[Federal Register Volume 69, Number 151 (Friday, August 6, 2004)]
[Notices]
[Pages 48032-48038]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 04-17572]



  Federal Register / Vol. 69, No. 151 / Friday, August 6, 2004 / 
Notices  

[[Page 48032]]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 50104/July 28, 2004]


Securities Exchange Act of 1934; Order Suspending the Operation 
of Short Sale Price Provisions for Designated Securities and Time 
Periods

    The Securities and Exchange Commission (``Commission''), by this 
Order, is establishing a Pilot (``Pilot'') suspending the provisions of 
Rule 10a-1(a) under the Securities Exchange Act of 1934 (the ``Act'') 
\1\ and any short sale price test of any exchange or national 
securities association for: (1) Short sales \2\ in the stocks 
identified in Appendix A to this Order; (2) short sales in any security 
included in the Russell 1000 index effected between 4:15 p.m. EST and 
the open of the consolidated tape \3\ on the following day; and (3) 
short sales in any security not included in paragraphs (1) and (2) 
above effected in the period between the close of the consolidated tape 
and the open of the consolidated tape the following day. The Commission 
is establishing this Pilot for a one-year period commencing on January 
3, 2005. The Commission may issue subsequent orders that affect the 
operation of the Pilot. The Commission finds that the Pilot is 
necessary and appropriate in the public interest and consistent with 
the protection of investors.\4\
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    \1\ 17 CFR 240.10a-1.
    \2\ ``Short sale'' is defined in Rule 200 of Regulation SHO, 17 
CFR 242.200.
    \3\ The term ``consolidated tape'' refers to the effective 
transaction reporting plan of the Consolidated Tape Association.
    \4\ In addition, pursuant to Section 3(f) of the Act, the 
Commission has considered the Pilot's impact on efficiency, 
competition, and capital formation. 15 U.S.C. 78c(f).
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I. Short Selling In Designated Securities

    During the term of the Pilot, all short selling in the securities 
identified in Appendix A to this Order shall be effected without regard 
to the provisions of Rule 10a-1(a) and any short sale price test of any 
exchange or national securities association. As discussed below, the 
Commission has selected a subset of stocks from the Russell 3000 index 
for inclusion in the Pilot, after giving due consideration to the 
liquidity, volatility, market depth and trading market of these 
securities.
    A pilot that includes a subset of securities from the Russell 3000 
provides a balanced and targeted approach to assessing the efficacy of 
a price test for short sales for a broad range of securities. The 
average daily dollar volume for the securities in the Russell 3000 
index in 2003 was $22.9 million dollars.
    We selected the securities to be included in the Pilot by first 
excluding the 32 securities in the Russell 3000 index as of June 25, 
2004 that are not Nasdaq national market securities (``NNM''), listed 
on the American Stock Exchange (``Amex''), or listed on the New York 
Stock Exchange (``NYSE'') because short sales in these securities are 
currently not subject to a price test. We also excluded issuers whose 
initial public offerings commenced after April 30, 2004.\5\ We then 
sorted the remaining securities into three groups--Amex, Nasdaq NNM and 
NYSE--and ranked the securities in each group by average daily dollar 
volume over the one year prior to the issuance of this order from 
highest to lowest for the period.\6\ In each group, we then selected 
every third stock from the remaining stocks.\7\
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    \5\ Similarly, we excluded spin-offs commencing after April 30, 
2004.
    \6\ Securities selected for inclusion in the Pilot will remain 
in the Pilot even if during the term of the Pilot they cease being 
included in the Russell 3000 index.
    \7\ In each group, we started our selection with the second 
stock in order to have a more representative daily dollar volume 
sample. The most representative stock in a group of three stocks 
ranked by volume would be the middle stock. Thus, to select the most 
representative sample for the pilot, we would select the second 
stock of every three stocks; in other words, every third stock 
starting with the second.
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    The Pilot stocks consist of 50% NYSE listed securities, 2.2% Amex 
listed securities, and 47.8% Nasdaq NNM securities. The Pilot stocks 
include stocks that have associated options trading on a registered 
options exchange or Nasdaq (63.7% of Pilot stocks) and associated 
securities futures (2.8% of Pilot stocks).\8\
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    \8\ The percentage of the stocks selected for the Pilot that are 
NYSE or Amex listed, or Nasdaq NNM, or for which there are 
associated options or securities futures, are representational of 
the Russell 3000 index as a whole. Specifically, the Russell 3000 
index is composed of 49.9% NYSE listed securities, 2.2% Amex listed 
securities, 47.9% Nasdaq NNM securities, 63% with associated 
options, and 3.4% with associated single stock futures.
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    The Pilot includes securities with varying levels of liquidity, 
which will enable us to examine whether the absence of a short sale 
price test affects less liquid and more liquid securities differently. 
We do not believe that there is sufficient volatility in these 
securities so as to make them inappropriate for inclusion in the Pilot. 
In addition, these securities have significant market depth, and are 
traded on exchanges or other organized markets with high levels of 
transparency and surveillance, which will enhance the ability of the 
Commission and self-regulatory organizations (``SROs'') to monitor 
trading behavior during the Pilot and surveil for manipulative short 
selling.
    The remaining stocks in the Russell 3000 index will function as the 
control group.\9\ The securities in the control group are similar to 
the stocks in the Pilot group in terms of the percentage of NYSE, Amex, 
and Nasdaq securities, as well as securities for which there are 
associated options and single stock futures.\10\
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    \9\ Like the group of pilot stocks, the control group will 
exclude any securities as to which there is currently no price test 
(i.e., securities that are not exchange-listed or Nasdaq NNM).
    \10\ Specifically, the control group is composed of 49.9% NYSE 
listed securities, 2.2% Amex listed securities, 47.9% Nasdaq 
securities, 62.7% with associated options, and 3.7% with associated 
single stock futures.
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    We are establishing the Pilot as part of the Commission's review of 
short sale regulation.\11\ The Pilot is in the public interest because 
it will assist us in assessing whether changes to short sale regulation 
are necessary in light of current market practices and the purposes 
underlying short sale regulation.\12\ The Pilot will enable us to 
obtain empirical data to help assess whether short sale regulation 
should be removed, in part or in whole, for actively-traded securities, 
or if retained, should be applied to additional securities. The Pilot 
will allow us to study trading behavior in the absence of a short sale 
price test on the stocks selected by comparing the trading behavior of 
the control group stocks to that of the Pilot stocks through empirical 
analysis. We will examine, among other things, the impact of price 
tests on market quality (including volatility and liquidity), whether 
any price changes are caused by short selling, costs imposed by a price 
test, and the use of alternative means to establish short positions.
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    \11\ See Securities Exchange Act Release No. 50103 (July 28, 
2004) (``Adopting Release'').
    \12\ Adopting Release.
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    We do not believe that any variations in prices and trading 
activity between the Pilot stocks and similar securities not subject to 
the price test will be problematic. The risk of any adverse impact on 
the Pilot securities is expected to be small, particularly relative to 
the benefits of obtaining empirical data regarding trading behavior in 
the absence of a short sale price test.\13\ A large number of Pilot

[[Page 48033]]

stocks are actively traded, and as we have previously stated, we 
believe that actively traded securities are less susceptible to 
manipulation.\14\ In addition, the Commission and the SROs will monitor 
trading activity during the Pilot and surveil for manipulative short 
selling.
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    \13\ The general anti-fraud and anti-manipulation provisions of 
the federal securities laws will continue to apply to trading in 
these securities, thus prohibiting trading activity designed to 
improperly influence the price of a security. See, e.g., Section 
17(a) of the Securities Act of 1933, 15 U.S.C. 77q(a), and Sections 
9(a), 10(b), and 15(c) of the Act, 15 U.S.C. 78i(a), 78j(b) and 
78o(c), and Rules 10b-5 and 15c1-2 thereunder, 17 CFR 240.10b-5 and 
240.15c1-2. Moreover, the Commission expects that SROs will actively 
monitor trading in the Pilot securities to identify any improper or 
abusive short selling during the course of the Pilot.
    \14\ See Securities Exchange Act Release No. 38067, 62 FR 520 
(Jan. 3, 1997) (adopting anti-manipulation rules including an 
exception to the rules for trading activity in securities with high 
average daily trading volume (``ADTV'')).
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    We believe that a one-year Pilot will allow the Commission 
sufficient time to gather and analyze data necessary to reach 
conclusions regarding trading behavior in the absence of short sale 
price restrictions. The Commission, however, may, by further order, 
terminate, extend the period of, or modify the Pilot as it determines 
necessary or appropriate in the public interest or for the protection 
of investors. In addition, the Pilot will suspend only the operation of 
short sale price tests. All other short sale rules, including the other 
provisions of Rule 10a-1,\15\ the marking, locate and delivery 
requirements adopted under Regulation SHO,\16\ and applicable SRO 
rules, will remain in effect.
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    \15\ 17 CFR 240.10a-1.
    \16\ 17 CFR 242.200, 242.203.
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II. Short Selling During After-Hours Trading

