Equity Market Index Funds

Transcription

1 SEMIANNual REPORT June 30, 2015 T. Rowe Price Equity Market Index Funds The funds invest to match the performance of their respective indexes.

2 T. Rowe Price Equity Market Index Funds HIGHLIGHTS U.S. stocks generated mixed results in the first six months of 2015, with small- and mid-cap shares returning decent gains, while large-caps were mostly flat. The Equity Market Index Funds each tracked their unmanaged benchmarks for the six months ended June 30, Using full replication and sampling strategies, we kept the composition and other attributes of the portfolios similar to those of their benchmarks. While we don t believe that investors should expect a repeat of last year s strong stock market performance, we believe that corporate earnings growth will expand at a moderate pace. The views and opinions in this report were current as of June 30, They are not guarantees of performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and the managers reserve the right to change their views about individual stocks, sectors, and the markets at any time. As a result, the views expressed should not be relied upon as a forecast of the fund s future investment intent. The report is certified under the Sarbanes-Oxley Act, which requires mutual funds and other public companies to affirm that, to the best of their knowledge, the information in their financial reports is fairly and accurately stated in all material respects. REPORTS ON THE WEB Sign up for our Program, and you can begin to receive updated fund reports and prospectuses online rather than through the mail. Log in to your account at troweprice.com for more information.

3 T. Rowe Price Equity Market Index Funds Manager s Letter Fellow Shareholders U.S. stocks generated mixed results in the first six months of 2015, with small- and mid-cap shares returning decent gains, while large-caps were mostly flat. Many U.S. indexes retreated late in the period amid renewed turmoil over the Greek debt crisis, increasing concerns about China s stock market and its ability to generate growth, and indications from the Federal Reserve that it would raise short-term interest rates sometime this year. Market Environment The U.S. economy gained traction after an early-year slowdown. Gross domestic product contracted slightly in the first quarter of 2015, but subsequent readings have led most analysts to forecast modestly positive economic growth this year. The unemployment rate declined to 5.3% in June, a seven-year low, from the 5.7% jobless rate in January. Inflation firmed since early this year but stayed below the Fed s 2% target. The rate remained subdued thanks to low energy prices and a stronger U.S. dollar, which has made imported goods cheaper for consumers. The housing market picked up after a shaky start this year, with various gauges of new and existing home sales reaching their highest levels since the 2008 to 2009 recession. Meanwhile, the Fed continued to prepare markets for its first shortterm rate hike since The central bank is widely expected to start raising its benchmark rate from near 0% sometime this year, though Fed Chair Janet Yellen has assured markets that any rate increases will be small and gradual. T. Rowe Price forecasts that the U.S. economy will show moderate growth in 2015 and that the Fed will likely raise rates at least once by year-end. 1

4 The S&P 500 Index gained 1.23% for the period. The health care sector posted the best gains in the S&P 500, driven by the stellar performance of the biotechnology industry, followed by the consumer discretionary sector. The utilities sector weighed most on results, followed by the energy sector and the industrials and business services sector. Summary of Investment Strategies T. Rowe Price s Equity Market Index Funds are designed for investors who want to harness the potential for long-term capital appreciation from broad exposure to large-cap stocks (Equity Index 500 Fund), small- and mid-cap stocks (Extended Equity Market Index Fund), or the entire U.S. stock market (Total Equity Market Index Fund). Portfolio Characteristics Extended Equity Total Equity Equity As of 6/30/15 Index 500 Market Index Market Index Investment- Weighted Median Market Cap (billions) $82.4 $50.4 $4.1 These funds could serve as core holdings in an investor s portfolio, as they offer attributes that many investors will find appealing. They are well diversified, which can reduce the potentially negative impact of a given stock on the entire portfolio. The Equity Index 500 Fund invests in all S&P 500 Index stocks, while the Total Equity Market Index Fund and the Extended Equity Market Index Fund owned 1,441 and 1,649 holdings, respectively, as of June 30, (Diversification cannot assure a profit or protect against loss in a declining market.) Earnings Growth Rate Estimated Next 5 Years* 9.6% 9.8% 12.0% P/E Ratio (based on next 12 months estimated earnings)* 17.2X 17.9X 21.4X * Source for data: IBES. Forecasts are in no way indicative of future investment returns. They tend to closely track their benchmarks. The Equity Index 500 Fund uses a full-replication strategy so that the weightings of our holdings match those of the S&P 500 Index. The Total Equity Market Index Fund and the 2

5 Extended Equity Market Index Fund use a sampling strategy to approximate the sector allocations, price-to-earnings ratio, and other attributes of their benchmarks. We occasionally invest in securities such as futures and exchange-traded funds so that the index funds can accommodate cash flows and remain fully invested. They offer instant, broad exposure to different sectors of the stock market, and each fund s sector allocations are consistent with its benchmark s sector breakdown. As such, changes in the funds sector diversification and other overall characteristics reflect changes in the composition of the indexes, rather than strategic shifts that are typical of an actively managed fund. Since the funds are designed to track their respective indexes, they do not have the flexibility to shift assets toward stocks or sectors that are rising or away from those that are declining. Their expenses are generally low, which allows investors to retain more of their returns. Equity Index 500 Fund The Equity Index 500 Fund returned 1.11% in the six months ended June 30, 2015, versus 1.23% for the S&P 500 Index. Fund performance tends to slightly Performance Comparison Six-Month Period Ended 6/30/15 Total Return lag that of the benchmark due to operating and management expenses. Equity Index 500 Fund 1.11% The health care sector S&P 500 Index 1.23 posted strong gains, returning nearly 10% due to the extraordinary performance of the biotechnology industry. It was followed by the consumer discretionary sector, which added about 7%. The utilities sector declined the most, falling nearly 11%, followed by a 5% loss in the energy sector and a 3% drop in industrials and business services. 3

6 S&P 500 Index Returns by Sector Six-Month Period Ended 6/30/15 Consumer Discretionary 6.81% Consumer Staples Energy Financials Health Care 9.56 Industrials and Business Services Information Technology 0.76 Materials 0.50 Telecommunication Services 3.15 Utilities S&P 500 Index Sector Allocations Periods Ended 12/31/14 6/30/15 Information Technology 19.6% 19.6% Financials Health Care Consumer Discretionary Industrials and Business Services Consumer Staples Energy Materials Utilities In health care, biotechnology company Gilead Sciences boosted performance. Its stock has been driven by increasingly favorable clinical data for several therapies that appear to eradicate hepatitis C. In consumer discretionary, Amazon.com was a strong performer amid positive investor reaction to its cloud computing and Amazon Web Services online storage businesses. Walt Disney also produced strong gains. (Please refer to the fund s portfolio of investments for a complete list of holdings and the amount each represents in the portfolio.) Lower energy prices pressured results for ExxonMobil and Chevron. Other companies that lost ground included Procter & Gamble, Intel, and Berkshire Hathaway. Telecommunication Services Standard & Poor s Historical weightings reflect current industry/sector classifications. authorized several additions and deletions to the composition of the S&P 500 Index during the period. Please see the Evolving S&P 500 Index table on page 17 for a complete list of index changes. 4

7 Performance Comparison Six-Month Period Ended 6/30/15 Total Return Total Equity Market Index Fund 1.71% S&P Total Market Index 1.93 S&P Total Market Index Returns by Sector Six-Month Period Ended 6/30/15 Consumer Discretionary 6.37% Consumer Staples Energy Financials 0.34 Health Care Industrials and Business Services Information Technology 1.68 Materials Telecommunication Services 3.67 Utilities S&P Total Market Index Sector Allocations Periods Ended 12/31/14 6/30/15 Information Technology 19.0% 18.8% Financials Health Care Consumer Discretionary Industrials and Business Services Consumer Staples Energy Materials Utilities Telecommunication Services Historical weightings reflect current industry/sector classifications. Total Equity Market Index Fund The Total Equity Market Index Fund returned 1.71% for the six months ended June 30, 2015, versus 1.93% for its benchmark, the S&P Total Market Index. Fund performance often slightly trails that of the benchmark due to operating and management expenses. The S&P Total Market Index represents the entire U.S. stock market. It combines the S&P 500 and the S&P Completion Indexes, offering broad exposure to large-, mid-, small-, and micro-cap companies. Stocks in the S&P 500 represent over 75% of the S&P Total Market Index s overall market value. As with the S&P 500, the largest holdings of the S&P Total Market Index have the greatest influence on the fund s performance. In addition, the percentage weightings of the major sectors are somewhat similar between the two benchmarks. The S&P Total Market Index sector performance was mixed. Health care was the top performing sector, gaining nearly 12%. Consumer 5

8 discretionary and telecommunication services posted solid results and outperformed the benchmark. Utilities declined the most, followed by energy and industrials and business services. Extended Equity Market Index Fund The Extended Equity Market Index Fund returned 4.84% for the six months ended June 30, 2015, identical to its benchmark, the S&P Completion Index. Fund performance tends to slightly lag that of the benchmark because of Performance Comparison the fund s operating and Six-Month Period Ended 6/30/15 Extended Equity Market Index Fund S&P Completion Index Total Return 4.84% 4.84 management expenses; however, the fund s sample of stocks was on par with the index in our reporting period. S&P Completion Index Returns by Sector Six-Month Period Ended 6/30/15 Consumer Discretionary 5.00% Consumer Staples 3.99 Energy Financials 2.37 The S&P Completion Index, a subset of the S&P Total Market Index, excludes all S&P 500 stocks. The index covers more than 3,400 companies and provides exposure to mid-, small-, and micro-cap companies. Health Care Industrials and Business Services 0.77 Health care was the bestperforming sector with Information Technology 6.31 a gain of over 21%, as Materials many of the biotechnology Telecommunication Services Utilities companies that performed extraordinary well were small-caps. Other sectors that performed well albeit below the gains of health care, included telecommunication services, information technology, and consumer discretionary. Utilities declined by more than 10%, far worse than other sectors that lost ground, including materials and energy. In health care, Pharmacyclics was a top contributor. The company, which is being acquired by AbbVie, is a rapidly growing biotechnology firm with a drug that is 6

9 S&P Completion Index Sector Allocations Periods Ended 12/31/14 6/30/15 Financials 23.4% 23.6% Consumer Discretionary Information Technology Health Care Industrials and Business Services Materials Energy Consumer Staples Utilities Telecommunication Services Historical weightings reflect current industry/sector classifications. very effective against many forms of cancer; the drug is growing on a strong trajectory. On the downside, holdings of United Continental hurt results given the growing fear among investors that airlines are becoming less disciplined about limiting capacity additions and maintaining strong pricing. (Please refer to the fund s portfolio of investments for a complete list of holdings and the amount each represents in the portfolio.) Outlook The U.S. economy continues to gradually improve as shown by moderate job growth, steadily falling unemployment, improving household income and spending, and expanding business investment. While we don t believe that investors should expect a repeat of last year s strong stock market performance, we believe that corporate earnings growth will expand at a moderate pace. We remain focused on our role of replicating the structure and performance of the S&P indexes to provide our investors with broad exposure to largecap stocks; small-, mid-, and micro-cap stocks; and the entire U.S. stock market. 7

10 Thank you for investing with T. Rowe Price. Respectfully submitted, E. Frederick Bair Cochairman of the Investment Advisory Committee, Equity Index 500 Fund, Extended Equity Market Index Fund, and Total Equity Market Index Fund Ken D. Uematsu Cochairman of the Investment Advisory Committee, Equity Index 500 Fund, Extended Equity Market Index Fund, and Total Equity Market Index Fund July 18, 2015 The committee chairmen have day-to-day responsibility for managing the portfolios and work with committee members in developing and executing the funds investment programs. 8

11 T. Rowe Price Total Equity Market Index Fund Supplement to Prospectus Dated May 1, 2015 To reflect the lowering of the fund s management fee from 0.35% to 0.30% effective August 1, 2015, the fee table and expense example on page 1 are revised as follows: Fees and Expenses of the Fund Shareholder fees (fees paid directly from your investment) Maximum sales charge (load) imposed on purchases NONE Maximum deferred sales charge (load) NONE Redemption fee (as a percentage of amount redeemed on shares held for 90 days or less) 0.50% Maximum account fee Management fees Annual fund operating expenses (expenses that you pay each year as a percentage of the value of your investment) $20 a 0.30% b Distribution and service (12b-1) fees 0.00% Other expenses 0.00% Total annual fund operating expenses 0.30% b a Subject to certain exceptions, accounts with a balance of less than $10,000 are charged an annual $20 fee. b Restated to reflect current fees. Example This example is intended to help you compare the cost of investing in the fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the fund s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 year 3 years 5 years 10 years $31 $97 $169 $381 9

12 On page 25, the first paragraph under The Management Fee is revised as follows: The fund pays the investment adviser an annual all-inclusive management fee of 0.30% based on the fund s average daily net assets. The management fee is calculated and accrued daily and it includes investment management services and ordinary, recurring operating expenses, but does not cover interest, expenses related to borrowing, taxes, and brokerage, or nonrecurring extraordinary expenses. Effective August 1, 2015, the annual all-inclusive management fee was lowered from 0.35% to 0.30%. The date of this supplement is July 29, F /29/15 10

13 Supplement to Prospectus Dated May 1, 2015 To reflect the lowering of the fund s management fee from 0.40% to 0.35% effective August 1, 2015, the fee table and expense example on page 1 are revised as follows: Fees and Expenses of the Fund Shareholder fees (fees paid directly from your investment) Maximum sales charge (load) imposed on purchases NONE Maximum deferred sales charge (load) NONE Redemption fee (as a percentage of amount redeemed on shares held for 90 days or less) 0.50% Maximum account fee Management fees Annual fund operating expenses (expenses that you pay each year as a percentage of the value of your investment) $20 a 0.35% b Distribution and service (12b-1) fees 0.00% Other expenses 0.00% Acquired fund fees and expenses 0.02% Total annual fund operating expenses 0.37% bc a Subject to certain exceptions, accounts with a balance of less than $10,000 are charged an annual $20 fee. b Restated to reflect current fees. c The figure shown in the fee table does not match the Ratio of expenses to average net assets shown in the Financial Highlights table, as that figure does not include acquired fund fees and expenses or reflect the lowering of the fund s management fee. Example This example is intended to help you compare the cost of investing in the fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment has a 5% return each year and that the fund s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 year 3 years 5 years 10 years $38 $118 $206 $464 11

14 On page 26, the first paragraph under The Management Fee is revised as follows: The fund pays the investment adviser an annual all-inclusive management fee of 0.35% based on the fund s average daily net assets. The management fee is calculated and accrued daily and it includes investment management services and ordinary, recurring operating expenses, but does not cover interest, expenses related to borrowing, taxes, and brokerage, or nonrecurring extraordinary expenses. Effective August 1, 2015, the annual all-inclusive management fee was lowered from 0.40% to 0.35%. The date of this supplement is July 29, F /29/15 12

