint Properties                                                                                   
   7.90%, 1/15/2003                                                                      2,500       2,561 
  First Industrial LP                                                                                      
   6.875%, 4/15/2012                                                                     4,000       4,106 
  Health Care Property Investments Inc.                                                                    
   6.45%, 6/25/2012                                                                        800         791 
  Liberty Properties LP                                                                                    
   7.25%, 3/15/2011                                                                      1,650       1,724 
  Mack--Cali Realty                                                                                        
   7.00%, 3/15/2004                                                                      2,000       2,090 
   7.75%, 2/15/2011                                                                        850         905 
  New Plan Excel Realty Trust                                                                              
   5.875%, 6/15/2007                                                                       625         626 
  Regency Centers LP                                                                                       
   6.75%, 1/15/2012                                                                        450         446 
  Security Capital Pacific Trust                                                                           
   8.05%, 4/1/2017                                                                         350         364 
  Shurgard Storage Centers, Inc.                                                                           
   7.75%, 2/22/2011                                                                      3,150       3,298 
  Simon DeBartolo Group, Inc.                                                                              
   6.75%, 7/15/2004                                                                        750         780 
  Summit Properties Inc.                                                                                   
   6.95%, 8/15/2004                                                                      1,800       1,870 
  Susa Partnership LP                                                                                      
   7.50%, 12/1/2027                                                                        400         414 
  Vornado Realty                                                                                           
   5.625%, 6/15/2007                                                                     1,875       1,866 
                                                                                                 --------- 
                                                                                                   245,281 
                                                                                                 --------- 
INDUSTRIAL (7.9%)                                                                                          
  BASIC INDUSTRY (0.6%)                                                                                    
  Celulosa Arauco Constitution SA                                                                          
   8.625%, 8/15/2010                                                                     1,750       1,904 
  Chevron Phillips Chemical Co.                                                                            
  (4)     5.375%, 6/15/2007                                                              1,875       1,870 
  Cyprus Minerals                                                                                          
   6.625%, 10/15/2005                                                                      600         579 
  Domtar Inc.                                                                                              
   7.875%, 10/15/2011                                                                    1,000       1,086 
  Dow Chemical Co.                                                                                         
   7.375%, 11/1/2029                                                                     2,000       2,118 
  Eastman Chemical Co.                                                                                     
   6.375%, 1/15/2004                                                                       300         311 
   7.00%, 4/15/2012                                                                        725         761 
   7.25%, 1/15/2024                                                                        450         451 
  International Paper Co.                                                                                  
   7.875%, 8/1/2006                                                                        100         110 
  Noranda, Inc.                                                                                            
   8.625%, 7/15/2002                                                                       550         551 
   7.50%, 7/15/2003                                                                        500         516 
   7.25%, 7/15/2012                                                                      2,125       2,102 

48                                                                          

N-30D 51st “Page” of 67 TOC 1st Previous Next ↓Bottom Just 51st
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
  Potash Corp. of Saskatchewan                                                                             
   7.75%, 5/31/2011                                                                  $   1,000    $  1,110 
  Praxair, Inc.                                                                                            
   6.90%, 11/1/2006                                                                        350         377 
  Rohm & Haas Co.                                                                                          
   6.95%, 7/15/2004                                                                        600         638 
  Sappi Papier Holding AG                                                                                  
  (4)    6.75%, 6/15/2012                                                                  675         691 
  (4)    7.50%, 6/15/2032                                                                  500         510 
  Union Carbide Corp.                                                                                      
   6.75%, 4/1/2003                                                                       1,550       1,580 
   7.875%, 4/1/2023                                                                        200         194 
   7.75%, 10/1/2096                                                                        875         785 
  Weyerhaeuser Co.                                                                                         
  (4)    5.50%, 3/15/2005                                                                2,000       2,037 
  (4)    6.125%, 3/15/2007                                                               1,000       1,025 
  (4)    6.75%, 3/15/2012                                                                1,000       1,022 
  (4)    7.375%, 3/15/2032                                                               1,500       1,522 

  CAPITAL GOODS (0.8%)                                                                                     
  BAE Systems Holdings Inc.                                                                                
  (4)    6.40%, 12/15/2011                                                               2,000       2,047 
  The Boeing Co.                                                                                           
   6.625%, 2/15/2038                                                                       900         888 
  Bombardier Capital Corp.                                                                                 
  (4)    6.125%, 6/29/2006                                                               2,650       2,719 
  British Aerospace                                                                                        
  (4)    7.156%, 7/18/2008                                                               1,382       1,456 
  CRH Capital Inc.                                                                                         
   6.95%, 3/15/2012                                                                        850         889 
 Caterpillar, Inc.                                                                                         
   7.375%, 3/1/2097                                                                        750         784 
 Cemex SA de CV                                                                                            
  (4)    8.625%, 7/18/2003                                                               1,700       1,768 
 Deere & Co.                                                                                               
   8.50%, 1/9/2022                                                                         100         116 
 Hutchison Whampoa International Ltd.                                                                      
  (4)    7.00%, 2/16/2011                                                                1,000       1,028 
 Kennametal Inc.                                                                                           
   7.20%, 6/15/2012                                                                        775         769 
 Lafarge Corp.                                                                                             
   6.375%, 7/15/2005                                                                     1,750       1,802 
 Lockheed Martin Corp.                                                                                     
   6.50%, 4/15/2003                                                                      1,000       1,027 
   7.70%, 6/15/2008                                                                      1,300       1,444 
   8.50%, 12/1/2029                                                                      2,000       2,380 
 Masco Corp.                                                                                               
   6.00%, 5/3/2004                                                                       1,300       1,350 
   6.75%, 3/15/2006                                                                      2,000       2,106 
 Textron Inc.                                                                                              
   6.50%, 6/1/2012                                                                         700         718 
 Tyco International Group SA                                                                               
   6.375%, 2/15/2006                                                                     1,000         805 
   5.80%, 8/1/2006                                                                       3,500       2,748 
   6.375%, 10/15/2011                                                                    1,125         866 
   6.875%, 1/15/2029                                                                     1,000         705 
 United Technologies Corp.                                                                                 
   4.875%, 11/1/2006                                                                     2,800       2,818 
   8.875%, 11/15/2019                                                                      575         703 
 Waste Management Inc.                                                                                     
  (4)    7.75%, 5/15/2032                                                                  975         965 

 COMMUNICATION (2.5%)                                                                                      
 AT&T Corp.                                                                                                
   5.625%, 3/15/2004                                                                       150         140 
  (4)    7.30%, 11/15/2011                                                               2,000       1,717 
   8.35%, 1/15/2025                                                                        210         166 
   6.50%, 3/15/2029                                                                      1,000         650 
  (4)    8.00%, 11/15/2031                                                                 500         385 
 AT&T Wireless                                                                                             
   7.35%, 3/1/2006                                                                       3,000       2,498 
   8.125%, 5/1/2012                                                                        750         615 
   8.75%, 3/1/2031                                                                       3,000       2,333 
 Ameritech Capital Funding                                                                                 
   7.50%, 4/1/2005                                                                         600         652 
 British Telecommunications PLC                                                                            
   7.875%, 12/15/2005                                                                    5,250       5,635 
 China Telecom                                                                                             
   7.875%, 11/2/2004                                                                     3,300       3,561 
 Clear Channel Communications Inc.                                                                         
   7.25%, 9/15/2003                                                                      6,000       6,138 
   6.00%, 11/1/2006                                                                      2,000       1,942 
   7.65%, 9/15/2010                                                                        500         503 
 Comcast Cable Communication, Inc.                                                                         
   6.375%, 1/30/2006                                                                     2,350       2,269 
   8.375%, 5/1/2007                                                                      1,000       1,013 
   8.875%, 5/1/2017                                                                        850         861 
 Continental Cablevision                                                                                   
   8.875%, 9/15/2005                                                                       400         422 
 Cox Communications Inc.                                                                                   
   7.75%, 11/1/2010                                                                        425         405 
 Cox Enterprises                                                                                           
  (4)    7.875%, 9/15/2010                                                                 500         473 
 France Telecom                                                                                            
   7.20%, 3/1/2006                                                                       2,500       2,387 
 GTE North Inc.                                                                                            
   5.65%, 11/15/2008                                                                       200         198 
 GTE South Inc.                                                                                            
   6.125%, 6/15/2007                                                                     2,500       2,585 
 Grupo Televisa SA                                                                                         
   8.625%, 8/8/2005                                                                      5,750       6,038 