    During the Pilot, short sales: (1) In any security included in the 
Russell 1000 index effected after 4:15 p.m. e.s.t. and the open of the 
consolidated tape on the following day; and (2) in any security not 
included either in paragraph (1) or in the designated securities 
described in Section I above effected between the close of the 
consolidated tape and the open of the consolidated tape on the 
following day, shall be effected without regard to the provisions of 
Rule 10a-1(a) and any short sale price test of any exchange or national 
securities association.
    Securities in the Russell 1000 index are appropriate for inclusion 
in a Pilot examining short sales between 4:15 p.m. and the close of the 
consolidated tape.\17\ The Russell 1000 index represents a broad range 
of securities; it comprises 1,000 of the largest companies in the 
Russell 3000 index (approximately 92% of the total market 
capitalization of the Russell 3000 index).\18\ Although there is 
limited trading volume in these securities after 4:15 p.m., we believe 
the liquidity is sufficient to allow us to examine the impact of 
removing short sale price tests.
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    \17\ Regular trading-hours are between 9:30 a.m. and 4:00 p.m. 
e.s.t. See Electronic Communication Networks and After-Hours Trading 
Report by the Division of Market Regulation, June 2000, at 4. 
However, trade reporting can be delayed and continue past 4:00 p.m. 
Therefore, for purposes of the Pilot we have set 4:15 p.m. as the 
end of regular trading activity.
    \18\ Securities selected for inclusion in this portion of the 
after-hours Pilot will remain in the Pilot even if during the term 
of the Pilot they cease being included in the Russell 1000 index.
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    Moreover, we believe securities in the Russell 1000 index are less 
susceptible to manipulative short selling in the absence of a price 
test after 4:15 p.m. than securities of issuers with a lower market 
capitalization. A subset of the Russell 3000, the Russell 1000 
securities generally trade on exchanges or other organized market 
centers, and we believe that as a result, the investment community 
widely follows Russell 1000 index securities. Any aberrations in price 
are likely to be observed and addressed quickly. In addition, while 
after-hours trading has grown in recent years, the volume is relatively 
small compared to the volume of trading occurring during regular 
trading hours when liquidity is greatest and prices reflect active 
market interest.\19\ Thus, the impact of any manipulative short selling 
after hours would be less than the effect of such activity during 
regular market hours because after-hours prices are not widely viewed 
as indicative of normal market prices. Further, we do not believe that 
there is sufficient volatility in these securities after hours so as to 
make them inappropriate for inclusion in the Pilot. The lack of 
significant market depth in these securities after hours will allow us 
to examine what effect, if any, removing a short sale price test has 
where information on buy and sell orders is not as readily available.
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    \19\ For example, based on a sample of a trading day in January 
of 2000, only 3% of the share volume in NYSE-listed securities was 
effected after 4 p.m. Similarly, share volume from post-4:00 p.m. 
trades in Nasdaq securities for the same date accounted for only 3% 
of the daily total. A vast majority of this after-hours trading 
volume in both markets was effected shortly after the regular 
session closed through market structured after-market execution 
opportunities, i.e., crossing-sessions. Electronic Communication 
Networks and After-Hours Trading Report at 12-13.
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    This portion of the Pilot will allow us to examine whether removing 
a price test after the close of regular trading in securities included 
in the Russell 1000 index would benefit investors and the markets by 
increasing liquidity and pricing efficiency in these securities in the 
after-hours market. We will also be able to study whether the absence 
of a short sale price test enhances a broker-dealer's ability to 
facilitate customer orders in a security at a specific reference price, 
such as the closing price or volume weighted average price, that are 
often executed in the after-market.
    For these reasons, we believe that it is appropriate that the Pilot 
include the suspension of all price tests for all securities included 
in the Russell 1000 index for short sales effected between 4:15 p.m. 
and the open of the consolidated tape the following day.\20\
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    \20\ The consolidated tape operates from 8 a.m. to 8 p.m. e.s.t. 
See Securities Exchange Act Release No. 44983 (October 25, 2001), 66 
FR 55225, 55227 (November 1, 2001). The NASD's short sale rule, Rule 
3350, is currently not applicable beyond traditional market hours 
(9:30 a.m. to 4 p.m. Eastern Time). See NASD Notice to Members 94-
68.
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    We are also removing the price tests during the one-year Pilot 
period for short sales in any other security effected when the 
consolidated tape is not operating. This portion of the Pilot is 
important because it will allow us to study the effect of removal of a 
price test on a broader segment of the market than the other parts of 
the Pilot while the consolidated tape is not operating. It will also 
allow us to study whether, and to what extent, removal of the price 
test after hours will affect regular trading in the security on the 
following day. Moreover, we do not believe this portion of the Pilot 
will pose any threat to liquidity or increase volatility in these 
securities after-hours. Historically, the Commission has found that 
there is little evidence that significant trading activity occurs when 
the consolidated tape is not operating,\21\ and there is little 
transparency or market depth. Nevertheless, the Commission and the SROs 
will monitor the trading and our analysis of data obtained from the 
Pilot will also focus on the impact of after-hours short selling.
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    \21\ Electronic Communication Networks and After-Hours Trading 
Report at 13.
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III. Conclusion

    The Commission finds that establishing the Pilot for the reasons 
stated above is necessary and appropriate in the public interest and 
consistent with the protection of investors. The Pilot will allow the 
Commission to obtain empirical data and study the effects of short 
selling in the absence of price test restrictions.
    Accordingly,
    A. It is hereby ordered that the suspension of the short sale price 
tests described below in Paragraph B shall commence on January 3, 2005, 
and shall terminate on December 31, 2005. The Commission from time to 
time may issue further orders affecting the operation of this Order.

[[Page 48034]]

    B. It is further ordered that the provisions of Rule 10a-1(a) and 
any short sale price test of any exchange or national securities 
association are suspended with respect to:
    (1) Short sales in the securities set forth in Appendix A to this 
Order;
    (2) Short sales in any security included in the Russell 1000 index 
effected between 4:15 p.m. e.s.t. and the open of the consolidated tape 
on the following day; and
    (3) Short sales in any security not included in paragraphs (1) and 
(2) above effected between the close of the consolidated tape and the 
open of the consolidated tape on the following day.
    All other provisions of Rule 10a-1 shall remain in effect.
    C. It is further ordered that no self-regulatory organization shall 
have a rule that is not in conformity with or conflicts with the 
provisions of Paragraph B. All other provisions of the rules of any 
self-regulatory organization shall remain in effect.

    By the Commission.
Jill M. Peterson,
Assistant Secretary.