15 T. Rowe Price Equity Market Index Funds Risks of Investing As with all stock mutual funds, the fund s share price can fall because of weakness in the stock market, a particular industry, or specific holdings. Stock markets can decline for many reasons, including adverse political or economic developments, changes in investor psychology, or heavy institutional selling. The prospects for an industry or company may deteriorate because of a variety of factors, including disappointing earnings or changes in the competitive environment. Glossary Gross domestic product: The total market value of all goods and services produced in a country in a given year. Price-to-cash flow ratio: A valuation measure calculated by dividing the price of a stock by its current cash flow per share. This ratio gives investors an idea of the market s expectation of a firm s future financial health by removing the effects of depreciation and other noncash factors. Price-to-earnings (P/E) ratio: A valuation measure calculated by dividing the price of a stock by its reported earnings per share. The ratio is a measure of how much investors are willing to pay for the company s earnings. S&P 500 Index: An unmanaged index that tracks the stocks of 500 primarily large-cap U.S. companies. S&P Completion Index: Tracks the performance of the U.S. stocks not included in the S&P 500, which are primarily small- and mid-capitalization stocks. The index includes approximately 3,300 stocks. S&P Total Market Index: Tracks the performance of a broad spectrum of small-, mid-, and large-capitalization U.S. stocks. Because the largest stocks in the index carry the most weight, large-capitalization stocks make up a substantial majority of the S&P Total Market Index s value. The index includes approximately 3,800 stocks. 13

16 T. Rowe Price Equity Market Index Funds Portfolio Highlights TWENTY-FIVE LARGEST HOLDINGS Percent of Net Assets Equity Index 500 Fund 6/30/15 Apple 3.9% Microsoft 2.0 ExxonMobil 1.9 Google 1.7 Johnson & Johnson 1.5 General Electric 1.5 Wells Fargo 1.4 JPMorgan Chase 1.4 Berkshire Hathaway 1.4 Procter & Gamble 1.2 Pfizer 1.1 Verizon Communications 1.0 AT&T 1.0 Chevron 1.0 Facebook 1.0 Walt Disney 1.0 Bank of America 1.0 Gilead Sciences 0.9 Citigroup 0.9 Amazon.com 0.9 Merck 0.9 Coca-Cola 0.8 Comcast 0.8 IBM 0.8 Intel 0.8 Total 31.8% Note: The information shown does not reflect any exchange-traded funds (ETFs), cash reserves, or collateral for securities lending that may be held in the portfolio. 14

17 T. Rowe Price Equity Market Index Funds Portfolio Highlights TWENTY-FIVE LARGEST HOLDINGS Percent of Net Assets Total Equity Market Index Fund 6/30/15 Apple 3.1% Microsoft 1.6 ExxonMobil 1.5 Google 1.3 Johnson & Johnson 1.2 General Electric 1.1 Wells Fargo 1.1 JPMorgan Chase 1.1 Berkshire Hathaway 1.1 Procter & Gamble 0.9 Pfizer 0.9 Verizon Communications 0.8 AT&T 0.8 Gilead Sciences 0.8 Walt Disney 0.8 Facebook 0.8 Bank of America 0.8 Chevron 0.7 Amazon.com 0.7 Citigroup 0.7 Merck 0.7 Coca-Cola 0.7 Comcast 0.7 IBM 0.6 Home Depot 0.6 Total 25.1% Note: The information shown does not reflect any exchange-traded funds (ETFs), cash reserves, or collateral for securities lending that may be held in the portfolio. 15

18 T. Rowe Price Equity Market Index Funds Portfolio Highlights TWENTY-FIVE LARGEST HOLDINGS Percent of Net Assets Extended Equity Market Index Fund 6/30/15 Liberty Global 1.0% Illumina 0.6 Tesla Motors 0.6 BioMarin Pharmaceutical 0.5 LinkedIn 0.5 United Continental 0.5 Las Vegas Sands 0.5 Twitter 0.4 Incyte 0.4 Cheniere Energy 0.3 Bunge Limited 0.3 SBA Communications 0.3 Concho Resources 0.3 DISH Network 0.3 T-Mobile US 0.3 Palo Alto Networks 0.3 Charter Communications 0.3 Celanese 0.3 Verisk Analytics 0.3 Liberty Media 0.3 Alkermes 0.2 Hilton Worldwide Holdings 0.2 Alnylam Pharmaceuticals 0.2 Federal Realty Investment Trust 0.2 TD Ameritrade Holding 0.2 Total 9.3% Note: The information shown does not reflect any exchange-traded funds (ETFs), cash reserves, or collateral for securities lending that may be held in the portfolio. 16

19 T. Rowe Price Equity Market Index Funds The Evolving S&P 500 Index Changes in the index in 2015 Additions American Airlines Endo International Equinix Hanesbrands HCA Holdings Henry Schein Qorvo Realty Income Skyworks Solutions SL Green Realty Deletions Allergan Avon Products CareFusion Covidien Denbury Resources Lorillard Nabors Industries PetSmart Safeway Windstream Holdings 17

20 T. Rowe Price Equity Market Index Funds Performance and Expenses Growth of $10,000 This chart shows the value of a hypothetical $10,000 investment in the fund over the past 10 fiscal year periods or since inception (for funds lacking 10-year records). The result is compared with benchmarks, which may include a broad-based market index and a peer group average or index. Market indexes do not include expenses, which are deducted from fund returns as well as mutual fund averages and indexes. EQUITY INDEX 500 FUND $30,000 26,000 22,000 18,000 14,000 10,000 As of 6/30/15 Equity Index 500 Fund $20,860 S&P 500 Index $21,377 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 Average Annual Compound Total Return Periods Ended 6/30/15 1 Year 5 Years 10 Years Equity Index 500 Fund 7.17% 17.03% 7.63% Current performance may be higher or lower than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. For the most recent month-end performance, please visit our website (troweprice.com) or contact a T. Rowe Price representative at The performance information shown does not reflect the deduction of a 0.5% redemption fee on shares held for 90 days or less; if it did, the performance would be lower. This table shows how the fund would have performed each year if its actual (or cumulative) returns for the periods shown had been earned at a constant rate. Average annual total return figures include changes in principal value, reinvested dividends, and capital gain distributions. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. When assessing performance, investors should consider both short- and long-term returns. 18

21 T. Rowe Price Equity Market Index Funds Growth of $10,000 This chart shows the value of a hypothetical $10,000 investment in the fund over the past 10 fiscal year periods or since inception (for funds lacking 10-year records). The result is compared with benchmarks, which may include a broad-based market index and a peer group average or index. Market indexes do not include expenses, which are deducted from fund returns as well as mutual fund averages and indexes. TOTAL EQUITY MARKET INDEX FUND $30,000 26,000 22,000 18,000 14,000 10,000 As of 6/30/15 Total Equity Market Index Fund $21,824 Linked Performance Benchmark* $22,002 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 *The Linked Performance Benchmark reflects the performance of the Dow Jones Wilshire 5000 Composite Index to 3/31/07 and the performance of the S&P Total Market Index from 4/1/07 forward. 6/15 Average Annual Compound Total Return Periods Ended 6/30/15 1 Year 5 Years 10 Years Total Equity Market Index Fund 6.85% 17.30% 8.12% Current performance may be higher or lower than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. For the most recent month-end performance, please visit our website (troweprice.com) or contact a T. Rowe Price representative at The performance information shown does not reflect the deduction of a 0.5% redemption fee on shares held for 90 days or less; if it did, the performance would be lower. This table shows how the fund would have performed each year if its actual (or cumulative) returns for the periods shown had been earned at a constant rate. Average annual total return figures include changes in principal value, reinvested dividends, and capital gain distributions. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. When assessing performance, investors should consider both short- and long-term returns. 19

22 T. Rowe Price Equity Market Index Funds Growth of $10,000 This chart shows the value of a hypothetical $10,000 investment in the fund over the past 10 fiscal year periods or since inception (for funds lacking 10-year records). The result is compared with benchmarks, which may include a broad-based market index and a peer group average or index. Market indexes do not include expenses, which are deducted from fund returns as well as mutual fund averages and indexes. EXTENDED EQUITY MARKET INDEX FUND $30,000 26,000 22,000 18,000 14,000 10,000 As of 6/30/15 Extended Equity Market Index Fund $24,875 Linked Performance Benchmark* $24,837 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 *The Linked Performance Benchmark reflects the performance of the Dow Jones Wilshire 4500 Completion Index to 3/31/07 and the performance of the S&P Completion Index from 4/1/07 forward. Average Annual Compound Total Return Periods Ended 6/30/15 1 Year 5 Years 10 Years Extended Equity Market Index Fund 6.26% 18.38% 9.54% Current performance may be higher or lower than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will vary, and you may have a gain or loss when you sell your shares. For the most recent month-end performance, please visit our website (troweprice.com) or contact a T. Rowe Price representative at The performance information shown does not reflect the deduction of a 0.5% redemption fee on shares held for 90 days or less; if it did, the performance would be lower. This table shows how the fund would have performed each year if its actual (or cumulative) returns for the periods shown had been earned at a constant rate. Average annual total return figures include changes in principal value, reinvested dividends, and capital gain distributions. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares. When assessing performance, investors should consider both short- and long-term returns. 20

23 T. Rowe Price Equity Market Index Funds Expense Ratio Equity Index 500 Fund 0.27% Total Equity Market Index Fund 0.35 Extended Equity Market Index Fund 0.42 The expense ratios shown are as of each fund s fiscal year ended 12/31/14. These numbers may vary from the expense ratios shown elsewhere in this report because they are based on a different time period and, if applicable, include acquired fund fees and expenses but do not include fee or expense waivers. Fund Expense Example As a mutual fund shareholder, you may incur two types of costs: (1) transaction costs, such as redemption fees or sales loads, and (2) ongoing costs, including management fees, distribution and service (12b-1) fees, and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the most recent six-month period and held for the entire period. Actual Expenses The first line of the following table (Actual) provides information about actual account values and actual expenses. You may use the information on this line, together with your account balance, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number on the first line under the heading Expenses Paid During Period to estimate the expenses you paid on your account during this period. Hypothetical Example for Comparison Purposes The information on the second line of the table (Hypothetical) is based on hypothetical account values and expenses derived from the fund s actual expense ratio and an assumed 5% per year rate of return before expenses (not the fund s actual return). You may compare the ongoing costs of investing in the fund with other funds by contrasting this 5% hypothetical example and the 5% hypothetical examples that appear in the shareholder reports of the other funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Note: T. Rowe Price charges an account service fee that is not included in the accompanying table. The account service fee is charged on a quarterly basis, usually during the last week of a calendar quarter, and applies to accounts with balances below $10,000 on the day of the assessment. The fee is charged to accounts that fall below $10,000 for any reason, including market fluctuations, redemptions, or exchanges. When an account with less than $10,000 is closed either through redemption or exchange, the fee is charged and deducted from the 21

24 T. Rowe Price Equity Market Index Funds Fund Expense Example (continued) proceeds. The fee applies to IRAs but not to retirement plans directly registered with T. Rowe Price Services or accounts maintained by intermediaries through NSCC Networking. If you are subject to the fee, keep it in mind when you are estimating the ongoing expenses of investing in the fund and when comparing the expenses of this fund with other funds. You should also be aware that the expenses shown in the table highlight only your ongoing costs and do not reflect any transaction costs, such as redemption fees or sales loads. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. To the extent a fund charges transaction costs, however, the total cost of owning that fund is higher. Equity Index 500 Fund Beginning Ending Expenses Paid Account Value Account Value During Period* 1/1/15 6/30/15 1/1/15 to 6/30/15 Actual $1, $1, $1.35 Hypothetical (assumes 5% return before expenses) 1, , * Expenses are equal to the fund s annualized expense ratio for the 6-month period (0.27%), multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (181), and divided by the days in the year (365) to reflect the half-year period. Total Equity Market Index Fund Beginning Ending Expenses Paid Account Value Account Value During Period* 1/1/15 6/30/15 1/1/15 to 6/30/15 Actual $1, $1, $1.75 Hypothetical (assumes 5% return before expenses) 1, , * Expenses are equal to the fund s annualized expense ratio for the 6-month period (0.35%), multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (181), and divided by the days in the year (365) to reflect the half-year period. 22

25 T. Rowe Price Equity Market Index Funds Extended Equity Market Index Fund Beginning Ending Expenses Paid Account Value Account Value During Period* 1/1/15 6/30/15 1/1/15 to 6/30/15 Actual $1, $1, $2.03 Hypothetical (assumes 5% return before expenses) 1, , * Expenses are equal to the fund s annualized expense ratio for the 6-month period (0.40%), multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (181), and divided by the days in the year (365) to reflect the half-year period. 23

26 T. Rowe Price Investment Services and Information This page contains supplementary information that is not part of the shareholder report. Investment Services and Information KNOWLEDGEABLE CUSTOMER SERVICE On the Web at troweprice.com. By Phone at Available Monday through Friday from 8 a.m. until 10 p.m. ET and Saturday from 8:30 a.m. until 5 p.m. ET. In Person at a T. Rowe Price Investor Center. Please visit the website at troweprice.com/investorcenter or call to locate a center near you. ACCOUNT SERVICES Account Access. Through the T. Rowe Price website at troweprice.com and via phone through Tele*Access. Automatic Investing. From your bank account or paycheck. Automatic Withdrawal. Scheduled, periodic redemptions. IRA Rebalancing. Automatically rebalance to ensure that your accounts reflect your desired asset allocations. BROKERAGE SERVICES Trade stocks, mutual funds, ETFs, bonds, options, CDs, precious metals, and more at competitive commissions. INVESTMENT INFORMATION Consolidated Statement. Overview of all of your T. Rowe Price mutual fund and Brokerage accounts. Shareholder Reports. Manager reviews of their strategies and results. T. Rowe Price Report. Quarterly investment newsletter. T. Rowe Price Investor. Quarterly publication of insightful financial articles. Investment Guides. International Investing Guide and Guide to Bond Funds. FINANCIAL INTERMEDIARIES AND ADVISORS By Phone at Contact us Monday through Friday from 8:30 a.m. until 6 p.m. ET. By Mail: T. Rowe Price, Financial Institution Services, P.O. Box 89000, Baltimore, MD CUSTOMERS WHO TRADE THROUGH A FINANCIAL INTERMEDIARY Please contact your intermediary or financial professional for assistance. Options trading involves additional risk and is not suitable for all investors. Brokerage services offered by T. Rowe Price Investment Services, Inc., member FINRA/SIPC. 24