                                                                              49

N-30D 52nd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 52nd
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
 Michigan Bell Telephone Co.                                                                               
   7.50%, 2/15/2023                                                                     $  175      $  175 
 New England Telephone & Telegraph Co.                                                                     
   6.875%, 10/1/2023                                                                       200         191 
   7.875%, 11/15/2029                                                                      750         794 
 News America Holdings                                                                                     
   8.50%, 2/15/2005                                                                        700         750 
   9.25%, 2/1/2013                                                                       1,000       1,119 
   7.75%, 1/20/2024                                                                        200         189 
 PCCW Hong Kong Capital Ltd.                                                                               
  (4)    7.75%, 11/15/2011                                                               3,000       3,055 
 Pearson PLC                                                                                               
  (4)    7.00%, 6/15/2011                                                                1,700       1,760 
 Qwest Corp.                                                                                               
   7.625%, 6/9/2003                                                                      1,600       1,472 
  (4)    8.875%, 3/15/2012                                                               2,000       1,780 
 Koninklijke KPN NV                                                                                        
   8.00%, 10/1/2010                                                                      5,000       5,083 
 Scholastic Corp.                                                                                          
   5.75%, 1/15/2007                                                                        300         302 
 Shaw Communications Inc.                                                                                  
   7.20%, 12/15/2011                                                                     3,000       2,914 
 Southwestern Bell Telephone Co.                                                                           
   6.625%, 7/15/2007                                                                     1,000       1,073 
   7.625%, 3/1/2023                                                                        725         748 
   7.25%, 7/15/2025                                                                        400         404 
 Sprint Capital Corp.                                                                                      
   7.90%, 3/15/2005                                                                      3,100       2,697 
   6.00%, 1/15/2007                                                                      5,000       4,100 
   8.75%, 3/15/2032                                                                      3,200       2,432 
 TCI-Communications, Inc.                                                                                  
   8.25%, 1/15/2003                                                                      2,000       2,038 
   7.875%, 8/1/2013                                                                      5,500       5,481 
 TPSA Finance BV                                                                                           
  (4)    7.75%, 12/10/2008                                                                 360         346 
 Telecomunicaciones de Puerto Rico                                                                         
   6.65%, 5/15/2006                                                                      1,000       1,003 
   6.80%, 5/15/2009                                                                        400         389 
 Telefonica de Argentina                                                                                   
  (4)    9.125%, 5/7/2008                                                                3,500       1,575 
 Telefonica Europe BV                                                                                      
   7.35%, 9/15/2005                                                                      1,000       1,052 
 Telefonos de Mexico, SA                                                                                   
   8.25%, 1/26/2006                                                                      3,700       3,920 
 Telus Corp.                                                                                               
   7.50%, 6/1/2007                                                                       4,000       3,832 
   8.00%, 6/1/2011                                                                         400         348 
 Thomson Corp.                                                                                             
   5.75%, 2/1/2008                                                                         800         810 
 US West Capital Funding, Inc.                                                                             
   6.875%, 7/15/2028                                                                     1,500         720 
 US West Communications Inc.                                                                               
   7.20%, 11/1/2004                                                                      1,400       1,246 
 Verizon Wireless Inc.                                                                                     
  (4)    5.375%, 12/15/2006                                                              3,000       2,799 
 Verizon New Jersey, Inc.                                                                                  
   5.875%, 1/17/2012                                                                     1,975       1,899 
 Verizon New York, Inc.                                                                                    
   6.875%, 4/1/2012                                                                        900         910 
   7.375%, 4/1/2032                                                                        900         869 
 Vodafone AirTouch PLC                                                                                     
   7.625%, 2/15/2005                                                                     3,700       3,987 

 CONSUMER CYCLICAL (1.4%)                                                                                  
 AOL Time Warner                                                                                           
   5.625%, 5/1/2005                                                                      1,350       1,311 
   6.125%, 4/15/2006                                                                     2,000       1,925 
   6.15%, 5/1/2007                                                                       1,875       1,790 
   7.625%, 4/15/2031                                                                       800         706 
 Auburn Hills                                                                                              
   12.375%, 5/1/2020                                                                       175         251 
 CVS Corp.                                                                                                 
   5.50%, 2/15/2004                                                                        675         695 
 Cendant Corp.                                                                                             
   6.875%, 8/15/2006                                                                     7,000       6,976 
 Cia. Brasil de Bebidas                                                                                    
  (4)    10.50%,12/15/2011                                                               1,500       1,080 
 Costco Wholesale Corp.                                                                                    
   5.50%, 3/15/2007                                                                        700         722 
 Dayton Hudson Corp.                                                                                       
   6.75%, 1/1/2028                                                                       1,000         993 
   6.65%, 8/1/2028                                                                         500         490 
 Ford Capital BV                                                                                           
   9.50%, 6/1/2010                                                                         100         114 
 Ford Motor Co.                                                                                            
   6.375%, 2/1/2029                                                                      1,250       1,018 
   7.45%, 7/16/2031                                                                      3,000       2,802 
   9.98%, 2/15/2047                                                                      1,000       1,163 
 Harrahs Operating Co., Inc.                                                                               
   7.125%, 6/1/2007                                                                      1,000       1,053 
   7.50%, 1/15/2009                                                                        500         531 
 Liberty Media Corp.                                                                                       
   7.75%, 7/15/2009                                                                      1,000       1,015 
   8.25%, 2/1/2030                                                                       1,500       1,434 
 Mach One CDO, Ltd.                                                                                        
  (4)    6.70%, 3/15/2030                                                                2,307       2,388 
 May Department Stores Co.                                                                                 
   9.75%, 2/15/2021                                                                        114         142 
 Pulte Homes Inc.                                                                                          
   7.875%, 8/1/2011                                                                      1,200       1,269 
   7.875%, 6/15/2032                                                                     1,100       1,100 
 Sears, Roebuck & Co.                                                                                      
   6.25%, 1/15/2004                                                                        650         675 

50                                                                            

N-30D 53rd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 53rd
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
Starwood Hotels Resorts                                                                                    
  (4)    7.375%, 5/1/2007                                                             $  1,175    $  1,170 
 Target Corp.                                                                                              
 7.00%, 7/15/2031                                                                        1,525       1,573 
 Time Warner Inc.                                                                                          
 7.975%, 8/15/2004                                                                       2,000       2,059 
 8.18%, 8/15/2007                                                                          500         518 
 Time Warner Entertainment                                                                                 
 8.375%, 3/15/2023                                                                       1,500       1,490 
 Toys R Us                                                                                                 
 6.875%, 8/1/2006                                                                        2,500       2,473 
 7.625%, 8/1/2011                                                                        1,500       1,444 
 Viacom Inc.                                                                                               
 6.75%, 1/15/2003                                                                        1,000       1,021 
 7.75%, 6/1/2005                                                                         4,000       4,347 
 6.40%, 1/30/2006                                                                          500         521 
 WFS Financial Owner Trust                                                                                 
 4.50%, 2/20/2010                                                                        1,300       1,312 
 Wal-Mart Stores, Inc.                                                                                     
 4.375%, 8/1/2003                                                                        5,000       5,101 
  (4)    5.58%, 5/1/2006                                                                 4,000       4,162 
 Wendy's International, Inc.                                                                               
   6.20%, 6/15/2014                                                                        400         404 