Appendix A

    The following securities are subject to this Order:

------------------------------------------------------------------------
         Ticker symbol                        Company name
------------------------------------------------------------------------
A.............................  AGILENT TECHNOLOGIES INC
AAI...........................  AIRTRAN HOLDINGS INC
AAON..........................  AAON INC
ABC...........................  AMERISOURCEBERGEN CORP
ABCO..........................  ADVISORY BOARD CO
ABCW..........................  ANCHOR BANCORP INC
ABGX..........................  ABGENIX INC
ABK...........................  AMBAC FINANCIAL GRP INC
ABMD..........................  ABIOMED INC
ABR...........................  ARBOR REALTY TRUST INC
ABRX..........................  ABLE LABORATORIES INC
ABT...........................  ABBOTT LABORATORIES
ACAI..........................  ATLANTIC COAST AIRLINES
ACAP..........................  AMERICAN PHYSICIANS CAP
ACMR..........................  A C MOORE ARTS & CRAFTS
ACTI..........................  ACTIVCARD CORP
ACV...........................  ALBERTO CULVER CO
AD............................  ADVO INC
ADIC..........................  ADVANCED DIGITAL INFO
ADLR..........................  ADOLOR CORP
ADVNB.........................  ADVANTA CORP
AEIS..........................  ADVANCED ENERGY INDS INC
AES...........................  AES CORP
AF............................  ASTORIA FINANCIAL CORP
AFC...........................  ALLMERICA FINANCIAL CORP
AFCO..........................  APPLIED FILMS CORP
AFFX..........................  AFFYMETRIX INC
AFR...........................  AMERICAN FINANCIAL RLTY
AGE...........................  EDWARDS AG INC
AGII..........................  ARGONAUT GROUP INC
AGN...........................  ALLERGAN INC
AGP...........................  AMERIGROUP CORP
AGR.B.........................  AGERE SYSTEMS INC
AGYS..........................  AGILYSYS INC
AHC...........................  AMERADA HESS CORP
AHG...........................  APRIA HEALTHCARE GROUP
AHR...........................  ANTHRACITE CAPITAL INC
AHS...........................  AMN HEALTHCARE SERVICES
AINV..........................  APOLLO INVESTMENT CORP
AIQ...........................  ALLIANCE IMAGING INC
AKAM..........................  AKAMAI TECHNOLOGIES
ALD...........................  ALLIED CAPITAL CORP
ALEX..........................  ALEXANDER & BALDWIN INC
ALGN..........................  ALIGN TECHNOLOGY INC
ALKS..........................  ALKERMES INC
ALL...........................  ALLSTATE CORP
ALOG..........................  ANALOGIC CORP
ALSC..........................  ALLIANCE SEMICONDUCTOR
ALX...........................  ALEXANDERS INC
AMD...........................  ADVANCED MICRO DEVICES
AMED..........................  AMEDISYS INC
AML...........................  AMLI RESIDENTIAL PPTYS
AMMD..........................  AMERICAN MEDICAL SYSTEMS
AMRI..........................  ALBANY MOLECULAR RESRCH
AMTD..........................  AMERITRADE HOLDING CORP
ANDW..........................  ANDREW CORP
ANEN..........................  ANAREN INC
ANH...........................  ANWORTH MORTGAGE ASSET
ANSI..........................  ADVANCED NEUROMODULATION
ANSR..........................  ANSWERTHINK INC
ANSS..........................  ANSYS INC
AOS...........................  SMITH A O CORP
AOT...........................  APOGENT TECHNOLOGIES
APC...........................  ANADARKO PETROLEUM CORP
APCC..........................  AMERICAN PWR CONVERSION
APH...........................  AMPHENOL CORP
APOG..........................  APOGEE ENTERPRISES INC
APOL..........................  APOLLO GROUP INC
APPB..........................  APPLEBEES INTERNATIONAL
APPX..........................  AMERICAN PHARMA PARTNERS
APSG..........................  APPLIED SIGNAL TECH
ARE...........................  ALEXANDRIA REAL ESTATE
ARTC..........................  ARTHROCARE CORP
ARW...........................  ARROW ELECTRONICS INC
ARXX..........................  AEROFLEX INC
ASBC..........................  ASSOCIATED BANC CORP
ASCA..........................  AMERISTAR CASINOS INC
ASGR..........................  AMERICA SERVICE GROUP
ASKJ..........................  ASK JEEVES INC
ASTE..........................  ASTEC INDUSTRIES INC
ATAC..........................  AFTERMARKET TECHNOLOGY
ATG...........................  AGL RESOURCES INC
ATI...........................  ALLEGHENY TECHNOLOGIES
ATK...........................  ALLIANT TECHSYSTEMS
ATMI..........................  ATMI INC
ATML..........................  ATMEL CORP
ATN...........................  ACTION PERFORMANCE COS
ATR...........................  APTARGROUP INC
ATRX..........................  ATRIX LABS INC
AUGT..........................  AUGUST TECHNOLOGY CORP
AV............................  AVAYA INC
AVID..........................  AVID TECHNOLOGY INC
AVTR..........................  AVATAR HOLDINGS INC
AVX...........................  AVX CORP
AVY...........................  AVERY DENNISON CORP
AWBC..........................  AMERICANWEST BANCORP
AWE...........................  AT&T WIRELESS SERVICES
AWR...........................  AMERICAN STATES WATER CO
AXE...........................  ANIXTER INTERNATIONAL
AYI...........................  ACUITY BRANDS INC
AZR...........................  AZTAR CORP
B.............................  BARNES GROUP INC
BBA...........................  BOMBAY CO INC
BBOX..........................  BLACK BOX CORP
BBT...........................  BB&T CORP
BC............................  BRUNSWICK CORP
BCSI..........................  BLUE COAT SYSTEMS INC
BDG...........................  BANDAG INC
BDN...........................  BRANDYWINE REALTY TRUST
BEAS..........................  BEA SYSTEMS INC
BEAV..........................  BE AEROSPACE INC
BEBE..........................  BEBE STORES INC
BEC...........................  BECKMAN COULTER INC
BEN...........................  FRANKLIN RESOURCES INC
BF.B..........................  BROWN FORMAN CORP
BFS...........................  SAUL CENTERS INC
BGFV..........................  BIG 5 SPORTING GOODS
BGP...........................  BORDERS GROUP INC
BHS...........................  BROOKFIELD HOMES CORP
BIIB..........................  BIOGEN IDEC INC
BIO...........................  BIO-RAD LABORATORIES INC
BIOV..........................  BIOVERIS CORPORATION
BJ............................  BJS WHOLESALE CLUB INC
BLC...........................  BELO CORP
BLS...........................  BELLSOUTH CORP
BMC...........................  BMC SOFTWARE INC
BNI...........................  BURLINGTON NORTHERN
BOBE..........................  BOB EVANS FARMS INC
BPOP..........................  POPULAR INC
BR............................  BURLINGTON RESOURCES INC
BRCD..........................  BROCADE COMMUNICATIONS
BRCM..........................  BROADCOM CORP
BRL...........................  BARR PHARMACEUTICALS IN
BRO...........................  BROWN & BROWN INC
BRW...........................  BRISTOL WEST HLDGS INC
BRY...........................  BERRY PETROLEUM CO
BSBN..........................  BSB BANCORP
BSC...........................  BEAR STEARNS COS INC
BSTE..........................  BIOSITE INC
BSX...........................  BOSTON SCIENTIFIC CO
BTRX..........................  BARRIER THERAPEUTICS INC
BWS...........................  BROWN SHOE INC
BXS...........................  BANCORPSOUTH INC
BYD...........................  BOYD GAMING CORP
CAC...........................  CAMDEN NATIONAL CORP
CACH..........................  CACHE INC
CAH...........................  CARDINAL HEALTH INC
CAI...........................  CACI INTERNATIONAL INC
CAKE..........................  CHEESECAKE FACTORY INC
CAL...........................  CONTINENTAL AIRLINES INC
CALM..........................  CAL MAINE FOODS INC
CAM...........................  COOPER CAMERON CORP
CAMD..........................  CALIFORNIA MICRO DEVICES
CARS..........................  CAPITAL AUTOMOTIVE REIT
CASY..........................  CASEYS GENERAL STORES
CATY..........................  CATHAY GENERAL BANCORP
CB............................  CHUBB CORP
CBB...........................  CINCINNATI BELL INC
CBSH..........................  COMMERCE BANCSHARES INC
CBSS..........................  COMPASS BANCSHARES INC
CBT...........................  CABOT CORP
CBU...........................  COMMUNITY BANK SYSTEMS
CCCG..........................  CCC INFORMATION SVCS
CCE...........................  COCA COLA ENTERPRISE
CCRN..........................  CROSS COUNTRY HEALTHCARE
CCRT..........................  COMPUCREDIT CORP
CCU...........................  CLEAR CHANNEL COMM INC
CDE...........................  COEUR D ALENE MINES CORP
CDI...........................  CDI CORP
CDIS..........................  CAL DIVE INTERNATIONAL
CDT...........................  CABLE DESIGN TECHNOLOGY
CEG...........................  CONSTELLATION ENERGY GRP
CENT..........................  CENTRAL GARDEN & PET CO
CERN..........................  CERNER CORP
CEY...........................  CERTEGY INC
CFBX..........................  COMMUNITY FIRST BANK
CFC...........................  COUNTRYWIDE FINANCIAL
CG............................  LOEWS CORP--CAROLINA GR
CGC...........................  CASCADE NATURAL GAS CORP