27 T. Rowe Price Web Services This page contains supplementary information that is not part of the shareholder report. troweprice.com LOG IN AND MANAGE YOUR INVESTMENTS ONLINE troweprice.com/access Manage your account by checking balances with up-to-date statements, tracking and analyzing your portfolio, and/or granting View Access to others as you see fit. Perform transactions at your convenience. Buy, sell, or exchange shares quickly and securely. You can also set up automatic investing and add a bank account to move money easily. Update your preferences by confirming your contact information and verifying your beneficiaries so that your assets can be distributed as you wish. ONLINE SERVICING troweprice.com/paperless Enroll to receive your transaction confirmations, investor statements, prospectuses, and shareholder reports online instead of by U.S. mail. 1 You will receive an with a link to our website informing you that your document is available to view online, print, or download. Join our Program to receive market and fund information by . Receive timely market reports, performance of T. Rowe Price mutual funds, investment and market insights from T. Rowe Price managers, and more. INVESTMENT GUIDANCE AND TOOLS troweprice.com/planningtools FuturePath helps you define your path to retirement, connecting where you are today to where you want to be tomorrow. Personal Rate of Return aids in tracking the historical performance of your mutual funds over time. Portfolio Growth Tracker allows you to track the historical growth of your mutual fund investments over time. The analysis consists of three components: Activity Summary, Asset Allocation, and Net Investment versus Market Value. Retirement Income Calculator can help you see if your retirement goals are on track. Social Security Benefits Evaluator can help you decide how and when to claim Social Security benefits. FINANCIAL INTERMEDIARIES AND ADVISORS troweprice.com/financialintermediaries This secure site is designed for professional financial intermediaries and advisors. Financial professionals may access daily prices and historical performance of mutual funds; view market research, manager commentary, and sales ideas; and access literature and forms. For U.S. technical assistance, call or us at [email protected]. For non-u.s. technical assistance, call +1 (410) or contact us via . 1 By signing up for paperless services, you may qualify for the account service fee waiver. Visit us at troweprice.com/feesandminimums to find out more. 25

28 T. Rowe Price Planning Tools and Services This page contains supplementary information that is not part of the shareholder report. T. Rowe Price Retirement Services T. Rowe Price offers unique retirement services that can help you meet a broad variety of planning challenges. Our retirement tools are suitable for individuals, the self-employed, small businesses, cor porations, and nonprofit organizations. For more information, call IRA-5000 or visit our website at troweprice.com/retirement. INVESTMENT ACCOUNTS Rollover IRAs. If you ve changed jobs, experienced a job loss, or retired and are considering moving your assets into an IRA, call toll-free IRA Our rollover specialists can explain your options, answer your questions, and help determine which option is right for you. Roth IRAs. A Roth IRA offers tax-free withdrawals and a flexible distribution schedule. Open your account at troweprice.com/ira or call IRA Traditional IRAs. Traditional IRA contributions may be tax-deductible, with no taxes due until withdrawal. Open your account at troweprice.com/ira or call IRA Small Business Retirement Plans. If you re self-employed or run a small business or professional practice, T. Rowe Price can help you establish a cost-effective retirement plan that s easy to set up and maintain. Call , and our small business specialists can answer your questions, set up a plan, or open an account. INVESTMENT ADVICE T. Rowe Price Advisory Planning Services offers a wide range of services that provide expert advice based on your individual needs and financial goals, including consultations with an advisory counselor. Please contact one of our specialists at to determine the most appropriate service to fit your needs.* * Services offered by T. Rowe Price Advisory Services, Inc., a federally registered investment adviser. There may be costs associated with these services. 26

29 T. Rowe Price College Planning This page contains supplementary information that is not part of the shareholder report. College Planning One of the most important things to do when it comes to saving for college is to just get started. Every dollar saved today is one less dollar you may have to borrow later. Our college planning information and college savings products can help you meet your educational investment goals. For more information, visit our website at troweprice.com/college, where you will find the College Savings Planner, an interactive tool that can help you determine how much you should save, estimate future tuition costs, and review college savings options. In a few easy steps, the calculator provides you with information and a plan of action. To speak with a college planning specialist, please call College Savings Plans (529 Plans). To help families prepare for college education costs, T. Rowe Price manages three 529 plans that are open to all U.S. residents. Any earnings on contributions are tax-deferred, and distributions are exempt from federal income taxes when used for qualified educational expenses. Also, these plans offer high contribution limits and affordable systematic investing. T. Rowe Price manages the T. Rowe Price College Savings Plan, a national 529 plan offered by the Education Trust of Alaska; the Maryland College Investment Plan; and the University of Alaska College Savings Plan. The Maryland College Investment Plan offers certain potential benefits for Maryland residents, and the University of Alaska College Savings Plan offers potential benefits for Alaska residents. Earnings on a distribution not used for qualified expenses may be subject to income taxes and a 10% federal penalty. Please note that the availability of tax or other benefits may be conditioned on meeting certain requirements, such as residency, purpose for or timing of distributions, or other factors, as applicable. Please visit our website or call to obtain the applicable plan disclosure document, which includes investment objectives, risks, fees, expenses, and other information that you should read and consider carefully before investing. Please consider, before investing, whether your or your beneficiary s home state offers any state tax or other benefits that are only available for investments in that state s plan. T. Rowe Price Investment Services, Inc., Distributor/Underwriter. 27

30 T. Rowe Price Advisory Planning Services This page contains supplementary information that is not part of the shareholder report. Advisory Planning Services If you are looking for professional investment advisory services with a personal touch, T. Rowe Price can help you make informed investing decisions and take control of your financial future. You will work one-on-one with an experienced advisory counselor who, after discussing your situation with you and analyzing the financial infor mation you provide, will recommend a strategy that meets your individual goals and preferences.* * Services offered by T. Rowe Price Advisory Services, Inc., a federally registered investment adviser. There may be costs associated with these services. 28

31 T. Rowe Price Brokerage Services This page contains supplementary information that is not part of the shareholder report. Brokerage Services T. Rowe Price Brokerage is a division of T. Rowe Price Investment Services, Inc., member FINRA/SIPC. A convenient place to trade stocks, mutual funds, ETFs, bonds, options, CDs, precious metals, and more. 1 T. Rowe Price Brokerage makes it easy to increase your investment choices beyond T. Rowe Price funds. Whether you are an active or casual trader, you can rely on our Brokerage services to provide the flexibility to enable you to trade the way you prefer: go online, use our automated Tele-Trader phone system, or speak with our registered phone representatives. Low, competitive commissions. Our commitment to providing value at low cost extends to both commissions and account fees. We offer commissions as low as $9.95 for online stock and ETF trades. 2 Enjoy the high standard of service we re known for. Since 1937, T. Rowe Price has built a reputation for putting clients first. Our commitment to our clients continues to be our priority, and you will see that principle reflected in T. Rowe Price s approach to serving its clients. Services you expect from T. Rowe Price Brokerage: Independent research and news available 24 hours a day from Interactive Data 3 Consolidated online account access that includes your T. Rowe Price mutual fund and Brokerage holdings and lets you place trades, create personal watch lists, and get real-time quotes over the Internet Secure line of credit 4 Free dividend reinvestment Free cost basis for Brokerage nonretirement and retirement accounts 1 Options trading involves additional risk and is not suitable for all investors. 2 $9.95 flat rate for online stock and ETF trades for customers who make more than 30 trades in the previous 12-month period or who qualify for Preferred, Personal, or Enhanced Personal Services. If you don t qualify for the $9.95 rate, you can still save with our com petitive commission of $19.95 for online stock trades. 3 The information provided through this service is prepared by independent investment research companies that are not affiliated with T. Rowe Price. While the information provided is deemed reliable, neither T. Rowe Price Brokerage nor the information providers guarantee the accuracy or completeness of the information or make any warranties with regard to the results obtained from its use. 4 Applies to customers who have been approved for a margin account. Margin trading involves greater risks and is not suitable for all investors. 29

32 T. Rowe Price Mutual Funds This page contains supplementary information that is not part of the shareholder report. STOCK FUNDS BOND FUNDS Money MArket FUNDS (cont.) Domestic Blue Chip Growth Capital Appreciation Capital Opportunity Diversified Mid-Cap Growth Diversified Small-Cap Growth Dividend Growth Equity Income Equity Index 500 Extended Equity Market Index Financial Services Growth & Income Growth Stock Health Sciences Media & Telecommunications Mid-Cap Growth Mid-Cap Value New America Growth New Era New Horizons Real Estate Science & Technology Small-Cap Stock Small-Cap Value Tax-Efficient Equity Total Equity Market Index U.S. Large-Cap Core Value ASSET ALLOCATION FUNDS Balanced Global Allocation Personal Strategy Balanced Personal Strategy Growth Personal Strategy Income Real Assets Spectrum Growth Spectrum Income Spectrum International Target Date Fundsˆ Domestic Taxable Corporate Income Credit Opportunities Floating Rate GNMA High Yield Inflation Protected Bond New Income Short-Term Bond Ultra Short-Term Bond U.S. Bond Enhanced Index U.S. Treasury Intermediate U.S. Treasury Long-Term Domestic Tax-Free California Tax-Free Bond Georgia Tax-Free Bond Intermediate Tax-Free High Yield Maryland Short-Term Tax-Free Bond Maryland Tax-Free Bond New Jersey Tax-Free Bond New York Tax-Free Bond Summit Municipal Income Summit Municipal Intermediate Tax-Free High Yield Tax-Free Income Tax-Free Short-Intermediate Virginia Tax-Free Bond MONEY MARKET FUNDS Taxable Prime Reserve Summit Cash Reserves U.S. Treasury Money Tax-Free California Tax-Free Money Maryland Tax-Free Money New York Tax-Free Money Summit Municipal Money Market Tax-Exempt Money INTERNATIONAL/GLOBAL FUNDS Stock Africa & Middle East Asia Opportunities Emerging Europe Emerging Markets Stock European Stock Global Growth Stock Global Industrials Global Real Estate Global Stock Global Technology International Concentrated Equity International Discovery International Equity Index International Growth & Income International Stock Japan Latin America New Asia Overseas Stock Bond Emerging Markets Bond Emerging Markets Corporate Bond Emerging Markets Local Currency Bond Global High Income Bond Global Multi-Sector Bond Global Unconstrained Bond International Bond Call to request a prospectus or summary prospectus; each includes investment objectives, risks, fees, expenses, and other information that you should read and consider carefully before investing. Investments in the money market funds are not insured or guaranteed by the FDIC or any other government agency. Although the funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the funds. Closed to new investors except for a direct rollover from a retirement plan into a T. Rowe Price IRA invested in this fund. ˆ The Target Date Funds are inclusive of the Retirement Funds, the Target Retirement Funds, and the Retirement Balanced Fund. T. Rowe Price Investment Services, Inc. 100 East Pratt Street Baltimore, MD US C /15

33 SEMIANNual REPORT Financial Statements June 30, 2015 PEXMX T. Rowe Price Extended Equity Market Index Fund

34 Unaudited Financial Highlights For a share outstanding throughout each period 6 Months Ended 6/30/15 Year Ended 12/31/14 12/31/13 12/31/12 12/31/11 12/31/10 NET ASSET VALUE Beginning of period $ $ $ $ $ $ Investment activities Net investment income (1) Net realized and unrealized gain / loss (0.71) 3.39 Total from investment activities (0.59) 3.52 Distributions Net investment income (0.27) (0.18) (0.23) (0.11) (0.12) Net realized gain (0.95) (0.57) (0.03) Total distributions (1.22) (0.75) (0.26) (0.11) (0.12) NET ASSET VALUE End of period $ $ $ $ $ $ Ratios/Supplemental Data Total return (2) 4.84% 7.59% 38.37% 18.97% (3.61)% 27.45% Ratio of total expenses to average net assets 0.40% (3) 0.40% 0.40% 0.40% 0.40% 0.40% Ratio of net investment income to average net assets 0.66% (3) 1.06% 0.94% 1.27% 0.71% 0.90% Portfolio turnover rate 8.8% 17.1% 21.7% 17.6% 18.9% 14.2% Net assets, end of period (in thousands) $ 788,311 $ 733,982 $ 706,238 $ 426,187 $ 352,789 $ 362,566 (1) Per share amounts calculated using average shares outstanding method. (2) Total return reflects the rate that an investor would have earned on an investment in the fund during each period, assuming reinvestment of all distributions and payment of no redemption or account fees. Total return is not annualized for periods less than one year. (3) Annualized The accompanying notes are an integral part of these financial statements. 2

35 Unaudited June 30, 2015 Portfolio of Investments Shares/Par $ Value COMMON STOCKS 95.3% CONSUMER DISCRETIONARY 15.4% Auto Components 1.0% American Axle & Manufacturing Holdings (1) 30 1 Autoliv (2) 14,500 1,693 Cooper Tire 9, Dana Holding 22, Dorman Products (1)(2) 4, Drew Industries 5, Fuel Systems Solutions (1) 12, Gentex 48, Gentherm (1) 9, Lear 12,400 1,392 Motorcar Parts of America (1) 7, Remy International 1, Shiloh Industries (1)(2) 6, Spartan Motors (2) 27, Standard Motor Products 7, Stoneridge (1) 10, Sypris Solutions (2) 15, Tenneco (1) 9, Visteon (1) 6, ,963 Automobiles 0.7% Tesla Motors (1)(2) 17,100 4,587 Thor Industries 7, Winnebago (2) 7, ,211 Distributors 0.3% Core-Mark Holding 4, LKQ (1) 48,400 1,464 Pool 7, Voxx International (1) 8,

36 Shares/Par $ Value Weyco Group (2) 3, ,426 Diversified Consumer Services 0.7% American Public Education (1) 5, Apollo Education (1) 15, Ascent Capital Group (1) 2, Bright Horizons Family Solutions (1) 6, Carriage Services 7, Devry Education 8, Graham Holdings Grand Canyon Education (1) 7, Houghton Mifflin Harcourt (1) 26, ITT Educational Services (1)(2) 6, Learning Tree International (1)(2) 9, LifeLock (1)(2) 15, Regis (1) 5, Service Corporation International 35,231 1,037 ServiceMaster Global Holdings (1) 12, Sotheby's 15, Strayer Education (1) 3, ,728 Hotels, Restaurants & Leisure 3.2% Aramark 32,800 1,016 Biglari Holdings (1) BJ's Restaurants (1) 5, Bloomin Brands 22, Bob Evans Farms (2) 4, Boyd Gaming (1) 24, Brinker 10, Buffalo Wild Wings (1) 2, Caesars Entertainment (1)(2) 25, Choice Hotels International 9,

37 Shares/Par $ Value Churchill Downs 3, Cracker Barrel Old Country Store (2) 4, Del Frisco's Restaurant (1) 14, Denny's (1) 19, DineEquity 3, Domino's Pizza 9,764 1,107 Dunkin Brands (2) 17, Fiesta Restaurant (1) 4, Frisch's Restaurants Hilton Worldwide Holdings (1) 69,400 1,912 Hyatt Hotels, Class A (1) 11, International Speedway, Class A 5, Interval Leisure 6, Jack in the Box 7, Krispy Kreme (1) 12, La Quinta Holdings (1) 3, Las Vegas Sands 68,200 3,585 Marriott Vacations Worldwide 6, MGM Resorts International (1) 78,397 1,431 Norwegian Cruise Line Holdings (1) 23,300 1,306 Panera Bread, Class A (1) 4, Papa John's International 6, Penn National Gaming (1)(2) 12, Pinnacle Entertainment (1) 17, Popeyes Louisiana Kitchen (1) 5, Red Robin Gourmet Burgers (1) 4, Ruby Tuesday (1) 19, Scientific Games, Class A (1)(2) 17, SeaWorld Entertainment (2) 2, Six Flags Entertainment 15, Sonic (2) 12, Speedway Motorsports 3, Texas Roadhouse 8,