 CONSUMER NONCYCLICAL (1.1%)                                                                               
 Anheuser-Busch Cos., Inc.                                                                                 
   7.10%, 6/15/2007                                                                      2,100       2,245 
   7.125%, 7/1/2017                                                                        400         414 
   7.375%, 7/1/2023                                                                        125         128 
 Apogent Technologies Inc.                                                                                 
   8.00%, 4/1/2011                                                                       1,000       1,096 
 C.R. Bard, Inc.                                                                                           
   6.70%, 12/1/2026                                                                      1,100       1,160 
 Bristol-Myers Squibb                                                                                      
   5.75%, 10/1/2011                                                                        600         597 
 Campbell Soup Co.                                                                                         
   6.75%, 2/15/2011                                                                      1,000       1,059 
 Delhaize America Inc.                                                                                     
   7.375%, 4/15/2006                                                                     1,000       1,040 
   8.125%, 4/15/2011                                                                     1,000       1,050 
   9.00%, 4/15/2031                                                                      2,300       2,477 
 Dole Foods Inc.                                                                                           
  (4)    7.25%, 5/1/2009                                                                   850         867 
 General Mills Inc.                                                                                        
   5.125%, 2/15/2007                                                                     1,600       1,604 
 Grand Metropolitan Investment Corp.                                                                       
 9.00%, 8/15/2011                                                                        1,000       1,216 
 HCA Inc.                                                                                                  
   6.95%, 5/1/2012                                                                       1,500       1,513 
 HealthSouth Corp.                                                                                         
  (4)    7.625%, 6/1/2012                                                                2,125       2,093 
 International Flavors & Fragrances                                                                        
   6.45%, 5/15/2006                                                                      1,100       1,139 
 Kellogg Co.                                                                                               
   6.00%, 4/1/2006                                                                       2,000       2,087 
 Kraft Foods Inc.                                                                                          
   4.625%, 11/1/2006                                                                     1,200       1,196 
   5.625%, 11/1/2011                                                                       800         790 
   6.50%, 11/1/2031                                                                      2,000       1,943 
 Kroger Co.                                                                                                
   8.15%, 7/15/2006                                                                      1,000       1,104 
   7.65%, 4/15/2007                                                                        570         625 
   8.05%, 2/1/2010                                                                       1,000       1,107 
   8.00%, 9/15/2029                                                                        425         462 
 McKesson Corp.                                                                                            
   7.75%, 2/1/2012                                                                         500         537 
 Fred Meyer, Inc.                                                                                          
   7.375%, 3/1/2005                                                                      2,000       2,143 
 Pharmacia Corp.                                                                                           
   5.75%, 12/1/2005                                                                      1,000       1,047 
 Philip Morris Cos., Inc.                                                                                  
   8.25%, 10/15/2003                                                                       450         479 
   7.00%, 7/15/2005                                                                        500         533 
 RJ Reynolds Tobacco Holdings Inc.                                                                         
   6.50%, 6/1/2007                                                                       1,250       1,268 
   7.25%, 6/1/2012                                                                       2,025       2,026 
 Safeway Inc.                                                                                              
   6.85%, 9/15/2004                                                                      1,500       1,587 
 SuperValu Inc.                                                                                            
   7.50%, 5/15/2012                                                                      2,500       2,568 
 Tenet Healthcare Corp.                                                                                    
   5.375%, 11/15/2006                                                                    1,350       1,354 
   5.00%, 7/1/2007                                                                       2,475       2,442 
   6.50%, 6/1/2012                                                                       1,125       1,139 
   6.875%, 11/15/2031                                                                      500         473 
 United Health Group Inc.                                                                                  
   5.20%, 1/17/2007                                                                      1,000       1,012 
 WellPoint Health Network                                                                                  
   6.375%, 1/15/2012                                                                       900         925 

 ENERGY (1.0%)                                                                                             
 Alberta Energy Co. Ltd.                                                                                   
   7.375%, 11/1/2031                                                                     1,000       1,045 
 Amerada Hess Corp.                                                                                        
   5.30%, 8/15/2004                                                                      4,000       4,123 
   5.90%, 8/15/2006                                                                      1,700       1,761 
   7.30%, 8/15/2031                                                                      1,000       1,024 
 Burlington Resources Inc.                                                                                 
  (4)    6.50%, 12/1/2011                                                                1,000       1,029 
  (4)    7.40%, 12/1/2031                                                                1,500       1,600 
 Conoco Funding Co.                                                                                        
   6.35%, 10/15/2011                                                                       175         181 

                                                                              51

N-30D 54th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 54th
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
 Conoco Inc.                                                                                               
   5.90%, 4/15/2004                                                                   $  3,500    $  3,639 
 Devon Energy Corp.                                                                                        
   7.95%, 4/15/2032                                                                        300         323 
 Devon Financing Corp.                                                                                     
   6.875%, 9/30/2011                                                                     1,000       1,039 
   7.875%, 9/30/2031                                                                     2,500       2,662 
 Marathon Oil Corp.                                                                                        
   5.375%, 6/1/2007                                                                      1,250       1,258 
   6.125%, 3/15/2012                                                                       675         669 
   6.80%, 3/15/2032                                                                      1,000         958 
 Mobil Corp.                                                                                               
   7.625%, 2/23/2033                                                                       175         180 
 Noble Drilling Corp.                                                                                      
   7.50%, 3/15/2019                                                                      2,000       1,953 
 PF Export Receivables Master Trust                                                                        
  (3)(4 )6.60%, 12/1/2011                                                                1,500       1,524 
 Pancanadian Energy Corp.                                                                                  
   7.20%, 11/1/2031                                                                        475         466 
 Petro--Canada                                                                                             
   9.25%, 10/15/2021                                                                     1,125       1,355 
 Petrobras International Finance Co. Ltd.                                                                  
   9.875%, 5/9/2008                                                                      1,500       1,155 
   9.75%, 7/6/2011                                                                       1,500       1,125 
 Petro Geo---Services                                                                                      
   7.50%, 3/31/2007                                                                      1,250       1,046 
   8.15%, 7/15/2029                                                                        750         521 
 Petroliam Nasional Bhd.                                                                                   
  (4)    8.875%, 8/1/2004                                                                  700         769 
  (4)    7.625%, 10/15/2026                                                                750         707 
 Petronas Capital Ltd.                                                                                     
  (4)    7.00%, 5/22/2012                                                                1,800       1,814 
  (4)    7.875%, 5/22/2022                                                               2,200       2,183 
 Phillips Petroleum Co.                                                                                    
   8.50%, 5/25/2005                                                                      1,050       1,174 
 Schlumberger Technology Corp.                                                                             
(4)      6.50%, 4/15/2012                                                                  500         518 
 Suncor Energy Inc.                                                                                        
   7.15%, 2/1/2032                                                                         900         893 
 Texaco Capital Corp.                                                                                      
   8.875%, 9/1/2021                                                                        100         125 
   7.50%, 3/1/2043                                                                         150         156 
 Tosco Corp.                                                                                               
   7.25%, 1/1/2007                                                                       1,000       1,091 
   8.125%, 2/15/2030                                                                     2,400       2,780 
 Union Oil of California                                                                                   
   6.375%, 2/1/2004                                                                        150         156 
   7.50%, 2/15/2029                                                                        910         941 

 TECHNOLOGY (0.1%)                                                                                         
 Applied Materials, Inc.                                                                                   
   8.00%, 9/1/2004                                                                         125         134 
 First Data Corp.                                                                                          
   6.375%, 12/15/2007                                                                    1,000       1,062 
   5.625%, 11/1/2011                                                                     1,500       1,485 
 International Business Machines Corp.                                                                     
   6.45%, 8/1/2007                                                                       1,000       1,059 
   7.125%, 12/1/2096                                                                     1,125       1,115 
 Texas Instruments Inc.                                                                                    
   6.125%, 2/1/2006                                                                        600         616 

 TRANSPORTATION (0.4%)                                                                                     
 American Airlines Inc. Pass- Through Certificates                                                         
   6.855%, 4/15/2009                                                                       750         810 
   7.024%, 10/15/2009                                                                      600         612 
   6.817%, 5/23/2011                                                                     1,400       1,389 
 Burlington Northern Santa Fe Corp.                                                                        
   6.375%, 12/15/2005                                                                      150         158 
   6.75%, 3/15/2029                                                                        750         747 
   7.25%, 8/1/2097                                                                         300         297 
 Canadian National Railway Co.                                                                             
   6.80%, 7/15/2018                                                                      1,075       1,084 
 Canadian Pacific Rail                                                                                     
   7.125%, 10/15/2031                                                                      700         733 
 Conrail Corp.                                                                                             
   9.75%, 6/15/2020                                                                        120         149 
 Continental Airlines, Inc.                                                                                
  (Equipment Trust Certificates)                                                                           
   6.648%, 3/15/2019                                                                       748         727 
 Delta Air Lines, Inc.                                                                                     
  (Equipment Trust Certificates)                                                                           
  (3)    8.54%, 1/2/2007                                                                   303         295 
 Delta Air Lines, Inc. Pass-Through Certificates                                                           
   7.111%, 9/18/2011                                                                     1,500       1,550 
 ERAC USA Finance Co.                                                                                      
  (4)    7.35%, 6/15/2008                                                                1,500       1,596 
 Hertz Corp.                                                                                               
   7.40%, 3/1/2011                                                                       1,000         983 
   7.625%, 6/1/2012                                                                      1,400       1,389 
 Norfolk Southern Corp.                                                                                    
   8.375%, 5/15/2005                                                                       550         596 
   7.40%, 9/15/2006                                                                        535         577 
   7.70%, 5/15/2017                                                                        100         115 
   7.90%, 5/15/2097                                                                        100         106 
 NorthWest Airlines, Inc. Pass-Through Certificates                                                        
   6.841%, 4/1/2011                                                                        800         798 