[[Page 48035]]

 
CGX...........................  CONSOLIDATED GRAPHIC
CHCO..........................  CITY HOLDING CO
CHE...........................  CHEMED CORPORATION
CHFC..........................  CHEMICAL FINANCIAL CORP
CHH...........................  CHOICE HOTELS INTL INC
CHK...........................  CHESAPEAKE ENERGY CORP
CHRD..........................  CHORDIANT SOFTWARE INC
CHRS..........................  CHARMING SHOPPES INC
CHTT..........................  CHATTEM INC
CHUX..........................  O CHARLEYS INC
CI............................  CIGNA CORP
CIA...........................  CITIZENS INC
CIMA..........................  CIMA LABS INC
CK............................  CROMPTON CORP
CKEC..........................  CARMIKE CINEMAS INC
CKFR..........................  CHECKFREE CORP
CKH...........................  SEACOR HOLDINGS INC
CKR...........................  CKE RESTAURANTS INC
CL............................  COLGATE PALMOLIVE CO
CLE...........................  CLAIRES STORES INC
CLFC..........................  CENTER FINANCIAL CORP
CLRS..........................  CLARUS CORP
CLSR..........................  CLOSURE MEDICAL CORP
CLZR..........................  CANDELA CORP
CMLS..........................  CUMULUS MEDIA INC
CMPC..........................  COMPUCOM SYSTEMS INC
CMS...........................  CMS ENERGY CORP
CMTL..........................  COMTECH TELECOMM
CMTY..........................  COMMUNITY BANKS INC
CNA...........................  CNA FINANCIAL CORP
CNB...........................  COLONIAL BANCGROUP INC
CNMD..........................  CONMED CORP
CNT...........................  CENTERPOINT PPTYS TRUST
COCO..........................  CORINTHIAN COLLEGES INC
COKE..........................  COCA COLA BOTTLING
COLB..........................  COLUMBIA BKG SYSTEM INC
COO...........................  COOPER COMPANIES INC
COP...........................  CONOCOPHILLIPS
CORI..........................  CORILLIAN CORP
COSI..........................  COSI INC
COST..........................  COSTCO WHOLESALE CORP
CPB...........................  CAMPBELL SOUP CO
CPHD..........................  CEPHEID INC
CPKI..........................  CALIFORNIA PIZZA KITCHEN
CPRT..........................  COPART INC
CPS...........................  CHOICEPOINT INC
CPWM..........................  COST PLUS INC
CRA...........................  APPLERA CORP CELERA
CRD.B.........................  CRAWFORD & CO
CRN...........................  CORNELL COMPANIES INC
CRS...........................  CARPENTER TECHNOLOGY
CRWN..........................  CROWN MEDIA HOLDINGS INC
CSC...........................  COMPUTER SCIENCES CORP
CSE...........................  CAPITALSOURCE INC
CSS...........................  CSS INDUSTRIES INC
CSTR..........................  COINSTAR INC
CSX...........................  CSX CORP
CTB...........................  COOPER TIRE & RUBBER CO
CTBI..........................  COMMUNITY TRUST BANCORP
CTCO..........................  COMMONWEALTH TEL ENT
CTIC..........................  CELL THERAPEUTICS INC
CTL...........................  CENTURYTEL INC
CTO...........................  CONSOLIDATED TOMOKA LAND
CTR...........................  CATO CORP
CTS...........................  CTS CORP
CTSH..........................  COGNIZANT TECH SOLUTIONS
CTXS..........................  CITRIX SYSTEMS INC
CUB...........................  CUBIC CORP
CUNO..........................  CUNO INC
CUZ...........................  COUSINS PROPERTIES INC
CV............................  CENTRAL VERMONT PUB SVC
CVTX..........................  CV THERAPEUTICS INC
CYPB..........................  CYPRESS BIOSCIENCES INC
CYTK..........................  CYTOKINETICS INC
DAR...........................  DARLING INTERNATIONAL
DBRN..........................  DRESS BARN INC
DCI...........................  DONALDSON INC
DCLK..........................  DOUBLECLICK INC
DCN...........................  DANA CORP
DDIC..........................  DDI CORP
DDS...........................  DILLARDS INC
DECK..........................  DECKERS OUTDOOR CORP
DGII..........................  DIGI INTL INC
DGIN..........................  DIGITAL INSIGHT CORP
DHC...........................  DANIELSON HOLDING CORP
DIS...........................  DISNEY WALT CO
DJO...........................  DJ ORTHOPEDICS INC
DKS...........................  DICKS SPORTING GOODS INC
DLTR..........................  DOLLAR TREE STORES INC
DMRC..........................  DIGIMARC CORP
DOV...........................  DOVER CORP
DOVP..........................  DOV PHARMACEUTICAL INC
DP............................  DIAGNOSTIC PRODUCTS CORP
DPMI..........................  DUPONT PHOTOMASKS INC
DPTR..........................  DELTA PETROLEUM CORP
DRE...........................  DUKE REALTY CORP
DRXR..........................  DREXLER TECHNOLOGY CORP
DSS...........................  QUANTUM CORP
DTAS..........................  DIGITAS INC
DTPI..........................  DIAMONDCLUSTER INTL INC
DTSI..........................  DIGITAL THEATRE SYSTEMS
DUSA..........................  DUSA PHARMACEUTICALS INC
DV............................  DEVRY INC
DVD...........................  DOVER MOTORSPORTS INC
EAC...........................  ENCORE ACQUISITION CO
EAS...........................  ENERGY EAST CORP
EASI..........................  ENGINEERED SUPPORT SYS
EBAY..........................  EBAY INC
EBF...........................  ENNIS BUSINESS FORMS INC
ECLG..........................  ECOLLEGE COM