38 Shares/Par $ Value The Cheesecake Factory 7, Vail Resorts 6, Wendy's (2) 45, ,504 Household Durables 1.2% Blyth (1) 10, CSS Industries 3, Dixie Group (1)(2) 18, Ethan Allen Interiors (2) 3, Helen of Troy Limited (1) 5, Hovnanian Enterprises (1)(2) 50, irobot (1) 13, Jarden (1) 29,028 1,502 KB Home (2) 19, La-Z-Boy 8, M/I Homes (1) 6, MDC Holdings (2) 5, Meritage (1) 11, NVR (1) Ryland Group 9, Standard Pacific (1) 29, Taylor Morrison Home, Class A (1) 12, Tempur Sealy International (1) 9, Toll Brothers (1) 25, Tri Pointe (1) 37, Tupperware Brands (2) 7, Universal Electronics (1) 4, ,082 Internet & Catalog Retail 0.5% Flowers.com (1) 19, Blue Nile (1) 8, FTD (1) 12,

39 Shares/Par $ Value Groupon (1)(2) 95, HSN 5, Lands End (1)(2) 3, Liberty TripAdvisor Holdings, Class A (1) 13, Nutri/System 8, Orbitz Worldwide (1)(2) 55, Overstock.com (1) 8, Shutterfly (1) 6, ,452 Leisure Products 0.4% Arctic Cat 5, Brunswick 17, Marine Products (2) 8, Polaris Industries 10,040 1,487 Sturm Ruger & Company 4, Vista Outdoor (1) 9, ,258 Media 3.3% A.H. Belo, Class A 14, AMC Networks, Class A (1) 9, Beasley Broadcast Group, Class A 6, Charter Communications, Class A (1) 12,400 2,123 Cinedigm (1)(2) 56, Cinemark Holdings 14, Clear Channel Outdoor, Class A 14, Cumulus Media, Class A (1) 56, DISH Network (1) 33,920 2,297 DreamWorks Animation, Class A (1)(2) 12, EW Scripps, Class A 9, Harte-Hanks 12, John Wiley & Sons 8, Journal Media 21,

40 Shares/Par $ Value Liberty Broadband, A Shares (1) 4, Liberty Broadband, C Shares (1) 12, Liberty Global, Class A (1) 49,534 2,678 Liberty Global, Class C (1) 98,234 4,974 Liberty Media (1) 14, Liberty Media, C Shares (1) 40,800 1,465 Lions Gate Entertainment (2) 18, Live Nation Entertainment (1) 23, Loral Space & Communications (1) 3, Madison Square Garden (1) 9, Martha Stewart Living, Class A (1) 22, McClatchy (1) 28, Meredith 7, Morningstar 5, New York Times, Class A 23, Nexstar Broadcasting 5, Regal Entertainment Group, Class A (2) 14, Rentrak (1)(2) 2, Salem Media (2) 19, Scholastic 9, Sinclair Broadcasting, Class A (2) 14, Sirius XM Holdings (1) 392,300 1,463 Starz (1) 9, Time 16, Tribune Media 9, World Wrestling Entertainment (2) 8, ,277 Multiline Retail 0.3% Big Lots (2) 9, Bon-Ton Stores (2) 11, Burlington Stores (1) 13, Dillards, Class A 3, Fred's 5,

41 Shares/Par $ Value JC Penney (1)(2) 54, Sears Holdings (1)(2) 3, Seritage Growth Properties, Rights, 8/14/15 (1)(2) 3, Tuesday Morning (1)(2) 9, ,339 Specialty Retail 2.9% Aaron's 8, Abercrombie & Fitch (2) 14, Advance Auto Parts 11,585 1,845 Aeropostale (1)(2) 33, American Eagle Outfitters (2) 32, ANN (1) 6, Asbury Automotive Group (1) 6, Ascena Retail Group (1) 18, Barnes & Noble (1) 7, bebe stores (2) 42, Big 5 Sporting Goods 8, Buckle (2) 3, Cabela's, Class A (1)(2) 6, Caleres 7, Cato, Class A 5, Chico's 22, Children s Place 3, Christopher & Banks (1) 20, CST Brands 11, Dick's Sporting Goods 20,000 1,035 DSW, Class A 11, Foot Locker 24,617 1,650 Francesca's Holdings (1) 7, Genesco (1) 3, GNC Holdings 13, Group One Automotive 6, Guess 11,

42 Shares/Par $ Value Lithia Motors, Class A 3, Lumber Liquidators (1)(2) 7, Men's Wearhouse 5, Michaels (1) 7, Monro Muffler Brake (2) 9, Murphy USA (1) 5, Office Depot (1) 99, Outerwall (2) 3, Penske Auto 5, Pep Boys (1) 9, Pier 1 Imports (2) 25, Rent-A-Center 7, Restoration Hardware Holdings (1) 8, Sally Beauty Supply (1) 23, Select Comfort (1) 9, Signet Jewelers 12,600 1,616 Sonic Automotive 3, Stage Stores 5, Stein Mart 11, The Finish Line, Class A 8, Ulta Salon Cosmetics & Fragrance (1) 12,000 1,853 Vitamin Shoppe (1) 4, West Marine (1) 6, Williams-Sonoma 14,700 1,209 Zumiez (1) 5, ,062 Textiles, Apparel & Luxury Goods 0.9% Carters 8, Charles & Colvard (1)(2) 2,868 4 Cherokee 8, Columbia Sportswear (2) 2, Crocs (1) 13, Deckers Outdoor (1) 4,

43 Shares/Par $ Value G-III Apparel (1) 5, Hanesbrands 10, Iconix Brand Group (1) 6, Kate Spade (1) 28, lululemon athletica (1)(2) 11, Movado Group (2) 3, Oxford Industries 1, Quiksilver (1)(2) 94, Skechers U.S.A., Class A (1) 6, Steven Madden (1) 8, Tumi Holdings (1) 18, Wolverine World Wide 31, ,782 Total Consumer Discretionary 121,084 CONSUMER STAPLES 3.1% Beverages 0.1% Boston Beer, Class A (1) 1, Coca-Cola Bottling 2, National Beverage (1) 5, Willamette Valley Vineyards (1)(2) 10, Food & Staples Retailing 0.6% Andersons 4, Casey's General Stores 6, Fresh Market (1)(2) 7, PriceSmart (2) 4, Rite Aid (1) 214,450 1,791 Spartannash 8, Sprouts Farmers Market (1)(2) 24, SUPERVALU (1) 59,

44 Shares/Par $ Value United Natural Foods (1) 7, ,125 Food Products 1.5% Alico (2) 3, B&G Foods, Class A 9, Bunge Limited 28,602 2,511 Darling Ingredients (1) 25, Dean Foods 22, Farmer Bros. (1) 7, Flowers Foods 46, Fresh Del Monte Produce 6, Hain Celestial Group (1) 22,200 1,462 Ingredion 10, J & J Snack Foods 2, Lancaster Colony 3, Lifeway Foods (1)(2) 9, Pinnacle Foods 22,800 1,038 Post Holdings (1)(2) 8, Rocky Mountain Chocolate Factory 14, Sanderson Farms (2) 4, Seaboard (1) Snyders-Lance 10, TreeHouse Foods (1) 7, Whitewave Foods, Class A (1) 20,600 1,007 12,225 Household Products 0.5% Central Garden & Pet, Class A (1)(2) 9, Church & Dwight 21,650 1,756 Energizer 10,450 1,375 Spectrum Brands Holdings 5, ,761 12

45 Shares/Par $ Value Personal Products 0.3% Avon (2) 69, Elizabeth Arden (1)(2) 8, Herbalife (1)(2) 14, Inter Parfums 3, Nu Skin Enterprises, Class A (2) 10, ,977 Tobacco 0.1% Universal (2) 4, Vector Group (2) 18, Total Consumer Staples 24,641 ENERGY 4.2% Energy Equipment & Services 1.5% Atwood Oceanics (2) 7, Basic Energy Services (1)(2) 13, Bristow Group 7, C&J Energy Services (1) 15, CARBO Ceramics (2) 4, Core Laboratories (2) 7, Dawson Geophysical (1) 10, Dril-Quip (1) 5, Exterran Holdings 15, Forum Energy Technologies (1) 6, Geospace Technologies (1)(2) 2, Gulf Island Fabrication (2) 12, Gulfmark Offshore (2) 8, Helix Energy Solutions Group (1) 21, Hercules Offshore (1)(2) 107, Hornbeck Offshore Services (1)(2) 5, ION Geophysical (1)(2) 78,

46 Shares/Par $ Value Matrix Service (1) 7, McDermott International (1)(2) 67, Nabors Industries 46, Newpark Resources (1) 24, Oceaneering International 15, Oil States International (1) 11, Parker Drilling (1) 53, Patterson-UTI Energy 22, Pioneer Energy Services (1) 38, Rowan 28, RPC (2) 19, SEACOR Holdings (1)(2) 6, Superior Energy 27, Tesco 22, TETRA Technologies (1) 22, Tidewater (2) 13, Unit (1) 10, US Silica Holdings (2) 9, Weatherford International (1) 133,800 1,642 11,966 Oil, Gas & Consumable Fuels 2.7% Adams Resources & Energy (2) 2, Alon USA Energy 18, Bill Barrett (1)(2) 17, Bonanza Creek Energy (1) 10, California Resources 45, Callon Petroleum (1) 25, Carrizo Oil & Gas (1) 8, Cheniere Energy (1) 36,600 2,535 Cobalt International Energy (1) 23, Comstock Resources (2) 39, Concho Resources (1) 20,300 2,311 Contango Oil & Gas (1) 1,

47 Shares/Par $ Value Continental Resources (1)(2) 18, CVR Energy (2) 4, Denbury Resources (2) 70, Diamondback Energy (1) 10, Energen 11, Energy XXI (2) 32, Exco Resources (2) 25, Fieldpoint Petroleum (1)(2) 17, Fieldpoint Petroleum, Warrants, 3/23/18 (1) 12,600 4 Gulfport Energy (1) 16, Halcon Resources (1)(2) 35, Harvest Natural Resource (1)(2) 21, HollyFrontier 31,290 1,336 Kosmos Energy (1) 26, Magnum Hunter Resources (1)(2) 62, Matador Resources (1)(2) 22, Midstates Petroleum (1)(2) 49, Northern Oil & Gas (1)(2) 25, Oasis Petroleum (1)(2) 24, Parsley Energy (1) 13, PDC Energy (1) 8, Rex Energy (1)(2) 24, Rex Stores Resources (1) 2, Rice Energy (1) 15, Rosetta Resources (1) 14, RSP Permian (1) 14, SandRidge Energy (1)(2) 34, SemGroup 8, SM Energy 13, Stone Energy (1) 10, Targa Resources 6, Triangle Petroleum (1)(2) 32, Ultra Petroleum (1)(2) 29,

48 Shares/Par $ Value W&T Offshore (2) 13, Western Refining 14, Westmoreland Coal (1)(2) 6, Whiting Petroleum (1) 35,311 1,186 World Fuel Services 13, WPX Energy (1) 36, ,346 Total Energy 33,312 FINANCIALS 22.4% Banks 5.3% 1st Source 2, Ameriana Bancorp 4, Arrow Financial 6, Associated Banc-Corp 27, Banc First 2, Bancorp (1) 15, Bancorp South 32, Bank of Hawaii (2) 5, Bank of the Ozarks 11, BankUnited 22, Banner 3, BB&T 6, BBCN Bancorp 20, BOK Financial (2) 1, Boston Private Financial 12, Camden National 3, Capital Bank Financial, Class A (1) 11, Cathay Bancorp 10, CB Financial Services 1, Central Pacific Financial 7, Century Bancorp, Class A 5, Chemical Financial 8,

49 Shares/Par $ Value CIT Group 29,500 1,371 Citizens & Northern 2, Citizens Financial 28, City Holding Company (2) 5, City National 6, Cobiz Financial 15, Columbia Banking System 15, Commerce Bancshares (2) 10, Community Bank System (2) 6, Community Trust Bancorp 4, ConnectOnc Bancorp 12, Cullen/Frost Bankers 8, CVB Financial (2) 13, East West Bancorp 22,300 1,000 Farmers Capital Bank (1) 11, First Bancorp North Carolina 8, First Busey (2) 23, First Citizens BancShares 1, First Commonwealth Financial 23, First Community 5, First Financial 4, First Financial Bancorp 13, First Financial Bankshares (2) 8, First Horizon National (2) 37, First Merchants 12, First Midwest Bancorp 17, First Niagara Financial 93, First Republic Bank 22,500 1,418 First United (1) 4, FirstMerit 21, Flushing Financial 9, FNB 18, Fulton Financial 19,

50 Shares/Par $ Value German American Bancorp 4, Glacier Bancorp 15, Hancock Holding 13, Hilltop Holdings (1) 12, Home Bancshares 18, IBERIABANK 4, Independent Bank 5, International Bancshares 7, Investors Bancorp 59, Macatawa Bank (2) 22, MB Financial 7, Merchants Bancshares National Bank Holdings, Class A 16, National Penn Bancshares 15, NBT Bancorp 9, NewBridge Bancorp 15, Northrim Bank (2) 7, OFG Bancorp 9, Old Line Bancshares (2) 4, Old National Bancorp 16, PacWest Bancorp 15, Park National (2) 4, Peapack-Gladstone Financial 7, Peoples Bancorp 3, Popular (1) 16, Preferred Bank 7, Premier Financial Bancorp 7, PrivateBancorp 10, Prosperity Bancshares 13, Renasant (2) 8, Republic Bancorp, Class A 2, S&T Bancorp 8, Sandy Spring Bancorp (2) 4,

51 Shares/Par $ Value Signature Bank (1) 7,900 1,156 South State 3, Southside Bancshares (2) 7, Southwest Bancorp of Oklahoma 11, State Bank Financial 7, Sterling Bancorp 20, Stock Yards Bancorp 5, Sun Bancorp (1) 4, Susquehanna Bancshares 27, SVB Financial Group (1) 8,550 1,231 Synovus Financial 19, Talmer Bancorp, Class A 37, TCF Financial 28, Texas Capital Bancshares (1) 15, Tompkins Financial 4, TowneBank (2) 2, TriCo Bancshares 4, Trustmark 10, UMB Financial 4, Umpqua Bank 36, Union Bankshares 7, United Bankshares (2) 9, United Community Banks 9, Univest 4, Valley National Bancorp 22, Webster Financial 15, WesBanco 6, West Bancorporation (2) 12, WestAmerica Bank (2) 3, Western Alliance Bancorp (1) 27, Wintrust Financial 7, ,560 19

52 Shares/Par $ Value Capital Markets 1.8% Artisan Partners Asset Management 2, Ashford (1) 1, BGC Partners 34, Calamos, Class A 15, CIFC (2) 5, Cohen & Steers (2) 2, Cowen (1) 29, Eaton Vance 16, Evercore Partners 5, Federated Investors, Class B 6, Financial Engines (2) 17, GAMCO Investors GFI Group (1) 34, Greenhill 2, Interactive Brokers, Class A 10, INTL FCStone (1) 8, Investment Technology Group 13, Janus Capital Group 41, Lazard, Class A, Partnership 24,300 1,367 LPL Financial Holdings (2) 22,000 1,023 Northstar Asset Management 31, Piper Jaffray (1) 3, Raymond James Financial 16, Safeguard Scientifics (1) 5, SEI Investments 18, Stifel Financial (1) 5, TD Ameritrade Holding 50,768 1,869 Teton Advisors (2) 40 2 Virtus Investment Partners 1, Waddell & Reed Financial, Class A 19, Walter Investment Management (1)(2) 11,