52                                                                            

N-30D 55th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 55th
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
 Southwest Airlines Co.                                                                                    
   6.50%, 3/1/2012                                                                      $  650      $  668 
 US Airways Pass-Through Trust                                                                             
   8.11%, 2/20/2017                                                                      1,849       1,940 
                                                                                                ---------- 
                                                                                                   339,115 
                                                                                                ---------- 
UTILITIES (2.3%)                                                                                           
 ELECTRIC UTILITIES (1.7%)                                                                                 
 Arizona Public Service Co.                                                                                
   7.25%, 8/1/2023                                                                         400         381 
 Calpine Canada Energy                                                                                     
   8.50%, 5/1/2008                                                                         100          67 
 Commonwealth Edison Co.                                                                                   
   7.50%, 7/1/2013                                                                         250         279 
 Consolidated Edison Inc.                                                                                  
   6.625%, 12/15/2005                                                                    5,000       5,330 
 Detroit Edison                                                                                            
   7.50%, 2/1/2005                                                                       2,000       2,153 
 Dominion Fiber Ventures, LLC                                                                              
(4)      7.05%, 3/15/2005                                                                3,500       3,378 
 Dominion Resources Inc.                                                                                   
   3.875%, 1/15/2004                                                                    15,000      14,931 
 Duke Energy Corp.                                                                                         
   6.25%, 1/15/2012                                                                        900         913 
 Edison Mission                                                                                            
   9.875%, 4/15/2011                                                                     2,000       1,970 
 Energy East Corp.                                                                                         
   6.75%, 6/15/2012                                                                        500         512 
 FirstEnergy Corp.                                                                                         
   5.50%, 11/15/2006                                                                     1,000         974 
 Florida Power & Light                                                                                     
   6.875%, 12/1/2005                                                                     2,350       2,522 
 HGI Transelec Chile SA                                                                                    
   7.875%, 4/15/2011                                                                     1,500       1,578 
 Illinois Power Co.                                                                                        
   7.50%, 7/15/2025                                                                        500         396 
 Israel Electric Corp.                                                                                     
  (4)    7.25%, 12/15/2006                                                               1,235       1,309 
  (4)    7.75%, 3/1/2009                                                                 1,300       1,343 
  (4)    7.95%, 5/30/2011                                                                1,800       1,873 
 MidAmerican Energy Co.                                                                                    
   6.75%, 12/30/2031                                                                     1,225       1,169 
 Mirant Americas Generation, LLC                                                                           
   8.50%, 10/1/2021                                                                      2,000       1,530 
 NRG Energy Inc.                                                                                           
   9.292%, 12/15/2024                                                                    2,500       2,243 
 National Rural Utility Co.                                                                                
   6.20%, 2/1/2008                                                                         500         510 
 PPL Capital Funding                                                                                       
   7.75%, 4/15/2005                                                                      6,500       6,574 
 PSEG Power                                                                                                
   6.875%, 4/15/2006                                                                     2,150       2,232 
 PacificCorp.                                                                                              
   6.90%, 11/15/2011                                                                     1,500       1,590 
   7.70%, 11/15/2031                                                                       500         530 
 Progress Energy Inc.                                                                                      
   6.75%, 3/1/2006                                                                       2,300       2,418 
   7.00%, 10/30/2031                                                                     1,000         970 
 Reliant Energy Resources                                                                                  
   8.125%, 7/15/2005                                                                     3,450       3,036 
   7.75%, 2/15/2011                                                                      1,500       1,310 
 South Point Energy                                                                                        
(4)      8.40%, 5/30/2012                                                                1,500       1,095 
(4)      9.825%, 5/30/2019                                                               3,000       2,100 
 Southwestern Electric Power                                                                               
   4.50%, 7/1/2005                                                                       1,200       1,195 
 Teco Energy Inc.                                                                                          
   7.00%, 5/1/2012                                                                       1,225       1,280 
 Texas Utilities Co.                                                                                       
   7.875%, 3/1/2023                                                                         25         230 
 Union Electric Power Co.                                                                                  
   7.65%, 7/15/2003                                                                        250         262 
 Virginia Electric & Power Co.                                                                             
   6.625%, 4/1/2003                                                                      1,250       1,284 
   5.375%, 2/1/2007                                                                      1,025       1,035 
   6.75%, 10/1/2023                                                                        500         476 

 NATURAL GAS (0.6%)                                                                                        
 Coastal Corp.                                                                                             
   6.50%, 5/15/2006                                                                        500         491 
   6.50%, 6/1/2008                                                                       1,000         962 
   7.42%, 2/15/2037                                                                        325         281 
 Consolidated Natural Gas                                                                                  
   5.375%, 11/1/2006                                                                     1,500       1,495 
 Duke Energy Field Services                                                                                
   7.875%, 8/16/2010                                                                     1,000       1,069 
 El Paso Energy Corp.                                                                                      
   6.75%, 5/15/2009                                                                      3,500       3,303 
  (4)    7.875%, 6/15/2012                                                               1,500       1,500 
  (4)    8.375%, 6/15/2032                                                                 500         517 
 Enron Corp.                                                                                               
   **9.125%, 4/1/2003                                                                      700          84 
   **7.125%, 5/15/2007                                                                     300          36 
   **6.875%, 10/15/2007                                                                  1,000         120 
 Enterprise Products Partners LP                                                                           
   7.50%, 2/1/2011                                                                       2,500       2,599 
 KN Energy, Inc.                                                                                           
   6.45%, 3/1/2003                                                                         750         764 
 Keyspan Corp.                                                                                             
   7.25%, 11/15/2005                                                                     2,100       2,261 
 Sempra Energy                                                                                             
   6.80%, 7/1/2004                                                                       4,000       4,174 

                                                                              53

N-30D 56th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 56th
                                                        [Enlarge/Download Table]

                                                                                                           

-----------------------------------------------------------------------------------------------------------
                                                                                          Face      Market 
                                                                                        Amount      Value* 
                                                                                         (000)       (000) 
-----------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline                                                                                     
   7.625%, 4/1/2037                                                                   $  1,000      $  959 
 Williams Communications Group, Inc.                                                                       
  (4)    8.25%, 3/15/2004                                                                3,700       3,578 
 7.50%, 1/15/2031                                                                        1,000         720 
 7.75%, 6/15/2031                                                                        2,300       1,817 
 Yosemite Security Trust                                                                                   
(4) **   8.25%, 11/15/2004                                                               4,000         680 
                                                                                                 --------- 
                                                                                                   100,388 
                                                                                                 --------- 
---------------------------------------------------------------------------------------------------------- 
TOTAL CORPORATE BONDS                                                                                      
(Cost $771,881)                                                                                    774,308 
---------------------------------------------------------------------------------------------------------- 
SOVEREIGN BONDS (0.5%)                                                                                     
 (U.S. DOLLAR-DENOMINATED)                                                                                 
---------------------------------------------------------------------------------------------------------- 
Inter-American Development Bank                                                                            
 8.50%, 3/15/2011                                                                       $  175      $  210 
KFW International Finance, Inc.                                                                            
 7.625%, 2/15/2004                                                                         400         430 
Petroleos Mexicanos                                                                                        
(4)      6.50%, 2/1/2005                                                                 3,000       3,045 
Pemex Master Trust                                                                                         
(4)      7.875%, 2/1/2009                                                                1,870       1,919 
Province of British Columbia                                                                               
 7.00%, 1/15/2003                                                                          630         647 
Province of Newfoundland                                                                                   
 10.00%, 12/1/2020                                                                         250         349 
 7.32%, 10/13/2023                                                                         600         660 
Province of Ontario                                                                                        
 7.375%, 1/27/2003                                                                         175         180 
Province of Quebec                                                                                         
 7.125%, 2/9/2024                                                                          400         436 
Province of Saskatchewan                                                                                   
 6.625%, 7/15/2003                                                                       2,250       2,349 
 8.00%, 7/15/2004                                                                        1,600       1,706 
Republic of Chile                                                                                          
 5.625%, 7/23/2007                                                                       4,550       4,512 
 6.875%, 4/28/2009                                                                       1,000       1,025 
Republic of El Salvador                                                                                    
(4)      8.25%, 4/10/2032                                                                  700         706 
Republic of Finland                                                                                        
 7.875%, 7/28/2004                                                                         850         932 
Republic of Portugal                                                                                       
 5.75%, 10/8/2003                                                                        1,000       1,039 
Republic of South Africa                                                                                   
 7.375%, 4/25/2012                                                                       1,175       1,162 
United Mexican States                                                                                      
 8.375%, 1/14/2011                                                                       1,000       1,034 
 8.30%, 8/15/2031                                                                        1,000         973 
United Mexican States                                                                                      
 Value Recovery Rights                                                                                     
 0.00%, 12/31/2019                                                                       3,950           9 
-----------------------------------------------------------------------------------------------------------
TOTAL SOVEREIGN BONDS                                                                                      
(Cost $22,739)                                                                                      23,323 
-----------------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.2%)                                                                          
-----------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.                                                                            
(2)      1.83%, 7/31/2002                                                                1,500       1,498 
REPURCHASE AGREEMENTS                                                                                      
Collateralized by U.S. Government                                                                          
Obligations in a Pooled Cash Account                                                                       
 1.97%, 7/1/2002                                                                        59,630      59,630 
 1.97%, 7/1/2002--Note E                                                                33,619      33,619 
-----------------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS                                                                           
(Cost $94,747)                                                                                      94,747 
-----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.2%)                                                                                 
(Cost $4,428,730)                                                                                4,372,119 
-----------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.2%)                                                                       
-----------------------------------------------------------------------------------------------------------
Other Assets--Note B                                                                                63,657 
Liabilities--Note E                                                                               (116,432)
                                                                                                  -------- 
                                                                                                   (52,775)
                                                                                                  -------- 
-----------------------------------------------------------------------------------------------------------
NET ASSETS (100%)                                                                               $4,319,344 
-----------------------------------------------------------------------------------------------------------