ECSI..........................  ENDOCARDIAL SOLUTIONS
ED............................  CONSOLIDATED EDISON INC
EDLG..........................  EDUCATION LENDING GROUP
EDS...........................  ELECTRONIC DATA SYSTEMS
EFD...........................  EFUNDS CORP
EFII..........................  ELECTRONICS FOR IMAGING
EFX...........................  EQUIFAX INC
EGN...........................  ENERGEN CORP
EGOV..........................  NIC INC
EIX...........................  EDISON INTERNATIONAL
EL............................  ESTEE LAUDER COMPANIES
ELNK..........................  EARTHLINK INC
ELON..........................  ECHELON CORP
ELY...........................  CALLAWAY GOLF CO
EMC...........................  E M C CORP
ENDP..........................  ENDO PHARMACEUTICALS
ENMC..........................  ENCORE MEDICAL CORP
ENTG..........................  ENTEGRIS INC
ENZ...........................  ENZO BIOCHEM INC
EOG...........................  EOG RESOURCES INC
EOP...........................  EQUITY OFFICE PPTYS TR
EPAX..........................  AMBASSADORS GROUP INC
EPEX..........................  EDGE PETROLEUM CORP
EPIC..........................  EPICOR SOFTWARE CORP
EPIX..........................  EPIX MEDICAL INC
EQR...........................  EQUITY RESIDENTIAL
EQT...........................  EQUITABLE RESOURCES INC
ERES..........................  ERESEARCHTECHNOLOGY INC
ESCA..........................  ESCALADE INC
ESIO..........................  ELECTRO SCIENTIFIC INDS
ESL...........................  ESTERLINE TECHNOLOGIES
ESPD..........................  ESPEED INC
ESS...........................  ESSEX PROPERTY TRUST INC
ESST..........................  ESS TECHNOLOGY INC
ESV...........................  ENSCO INTERNATIONAL INC
ET............................  E TRADE FINANCIAL CORP
ETM...........................  ENTERCOM COMMUNICATIONS
ETR...........................  ENTERGY CORP
EV............................  EATON VANCE CORP
EXLT..........................  EXULT INC
EYET..........................  EYETECH PHARMACEUTICALS
FAC...........................  FIRST ACCEPTANCE CORP
FADV..........................  FIRST ADVANTAGE CORP
FBC...........................  FLAGSTAR BANCORP INC
FBTX..........................  FRANKLIN BANK CORP
FCE.A.........................  FOREST CITY ENTRPRS
FCH...........................  FELCOR LODGING TRUST INC
FCNCA.........................  FIRST CITIZENS BANCSHRS
FCX...........................  FREEPORT-MCMORAN C&G
FD............................  FEDERATED DEPT STORE
FDS...........................  FACTSET RESEARCH SYSTEMS
FFFL..........................  FIDELITY BANKSHARES INC
FFIN..........................  FIRST FINL BANKSHARES
FIC...........................  FAIR ISAAC CORP
FIF...........................  FINANCIAL FED CORP
FINL..........................  FINISH LINE INC
FISI..........................  FINANCIAL INSTNS INC
FL............................  FOOT LOCKER INC
FLB...........................  FIRST NATL BANKSHARES
FLO...........................  FLOWERS FOODS INC
FLR...........................  FLUOR CORP
FLYR..........................  NAVIGANT INTERNATIONAL
FMER..........................  FIRSTMERIT CORP
FMKT..........................  FREEMARKETS INC
FOBB..........................  FIRST OAK BROOK BANCSHRS
FOE...........................  FERRO CORP
FON...........................  SPRINT FON GROUP
FORR..........................  FORRESTER RESEARCH INC
FPIC..........................  FPIC INSURANCE GROUP INC
FPL...........................  FPL GROUP INC
FR............................  FIRST INDUSTRIAL RLTY TR
FRED..........................  FREDS INC
FRK...........................  FLORIDA ROCK INDUSTRIES
FRME..........................  FIRST MERCHANTS CORP
FRNT..........................  FRONTIER AIRLINES INC
FRT...........................  FEDERAL REALTY INVT
FRX...........................  FOREST LABS INC
FSH...........................  FISHER SCIENTIFIC INTL
FSLA..........................  FIRST SENTINEL BANCORP
FTBK..........................  FRONTIER FINANCIAL CORP
FTI...........................  FMC TECHNOLOGIES INC
FUL...........................  FULLER H B CO
G.............................  GILLETTE CO
GAS...........................  NICOR INC
GBBK..........................  GREATER BAY BANCORP
GBCI..........................  GLACIER BANCORP INC
GBND..........................  GENERAL BINDING CORP
GBP...........................  GABLES RESIDENTIAL TRUST
GBX...........................  GREENBRIER COMPANIES INC
GCO...........................  GENESCO INC
GDI...........................  GARDNER DENVER INC
GDYS..........................  GOODYS FAMILY CLOTHING
GEF...........................  GREIF INC
GERN..........................  GERON CORP
GET...........................  GAYLORD ENTMT CO
GGG...........................  GRACO INC
GGP...........................  GENERAL GROWTH PPTYS INC
GIFI..........................  GULF ISLAND FABRICATION
GISX..........................  GLOBAL IMAGING SYSTEMS
GKSRA.........................  G&K SERVICES INC
GLT...........................  GLATFELTER
GLW...........................  CORNING INC
GMRK..........................  GULFMARK OFFSHORE INC
GMT...........................  GATX CORP
GPC...........................  GENUINE PARTS CO
GPI...........................  GROUP 1 AUTOMOTIVE INC
GPP...........................  GOVERNMENT PPTYS TRUST
GPT...........................  GREENPOINT FINANCIAL
GRC...........................  GORMAN RUPP CO