53 Shares/Par $ Value WisdomTree Investments (2) 32, ,389 Consumer Finance 0.7% Ally Financial (1) 69,600 1,561 Asta Funding (1) 8, Atlanticus Holdings (1)(2) 4, Cash America International 5, Credit Acceptance (1)(2) 1, Encore Capital (1)(2) 6, Enova International (1) 9, EZCORP, Class A (1) 14, First Cash (1) 4, Nelnet, Class A 3, PRA (1)(2) 8, Santander Consumer USA Holdings (1) 9, SLM Corporation (1) 66, Springleaf Holdings (1) 7, Synchrony Financial (1) 13, World Acceptance (1)(2) 2, ,516 Diversified Financial Services 0.6% CBOE Holdings 18,400 1,053 MarketAxess Holdings 6, MSCI, Class A 22,036 1,356 Newstar Financial (1) 4, PHH (1) 9, PICO Holdings (1) 6, Voya Financial 29,800 1,385 4,825 Insurance 3.9% Alleghany (1) 2,518 1,180 Allied World Assurance Holdings 16,

54 Shares/Par $ Value American Equity Investment Life 14, American Financial Group 10, AmTrust Financial Services (2) 5, Arch Capital Group (1) 19,100 1,279 Argo Group International Holdings 4, Arthur J. Gallagher 29,760 1,408 Aspen Insurance Holdings 10, Assured Guaranty 21, Axis Capital Holdings 15, Baldwin & Lyons, Class B 3, Citizens (1)(2) 13, CNA Financial 9, CNO Financial Group 26, Crawford, Class B 17, E-Health (1) 6, EMC Insurance Group 2, Endurance Specialty Holdings (2) 6, Enstar (1) 1, Erie Indemnity, Class A 4, Everest Reinsurance Holdings 5,800 1,056 FBL Financial, Class A 2, First American Financial 28,830 1,073 FNF 41,831 1,547 Hanover Insurance Group 6, HCC Insurance Holdings 16,130 1,240 Horace Mann Educators 9, Infinity Property & Casualty 3, Kemper 7, Maiden Holdings 15, Markel (1) 2,124 1,701 MBIA (1) 20, Meadowbrook Insurance Group 45, Mercury General 4,

55 Shares/Par $ Value Montpelier Re Holdings 7, National Interstate 7, National Western Life 1, Navigators Group (1) 3, Old Republic International 38, OneBeacon Insurance Group, Class A 8, PartnerRe 8,800 1,131 Primerica 4, ProAssurance 7, Reinsurance Group of America 11,520 1,093 RenaissanceRe Holdings 6, Safety Insurance Group 3, Selective Insurance 7, StanCorp Financial Group 6, State Auto Financial 11, Stewart Information Services 5, Symetra Financial 18, United Fire Group 3, Validus Holdings 11, W. R. Berkley 14, White Mountains Insurance Group (2) 1, Willis Group Holdings 36,500 1,712 30,523 Real Estate Investment Trusts 8.4% Acadia Realty Trust, REIT 9, AG Mortgage Investment Trust, REIT 24, Agree Realty, REIT 9, Alexanders, REIT Alexandria Real Estate, REIT 10, Altisource Residential, Class B 12, American Assets Trust, REIT 7, American Campus Communities, REIT 13, American Capital Agency, REIT 64,100 1,178 23

56 Shares/Par $ Value American Capital Mortgage Investment, REIT 24, American Homes 4 Rent, REIT 30, American Realty Capital Properties, REIT 129,140 1,050 Annaly Capital Management, REIT 137,200 1,261 Ares Commercial Real Estate, REIT 32, ARMOUR Residential REIT, REIT 71, Ashford Hospitality Prime, REIT 13, Ashford Hospitality Trust, REIT 23, BioMed Realty Trust, REIT 31, Brandywine Realty Trust, REIT 18, Brixmor Property, REIT 24, Camden Property Trust, REIT 12, CBL & Associates Properties, REIT 12, Cedar Realty Trust, REIT 23, Chambers Street Properties, REIT 33, Chesapeake Lodging Trust, REIT 12, Chimera Investment, REIT 29, CIM Commercial Trust, REIT Colony Capital, REIT (2) 22, Columbia Property Trust, REIT 16, Communications Sales & Leasing, REIT (1)(2) 13, CorEnergy Infrastructure Trust, REIT (2) 18, Corporate Office Properties Trust, REIT 8, Corrections Corporation of America, REIT 16, CubeSmart, REIT 24, CYS Investments, REIT (2) 28, DCT Industrial Trust, REIT 15, DDR, REIT 44, DiamondRock Hospitality, REIT 32, Digital Realty Trust, REIT 22,000 1,467 Douglas Emmett, REIT 19, Duke Realty, REIT 50, DuPont Fabros Technology, REIT 12,

57 Shares/Par $ Value EastGroup Properties, REIT 9, Education Realty Trust, REIT 10, Empire State Realty Trust, REIT (2) 17, EPR Properties, REIT (2) 7, Equity Commonwealth, REIT (1) 18, Equity LifeStyle Properties, REIT 14, Equity One, REIT 17, Extra Space Storage, REIT 18,700 1,220 Federal Realty Investment Trust, REIT 14,690 1,882 First Industrial Realty, REIT 12, First Potomac Realty Trust, REIT 19, Franklin Street Properties, REIT 34, Gaming & Leisure Properties, REIT 18, Getty Realty, REIT 11, Government Properties Income Trust, REIT (2) 21, Hatteras Financial, REIT 16, Healthcare Realty Trust, REIT 18, Healthcare Trust of America, REIT 14, Hersha Hospitality Trust, REIT 15, Highwoods Properties, REIT 10, Home Properties of New York, REIT 9, Hospitality Properties Trust, REIT 22, Hudson Pacific Properties, REIT 2, Independence Realty Trust, REIT 10, Inland Real Estate, REIT 29, Invesco Mortgage Capital, REIT 35, Investors Real Estate Trust, REIT 33, Kilroy Realty, REIT 14, Kite Realty Group Trust, REIT 17, Lamar Advertising, REIT 16, LaSalle Hotel Properties, REIT 19, Lexington Realty Trust, REIT (2) 39, Liberty Property Trust, H Shares, REIT 21,

58 Shares/Par $ Value LTC Properties, REIT 7, Mack-Cali Realty, REIT 9, Medical Properties Trust, REIT 30, MFA Financial, REIT 56, Mid-America Apartment Communities, REIT 12, Monmouth REIT, Class A 28, National Health Investors, REIT 4, National Retail Properties, REIT 17, New Residential Investment, REIT 52, NorthStar Realty Finance, REIT 53, Omega Healthcare Investors, REIT 20, Outfront Media, REIT 24, Paramount, REIT 11, Parkway Properties, REIT 14, Pebblebrook Hotel Trust, REIT 13, Pennsylvania REIT 15, PennyMac Mortgage Investment Trust, REIT 18, Physicians Realty Trust, REIT 28, Piedmont Office Realty Trust, Class A, REIT 24, Post Properties, REIT 8, Power REIT (1)(2) 9, PS Business Parks, REIT 5, QTS Realty Trust, Class A, REIT 11, Ramco-Gershenson Properties, REIT 17, Rayonier, REIT 36, Redwood Trust, REIT 27, Regency Centers, REIT 19,786 1,167 Resource Capital, REIT (2) 65, Retail Opportunity Investments, REIT 23, Retail Properties of America, Class A, REIT 31, RLJ Lodging Trust, REIT 18, Ryman Hospitality Properties, REIT 9, Sabra Health Care REIT 11,

59 Shares/Par $ Value Saul Centers, REIT (2) 7, Senior Housing Properties, REIT 27, Silver Bay Realty Trust, REIT 13, Sotherly Hotels, REIT 14, Sovran Self Storage, REIT 6, Spirit Realty Capital, REIT 83, Starwood Property Trust, REIT 48,500 1,046 Starwood Waypoint Residential Trust, REIT (2) 11, Strategic Hotels & Resorts, REIT (1) 46, Sun Communities, REIT 13, Sunstone Hotel Investors, REIT 38, Tanger Factory Outlet Centers, REIT 17, Taubman Centers, REIT 9, Terreno Realty, REIT 18, The GEO Group, REIT 13, Two Harbors Investment, REIT 64, UDR, REIT 38,581 1,236 UMH Properties, REIT (2) 30, Universal Health Realty Income Trust, REIT 6, Urban Edge Properties, REIT 12, Urstadt Biddle Properties, Class A, REIT 15, Washington REIT (2) 15, Weingarten Realty Investors, REIT 16, Western Asset Mortgage Capital, REIT (2) 29, WP Carey, REIT 17,000 1,002 WP GLIMCHER, REIT 21, ZAIS Financial, REIT (2) 12, ,074 Real Estate Management & Development 0.7% Alexander & Baldwin 12, Altisource Portfolio Solutions (1)(2) 4, AV Homes (1)(2) 5, Forest City Enterprises, Class A (1) 26,

60 Shares/Par $ Value Forestar Group (1) 8, FRP Holdings (1) 2, Gladstone Land, REIT 7, Howard Hughes (1) 5, Jones Lang LaSalle 7,510 1,284 Kennedy-Wilson Holdings 17, Realogy Holdings (1) 20, St. Joe (1)(2) 15, Tejon Ranch (1) 5, Tejon Ranch, Warrants, 8/31/16 (1) ,371 Thrifts & Mortgage Finance 1.0% Astoria Financial 22, Bank Mutual 19, Bear State Financial (2) 12, BofI Holding (1)(2) 2, Brookline Bancorp 24, Capitol Federal Financial 37, Clifton Bancorp 14, Dime Community Bancshares 10, EverBank Financial 14, Federal Agricultural Mortgage 5, HomeStreet (1) 5, Kearny Financial (1) 16, Lake Sunapee Bank 2, MGIC Investment (1)(2) 95,300 1,084 Nationstar Mortgage Holdings (1)(2) 16, New York Community Bancorp (2) 54,837 1,008 Northwest Bancshares 20, OceanFirst Financial (2) 7, Ocwen Financial (1)(2) 28, PennyMac Financial Services (1) 4, Provident Financial Services 10,

61 Shares/Par $ Value Radian (2) 32, TFS Financial 14, Trustco Bank 25, United Financial Bancorp 2, Walker & Dunlop (1) 11, Washington Federal 17, Westfield Financial 12, WSFS Financial 9, ,185 Total Financials 176,443 HEALTH CARE 13.4% Biotechnology 5.2% ACADIA Pharmaceuticals (1)(2) 23, Acceleron Pharma (1)(2) 7, Acorda Therapeutics (1)(2) 8, Advaxis (1)(2) 25, Aegerion Pharmaceuticals (1)(2) 10, Alexion Pharmaceuticals (1) 3, Alkermes (1) 30,600 1,969 Alnylam Pharmaceuticals (1) 15,900 1,906 Anacor Pharmaceuticals (1) 13,200 1,022 Arena Pharmaceuticals (1)(2) 69, ARIAD Pharmaceuticals (1)(2) 17, Array BioPharma (1)(2) 46, BioMarin Pharmaceutical (1) 28,290 3,870 Biotime, Warrants, 10/1/18 (1)(2) Bluebird Bio (1) 5, Celldex Therapeutics (1)(2) 23, Celsion (1)(2) 74, Cepheid (1) 11, Chimerix (1) 16, Clovis Oncology (1) 9,

62 Shares/Par $ Value CytRx (1)(2) 56, Dyax (1) 30, Dynavax Technologies (1)(2) 13, Exact Sciences (1)(2) 29, Exelixis (1)(2) 51, Forest Laboratories (1)(3) 203 Forest Laboratories (1)(3) 2,488 Genomic Health (1)(2) 5, Geron (1)(2) 46, Halozyme Therapeutics (1)(2) 27, Harvard Apparatus Regenerative Tech (1) 28, ImmunoGen (1)(2) 23, Incyte (1) 29,960 3,122 Infinity Pharmaceuticals (1) 5, Intercept Pharmaceuticals (1)(2) 1, Ironwood Pharmaceuticals (1)(2) 25, Isis Pharmaceuticals (1)(2) 25,380 1,461 Keryx Biopharmaceuticals (1)(2) 29, Lexicon Pharmaceuticals (1)(2) 15, Ligand Pharmaceuticals, Class B (1)(2) 4, MannKind (1)(2) 60, Medivation (1) 12,800 1,462 Merrimack Pharmaceuticals (1)(2) 43, Momenta Pharmaceuticals (1) 21, Myriad Genetics (1)(2) 9, Navidea Biopharmaceuticals (1)(2) 70, Neurocrine Biosciences (1) 25,200 1,204 Novavax (1) 70, OncoGenex Pharmaceutical (1)(2) 36, OPKO Health (1)(2) 65,900 1,060 Orexigen Therapeutics (1)(2) 34, Progenics Pharmaceuticals (1)(2) 33, Puma Biotechnology (1)(2) 3,

63 Shares/Par $ Value Raptor Pharmaceutical (1)(2) 23, Receptos (1) 6,900 1,311 Sangamo BioSciences (1) 22, Sarepta Therapeutics (1)(2) 21, Seattle Genetics (1)(2) 19, Synergy Pharmaceuticals (1)(2) 47, Ultragenyx Pharmaceutical (1) 7, United Therapeutics (1) 10,100 1,757 ZIOPHARM Oncology (1)(2) 54, ,622 Health Care Equipment & Supplies 2.7% Abaxis 4, Abiomed (1) 9, Accuray (1)(2) 20, Alere (1) 12, Align Technology (1) 15, Angiodynamics (1) 8, Biolase (1)(2) 17, Cantel Medical 5, Cerus (1)(2) 53, ConMed 6, Cooper Companies 8,561 1,524 CryoLife 10, Cyberonics (1) 4, Cynosure, Class A (1) 6, Dexcom (1) 12,900 1,032 Endologix (1)(2) 15, EnteroMedics (1)(2) 37, Exactech (1) 1, GenMark Diagnostics (1)(2) 12, Globus Medical, Class A (1) 10, Greatbatch (1) 5, Haemonetics (1) 8,

64 Shares/Par $ Value Halyard Health (1)(2) 7, HeartWare International (1)(2) 1, Hill-Rom Holdings 9, Hologic (1) 45,554 1,734 ICU Medical (1) 3, IDEXX Laboratories (1) 15,800 1,013 Insulet (1) 10, Integra LifeSciences (1) 4, Invacare 6, LeMaitre Vascular 8, Masimo (1) 9, Meridian Bioscience 8, Merit Medical Systems (1) 9, Neogen (1) 6, NuVasive (1) 7, OraSure Technologies (1) 19, Quidel (1)(2) 21, ResMed (2) 20,700 1,167 RTI Surgical (1) 35, Sirona Dental Systems (1) 12,600 1,265 Spectranetics (1)(2) 9, Steris 8, SurModics (1) 3, Symmetry Surgical (1)(2) 10, Teleflex (2) 6, Thoratec (1) 19, Tornier (1) 8, Unilife (1)(2) 44, West Pharmaceutical Services 9, Wright Medical Group (1) 10, ,589 Health Care Providers & Services 2.7% Acadia Healthcare (1)(2) 9,