*See Note A in Notes to Financial Statements.                                   
*Non-income-producing security.                                                 
**Non-income-producing security--debt security in default.                      
*(1)The fund invests a portion of its cash  reserves in equity  markets  through
the use of index futures contracts.  After giving effect to futures investments,
the fund's  effective  common  stock and  temporary  cash  investment  positions
represent 57.8% and 1.8%,  respectively,  of net assets.  See Note D in Notes to
Financial Statements.                                                           
*(2)Security segregated as initial margin for open futures contracts.           
*(3)The  average  maturity  is  shorter  than the  final  maturity  shown due to
scheduled interim principal payments.                                           
*(4)Security  exempt from registration  under Rule 144A of the Securities Act of
1933.  These  securities may be sold in transactions  exempt from  registration,
normally to qualified  institutional  buyers.  At June 30, 2002,  the  aggregate
value of these securities was $115,441,000, representing 2.7% of net assets.    
REIT--Real Estate Investment Trust.                                             

54                                                                              

N-30D 57th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 57th
--------------------------------------------------------------------------------
                                                                          Amount
                                                                           (000)
--------------------------------------------------------------------------------
AT JUNE 30, 2002, NET ASSETS CONSISTED OF:                                      
Paid-in Capital                                                      $4,405,057 
Undistributed Net Investment Income                                       5,202 
Accumulated Net Realized Losses                                         (33,767)
Unrealized Depreciation--Note D                                                 
 Investment Securities                                                  (56,611)
 Futures Contracts                                                         (537)
--------------------------------------------------------------------------------
NET ASSETS                                                            $4,319,344
================================================================================
Investor Shares--Net Assets                                                     

Applicable to 186,898,350 outstanding $.001                                     
par value shares of beneficial interest                                       
 (unlimited authorization)                                            $3,097,337
================================================================================
NET ASSET VALUE PER SHARE--                                                     
 INVESTOR SHARES                                                          $16.57
================================================================================
Admiral Shares--Net Assets                                                      

Applicable to 29,815,261 outstanding $.001                                      
par value shares of beneficial interest                                       
 (unlimited authorization)                                              $494,117
--------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--                                                     
 ADMIRAL SHARES                                                           $16.57
================================================================================
Institutional Shares--Net Assets                                                
Applicable to 43,919,825 outstanding $.001                                      
par value shares of beneficial interest                                       
 (unlimited authorization)                                              $727,890
--------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--                                                     
 INSTITUTIONAL SHARES                                                     $16.57
================================================================================
                                                                              55

N-30D 58th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 58th
STATEMENT OF OPERATIONS                                                         

This Statement shows the types of income earned by the fund during the reporting
period,  and details the operating expenses charged to each class of its shares.
These expenses  directly reduce the amount of investment income available to pay
to  shareholders  as income  dividends.  This  Statement also shows any Net Gain
(Loss) realized on the sale of investments,  and the increase or decrease in the
Unrealized Appreciation (Depreciation) of investments during the period.        

================================================================================
                                                           BALANCED INDEX FUND
                                                Six Months Ended June 30, 2002
                                                                         (000)
--------------------------------------------------------------------------------
INVESTMENT INCOME                                                               
Income                                                                        
Dividends                                                             $ 16,811
Interest                                                                56,152
Security Lending                                                           127
--------------------------------------------------------------------------------
 Total Income                                                           73,090
--------------------------------------------------------------------------------
EXPENSES                                                                        
The Vanguard Group--Note B                                                    
 Investment Advisory Services                                               38
Management and Administrative                                               
  Investor Shares                                                        2,919
  Admiral Shares                                                           352
  Institutional Shares                                                     248
Marketing and Distribution                                                  
  Investor Shares                                                          335
  Admiral Shares                                                            31
  Institutional Shares                                                      45
Custodian Fees                                                             107
Auditing Fees                                                                6
Shareholders' Reports                                                         
Investor Shares                                                            105
Admiral Shares                                                               1
Institutional Shares                                                        --
Trustees' Fees and Expenses                                                  2
--------------------------------------------------------------------------------
 Total Expenses                                                          4,189
--------------------------------------------------------------------------------
NET INVESTMENT INCOME                                                    68,901 
--------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)                                                        
 Investment Securities Sold                                             (26,283)
 Futures Contracts                                                         (685)
--------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)                                                (26,968)
--------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)                                
 Investment Securities                                                 (310,908)
 Futures Contracts                                                         (958)
--------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)                       (311,866)
--------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS                                           
 RESULTING FROM OPERATIONS                                            $(269,933)
================================================================================

56                                                                              

N-30D 59th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 59th
STATEMENT OF CHANGES IN NET ASSETS                                              
This Statement shows how the fund's total net assets changed during the two most
recent reporting periods. The Operations section summarizes information detailed
in  the  Statement  of  Operations.   The  amounts  shown  as  Distributions  to
shareholders  from the fund's net  income  and  capital  gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax  basis  and may be made in a period  different  from the one in which  the
income was earned or the gains were  realized on the financial  statements.  The
Capital Share Transactions section shows the net amount shareholders invested in
or redeemed  from the fund.  Distributions  and Capital Share  Transactions  are
shown separately for each class of shares.                                      

                                                        [Enlarge/Download Table]

                                                                                                          

==========================================================================================================
                                                                                  BALANCED INDEX FUND     
                                                                     -------------------------------------
                                                                       Six Months                    Year 
                                                                            Ended                   Ended 
                                                                    June 30, 2002           Dec. 31, 2001 
                                                                            (000)                   (000) 
----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS                                                                         
OPERATIONS                                                                                                
Net Investment Income                                                   $ 68,901                $ 134,597 
Realized Net Gain (Loss)                                                 (26,968)                  (6,109)
Change in Unrealized Appreciation (Depreciation)                        (311,866)                (252,275)
----------------------------------------------------------------------------------------------------------
  Net Increase (Decrease) in Net Assets Resulting from Operations       (269,933)                (123,787)
----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS                                                                                             
 Net Investment Income                                                                                    
  Investor Shares                                                        (43,809)                (103,382)
  Admiral Shares                                                          (7,783)                 (14,172)
  Institutional Shares                                                    (9,208)                 (18,375)
 Realized Capital Gain*                                                                                   
  Investor Shares                                                             --                   (4,444)
  Admiral Shares                                                              --                     (477)
  Institutional Shares                                                        --                     (568)
----------------------------------------------------------------------------------------------------------
  Total Distributions                                                    (60,800)                (141,418)
----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONs--Note F                                                                        
 Investor Shares                                                         218,505                 (258,665)
 Admiral Shares                                                           67,339                  178,801 
 Institutional Shares                                                    176,875                  482,528 
----------------------------------------------------------------------------------------------------------
  Net Increase (Decrease) from Capital Share Transactions                462,719                  402,664 
----------------------------------------------------------------------------------------------------------
 Total Increase (Decrease)                                               131,986                  137,459 
----------------------------------------------------------------------------------------------------------
NET ASSETS                                                                                                
 Beginning of Period                                                   4,187,358                4,049,899 
----------------------------------------------------------------------------------------------------------
 End of Period                                                        $4,319,344               $4,187,358 
==========================================================================================================

*Includes  2001  short-term  gain  distributions  totaling  $1,098,000  that are
treated as ordinary income for tax purposes.                                    
                                                                              57

N-30D 60th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 60th
FINANCIAL HIGHLIGHTS                                                            
This table  summarizes  the  fund's  investment  results  and  distributions  to
shareholders on a per-share basis for each class of shares. It also presents the
Total  Return and shows net  investment  income and expenses as  percentages  of
average net  assets.  These data will help you assess:  the  variability  of the
fund's  net  income  and  total   returns  from  year  to  year;   the  relative
contributions  of net income and capital gains to the fund's total  return;  how
much it costs to  operate  the fund;  and the  extent to which the fund tends to
distribute  capital gains.  The table also shows the Portfolio  Turnover Rate, a
measure of trading  activity.  A  turnover  rate of 100% means that the  average
security is held in the fund for one year.                                      

BALANCED INDEX FUND INVESTOR SHARES                                             

                                                        [Enlarge/Download Table]