[[Page 48036]]

 
GS............................  GOLDMAN SACHS GROUP INC
GT............................  GOODYEAR TIRE & RUBBER
GTI...........................  GRAFTECH INTL LTD
GTK...........................  GTECH HOLDINGS CORP
GTY...........................  GETTY REALTY CORP
GW............................  GREY WOLF INC
GWR...........................  GENESEE & WYOMING INC
GWW...........................  GRAINGER W W INC
GY............................  GENCORP INC
HARB..........................  HARBOR FLORIDA BANCSHRS
HAS...........................  HASBRO INC
HBAN..........................  HUNTINGTON BANCSHARES
HBEK..........................  HUMBOLDT BANCORP
HBHC..........................  HANCOCK HOLDING CO
HC............................  HANOVER COMPRESSOR CO
HCA...........................  HCA INC
HCP...........................  HEALTH CARE PROPERTY INV
HD............................  HOME DEPOT INC
HDI...........................  HARLEY DAVIDSON INC
HET...........................  HARRAHS ENTMT INC
HH............................  HOOPER HOLMES INC
HHS...........................  HARTE HANKS INC
HIH...........................  HIGHLAND HOSPITALITY
HIW...........................  HIGHWOODS PROPERTIES INC
HLR...........................  HOLLINGER INTERNATIONAL
HLTH..........................  WEBMD CORP
HME...........................  HOME PROPERTIES INC
HMX...........................  HARTMARX CORP
HNR...........................  HARVEST NATURAL RES
HOMS..........................  HOMESTORE INC
HOTT..........................  HOT TOPIC INC
HP............................  HELMERICH & PAYNE INC
HRB...........................  BLOCK H & R INC
HRH...........................  HILB ROGAL & HOBBS CO
HSY...........................  HERSHEY FOODS CORP
HTCH..........................  HUTCHINSON TECHNOLOGY
HTLD..........................  HEARTLAND EXPRESS INC
HUG...........................  HUGHES SUPPLY INC
HVT...........................  HAVERTY FURNITURE INC
HYC...........................  HYPERCOM CORP
IAAI..........................  INSURANCE AUTO AUCTIONS
ICBC..........................  INDEPENDENCE CMNTY BANK
ICCI..........................  INSIGHT COMMUNICATIONS
ICOS..........................  ICOS CORP
ICST..........................  INTEGRATED CIRCUIT SYS
IDA...........................  IDACORP INC
IDC...........................  INTERACTIVE DATA CORP
IDNX..........................  IDENTIX INC
IES...........................  INTEGRATED ELECTRICAL
IFLO..........................  I-FLOW CORP
IFSIA.........................  INTERFACE INC
IGT...........................  INTL GAME TECHNOLOGY
IHI...........................  INFORMATION HOLDINGS INC
ILA...........................  AQUILA INC
ILE...........................  ISOLAGEN INC
ILXO..........................  ILEX ONCOLOGY INC
IMCL..........................  IMCLONE SYSTEMS INC
IMDC..........................  INAMED CORP
IMKTA.........................  INGLES MARKETS INC
IMMC..........................  IMMUNICON CORP
IN............................  INFONET SVCS CORP
INCY..........................  INCYTE CORP
INDB..........................  INDEPENDENT BANK MA
INET..........................  INET TECHNOLOGIES INC
INHO..........................  INDEPENDENCE HOLDING CO
INSU..........................  INSITUFORM TECHNOLOGIES
INT...........................  WORLD FUEL SVCS CORP
INTC..........................  INTEL CORP
INTU..........................  INTUIT
IO............................  INPUT/OUTPUT INC
ION...........................  IONICS INC
IPAS..........................  IPASS INC
ISIS..........................  ISIS PHARMACEUTICALS
ISRG..........................  INTUITIVE SURGICAL INC
ISSC..........................  INNOVATIVE SOLUTIONS
IT............................  GARTNER INC
ITCD..........................  ITC DELTACOM INC
ITLA..........................  ITLA CAPITAL CORP
ITW...........................  ILLINOIS TOOL WORKS INC
IUSA..........................  INFOUSA INC
IVD...........................  IVAX DIAGNOSTICS INC
JBL...........................  JABIL CIRCUIT INC
JBLU..........................  JETBLUE AIRWAYS CORP
JCI...........................  JOHNSON CONTROLS INC
JCOM..........................  J2 GLOBAL COMMUNICATIONS
JEF...........................  JEFFERIES GROUP INC
JJSF..........................  J & J SNACK FOODS CO
JJZ...........................  JACUZZI BRANDS INC
JKHY..........................  HENRY JACK & ASSOCIATES
JLG...........................  JLG INDUSTRIES INC
JNJ...........................  JOHNSON & JOHNSON
JOYG..........................  JOY GLOBAL INC
JUPM..........................  JUPITERMEDIA CORP
KBH...........................  KB HOME
KERX..........................  KERYX BIOPHARMACEUTICALS
KEX...........................  KIRBY CORP
KEYS..........................  KEYSTONE AUTOMOTIVE INDS
KFED..........................  K FED BANCORP
KLAC..........................  KLA-TENCOR CORP
KMRT..........................  KMART HOLDING CORP
KNGT..........................  KNIGHT TRANSN INC
KNTA..........................  KINTERA INC
KO............................  COCA COLA CO
KOPN..........................  KOPIN CORP
KR............................  KROGER CO
KRB...........................  MBNA CORP
KRI...........................  KNIGHT RIDDER INC
KROL..........................  KROLL INC
KRT...........................  KRAMONT REALTY TRUST
KSE...........................  KEYSPAN CORP
KSS...........................  KOHLS CORP
KSWS..........................  K-SWISS INC
KTO...........................  K2 INC
KYPH..........................  KYPHON INC
L.............................  LIBERTY MEDIA CORP
LABS..........................  LABONE INC
LACO..........................  LAKES ENTERTAINMENT INC
LAWS..........................  LAWSON PRODUCTS INC
LBY...........................  LIBBEY INC
LCI...........................  LANNETT CO INC
LEG...........................  LEGGETT & PLATT INC
LEND..........................  ACCREDITED HOME LENDERS
LEXG..........................  LEXICON GENETICS INC
LFB...........................  LONGVIEW FIBRE CO
LG............................  LACLEDE GROUP INC
LHO...........................  LASALLE HOTEL PROPERTIES
LIFC..........................  LIFECELL CORP
LIN...........................  LINENS N THINGS INC
LIZ...........................  LIZ CLAIBORNE INC
LKQX..........................  LKQ CORP
LLY...........................  LILLY ELI & CO
LNET..........................  LODGENET ENTMT CORP
LNR...........................  LNR PROPERTY CORP
LPNT..........................  LIFEPOINT HOSPITALS
LPX...........................  LOUISIANA PACIFIC CORP
LSCC..........................  LATTICE SEMICONDUCTOR
LSCP..........................  LASERSCOPE
LSE...........................  CAPITAL LEASE FUNDING
LSS...........................  LONE STAR TECHNOLOGIES
LSTR..........................  LANDSTAR SYSTEMS INC
LTC...........................  LTC PROPERTIES INC
LTD...........................  LIMITED BRANDS INC
LTRE..........................  LEARNING TREE INTL INC
LUM...........................  LUMINENT MORTGAGE CAP
LXP...........................  LEXINGTON CORP PPTYS
LZ............................  LUBRIZOL CORP
MAA...........................  MID-AMER APT CMNTYS
MAG...........................  MAGNETEK INC
MAPX..........................  MAPICS INC
MATK..........................  MARTEK BIOSCIENCES CORP
MATW..........................  MATTHEWS INTERNATIONAL
MAY...........................  MAY DEPARTMENT STORES CO
MBTF..........................  MBT FINANCIAL CORP
MCBC..........................  MACATAWA BANK CORP
MCDTA.........................  MCDATA CORP
MCH...........................  MILLENNIUM CHEMICALS
MCRL..........................  MICREL INC
MDC...........................  MDC HOLDINGS INC
MDCO..........................  MEDICINES CO
MEDT..........................  MEDSOURCE TECHNOLOGIES
MERQ..........................  MERCURY INTERACTIVE CORP
METH..........................  METHODE ELECTRS INC
MFA...........................  MFA MORTGAGE INVESTMENTS
MFW...........................  M & F WORLDWIDE CORP
MGG...........................  MGM MIRAGE
MHC...........................  MANUFACTURED HOME
                                 CMNTYS
MHO...........................  M/I HOMES INC
MICU..........................  MICURON PHARMACEUTICALS
MIDD..........................  MIDDLEBY CORP
MIL...........................  MILLIPORE CORP
MIPS..........................  MIPS TECHNOLOGIES INC
MKC...........................  MCCORMICK & CO INC
MKL...........................  MARKEL CORP
MKSI..........................  MKS INSTRUMENTS INC
MLAN..........................  MIDLAND CO
MMC...........................  MARSH & MCLENNAN COS
MNRO..........................  MONRO MUFFLER BRAKE INC
MNST..........................  MONSTER WORLDWIDE INC
MODI..........................  MODINE MANUFACTURING CO
MOGN..........................  MGI PHARMA INC
MON...........................  MONSANTO CO
MONE..........................  MATRIXONE INC
MOV...........................  MOVADO GROUP INC
MPG...........................  MAGUIRE PPTYS INC
MPX...........................  MARINE PRODUCTS CORP
MRD...........................  MACDERMID INC
MRGE..........................  MERGE TECHNOLOGIES INC
MRO...........................  MARATHON OIL CORP
MRX...........................  MEDICIS PHARMACEUTICAL
MSA...........................  MINE SAFETY APPLIANCES
MSCC..........................  MICROSEMI CORP
MSEX..........................  MIDDLESEX WATER CO
MSFG..........................  MAINSOURCE FINANCIAL GRP
MSM...........................  MSC INDL DIRECT INC
MTEX..........................  MANNATECH INC
MTG...........................  MGIC INVESTMENT CORP
MTN...........................  VAIL RESORTS INC
MTRX..........................  MATRIX SERVICE CO
MTW...........................  MANITOWOC CO INC
MUSA..........................  METALS USA INC
MVL...........................  MARVEL ENTERPRISES INC
MW............................  MENS WEARHOUSE INC
MWD...........................  MORGAN STANLEY
NABC..........................  NEWALLIANCE BANCSHARES
NABI..........................  NABI BIOPHARMACEUTICALS
NAFC..........................  NASH FINCH CO
NATI..........................  NATIONAL INSTRS CORP
NAVG..........................  NAVIGATORS GROUP INC
NBIX..........................  NEUROCRINE BIOSCIENCES
NBL...........................  NOBLE ENERGY INC
NCS...........................  NCI BUILDING SYSTEMS INC
NDC...........................  NDCHEALTH CORP
NEU...........................  NEW MARKET CORPORATION
NFB...........................  NORTH FORK BANCORP
NFP...........................  NATIONAL FINL PARTNERS
NHI...........................  NATIONAL HEALTH INVS INC
NITE..........................  KNIGHT TRADING GROUP INC
NLS...........................  NAUTILUS GROUP INC

[[Page 48037]]