65 Shares/Par $ Value Air Methods (1) 6, AMN Healthcare Services (1) 15, AmSurg, Class A (1) 7, Anthem Bioscrip (1)(2) 32, Bioscrip, Rights, 8/3/15 (1) 93 BioTelemetry (1) 2, Brookdale Senior Living (1) 33,200 1,152 Capital Senior Living (1) 13, Centene (1) 19,900 1,600 Chemed (2) 3, Community Health Systems (1) 19,568 1,232 Community Health Systems, Rights, 1/2/24 (1) 41,000 1 CorVel (1) 6, Digirad 39, Diplomat Pharmacy (1)(2) 11, Envision Healthcare Holdings (1) 28,600 1,129 Five Star Quality Care (1) 23, Hanger (1) 4, HCA Holdings (1) 7, Health Net (1) 12, HealthSouth 15, IPC Healthcare (1) 3, Kindred Healthcare 15, Laboratory Corporation of America (1) 1, Landauer 3, LHC Group (1) 3, LifePoint Health (1) 7, Magellan Health (1) 6, MEDNAX (1) 16,000 1,186 Molina Healthcare (1) 3, National HealthCare 3, Omnicare 15,316 1,443 33

66 Shares/Par $ Value Owens & Minor 10, PDI (1)(2) 30, PharMerica (1) 9, Premier (1) 7, RadNet (1) 42, Select Medical Holdings 7, Team Health Holdings (1) 16,600 1,084 Universal American (1) 9, VCA (1) 14, WellCare Health Plans (1) 11, ,816 Health Care Technology 0.4% Allscripts Healthcare Solutions (1) 9, athenahealth (1)(2) 6, HealthStream (1) 4, HMS Holdings (1)(2) 15, IMS Health Holdings (1) 7, MedAssets (1) 10, Medidata Solutions (1) 11, Omnicell (1) 7, Quality Systems 8, Veeva Systems, Class A (1)(2) 13, ,167 Life Sciences Tools & Services 1.5% Affymetrix (1)(2) 17, Bio-Rad Laboratories, Class A (1) 2, Bio-Techne 6, Bruker (1) 30, Cambrex (1) 11, Charles River Laboratories International (1) 8, Furiex Pharmaceuticals (1)(3) 2, Harvard Bioscience (1) 28,

67 Shares/Par $ Value Illumina (1) 22,800 4,979 Luminex (1) 10, Mettler-Toledo International (1) 4,500 1,536 Pacific Biosciences of California (1)(2) 23, Parexel International (1) 9, Quintiles Transnational Holdings (1) 12, Sequenom (1)(2) 37, ,616 Pharmaceuticals 0.9% Akorn (1)(2) 22, Catalent (1) 15, DURECT (1)(2) 98, Endo International (1) 2, Horizon Pharma (1)(2) 18, Impax Laboratories (1) 11, Jazz Pharmaceuticals (1) 10,500 1,849 Medicines Company (1)(2) 17, Nektar Therapeutics (1)(2) 25, NuPathe, Rights, 1/2/24 (1)(3) 81, Pacira Pharmaceuticals (1)(2) 7, Prestige Brands (1) 8, Theravance (2) 18, Theravance Biopharma (1)(2) 9, VIVUS (1)(2) 50, XenoPort (1) 25, ,398 Total Health Care 105,208 INDUSTRIALS & BUSINESS SERVICES 12.8% Aerospace & Defense 1.6% AAR 7, Aerojet Rocketdyne Holdings (1)(2) 12,

68 Shares/Par $ Value Aerovironment (1) 5, B/E Aerospace 15, Cubic 2, Curtiss-Wright 8, DigitalGlobe (1) 15, Ducommun (1) 3, Esterline Technologies (1) 5, Harris 3, HEICO (2) 8, Hexcel 15, Huntington Ingalls Industries 7, KLX (1) 7, Moog, Class A (1) 6, National Presto (2) 2, Orbital ATK 9, Spirit AeroSystems Holdings, Class A (1) 17, TASER International (1)(2) 17, Teledyne Technologies (1) 8, Transdigm Group (1) 7,800 1,752 Triumph Group 8, Vectrus (1) 5, ,231 Air Freight & Logistics 0.2% Atlas Air Worldwide (1) 3, Forward Air 4, Hub Group, Class A (1) 4, Park Ohio Holdings 3, UTi Worldwide (1) 30, XPO Logistics (1)(2) 17, ,884 Airlines 1.0% Alaska Air Group 25,000 1,611 36

69 Shares/Par $ Value Allegiant Travel 4, JetBlue Airways (1) 45, SkyWest 2, Spirit Airlines (1) 11, United Continental (1) 68,826 3,648 7,781 Building Products 0.8% A.O. Smith 12, AAON 11, Apogee Enterprises 7, Armstrong Worldwide Industries (1) 4, Fortune Brands Home & Security 23,000 1,054 Gibraltar Industries (1) 6, Griffon 10, Lennox International 6, Nortek (1) 1, Owens Corning 17, Quanex Building Products 11, Simpson Manufacturing 6, Trex (1) 8, Universal Forest Products 3, USG (1)(2) 12, ,169 Commercial Services & Supplies 1.7% ABM Industries 9, Acco Brands (1) 5, Brady, Class A 7, Brinks Company 6, Casella Waste Systems, Class A (1)(2) 18, CECO Environmental 6, Clean Harbors (1) 13, Copart (1) 17,

70 Shares/Par $ Value Covanta Holding 23, Deluxe 6, Ecology & Environment, Class A (2) Ennis Business Forms 6, Essendant 6, Fuel Tech (1)(2) 13, G & K Services, Class A 4, Healthcare Services 16, Herman Miller 9, HNI 7, IHS (1) 12,700 1,634 InnerWorkings (1) 13, Interface 8, KAR Auction Services 22, Kimball International, Class B 8, Knoll 18, Matthews International, Class A 7, McGrath RentCorp 9, Mobile Mini 13, MSA Safety 4, Multi-Color 6, Performant Financial (1)(2) 35, R.R. Donnelley 37, Rollins 13, Steelcase, Class A 12, Team (1) 1, Tetra Tech 10, TRC (1) 14, UniFirst 2, US Ecology 4, Viad 5, Waste Connections 19, ,720 38

71 Shares/Par $ Value Construction & Engineering 0.6% AECOM (1) 23, Aegion (1) 10, Chicago Bridge & Iron (2) 17, Comfort Systems USA 7, Dycom Industries (1) 9, EMCOR Group 9, Furmanite (1) 16, Granite Construction 8, KBR 23, Layne Christensen (1)(2) 19, Mastec (1) 11, MYR Group (1) 5, Northwest Pipe (1) 3, Sterling Construction (1)(2) 15, Tutor Perini (1) 7, ,779 Electrical Equipment 1.1% Acuity Brands 6,850 1,233 AZZ 10, BWX Technologies 21, Encore Wire 9, EnerSys 5, Franklin Electric 7, FuelCell Energy (1)(2) 106, Generac Holdings (1)(2) 10, GrafTech International (1) 53, Hubbell, Class B 8, LSI Industries 10, Polypore International (1) 8, Powell Industries Regal Beloit 6, Sensata Technologies Holding (1) 28,400 1,498 39

72 Shares/Par $ Value Solarcity (1)(2) 5, Thermon Group Holdings (1) 14, Vicor (1)(2) 7, ,525 Industrial Conglomerates 0.1% Carlisle Companies 10,620 1,063 1,063 Machinery 3.1% Accuride (1) 24, Actuant, Class A 7, AGCO (2) 11, Albany International 5, Allison Transmission Holdings 26, Astec Industries 5, Barnes Group 6, Blount International (1) 5, Briggs & Stratton 6, Chart Industries (1) 10, CIRCOR International 3, Clarcor 8, Colfax (1)(2) 20, Commercial Vehicle Group (1) 12, Crane 6, Donaldson 18, Dynamic Materials 5, EnPro Industries 6, ESCO Technologies 10, Federal Signal 12, Graco 9, Graham (2) 4, Greenbrier Companies (2) 6, Harsco 13,

73 Shares/Par $ Value Hillenbrand 13, Hurco Companies 5, Hyster-Yale Materials Handling 2, IDEX 14,055 1,104 ITT 12, John Bean Technologies 11, Kennametal 10, Lincoln Electric Holdings 12, Lindsay (2) 3, Manitowoc 30, Middleby (1) 8, Mueller Industries 9, Mueller Water Products 51, NN 8, Nordson 9, Oshkosh 13, RBC Bearings (1) 6, Rexnord (1) 16, SPX 3, Sun Hydraulics 4, Tennant 3, Terex 25, Timken 11, Titan International (2) 2, Toro 9, TriMas (1) 9, Trinity Industries 26, Valmont Industries (2) 4, Wabash National (1) 19, WABCO Holdings (1) 8,500 1,052 Wabtec 15,060 1,419 Watts Water Technologies, Class A 3,

74 Shares/Par $ Value Woodward 9, ,277 Marine 0.1% Baltic Trading (2) 83, International Shipholding (2) 1,400 9 Kirby (1) 7, Matson 5, Professional Services 1.0% Advisory Board (1) 7, CBIZ (1) 13, CDI 4, CEB 6, CRA International (1) 5, Franklin Covey (1) 5, FTI Consulting (1) 5, Heidrick & Struggles International 2, Insperity 6, Kelly Services, Class A 3, Kforce 7, Korn/Ferry 7, ManpowerGroup 11,542 1,032 Mastech Holdings (1) 10, Navigant Consulting (1) 13, On Assignment (1) 7, RPX (1) 11, Towers Watson 10,850 1,365 TrueBlue (1) 7, Verisk Analytics, Class A (1) 28,000 2,037 WageWorks (1) 5, ,231 42

75 Shares/Par $ Value Road & Rail 0.8% AMERCO ArcBest 4, Avis Budget Group (1) 18, Con-Way 7, Genesee & Wyoming, Class A (1) 8, Heartland Express (2) 5, Hertz Global Holdings (1) 74,700 1,354 Knight Transportation 8, Landstar System 7, Old Dominion Freight Line (1) 9, Patriot Transportation Holding (1)(2) 1, Quality Distribution (1) 15, Saia (1) 5, Swift Transportation (1) 15, USA Truck (1) 7, Werner Enterprises 5, YRC Worldwide (1) 9, ,272 Trading Companies & Distributors 0.7% Air Lease 13, Applied Industrial Technologies 6, Beacon Roofing Supply (1) 7, GATX 5, H&E Equipment Services 5, HD Supply Holdings (1) 17, Kaman 4, Lawson Products (1) 5, MRC Global (1) 15, MSC Industrial Direct 13, NOW (1)(2) 7, Rush Enterprises, Class A (1) 5, Tal International (2) 3,

76 Shares/Par $ Value Titan Machinery (1)(2) 5, Watsco 4, WESCO International (1)(2) 6, Willis Lease Finance (1) 6, ,082 Total Industrials & Business Services 100,972 INFORMATION TECHNOLOGY 15.4% Communications Equipment 1.3% ADTRAN 15, Arris (1) 22, Black Box 4, Brocade Communications Systems 71, CalAmp (1)(2) 11, Ciena (1) 34, CommScope Holding (1) 16, Comtech Telecommunications 6, Digi International (1) 9, Echostar (1) 6, Finisar (1)(2) 18, Harmonic (1) 29, Infinera (1) 42, InterDigital 6, Ixia (1) 10, JDS Uniphase (1) 38, KVH Industries (1) 7, Netgear (1) 9, Palo Alto Networks (1) 12,400 2,166 PC-Tel 15, Plantronics 7, Polycom (1) 28, Ruckus Wireless (1) 20, Sonus Networks (1)(2) 15,

77 Shares/Par $ Value Ubiquiti Networks (2) 6, ViaSat (1) 8, ,753 Electronic Equipment, Instruments & Components 2.2% Agilysys (1)(2) 7, Anixter International (1) 4, Arrow Electronics (1) 14, Avnet 20, AVX 4, Badger Meter Belden 6, Benchmark Electronics (1) 7, CDW 18, Cognex 14, Coherent (1) 2, CTS 5, Daktronics 7, Dolby Laboratories, Class A 8, DTS (1) 3, Electro Rent 11, Electro Scientific Industries (2) 36, Fabrinet (1) 7, FARO Technologies (1) 4, FEI 10, Gerber Scientific, EC (1)(3) 5,300 I.D. Systems (1)(2) 11, II-VI (1) 3, Ingram Micro, Class A (1) 29, Insight Enterprises (1) 6, InvenSense (1)(2) 19, IPG Photonics (1) 5, Itron (1) 5, Jabil Circuit 24,

78 Shares/Par $ Value Keysight Technologies (1) 33,000 1,029 Kimball Electronics (1) 6, Littelfuse 2, Lo-Jack (1) 16, Maxwell Technologies (1)(2) 19, Methode Electronics 7, National Instruments 17, Newport (1) 7, OSI Systems (1) 2, Park Electrochemical 4, PC Connection 5, Plexus (1) 5, RadiSys (1) 29, RealD (1) 19, Research Frontiers (1)(2) 31, Rofin-Sinar Technology (1) 6, Rogers (1) 3, Sanmina (1) 14, ScanSource (1) 4, SigmaTron International (1)(2) 1,000 9 Synnex 4, Tech Data (1) 7, Trimble Navigation (1) 52,124 1,223 TTM Technologies (1) 7, Universal Display (1)(2) 9, Vishay Intertechnology (2) 17, Vishay Precision (1) 11, Zebra Technologies (1) 8, ,225 Internet Software & Services 2.5% Actua (1) 12, Angie's List (1) 38, Bazaarvoice (1)(2) 45,

79 Shares/Par $ Value Blucora (1) 8, Constant Contact (1) 7, Cornerstone OnDemand (1) 14, CoStar Group (1) 5,602 1,127 Dealertrack Technologies (1) 8, Demandware (1)(2) 5, EarthLink Holdings 49, Envestnet (1) 6, Five9 (1) 38, GrubHub (1) 2, HomeAway (1) 14, IAC/InterActiveCorp 12, Internap (1) 17, j2 Global 9, LinkedIn (1) 18,500 3,823 LogMeIn (1) 6, Marketo (1)(2) 16, Monster Worldwide (1)(2) 38, Pandora Media (1) 36, Qumu (1) 15, Rackspace Hosting (1) 28,400 1,056 Reis 8, Shutterstock (1)(2) 2, Spark Networks (1) 1,000 3 SPS Commerce (1) 8, support.com (1) 58, Textura (1)(2) 5, Travelzoo (1) 9, Twitter (1) 89,000 3,224 United Online (1)(2) 14, WebMD Health (1)(2) 7, XO Group (1) 2, Yelp (1) 5,