                                                                                                          
==========================================================================================================
                                                               Year Ended December 31,                    
FOR A SHARE OUTSTANDING                     Six Months Ended----------------------------------------------
THROUGHOUT EACH PERIOD                         June 30, 2002    2001      2000     1999      1998    1997 
----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD                  $17.86  $19.08    $20.22   $18.48    $16.29  $13.92 
----------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS                                                                                     
 Net Investment Income                                  .273     .591     .645      .58       .54    .520 
 Net Realized and Unrealized Gain (Loss)                                                                  
  on Investments                                      (1.323) (1.189)   (1.038)    1.88      2.33   2.525 
----------------------------------------------------------------------------------------------------------
   Total from Investment Operations                   (1.050)  (.598)    (.393)    2.46      2.87   3.045 
----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS                                                                                             
  Dividends from Net Investment Income                 (.240)  (.597)    (.647)    (.58)     (.54)  (.530)
  Distributions from Realized Capital Gains               --   (.025)    (.100)    (.14)     (.14)  (.145)
----------------------------------------------------------------------------------------------------------
   Total Distributions                                 (.240)  (.622)    (.747)    (.72)     (.68)  (.675)
----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD                        $16.57  $17.86    $19.08   $20.22    $18.48  $16.29 
==========================================================================================================
TOTAL RETURN*                                         -5.92%  -3.02%    -2.04%   13.61%    17.85%  22.24% 
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA                                                                                  
 Net Assets, End of Period (Millions)                 $3,097  $3,117    $3,586   $3,128    $2,004  $1,260 
 Ratio of Total Expenses                                                                                  
  Average Net Assets                                 0.22%**   0.22%     0.22%    0.20%     0.21%   0.20% 
 Ratio of Net Investment Income to                                                                        
  Average Net Assets                                 3.16%**   3.26%     3.30%    3.18%     3.29%   3.56% 
 Portfolio Turnover Rate                               31%**     33%       28%      29%       25%     18% 
==========================================================================================================

*Total  return  figures do not reflect the $10 annual  account  maintenance  fee
applied on balances under $10,000.                                              
**Annualized.                                                                   
58                                                                              

N-30D 61st “Page” of 67 TOC 1st Previous Next ↓Bottom Just 61st
BALANCED INDEX FUND ADMIRAL SHARES                                              

                                                        [Enlarge/Download Table]

                                                                                                          
==========================================================================================================

                                                                 Six Months        Year                   
                                                                      Ended       Ended       Nov. 13* to 
                                                                   June 30,    Dec. 31,          Dec. 31, 
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD                         2002        2001              2000 
----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD                                 $17.86      $19.08            $19.40 
----------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS                                                                                     
 Net Investment Income                                                 .280        .602              .088 
  Net Realized and Unrealized Gain (Loss) on Investments             (1.323)     (1.189)            (.129)
----------------------------------------------------------------------------------------------------------
   Total from Investment Operations                                  (1.043)      (.587)            (.041)
----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS                                                                                             
  Dividends from Net Investment Income                                (.247)      (.608)            (.189)
  Distributions from Realized Capital Gains                              --       (.025)            (.090)
----------------------------------------------------------------------------------------------------------
   Total Distributions                                                (.247)      (.633)            (.279)
----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD                                       $16.57      $17.86            $19.08 
==========================================================================================================
TOTAL RETURN                                                         -5.89%      -2.96%            -0.20% 
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA                                                                                  
 Net Assets, End of Period (Millions)                                  $494        $471              $316 
 Ratio of Total Expenses to Average Net Assets                      0.15%**       0.15%           0.15%** 
 Ratio of Net Investment Income to Average Net Assets               3.22%**       3.32%           3.49%** 
 Portfolio Turnover Rate                                              31%**         33%               28% 
==========================================================================================================

*Inception.                                                                   
**Annualized.                                                                   
                                                                              59

N-30D 62nd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 62nd
****                                                                            
****                                                                            

FINANCIAL HIGHLIGHTS (continued)                                                

BALANCED INDEX FUND INSTITUTIONAL SHARES                                        

                                                        [Enlarge/Download Table]

                                                                                                          
==========================================================================================================

                                                                 Six Months        Year                   
                                                                      Ended       Ended         Dec.1* to 
                                                                   June 30,    Dec. 31,          Dec. 31, 
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD                         2002        2001              2000 
----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD                                 $17.86      $19.08            $19.05 
----------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS                                                                                     
 Net Investment Income                                                 .283        .612              .056 
 Net Realized and Unrealized Gain (Loss) on Investments              (1.323)     (1.189)             .253 
----------------------------------------------------------------------------------------------------------
   Total from Investment Operations                                  (1.040)      (.577)             .309 
----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS                                                                                             
   Dividends from Net Investment Income                               (.250)      (.618)            (.189)
   Distributions from Realized Capital Gains                             --       (.025)            (.090)
----------------------------------------------------------------------------------------------------------
   Total Distributions                                                (.250)      (.643)            (.279)
----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD                                       $16.57      $17.86            $19.08 
==========================================================================================================
TOTAL RETURN                                                         -5.87%      -2.90%             1.63% 
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA                                                                                  
 Net Assets, End of Period (Millions)                                  $728        $599              $148 
 Ratio of Total Expenses to Average Net Assets                      0.10%**       0.10%           0.10%** 
 Ratio of Net Investment Income to Average Net Assets               3.28%**       3.37%           3.36%** 
 Portfolio Turnover Rate                                              31%**         33%               28% 
==========================================================================================================

*Inception.                                                                   
**Annualized.                                                                   
60                                                                              

N-30D 63rd “Page” of 67 TOC 1st Previous Next ↓Bottom Just 63rd
NOTES TO FINANCIAL STATEMENTS                                                   

Vanguard  Balanced Index Fund is registered under the Investment  Company Act of
1940 as an open-end  investment  company,  or mutual fund. Certain of the fund's
investments are in corporate debt  instruments;  the issuers'  abilities to meet
their  obligations may be affected by economic  developments in their respective
industries.  The fund offers three classes of shares:  Investor Shares,  Admiral
Shares, and Institutional Shares.  Investor Shares are available to any investor
who meets the fund's minimum purchase requirements.  Admiral Shares are designed
for  investors  who  meet  certain   administrative,   servicing,   tenure,  and
account-size criteria.  Institutional Shares are designed for investors who meet
certain  administrative  and  servicing  criteria  and  invest a minimum  of $10
million.                                                                        

A. The following  significant  accounting policies conform to generally accepted
accounting  principles for U.S. mutual funds. The fund consistently follows such
policies in preparing its financial statements.                                 
     1. SECURITY  VALUATION:  Equity  securities are valued at the latest quoted
sales  prices  as of the  close  of  trading  on the  New  York  Stock  Exchange
(generally  4:00 p.m.  Eastern time) on the valuation  date; such securities not
traded on the valuation date are valued at the mean of the latest quoted bid and
asked  prices.  Prices are taken from the primary  market in which each security
trades. Bonds, and temporary cash investments acquired over 60 days to maturity,
are valued  using the latest  bid prices or using  valuations  based on a matrix
system (which considers such factors as security prices, yields, maturities, and
ratings),  both as furnished by independent  pricing  services.  Other temporary
cash investments are valued at amortized cost, which approximates  market value.
Securities for which market  quotations are not readily  available are valued by
methods deemed by the board of trustees to represent fair value.                
     2.  FEDERAL  INCOME  TAXES:  The fund  intends to  continue to qualify as a
regulated   investment  company  and  distribute  all  of  its  taxable  income.
Accordingly,  no provision for federal income taxes is required in the financial
statements.                                                                     
     3.  REPURCHASE  AGREEMENTS:  The fund,  along  with  other  members  of The
Vanguard Group,  transfers  uninvested cash balances into a pooled cash account,
which  is  invested  in  repurchase   agreements  secured  by  U.S.   government
securities.  Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements  mature.  Each agreement  requires that
the market value of the  collateral be sufficient to cover  payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to  the  agreement,  retention  of  the  collateral  may  be  subject  to  legal
proceedings.                                                                    
     4. FUTURES CONTRACTS:  The fund uses S&P 500 Index futures  contracts,  S&P
MidCap 400 Index futures contracts,  and Russell 2000 Index futures contracts to
a limited extent,  with the objectives of maintaining full exposure to the stock
market,  maintaining  liquidity,  and minimizing transaction costs. The fund may
purchase futures contracts to immediately invest incoming cash in the market, or
sell futures in response to cash outflows,  thereby  simulating a fully invested
position in the underlying index while maintaining a cash balance for liquidity.
The primary  risks  associated  with the use of futures  contracts are imperfect
correlation  between the changes in market values of stocks held by the fund and
the prices of futures contracts, and the possibility of an illiquid market.     
     Futures contracts are valued at their quoted daily settlement  prices.  The
aggregate  principal  amounts of the contracts are not recorded in the financial
statements.  Fluctuations  in the value of the  contracts  are  recorded  in the
Statement  of Net  Assets  as an  asset  (liability)  and in  the  Statement  of
Operations as  unrealized  appreciation  (depreciation)  until the contracts are
closed, when they are recorded as realized futures gains (losses).              