 
NLY...........................  ANNALY MORTAGE MGMT INC
NMG.A.........................  NEIMAN MARCUS GROUP INC
NNBR..........................  NN INC
NNI...........................  NELNET INC
NOVN..........................  NOVEN PHARMACEUTICALS
NPBC..........................  NATIONAL PENN BANCSHARES
NPSP..........................  NPS PHARMACEUTICALS INC
NR............................  NEWPARK RESOURCES INC
NRGN..........................  NEUROGEN CORP
NSIT..........................  INSIGHT ENTERPRISES INC
NST...........................  NSTAR
NTEC..........................  NEOSE TECHNOLOGIES INC
NTLI..........................  NTL INC
NTY...........................  NBTY INC
NU............................  NORTHEAST UTILITIES
NUE...........................  NUCOR CORP
NUTR..........................  NUTRACEUTICAL INTL CORP
NVLS..........................  NOVELLUS SYSTEMS INC
NVR...........................  NVR INC
NXST..........................  NEXSTAR BROADCASTING
NYM...........................  NYMAGIC INC
NYT...........................  NEW YORK TIMES CO
OCA...........................  ORTHODONTIC CTRS OF AMER
OCAS..........................  OHIO CASUALTY CORP
OI............................  OWENS ILLINOIS INC
OIS...........................  OIL STATES INTERNATIONAL
OME...........................  OMEGA PROTEIN CORP
OMEF..........................  OMEGA FINANCIAL CORP
OMI...........................  OWENS & MINOR INC
ONB...........................  OLD NATIONAL BANCORP
ONXX..........................  ONYX PHARMACEUTICALS INC
OPNT..........................  OPNET TECHNOLOGIES INC
ORCL..........................  ORACLE CORP
ORLY..........................  O REILLY AUTOMOTIVE INC
OS............................  OREGON STEEL MILLS INC
OSBC..........................  OLD SECOND BANCORP INC
OSG...........................  OVERSEAS SHIPHOLDNG GRP
OSI...........................  OUTBACK STEAKHOUSE INC
OSIP..........................  OSI PHARMACEUTICALS
OSTK..........................  OVERSTOCK COM INC
OSUR..........................  ORASURE TECHNOLOGIES INC
OTL...........................  OCTEL CORP
OTTR..........................  OTTER TAIL CORP
OVRL..........................  OVERLAND STORAGE INC
OVTI..........................  OMNIVISION TECHNOLOGIES
OXM...........................  OXFORD INDUSTRIES INC
PACR..........................  PACER INTERNATIONAL INC
PAS...........................  PEPSIAMERICAS INC
PAX...........................  PAXSON COMMUNICATION
PAYX..........................  PAYCHEX INC
PBI...........................  PITNEY BOWES INC
PBKS..........................  PROVIDENT BANKSHARES
PCAR..........................  PACCAR INC
PCCC..........................  P C CONNECTION
PCG...........................  PG&E CORP
PCH...........................  POTLATCH CORP
PCL...........................  PLUM CREEK TIMBER CO INC
PCSA..........................  AIRGATE PCS INC
PCTY..........................  PARTY CITY CORP
PCU...........................  SOUTHERN PERU COPPER
PCYC..........................  PHARMACYCLICS INC
PD............................  PHELPS DODGE CORP
PDLI..........................  PROTEIN DESIGN LABS INC
PDX...........................  PEDIATRIX MEDICAL GROUP
PEET..........................  PEETS COFFEE & TEA INC
PEG...........................  PUBLIC SVC ENTERPRISE
PEGA..........................  PEGASYSTEMS INC
PENG..........................  PRIMA ENERGY CORP
PENN..........................  PENN NATIONAL GAMING INC
PEP...........................  PEPSICO INC
PER...........................  PEROT SYSTEMS CORP
PETS..........................  PETMED EXPRESS INC
PFE...........................  PFIZER INC
PFGC..........................  PERFORMANCE FOOD GROUP
PFGI..........................  PROVIDENT FINANCIAL GRP
PFS...........................  PROVIDENT FINANCIAL SVCS
PFSB..........................  PENNFED FINANCIAL SVCS
PGNX..........................  PROGENICS PHARMACEUTICAL
PH............................  PARKER HANNIFIN CORP
PHCC..........................  PRIORITY HEALTHCARE
PHLY..........................  PHILADELPHIA CONS HLDG
PICO..........................  PICO HOLDINGS INC
PII...........................  POLARIS INDUSTRIES INC
PILL..........................  PROXYMED PHARMACY INC
PLAB..........................  PHOTRONICS INC
PLD...........................  PROLOGIS
PLRE..........................  PRICE LEGACY CORP
PLUG..........................  PLUG POWER INC
PLXS..........................  PLEXUS CORP
PLXT..........................  PLX TECHNOLOGY INC
PMCS..........................  PMC-SIERRA INC
PMTI..........................  PALOMAR MEDICAL TECH
PNK...........................  PINNACLE ENTMT INC
PNM...........................  PNM RESOURCES INC
PNR...........................  PENTAIR INC
POP...........................  POPE & TALBOT INC
POS...........................  CATALINA MARKETING CORP
POWL..........................  POWELL INDUSTRIES INC
POZN..........................  POZEN INC
PPC...........................  PILGRIMS PRIDE CORP
PPL...........................  PPL CORP
PPP...........................  POGO PRODUCING CO
PRFS..........................  PENNROCK FINANCIAL SVCS
PRM...........................  PRIMEDIA INC
PRSF..........................  PORTAL SOFTWARE INC
PRSP..........................  PROSPERITY BANCSHARES
PRTR..........................  PARTNERS TRUST FINL GRP
PSA...........................  PUBLIC STORAGE INC
PSB...........................  PS BUSINESS PARKS INC
PSD...........................  PUGET ENERGY INC
PSFT..........................  PEOPLESOFT INC
PSRC..........................  PALMSOURCE INC
PSS...........................  PAYLESS SHOESOURCE INC
PSSI..........................  PSS WORLD MEDICAL INC
PTMK..........................  PATHMARK STORES INC
PVH...........................  PHILLIPS VAN HEUSEN
PVTB..........................  PRIVATEBANCORP INC
PWAV..........................  POWERWAVE TECHNOLOGIES
PWER..........................  POWER-ONE INC
PWR...........................  QUANTA SERVICES INC
PX............................  PRAXAIR INC
PXLW..........................  PIXELWORKS INC
PXP...........................  PLAINS EXPLORATION & PRO
QSFT..........................  QUEST SOFTWARE INC
QSII..........................  QUALITY SYSTEMS INC
QUIX..........................  QUIXOTE CORP
R.............................  RYDER SYSTEM INC
RA............................  RECKSON ASSOCS RLTY
RAE...........................  RAE SYSTEMS INC
RAH...........................  RALCORP HOLDINGS INC
RAVN..........................  RAVEN INDUSTRIES INC
RBC...........................  REGAL BELOIT CORP
RBNC..........................  REPUBLIC BANCORP INC MI
RBPAA.........................  ROYAL BANCSHARES OF PENN
RCRC..........................  RC2 CORP
RDC...........................  ROWAN COMPANIES INC
RDI...........................  READING INTERNATIONAL IN
REG...........................  REGENCY CENTERS CORP
RF............................  REGIONS FINANCIAL CORP
RGLD..........................  ROYAL GOLD INC
RGR...........................  STURM RUGER & CO INC
RGS...........................  REGIS CORP
RHD...........................  R H DONNELLEY CORP
RJR...........................  REYNOLDS R J TOB HLDGS
RKT...........................  ROCK-TENN CO
RL............................  POLO RALPH LAUREN CO
RLI...........................  RLI CORP
RLRN..........................  RENAISSANCE LEARNING INC
RMBS..........................  RAMBUS INC
RMK...........................  ARAMARK CORP
ROG...........................  ROGERS CORP
ROH...........................  ROHM & HAAS CO
ROL...........................  ROLLINS INC
ROV...........................  RAYOVAC CORP
RRA...........................  RAILAMERICA INC
RRI...........................  RELIANT ENERGY INC
RSG...........................  REPUBLIC SERVICES INC
RSH...........................  RADIOSHACK CORP
RSYS..........................  RADISYS CORP
RTI...........................  RTI INTERNATIONAL METALS
RUSHB.........................  RUSH ENTERPRISES INC
SAFM..........................  SANDERSON FARMS INC
SBAC..........................  SBA COMMUNICATIONS CORP
SBNY..........................  SIGNATURE BANK
SBSE..........................  SBS TECHNOLOGIES INC
SCHL..........................  SCHOLASTIC CORP
SCHN..........................  SCHNITZER STEEL INDS
SCHS..........................  SCHOOL SPECIALTY INC
SCLN..........................  SCICLONE PHARMACEUTICALS
SCMF..........................  SOUTHERN CMNTY FINL CORP
SCS...........................  STEELCASE INC
SEBL..........................  SIEBEL SYSTEMS INC
SECD..........................  SECOND BANCORP INC
SEH...........................  SPARTECH CORP
SEIC..........................  SEI INVESTMENTS CO
SFCC..........................  SFBC INTERNATIONAL INC
SFD...........................  SMITHFIELD FOODS INC
SFE...........................  SAFEGUARD SCIENTIFICS
SFN...........................  SPHERION CORP
SFSW..........................  STATE FINANCIAL SERVICES
SGA...........................  SAGA COMMUNICATIONS
SGEN..........................  SEATTLE GENETICS INC
SHLM..........................  SCHULMAN A INC
SHW...........................  SHERWIN WILLIAMS CO
SIR...........................  SIRVA INC
SJI...........................  SOUTH JERSEY INDUSTRIES
SJW...........................  SJW CORP
SLFI..........................  STERLING FINL CORP PA
SLG...........................  SL GREEN REALTY CORP
SLR...........................  SOLECTRON CORP
SMHG..........................  SANDERS MORRIS HARRIS
SMSC..........................  STANDARD MICROSYSTEM
SMTC..........................  SEMTECH CORP
SNH...........................  SENIOR HOUSING PPTYS TR
SNRR..........................  SUNTERRA CORP
SNS...........................  STEAK N SHAKE CO
SNWL..........................  SONICWALL INC
SO............................  SOUTHERN CO
SONE..........................  S1 CORPORATION
SORC..........................  SOURCE INTERLINK COS INC
SRCL..........................  STERICYCLE INC
SRDX..........................  SURMODICS INC
SRNA..........................  SERENA SOFTWARE INC
SRP...........................  SIERRA PACIFIC RESOURCES
SRZ...........................  SUNRISE SENIOR LIVING
SSI...........................  SPECTRASITE INC
SSP...........................  SCRIPPS E W CO
STEI..........................  STEWART ENTERPRISES
STFC..........................  STATE AUTO FINANCIAL
STK...........................  STORAGE TECHNOLOGY CORP
STL...........................  STERLING BANCORP
STMP..........................  STAMPS COM INC
STN...........................  STATION CASINOS INC
STRA..........................  STRAYER EDUCATION INC
STRT..........................  STRATTEC SECURITY CORP
STSI..........................  STAR SCIENTIFIC INC
STT...........................  STATE STREET CORP
STZ...........................  CONSTELLATION BRANDS
SUI...........................  SUN COMMUNITIES INC