80 Shares/Par $ Value Zillow (1)(2) 8, ,453 IT Services 2.2% Acxiom (1) 18, Blackhawk Network Holdings (1) 8, Booz Allen Hamilton 10, Broadridge Financial Solutions 19, CACI International, Class A (1) 3, Cardtronics (1) 6, Ciber (1) 21, Convergys 16, CoreLogic (1) 24, CSG Systems International (2) 8, Datalink (1) 9, DST Systems 4, Edgewater Technology (1) 9, Euronet Worldwide (1) 7, EVERTEC 3, FleetCor Technologies (1) 11,300 1,764 Forrester Research 5, Gartner (1) 14,750 1,265 Genpact (1) 25, Global Cash Access (1) 22, Global Payments 14,812 1,532 Heartland Payment Systems 7, IGATE (1) 7, Jack Henry & Associates 13, Leidos Holdings 10, Maximus 9, Perficient (1) 10, PRGX Global (1) 18, SAIC 7, Sykes Enterprises (1) 7,

81 Shares/Par $ Value Syntel (1) 4, TeleTech Holdings 3, Unisys (1) 9, Vantiv, Class A (1) 23, VeriFone Systems (1) 19, Virtusa (1) 3, WEX (1) 9,200 1,049 17,641 Semiconductor & Semiconductor Equipment 2.4% Advanced Energy Industries (1) 11, Amkor Technology (1) 14, Atmel 62, Cabot Microelectronics (1) 5, Cavium (1) 9, Cirrus Logic (1) 15, Cohu 14, Cree (1)(2) 20, Cypress Semiconductor (1) 45, Diodes (1) 7, DSP Group (1) 15, Entegris (1) 25, Exar (1) 19, Fairchild Semiconductor, Class A (1) 15, Freescale Semiconductor (1) 12, Integrated Device Technology (1) 35, Integrated Silicon Solution 18, Intersil Holding, Class A 30, IXYS 13, Kopin (1) 61, Kulicke & Soffa (1) 22, Lattice Semiconductor (1) 32, Marvell Technology Group 54, Mattson Technology (1) 37,

82 Shares/Par $ Value Maxim Integrated Products 44,000 1,521 MaxLinear, Class A (1) 12, Microsemi (1) 21, MKS Instruments 7, MoSys (1)(2) 31, Nanometrics (1) 10, Omnivision Technologies (1) 13, ON Semiconductor (1) 76, PDF Solutions (1) 9, Pericom Semiconductor 21, Photronics (1) 17, PMC-Sierra (1) 49, Power Integrations 2, Rambus (1) 26, Rubicon Technology (1)(2) 43, Rudolph Technologies (1) 11, Semtech (1) 12, Sigma Designs (1) 28, Silicon Laboratories (1) 6, SunEdison (1) 48,000 1,436 Synaptics (1) 6, Teradyne 31, Tessera Technologies 15, Ultratech (1) 5, Veeco (1) 6, ,951 Software 4.4% ACI Worldwide (1) 19, Activision Blizzard 72,566 1,757 Advent Software 8, Ansys (1) 15,531 1,417 Aspen Technology (1) 15, Aware (2) 29,

83 Shares/Par $ Value Blackbaud 9, Bottomline Technologies (1) 11, BroadSoft (1) 8, Cadence Design Systems (1)(2) 47, CDK Global 28,400 1,533 Commvault Systems (1) 7, Comverse (1) 7, Covisint (1)(2) 11, EnerNOC (1)(2) 9, Epiq Systems 10, FactSet Research Systems 6,500 1,056 Fair Isaac 4, Fortinet (1) 25,600 1,058 Guidewire Software (1) 12, Imperva (1) 5, Infoblox (1) 5, Informatica (1) 17, Interactive Intelligence (1) 7, Manhattan Associates (1) 14, Mentor Graphics 15, MicroStrategy (1) 1, Monotype Imaging Holdings 9, NetScout Systems (1)(2) 5, NetSol Technologies (1) 21, NetSuite (1)(2) 8, Nuance Communications (1) 42, Pegasystems 7, Progress Software (1) 9, Proofpoint (1)(2) 12, Pros Holdings (1) 10, PTC (1) 19, Qlik Technologies (1) 14, Qualys (1)(2) 2,

84 Shares/Par $ Value RealPage (1) 8, Rovi (1)(2) 16, SeaChange International (1) 14, ServiceNow (1) 24,000 1,783 SolarWinds (1) 11, Solera Holdings 11, Splunk (1) 20,900 1,455 SS&C Technologies Holdings 11, Synchronoss Tech (1) 7, Synopsys (1) 25,186 1,276 Tableau Software (1) 8, Take-Two Interactive Software (1) 15, Tangoe (1) 24, TeleCommunication Systems (1) 42, TiVo (1) 20, Tyler Technologies (1) 5, Ultimate Software Group (1) 4, Vasco Data Security International (1)(2) 11, Verint Systems (1) 12, VMware, Class A (1) 10, Workday (1) 17,000 1,299 Zynga (1) 87, ,762 Technology Hardware, Storage & Peripherals 0.4% 3D Systems (1)(2) 13, Concurrent Computer 7, Cray (1)(2) 8, Diebold 10, Electronics For Imaging (1) 10, Hutchinson Technology (1)(2) 3,200 5 Immersion (1) 10, Intevac (1)(2) 17, Lexmark International 8,

85 Shares/Par $ Value NCR (1) 28, Silicon Graphics International (1)(2) 14, ,943 Total Information Technology 121,728 MATERIALS 4.9% Chemicals 2.4% A. Schulman 6, Albemarle 21,600 1,194 American Vanguard (2) 8, Ashland 13,000 1,585 Axalta Coating Systems (1) 4, Axiall 11, Balchem 5, Cabot 8, Calgon Carbon 9, Celanese, Series A 28,521 2,050 Chase 1, Chemtura (1) 12, Cytec Industries 12, Ferro (1) 24, Flotek Industries (1)(2) 23, H.B. Fuller 7, Huntsman 30, Koppers 13, Minerals Technologies 5, NewMarket 1, Olin (2) 12, OM Group 7, OMNOVA Solutions (1) 14, Platform Specialty Products (1) 28, PolyOne 14, Rayonier Advanced Materials (2) 6,

86 Shares/Par $ Value Rentech (1) 93, RPM 29,000 1,420 Scotts Miracle Gro 7, Senomyx (1)(2) 41, Sensient Technologies 7, Stepan 5, Tredegar (2) 4, Tronox 12, Valspar 12,900 1,055 W. R. Grace (1) 11,700 1,173 Westlake Chemical 6, ,035 Construction Materials 0.2% Eagle Materials 11, Headwaters (1) 22, ,295 Containers & Packaging 0.9% AptarGroup 10, Bemis 16, Berry Plastics (1) 20, Crown Holdings (1) 19,150 1,013 Graphic Packaging Holding 42, Greif 4, Myers Industries 5, Packaging Corporation of America 15, Rock-Tenn, Class A 22,580 1,359 Silgan Holdings 9, Sonoco Products 15, ,437 Metals & Mining 1.0% AM Castle (1)(2) 15, Carpenter Technology 10,

87 Shares/Par $ Value Century Aluminum (1)(2) 11, Coeur Mining (1)(2) 18, Commercial Metals 31, Compass Minerals 5, Globe Specialty Metals 12, Gold Resource (2) 51, Haynes International 3, Horsehead Holding (1)(2) 11, Kaiser Aluminum 3, Materion 4, Noranda Aluminum Holding (2) 40, Reliance Steel & Aluminum 13, Royal Gold 14, RTI International Metals (1) 7, Steel Dynamics 45, Stillwater Mining (1)(2) 37, SunCoke Energy 9, Synalloy 7, TimkenSteel 5, U.S. Steel (2) 32, Universal Stainless & Alloy Products (1)(2) 2, Worthington Industries 8, ,555 Paper & Forest Products 0.4% Boise Cascade (1) 6, Clearwater Paper (1) 4, Deltic Timber 1, Domtar 15, Glatfelter 7, Kapstone Paper & Packaging 13, Louisiana Pacific (1)(2) 47, Resolute Forest Products (1) 5, Schweitzer-Mauduit International 5,

88 Shares/Par $ Value Wausau Paper (2) 9, ,927 Total Materials 38,249 TELECOMMUNICATION SERVICES 0.9% Diversified Telecommunication Services 0.2% Alteva (1)(2) 11, Cogent Communications Holdings 9, Consolidated Communications (2) 18, General Communication, Class A (1) 9, IDT, Class B 10, Premiere Global Services (1) 4, ,187 Wireless Telecommunication Services 0.7% SBA Communications (1) 20,900 2,403 Shenandoah Telecomm 8, Sprint (1)(2) 26, T-Mobile US (1) 57,000 2,210 Telephone & Data Systems 18, U.S. Cellular (1) 1, ,644 Total Telecommunication Services 6,831 UTILITIES 2.8% Electric Utilities 0.9% ALLETE 5, Cleco 10, El Paso Electric 8, Genie Energy (2) 22, Great Plains Energy 22, Hawaiian Electric Industries 17,

89 Shares/Par $ Value IdaCorp 8, ITC Holdings 25, MGE Energy 10, OGE Energy 30, Otter Tail 7, PNM Resources 20, Portland General Electric 14, United Illuminating 11, Unitil 4, Westar Energy 18, ,440 Gas Utilities 0.8% Atmos Energy 13, Chesapeake Utilities 5, Laclede Gas 9, National Fuel Gas Company (2) 14, New Jersey Resources 18, Northwest Natural Gas 7, ONE Gas 12, Piedmont Natural Gas (2) 10, Questar 24, RGC Resources (2) 8, South Jersey Industries 11, Southwest Gas 8, UGI 24, Washington Gas Light 9, ,810 Independent Power & Renewable Electricity Producers 0.3% Calpine (1) 56,900 1,024 Dynegy (1) 17, NRG Yield, Class A (2) 12, NRG Yield, Class C (2) 12,

90 Shares/Par $ Value Ormat Technologies (2) 6, ,317 Multi-Utilities 0.4% Alliant Energy 18,248 1,053 Avista 8, Black Hills 8, MDU Resources 21, NorthWestern 6, Vectren 13, ,926 Water Utilities 0.4% American States Water Company 10, American Water Works 29,200 1,420 Aqua America 27, California Water Service Group 7, Connecticut Water Service 7, ,877 Total Utilities 22,370 Total Common Stocks (Cost $476,710) 750,838 CONVERTIBLE PREFERRED STOCKS 0.0% HEALTH CARE 0.0% Health Care Providers & Services 0.0% National Healthcare, Series A (2) 3, Total Convertible Preferred Stocks (Cost $44) 52 58

91 SHORT-TERM INVESTMENTS 4.5% Money Market Funds 4.3% Shares/Par $ Value T. Rowe Price Reserve Investment Fund, 0.07% (4)(5) 34,173,481 34,173 34,173 U.S. Treasury Obligations 0.2% U.S. Treasury Bills, 0.06%, 7/9/15 (6) 200, U.S. Treasury Bills, 0.063%, 11/12/15 (6) 1,100,000 1,100 U.S. Treasury Bills, 0.069%, 8/27/15 (6) 350, ,650 Total Short-Term Investments (Cost $35,823) 35,823 SECURITIES LENDING COLLATERAL 9.6% Investments in a Pooled Account through Securities Lending Program with State Street Bank and Trust Company 9.6% Short-Term Funds 9.6% T. Rowe Price Short-Term Reserve Fund, 0.06% (4)(5) 7,575,289 75,753 Total Investments through Securities Lending Program with State Street Bank and Trust Company 75,753 Total Securities Lending Collateral (Cost $75,753) 75,753 Total Investments in Securities 109.4% of Net Assets (Cost $588,330) $ 862,466 Shares/Par are denominated in U.S. dollars unless otherwise noted. (1) Non-income producing (2) All or a portion of this security is on loan at June 30, total value of such securities at period-end amounts to $74,627. See Note 4. (3) Level 3 in fair value hierarchy. See Note 2. (4) Seven-day yield (5) Affiliated Companies (6) At June 30,2015, all or a portion of this security is pledged as collateral and/or margin deposit to cover future funding obligations. 59

92 EC REIT Escrow CUSIP; represents a beneficial interest in a residual pool of bankruptcy assets; the amount and timing of future distributions, if any, is uncertain. A domestic Real Estate Investment Trust whose distributions pass-through with original tax character to the shareholder 60

93 Futures Contracts ($000s) Contract Unrealized Expiration Value Gain (Loss) Long, 235 Russell 2000 Mini Index contracts 9/15 $ 29,384 $ (235) Long, 54 S&P Mid 400 E-Mini Index contracts 9/15 8,090 (172) Net payments (receipts) of variation margin to date 529 Variation margin receivable (payable) on open futures contracts $

94 Affiliated Companies ($000s) The fund may invest in certain securities that are considered affiliated companies. As defined by the 1940 Act, an affiliated company is one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the fund s relative ownership, the following securities were considered affiliated companies for all or some portion of the six months ended June 30, Purchase and sales cost and investment income reflect all activity for the period then ended. Affiliate Purchase Cost Sales Cost Investment Income Value 6/30/15 Value 12/31/14 T. Rowe Price Reserve Investment Fund, 0.07% $ 9 $ 34,173 $ 26,414 T. Rowe Price Short-Term Reserve Fund, 0.06% ^ 75,753 73,993 Totals $ 9 $ 109,926 $ 100,407 Purchase and sale information not shown for cash management funds. ^ Excludes earnings on securities lending collateral, which are subject to rebates and fees as described in Note 4. Amounts reflected on the accompanying financial statements include the following amounts related to affiliated companies: Investment in securities, at cost $ 109,926 Dividend income 9 Interest income Investment income $ 9 Realized gain (loss) on securities $ Capital gain distributions from mutual funds $ The accompanying notes are an integral part of these financial statements. 62

95 Unaudited June 30, 2015 Statement of Assets and Liabilities ($000s, except shares and per share amounts) Assets Investments in securities, at value (cost $588,330) $ 862,466 Receivable for investment securities sold 1,486 Dividends receivable 842 Receivable for shares sold 679 Variation margin receivable on futures contracts 122 Other assets 45 Total assets 865,640 Liabilities Obligation to return securities lending collateral 75,753 Payable for investment securities purchased 841 Payable for shares redeemed 427 Investment management and administrative fees payable 308 Total liabilities 77,329 NET ASSETS $ 788,311 Net Assets Consist of: Undistributed net investment income $ 2,748 Accumulated undistributed net realized gain 41,642 Net unrealized gain 273,728 Paid-in capital applicable to 30,068,634 shares of $ par value capital stock outstanding; 1,000,000,000 shares of the Corporation authorized 470,193 NET ASSETS $ 788,311 NET ASSET VALUE PER SHARE $ The accompanying notes are an integral part of these financial statements. 63

96 Unaudited Statement of Operations ($000s) Investment Income (Loss) 6 Months Ended 6/30/15 Income Dividend $ 3,631 Securities lending 415 Total income 4,046 Investment management and administrative expense 1,527 Net investment income 2,519 Realized and Unrealized Gain / Loss Net realized gain (loss) Securities 29,659 Futures 2,207 Foreign currency transactions 1 Net realized gain 31,867 Change in net unrealized gain / loss Securities 1,941 Futures (1,193) Change in net unrealized gain / loss 748 Net realized and unrealized gain / loss 32,615 INCREASE IN NET ASSETS FROM OPERATIONS $ 35,134 The accompanying notes are an integral part of these financial statements. 64