                                                                              61

Notes to Financial Statements(continued)                                        

     5.  DISTRIBUTIONs:  Distributions  to  shareholders  are  recorded  on  the
ex-dividend  date.  Distributions  are  determined on a tax basis and may differ
from net investment  income and realized  capital gains for financial  reporting
purposes.                                                                       
     6. OTHER:  Dividend  income is recorded on the ex-dividend  date.  Security
transactions  are accounted for on the date the  securities  are bought or sold.
Costs  used to  determine  realized  gains  (losses)  on the sale of  investment
securities are those of the specific  securities sold. Premiums and discounts on
debt securities purchased are amortized and accreted,  respectively, to interest
income over the lives of the respective securities.                             
     Each class of shares has equal  rights as to assets  and  earnings,  except
that each class  separately  bears certain  class-specific  expenses  related to
maintenance of shareholder  accounts  (included in Management and Administrative
expenses) and shareholder  reporting.  Marketing and  distribution  expenses are
allocated  to each class of shares  based on a method  approved  by the board of
trustees. Income, other non-class-specific expenses, and realized and unrealized
gains and losses on  investments  are allocated to each class of shares based on
its relative net assets.                                                        

B.  The  Vanguard  Group  furnishes  at  cost  investment  advisory,   corporate
management,  administrative,  marketing, and distribution services. The costs of
such services are  allocated to the fund under methods  approved by the board of
trustees.  The fund has  committed  to  provide up to 0.40% of its net assets in
capital  contributions  to Vanguard.  At June 30, 2002, the fund had contributed
capital of $809,000 to Vanguard  (included in Other Assets),  representing 0.02%
of the  fund's net assets  and 0.81% of  Vanguard's  capitalization.  The fund's
trustees and officers are also directors and officers of Vanguard.              

C. During the six months ended June 30, 2002, the fund purchased $650,022,000 of
investment  securities and sold $201,439,000 of investment securities other than
U.S. government  securities and temporary cash investments.  Purchases and sales
of U.S. government securities were $593,080,000 and $456,601,000, respectively. 
     At December 31, 2001, the fund had available  realized losses of $6,702,000
to offset future net capital gains of $5,846,000  through December 31, 2009, and
$856,000 through December 31, 2010.                                             

D. At June 30, 2002, net unrealized  depreciation  of investment  securities for
financial reporting and federal income tax purposes was $56,611,000,  consisting
of unrealized  gains of $488,627,000 on securities that had risen in value since
their  purchase and  $545,238,000  in unrealized  losses on securities  that had
fallen in value since their purchase.                                           
     At June 30, 2002, the aggregate  settlement value of open futures contracts
expiring   in   September   2002  and  the   related   unrealized   appreciation
(depreciation) were:                                                            

--------------------------------------------------------------------------------
                                                     (000)
                                                  ------------------------------
                                                   Aggregate          Unrealized
                                  Number of       Settlement        Appreciation
Futures Contracts            Long Contracts            Value      (Depreciation)
--------------------------------------------------------------------------------
S&P 500 Index                            58          $14,357              $(501)
S&P MidCap 400 Index                      8            1,961                (43)
Russell 2000 Index                        5            1,158                  7 
--------------------------------------------------------------------------------

Unrealized appreciation  (depreciation) on open futures contracts is required to
be treated as realized gain (loss) for tax purposes.                            
62                                                                              

N-30D 64th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 64th
E. The market value of  securities on loan to  broker/dealers  at June 30, 2002,
was $53,921,000, for which the fund held cash collateral of $33,619,000 and U.S.
Treasury  securities with a market value of  $24,889,000.  The fund invests cash
collateral  received in repurchase  agreements,  and records a liability for the
return of the collateral, during the period the securities are on loan. Security
loans are  required to be secured at all times by  collateral  at least equal to
the  market  value of  securities  loaned;  however,  in the event of default or
bankruptcy by the other party to the agreement,  retention of the collateral may
be subject to legal proceedings.                                                

F. Capital share transactions for each class of shares were:                    

                                                        [Enlarge/Download Table]

                                                                                                 
-------------------------------------------------------------------------------------------------
                                                 Six Months Ended                Year Ended      
                                                   June 30, 2002             December 31, 2001   
                                                 --------------------      ----------------------
                                                  Amount       Shares      Amount         Shares 
                                                   (000)        (000)       (000)          (000) 
-------------------------------------------------------------------------------------------------
Investor Shares                                                                                  
 Issued                                         $489,732       27,795   $ 870,791         47,840 
 Issued in Lieu of Cash Distributions             41,821        2,432     102,655          5,874 
 Redeemed                                       (313,048)     (17,857) (1,232,111)       (67,153)
                                               --------------------------------------------------
   Net Increase (Decrease)--Investor Shares      218,505       12,370    (258,665)       (13,439)
                                              ---------------------------------------------------
Admiral Shares                                                                                   
 Issued                                          190,701       10,736     283,690         15,405 
 Issued in Lieu of Cash Distributions              7,066          412      13,006            746 
 Redeemed                                       (130,428)      (7,719)   (117,895)        (6,302)
                                               --------------------------------------------------
   Net Increase (Decrease)--Admiral Shares        67,339        3,429     178,801          9,849 
                                               --------------------------------------------------
Institutional Shares                                                                             
 Issued                                          215,474       12,556     583,437         31,327 
 Issued in Lieu of Cash Distributions              9,022          525      18,506          1,062 
 Redeemed                                        (47,621)      (2,711)   (119,415)        (6,592)
                                               --------------------------------------------------
   Net Increase (Decrease)--Institutional Shares 176,875       10,370     482,528         25,797 
-------------------------------------------------------------------------------------------------

                                                                              63

N-30D 65th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 65th
ADVANTAGES of Vanguard.com[R]                              [PICTURE OF COMPUTER]
Why wait for the mail? You can get fund reports like this one sooner--and reduce
the amount of mail you receive from us.  Simply choose to view your fund reports
online.                                                                         
Consider the benefits of using Vanguard.com.                          
On our website, you can:                                                        
*    Choose to stop receiving fund reports and  prospectuses  via U.S. mail, and
view them online instead.                                             
*    Request  a  courtesy  e-mail  to  notify  you  when a new  fund  report  or
prospectus is available.                                              

     When you receive fund reports and prospectuses online, you lower Vanguard's
printing and postage  costs--and that helps to reduce the expense ratios of your
funds. You will continue to receive confirmations of purchases, redemptions, and
other account activity by mail.                                                 

HOW TO NOTIFY US ABOUT YOUR MAILING PREFERENCES                                 
You can easily tell us to stop mailing your fund reports and prospectuses.  Just
log on to Vanguard.com (or follow the easy steps to register for secure,  online
access to your accounts) and update your Web Profile.  Registered users can also
view their account values; download records of recent transactions; research and
track the performance of individual  securities and funds;  buy,  exchange,  and
sell fund shares; and much more.                                                
     If you invest  directly  with us, you can also elect to receive all of your
account statements online or to have us mail out only your year-end  statements,
which detail every transaction you make during the year.  However, if you invest
with  us  through  an   employer-sponsored   retirement   plan  or  a  financial
intermediary, some of these options may not be available to you.                
     All Vanguard shareholders can choose to receive our electronic newsletters:
Economic Week in Review,  a recap of each week's key economic reports and market
activity;  and  What's  New at  Vanguard,  an  update on  Vanguard  investments,
services,  and online  resources,  delivered  every month and  whenever  there's
breaking news.                                                                  

YOUR ONLINE INFORMATION IS SECURE                                               
Vanguard.com  uses  some  of the  most  secure  forms  of  online  communication
available,  including data  encryption and Secure Sockets Layer (SSL)  protocol.
These technologies  provide a high level of security and privacy when you access
your account information, initiate online transactions, or send us messages.    

64                                                                              

N-30D 66th “Page” of 67 TOC 1st Previous Next ↓Bottom Just 66th
THE PEOPLE WHO GOVERN YOUR FUND                                                 

The  trustees of your mutual fund are there to see that the fund is operated and
managed in your best interests since, as a shareholder,  you are a part owner of
the fund.  Your  fund  trustees  also  serve on the  board of  directors  of The
Vanguard Group, Inc., which is owned by the Vanguard funds and provides services
to them on an at-cost basis.                                                    
     A majority of Vanguard's board members are  independent,  meaning that they
have no  affiliation  with  Vanguard or the funds they  oversee,  apart from the
sizable  personal  investments  they  have  made  as  private  individuals.  Our
independent board members bring distinguished backgrounds in business, academia,
and public service to their task of working with Vanguard  officers to establish
the policies and oversee the activities of the funds.                           
     Among board members' responsibilities are selecting investment advisers for
the  funds;  monitoring  fund  operations,  performance,  and  costs;  reviewing
contracts;  nominating  and  selecting  new  trustees/directors;   and  electing
Vanguard officers.                                                              
================================================================================
TRUSTEES (YEAR ELECTED)                                                         

JOHN J. BRENNAN - (1987)                                                        
Chairman of the Board,  Chief Executive  Officer,  and  Director/Trustee  of The
Vanguard  Group,  Inc.,  and of each of the investment  companies  served by The
Vanguard Group.                                                                 

CHARLES D. ELLIS - (2001)                                                       
The  Partners  of '63 (pro  bono  ventures  in  education);  Senior  Adviser  to
Greenwich Associates  (international  business-strategy  consulting);  Successor
Trustee of Yale University; Overseer of the Stern School of Business at New York
University; Trustee of the Whitehead Institute for Biomedical Research.         