[[Page 48038]]

 
SUNN..........................  SUNTRON CORP
SUNW..........................  SUN MICROSYSTEMS INC
SUP...........................  SUPERIOR INDUSTRIES INTL
SUPX..........................  SUPERTEX INC
SVM...........................  SERVICEMASTER CO
SWBT..........................  SOUTHWEST BANCORP OF TEX
SWK...........................  STANLEY WORKS
SWW...........................  SITEL CORP
SWX...........................  SOUTHWEST GAS CORP
SWY...........................  SAFEWAY INC
SYD...........................  SYBRON DENTAL SPECIALTIE
SYK...........................  STRYKER CORP
SYX...........................  SYSTEMAX INC
SYY...........................  SYSCO CORP
TARR..........................  TARAGON REALTY INVS INC
TASR..........................  TASER INTL INC
TBCC..........................  TBC CORP
TCC...........................  TRAMMELL CROW CO
TCR...........................  CORNERSTONE RLTY INC TR
TDW...........................  TIDEWATER INC
TDY...........................  TELEDYNE TECHNOLOGIES
TECUA.........................  TECUMSEH PRODS CO
TELK..........................  TELIK INC
TERN..........................  TERAYON COMM SYSTEMS INC
TG............................  TREDEGAR CORP
TGI...........................  TRIUMPH GROUP INC
TGIC..........................  TRIAD GUARANTY INC
TGT...........................  TARGET CORP
THFF..........................  FIRST FINANCIAL CORP
THO...........................  THOR INDUSTRIES INC
THOR..........................  THORATEC CORP
THX...........................  HOUSTON EXPLORATION CO
TIF...........................  TIFFANY & CO
TKLC..........................  TEKELEC
TKR...........................  TIMKEN CO
TLAB..........................  TELLABS INC
TLB...........................  TALBOTS INC
TLRK..........................  TULARIK INC
TMA...........................  THORNBURG MORTGAGE INC
TMG...........................  TRANSMONTAIGNE INC
TMWD..........................  TUMBLEWEED COMMUNI-
                                 CATION
TOL...........................  TOLL BROTHERS INC
TOY...........................  TOYS R U.S. INC
TPTI..........................  TIPPINGPOINT TECH INC
TQNT..........................  TRIQUINT SEMICONDUCTOR
TR............................  TOOTSIE ROLL INDUSTRIES
TRCA..........................  TERCICA INC
TRMK..........................  TRUSTMARK CORP
TRST..........................  TRUSTCO BANK CORP NY
TRZ...........................  TRIZEC PROPERTIES INC
TSA...........................  SPORTS AUTHORITY INC
TSFG..........................  SOUTH FINANCIAL GROUP
TTC...........................  TORO CO
TTEC..........................  TELETECH HOLDINGS INC
TTMI..........................  TTM TECHNOLOGIES INC
TWX...........................  TIME WARNER INC
TXI...........................  TEXAS INDUSTRIES INC
TXN...........................  TEXAS INSTRUMENTS INC
TXT...........................  TEXTRON INC
TXU...........................  TXU CORP
UBA...........................  URSTADT BIDDLE PPTYS INS
UCBH..........................  UCBH HOLDINGS INC
UCI...........................  UICI
UCL...........................  UNOCAL CORP
UFPI..........................  UNIVERSAL FOREST PRODS
UGI...........................  UGI CORP
UHAL..........................  AMERCO
UIC...........................  UNITED INDUSTRIAL CORP
ULBI..........................  ULTRALIFE BATTERIES INC
ULCM..........................  ULTICOM INC
UNF...........................  UNIFIRST CORP MASS
UOPX..........................  APOLLO GRP UNIV PHOENIX
URS...........................  URS CORP
USG...........................  U S G CORP
USON..........................  US ONCOLOGY INC
UTHR..........................  UNITED THERAPEUTICS
UVN...........................  UNIVISION COMMUNICATIONS
UVV...........................  UNIVERSAL CORP
VAR...........................  VARIAN MEDICAL SYSTEMS
VARI..........................  VARIAN INC
VCBI..........................  VIRGINIA COMM BANCORP
VECO..........................  VEECO INSTRUMENTS INC
VFC...........................  V F CORP
VGR...........................  VECTOR GROUP LTD
VICR..........................  VICOR CORP
VITA..........................  ORTHOVITA INC
VITL..........................  VITAL SIGNS INC
VLO...........................  VALERO ENERGY CORP
VLY...........................  VALLEY NATIONAL BANCORP
VMSI..........................  VENTANA MEDICAL SYSTEMS
VRC...........................  VARCO INTERNATIONAL INC
VRNT..........................  VERINT SYSTEMS INC
VRTX..........................  VERTEX PHARMACEUTICALS
VSAT..........................  VIASAT INC
VSH...........................  VISHAY INTERTECHNOLOGY
VTA...........................  VESTA INS GROUP INC
VTIV..........................  VENTIV HEALTH INC
VVTV..........................  VALUEVISION MEDIA INC
VXGNE.........................  VAXGEN INC
WAB...........................  WABTEC CORP
WASH..........................  WASHINGTON TRUST
                                 BANCORP
WAT...........................  WATERS CORP
WBS...........................  WEBSTER FINANCIAL CORP
WEBM..........................  WEBMETHODS INC
WEN...........................  WENDYS INTERNATIONAL INC
WEYS..........................  WEYCO GROUP INC
WFR...........................  MEMC ELECTRIC MATERIALS
WFSG..........................  WILSHIRE FINANCIAL SVCS
WHQ...........................  W-H ENERGY SVCS INC
WIND..........................  WIND RIVER SYSTEMS INC
WLT...........................  WALTER INDUSTRIES INC
WMGI..........................  WRIGHT MEDICAL GROUP INC
WMT...........................  WAL MART STORES INC
WNC...........................  WABASH NATIONAL CORP
WON...........................  WESTWOOD ONE INC
WOR...........................  WORTHINGTON INDUSTRIES
WPI...........................  WATSON PHARMACEUTICALS
WPO...........................  WASHINGTON POST CO
WPSC..........................  WHEELING PITTSBURGH CORP
WR............................  WESTAR ENERGY INC
WRC...........................  WESTPORT RESOURCES CORP
WRE...........................  WASHINGTON REAL ESTATE
WRLD..........................  WORLD ACCEPTANCE CORP
WSBA..........................  WESTERN SIERRA BANCORP
WSBC..........................  WESBANCO INC
WSBK..........................  WILSHIRE STATE BANK
WSO...........................  WATSCO INC
WST...........................  WEST PHARMACEUTICAL SVCS
WSTL..........................  WESTELL TECHNOLOGIES INC
WTBA..........................  WEST BANCORPORATION INC
WW............................  WATSON WYATT & CO HLDGS
WWE...........................  WORLD WRESTLING ENTMNT
WWY...........................  WRIGLEY WM JR CO
WXH...........................  WINSTON HOTELS INC
WY............................  WEYERHAEUSER CO
WYE...........................  WYETH
XLNX..........................  XILINX INC
XLTC..........................  EXCEL TECHNOLOGY INC
XRIT..........................  X-RITE INC
XTO...........................  XTO ENERGY INC
Y.............................  ALLEGHANY CORP
YRK...........................  YORK INTERNATIONAL CORP
ZBRA..........................  ZEBRA TECHNOLOGIES CORP
ZGEN..........................  ZYMOGENETICS INC
ZHNE..........................  ZHONE TECHNOLOGIES INC
ZIGO..........................  ZYGO CORP
ZILA..........................  ZILA INC
ZION..........................  ZIONS BANCORPORATION
ZLC...........................  ZALE CORP
ZMH...........................  ZIMMER HOLDINGS INC
ZQK...........................  QUIKSILVER INC
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[FR Doc. 04-17572 Filed 8-5-04; 8:45 am]
BILLING CODE 8010-01-P