RAJIV L. GUPTA (2001)                                                           
Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals);  Director
of Technitrol,  Inc. (electronic components),  and Agere Systems (communications
components);  Board Member of the  American  Chemistry  Council;  and Trustee of
Drexel University.                                                              

JOANN HEFFERNAN HEISEN - (1998)                                                 
Vice President, Chief Information Officer, and Member of the Executive Committee
of  Johnson & Johnson -  (pharmaceuticals/consumer  products);  Director  of the
Medical Center at Princeton and Women's Research and Education Institute.       

BURTON G. MALKIEL - (1977)                                                      
Chemical Bank Chairman's Professor of Economics, Princeton University;  Director
of  Vanguard  Investment  Series plc (Irish  investment  fund),  Vanguard  Group
(Ireland) Limited (Irish investment management firm), Prudential Insurance - Co.
of America,  BKF Capital (investment  management firm), The Jeffrey Co. (holding
company), and NeuVis, Inc. - (software company).                                

ALFRED M. RANKIN, JR. - (1993)                                                  
Chairman,  President, Chief Executive Officer, and Director of NACCO Industries,
Inc.  (forklift  trucks/housewares/lignite);  Director of  Goodrich  Corporation
(industrial products/aircraft systems and services).                            

J. LAWRENCE WILSON - (1985)                                                     
Retired Chairman and Chief Executive  Officer of Rohm and Haas Co.  (chemicals);
Director of Cummins Inc. (diesel engines), The Mead Corp. (paper products),  and
AmerisourceBergen  Corp.  (pharmaceutical  distribution);  Trustee of Vanderbilt
University.                                                                     

--------------------------------------------------------------------------------
EXECUTIVE OFFICERS                                                              
R. GREGORY BARTON                                                               
Secretary;  Managing  Director and General Counsel of The Vanguard Group,  Inc.;
Secretary of The Vanguard Group - and of each of the investment companies served
by The Vanguard Group.                                                          

THOMAS J. HIGGINS                                                               
Treasurer;  Principal  of The  Vanguard  Group,  Inc.;  Treasurer of each of the
investment companies served by - The Vanguard Group.                            

More  information   about  the  trustees  is  in  the  Statement  of  Additional
Information, available from The Vanguard Group.                                 

VANGUARD SENIOR MANAGEMENT TEAM                                                 
Mortimer J. Buckley, Information Technology.                                    
James H. Gately, Direct Investor Services.                                      
Kathleen C. Gubanich, Human Resources.                                          
Ian A. MacKinnon, Fixed Income Group.                                           
F. William McNabb, III, Institutional Investor Group.                           
Michael S. Miller, Planning and Development.                                    
Ralph K. Packard, Finance.                                                      
George U. Sauter, Quantitative Equity Group.                                    
--------------------------------------------------------------------------------
John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996.        

N-30D Last “Page” of 67 TOC 1st Previous Next ↓Bottom Just 67th
                                                                     [SHIP LOGO]
                                                              THE VANGUARD GROUP
                                                            Post Office Box 2600
                                                     Valley Forge, PA 19482-2600

Vanguard,  The  Vanguard  Group,  Vanguard.com,  Admiral,  and the ship logo are
trademarks of The Vanguard Group, Inc.                                          
S&P 500[R] and S&P MidCap 400 are trademarks of The McGraw-Hill Companies, Inc. 

All other marks are the property of their respective owners.                    

All  comparative  mutual fund data are from Lipper  Inc. or  Morningstar,  Inc.,
unless otherwise noted.                                                         

ABOUT OUR COVER                                                                 

Our cover  photographs  were taken by Michael Kahn in September  2000 aboard HMS
Rose in New York's Long Island Sound.  Mr. Kahn is a renowned  photographer--and
accomplished  sailor--whose work often focuses on seascapes and nautical images.
The photographs are copyrighted by Mr. Kahn.                                    

FOR MORE INFORMATION                                                            
This report is intended for the funds'  shareholders.  It may not be distributed
to  prospective  investors  unless it is preceded or  accompanied by the current
fund prospectus.                                                                

To  receive  a free  copy  of the  prospectus  or the  Statement  of  Additional
Information,  or to  request  additional  information  about  the funds or other
Vanguard funds, please contact us at one of the adjacent telephone numbers or by
e-mail through Vanguard.com(TM). Prospectuses may also be viewed online.        

WORLD WIDE WEB                                                                  
www.vanguard.com                                                                

FUND INFORMATION                                                                
1-800-662-7447                                                                  

DIRECT INVESTOR ACCOUNT SERVICES                                                
1-800-662-2739                                                                  

INSTITUTIONAL INVESTOR SERVICES                                                 
1-800-523-1036                                                                  

TEXT TELEPHONE                                                                  
1-800-952-3335                                                                  

                                               [C] 2002 The Vanguard Group, Inc.
                                                            All rights reserved.
                                                              Vanguard Marketing
                                                       Corporation, Distributor.

                                                                     Q022 082002

N-30D	1st “Page” of 67	TOC	↑Top	Previous	Next	↓Bottom	Just 1st

N-30D	2nd “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 2nd

N-30D	3rd “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 3rd

N-30D	4th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 4th

N-30D	5th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 5th

N-30D	6th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 6th

N-30D	7th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 7th

N-30D	8th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 8th

N-30D	9th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 9th

N-30D	10th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 10th

N-30D	11th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 11th

N-30D	12th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 12th

N-30D	13th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 13th

N-30D	14th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 14th

N-30D	15th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 15th

N-30D	16th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 16th

N-30D	17th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 17th

N-30D	18th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 18th

N-30D	19th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 19th

N-30D	20th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 20th

N-30D	21st “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 21st

N-30D	22nd “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 22nd

N-30D	23rd “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 23rd

N-30D	24th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 24th

N-30D	25th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 25th

N-30D	26th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 26th

N-30D	27th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 27th

N-30D	28th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 28th

N-30D	29th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 29th

N-30D	30th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 30th

N-30D	31st “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 31st

N-30D	32nd “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 32nd

N-30D	33rd “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 33rd

N-30D	34th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 34th

N-30D	35th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 35th

N-30D	36th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 36th

N-30D	37th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 37th

N-30D	38th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 38th

N-30D	39th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 39th

N-30D	40th “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 40th

N-30D	41st “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 41st

N-30D	42nd “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 42nd

N-30D	43rd “Page” of 67	TOC	1st	Previous	Next	↓Bottom	Just 43rd

Dates Referenced Herein and Documents Incorporated by Reference

		Referenced-On Page
This ‘N-30D’ Filing	Date	First	Last	Other Filings

	12/31/10	63		24F-2NT, N-CSR, NSAR-B
	12/31/09	63		24F-2NT, N-CSR, NSAR-B
Corrected on:	4/20/04
Filed on:	8/28/02
	7/15/02	6
For Period End:	6/30/02	1	64	NSAR-A
	12/31/01	6	64	24F-2NT, N-30D, NSAR-B
	11/9/92	11
				List all Filings

↑Top

Filing Submission 0000932471-02-000778 – Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

Vanguard Valley Forge Funds – ‘N-30D’ for 6/30/02

On: Wednesday, 8/28/02, at 2:41pm ET · For: 6/30/02 · Accession #: 932471-2-778 · File #s: 811-07023, 811-58431 · Correction: This Filing was Corrected by the SEC on 4/20/04. ®

Previous ‘N-30D’: ‘N-30D’ on 3/1/02 for 12/31/01 · Next & Latest: ‘N-30D’ on 2/24/03 for 12/31/02

Annual or Semi-Annual Report Mailed to Shareholders — Rule 30d-1Filing Table of Contents

Dates Referenced Herein and Documents Incorporated by Reference

On: Wednesday, 8/28/02, at 2:41pm ET · For: 6/30/02 · Accession #: 932471-2-778 · File #s: 811-07023, 811-58431 · Correction: This Filing was Corrected by the SEC on 4/20/04. `®`

Annual or Semi-Annual Report Mailed to Shareholders — Rule 30d-1
Filing Table of Contents