97 Unaudited Statement of Changes in Net Assets ($000s) Increase (Decrease) in Net Assets 6 Months Ended 6/30/15 Year Ended 12/31/14 Operations Net investment income $ 2,519 $ 7,894 Net realized gain 31,867 35,727 Change in net unrealized gain / loss ,617 Increase in net assets from operations 35,134 54,238 Distributions to shareholders Net investment income (7,973) Net realized gain (28,053) Decrease in net assets from distributions (36,026) Capital share transactions* Shares sold 80, ,682 Distributions reinvested 34,033 Shares redeemed (61,015) (183,227) Redemption fees received 4 44 Increase in net assets from capital share transactions 19,195 9,532 Net Assets Increase during period 54,329 27,744 Beginning of period 733, ,238 End of period $ 788,311 $ 733,982 Undistributed net investment income 2, *Share information Shares sold 3,087 6,377 Distributions reinvested 1,397 Shares redeemed (2,365) (7,353) Increase in shares outstanding The accompanying notes are an integral part of these financial statements. 65

98 Unaudited June 30, 2015 Notes to Financial Statements T. Rowe Price Index Trust, Inc. (the corporation), is registered under the Investment Company Act of 1940 (the 1940 Act). The Extended Equity Market Index Fund (the fund) is a diversified, open-end management investment company established by the corporation. The fund commenced operations on January 30, The fund seeks to track the performance of a benchmark index that measures the investment return of small- and mid-capitalization in U.S. stocks. Note 1 - Significant Accounting Policies Basis of Preparation The fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 (ASC 946). The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (GAAP), including but not limited to ASC 946. GAAP requires the use of estimates made by management. Management believes that estimates and valuations are appropriate; however, actual results may differ from those estimates, and the valuations reflected in the accompanying financial statements may differ from the value ultimately realized upon sale or maturity. Investment Transactions, Investment Income, and Distributions Income and expenses are recorded on the accrual basis. Premiums and discounts on debt securities are amortized for financial reporting purposes. Dividends received from mutual fund investments are reflected as dividend income; capital gain distributions are reflected as realized gain/loss. Earnings on investments recognized as partnerships for federal income tax purposes reflect the tax character of such earnings. Dividend income and capital gain distributions are recorded on the ex-dividend date. Income tax-related interest and penalties, if incurred, would be recorded as income tax expense. Investment transactions are accounted for on the trade date. Realized gains and losses are reported on the identified cost basis. Distributions to shareholders are recorded on the ex-dividend date. Distributions from REITs are initially recorded as dividend income and, to the extent such represent a return of capital or capital gain for tax purposes, are reclassified when such information becomes available. Income distributions are declared and paid annually. Capital gain distributions, if any, are generally declared and paid by the fund annually. 66

99 Currency Translation Assets, including investments, and liabilities denominated in foreign currencies are translated into U.S. dollar values each day at the prevailing exchange rate, using the mean of the bid and asked prices of such currencies against U.S. dollars as quoted by a major bank. Purchases and sales of securities, income, and expenses are translated into U.S. dollars at the prevailing exchange rate on the date of the transaction. The effect of changes in foreign currency exchange rates on realized and unrealized security gains and losses is reflected as a component of security gains and losses. Rebates Subject to best execution, the fund may direct certain security trades to brokers who have agreed to rebate a portion of the related brokerage commission to the fund in cash. Commission rebates are reflected as realized gain on securities in the accompanying financial statements. Redemption Fees A 0.5% fee is assessed on redemptions of fund shares held for 90 days or less to deter short-term trading and to protect the interests of long-term shareholders. Redemption fees are withheld from proceeds that shareholders receive from the sale or exchange of fund shares. The fees are paid to the fund and are recorded as an increase to paid-in capital. The fees may cause the redemption price per share to differ from the net asset value per share. New Accounting Guidance In June 2014, FASB issued Accounting Standards Update (ASU) No , Transfers and Servicing (Topic 860), Repurchase-to- Maturity Transactions, Repurchase Financings, and Disclosures. The ASU changes the accounting for certain repurchase agreements and expands disclosure requirements related to repurchase agreements, securities lending, repurchase-tomaturity and similar transactions. The ASU is effective for interim and annual reporting periods beginning after December 15, Adoption will have no effect on the fund s net assets or results of operations. In May 2015, FASB issued ASU No , Fair Value Measurement (Topic 820), Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). The ASU removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient and amends certain disclosure requirements for such investments. The ASU is effective for interim and annual reporting periods beginning after December 15, Adoption will have no effect on the fund s net assets or results of operations. 67

100 Note 2 - VALUATION The fund s financial instruments are valued and its net asset value (NAV) per share is computed at the close of the New York Stock Exchange (NYSE), normally 4 p.m. ET, each day the NYSE is open for business. Fair Value The fund s financial instruments are reported at fair value, which GAAP defines as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The T. Rowe Price Valuation Committee (the Valuation Committee) has been established by the fund s Board of Directors (the Board) to ensure that financial instruments are appropriately priced at fair value in accordance with GAAP and the 1940 Act. Subject to oversight by the Board, the Valuation Committee develops and oversees pricing-related policies and procedures and approves all fair value determinations. Specifically, the Valuation Committee establishes procedures to value securities; determines pricing techniques, sources, and persons eligible to effect fair value pricing actions; oversees the selection, services, and performance of pricing vendors; oversees valuation-related business continuity practices; and provides guidance on internal controls and valuation-related matters. The Valuation Committee reports to the Board; is chaired by the fund s treasurer; and has representation from legal, portfolio management and trading, operations, and risk management. Various valuation techniques and inputs are used to determine the fair value of financial instruments. GAAP establishes the following fair value hierarchy that categorizes the inputs used to measure fair value: Level 1 quoted prices (unadjusted) in active markets for identical financial instruments that the fund can access at the reporting date Level 2 inputs other than Level 1 quoted prices that are observable, either directly or indirectly (including, but not limited to, quoted prices for similar financial instruments in active markets, quoted prices for identical or similar financial instruments in inactive markets, interest rates and yield curves, implied volatilities, and credit spreads) Level 3 unobservable inputs Observable inputs are developed using market data, such as publicly available information about actual events or transactions, and reflect the assumptions that market participants would use to price the financial instrument. Unob servable inputs are those for which market data are not available and are developed 68

101 using the best information available about the assumptions that market participants would use to price the financial instrument. GAAP requires valuation techniques to maximize the use of relevant observable inputs and minimize the use of unobservable inputs. When multiple inputs are used to derive fair value, the financial instrument is assigned to the level within the fair value hierarchy based on the lowest-level input that is significant to the fair value of the financial instrument. Input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level but rather the degree of judgment used in determining those values. Valuation Techniques Equity securities listed or regularly traded on a securities exchange or in the over-the-counter (OTC) market are valued at the last quoted sale price or, for certain markets, the official closing price at the time the valuations are made. OTC Bulletin Board securities are valued at the mean of the closing bid and asked prices. A security that is listed or traded on more than one exchange is valued at the quotation on the exchange determined to be the primary market for such security. Listed securities not traded on a particular day are valued at the mean of the closing bid and asked prices. Actively traded domestic equity securities generally are categorized in Level 1 of the fair value hierarchy. OTC Bulletin Board securities, certain preferred securities, and equity securities traded in inactive markets generally are categorized in Level 2 of the fair value hierarchy. Debt securities generally are traded in the OTC market. Debt securities with remaining maturities of less than one year at the time of acquisition generally use amortized cost in local currency to approximate fair value. However, if amortized cost is deemed not to reflect fair value or the fund holds a significant amount of such securities with remaining maturities of more than 60 days, the securities are valued at prices furnished by dealers who make markets in such securities or by an independent pricing service. Generally, debt securities are categorized in Level 2 of the fair value hierarchy; however, to the extent the valuations include significant unobservable inputs, the securities would be categorized in Level 3. Investments in mutual funds are valued at the mutual fund s closing NAV per share on the day of valuation and are categorized in Level 1 of the fair value hierarchy. Financial futures contracts are valued at closing settlement prices and are categorized in Level 1 of the fair value hierarchy. Assets and liabilities other than financial instruments, including short-term receivables and payables, are carried at cost, or estimated realizable value, if less, which approximates fair value. 69

102 Thinly traded financial instruments and those for which the above valuation procedures are inappropriate or are deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee. The objective of any fair value pricing determination is to arrive at a price that could reasonably be expected from a current sale. Financial instruments fair valued by the Valuation Committee are primarily private placements, restricted securities, warrants, rights, and other securities that are not publicly traded. Subject to oversight by the Board, the Valuation Committee regularly makes good faith judgments to establish and adjust the fair valuations of certain securities as events occur and circumstances warrant. For instance, in determining the fair value of an equity investment with limited market activity, such as a private placement or a thinly traded public company stock, the Valuation Committee considers a variety of factors, which may include, but are not limited to, the issuer s business prospects, its financial standing and performance, recent investment transactions in the issuer, new rounds of financing, negotiated transactions of significant size between other investors in the company, relevant market valuations of peer companies, strategic events affecting the company, market liquidity for the issuer, and general economic conditions and events. In consultation with the investment and pricing teams, the Valuation Committee will determine an appropriate valuation technique based on available information, which may include both observable and unobservable inputs. The Valuation Committee typically will afford greatest weight to actual prices in arm s length transactions, to the extent they represent orderly transactions between market participants; transaction information can be reliably obtained; and prices are deemed representative of fair value. However, the Valuation Committee may also consider other valuation methods such as market-based valuation multiples; a discount or premium from market value of a similar, freely traded security of the same issuer; or some combination. Fair value determinations are reviewed on a regular basis and updated as information becomes available, including actual purchase and sale transactions of the issue. Because any fair value determination involves a significant amount of judgment, there is a degree of subjectivity inherent in such pricing decisions, and fair value prices determined by the Valuation Committee could differ from those of other market participants. Depending on the relative significance of unobservable inputs, including the valuation technique(s) used, fair valued securities may be categorized in Level 2 or 3 of the fair value hierarchy. 70

103 Valuation Inputs The following table summarizes the fund s financial instruments, based on the inputs used to determine their fair values on June 30, 2015: ($000s) Level 1 Level 2 Level 3 Total Value Quoted Prices Significant Observable Inputs Significant Unobservable Inputs Investments in Securities, except: $ 75,753 $ $ $ 75,753 Common Stocks 750, ,838 Convertible Preferred Stocks Short-Term Investments 34,173 1,650 35,823 Total 860,657 1, ,466 Futures Contracts Total $ 860,779 $ 1,704 $ 105 $ 862,588 There were no material transfers between Levels 1 and 2 during the six months ended June 30, Following is a reconciliation of the fund s Level 3 holdings for the six months ended June 30, Gain (loss) reflects both realized and change in unrealized gain/loss on Level 3 holdings during the period, if any, and is included on the accompanying Statement of Operations. The change in unrealized gain/loss on Level 3 instruments held at June 30, 2015, totaled $0 for the six months ended June 30, ($000s) Investments in Securities Beginning Balance 1/1/15 Gain (Loss) During Period Ending Balance 6/30/15 Common Stocks $ 105 $ $ 105 Note 3 - derivative instruments During the six months ended June 30, 2015, the fund invested in derivative instruments. As defined by GAAP, a derivative is a financial instrument whose value is derived from an underlying security price, foreign exchange rate, interest rate, index of prices or rates, or other variable; it requires little 71

104 or no initial investment and permits or requires net settlement. The fund invests in derivatives only if the expected risks and rewards are consistent with its investment objectives, policies, and overall risk profile, as described in its prospectus and Statement of Additional Information. The fund may use derivatives for a variety of purposes, such as seeking to hedge against declines in principal value, increase yield, invest in an asset with greater efficiency and at a lower cost than is possible through direct investment, or to adjust credit exposure. The risks associated with the use of derivatives are different from, and potentially much greater than, the risks associated with investing directly in the instruments on which the derivatives are based. The fund at all times maintains sufficient cash reserves, liquid assets, or other SEC-permitted asset types to cover its settlement obligations under open derivative contracts. The fund values its derivatives at fair value, as described in Note 2, and recognizes changes in fair value currently in its results of operations. Accordingly, the fund does not follow hedge accounting, even for derivatives employed as economic hedges. Generally, the fund accounts for its derivatives on a gross basis. It does not offset the fair value of derivative liabilities against the fair value of derivative assets on its financial statements, nor does it offset the fair value of derivative instruments against the right to reclaim or obligation to return collateral. As of June 30, 2015, the fund held equity futures with cumulative unrealized loss of $407,000; the value reflected on the accompanying Statement of Assets and Liabilities is the related unsettled variation margin. Additionally, during the six months ended June 30, 2015, the fund recognized $2,207,000 of realized gain on Futures and a $(1,193,000) change in unrealized gain/loss on Futures related to its investments in equity derivatives; such amounts are included on the accompanying Statement of Operations. Counterparty Risk and Collateral The fund invests in exchange-traded or centrally cleared derivative contracts, such as futures, exchange-traded options, and centrally cleared swaps. Counterparty risk on such derivatives is minimal because the clearinghouse provides protection against counterparty defaults. For futures and centrally cleared swaps, the fund is required to deposit collateral in an amount equal to a certain percentage of the contract value (margin requirement), and the margin requirement must be maintained over the life of the contract. Each clearing broker, in its sole discretion, may adjust the margin requirements applicable to the fund. 72

105 Collateral may be in the form of cash or debt securities issued by the U.S. government or related agencies. Cash and currencies posted by the fund are reflected as cash deposits in the accompanying financial statements and generally are restricted from withdrawal by the fund; securities posted by the fund are so noted in the accompanying Portfolio of Investments; both remain in the fund s assets. As of June 30, 2015, securities valued at $1,540,000 had been posted by the fund for exchange-traded and/or centrally cleared derivatives. Futures Contracts The fund is subject to equity price risk in the normal course of pursuing its investment objectives and uses futures contracts to help manage such risk. The fund may enter into futures contracts as an efficient means of maintaining liquidity while being invested in the market, to facilitate trading, or to reduce transaction costs. A futures contract provides for the future sale by one party and purchase by another of a specified amount of a specific underlying financial instrument at an agreed-upon price, date, time, and place. The fund currently invests only in exchange-traded futures, which generally are standardized as to maturity date, underlying financial instrument, and other contract terms. Payments are made or received by the fund each day to settle daily fluctuations in the value of the contract (variation margin), which reflect changes in the value of the underlying financial instrument. Variation margin is recorded as unrealized gain or loss until the contract is closed. The value of a futures contract included in net assets is the amount of unsettled variation margin; net variation margin receivable is reflected as an asset and net variation margin payable is reflected as a liability on the accompanying Statement of Assets and Liabilities. Risks related to the use of futures contracts include possible illiquidity of the futures markets, contract prices that can be highly volatile and imperfectly correlated to movements in hedged security values, and potential losses in excess of the fund s initial investment. During the six months ended June 30, 2015, the volume of the fund s activity in futures, based on underlying notional amounts, was generally between 3% and 5% of net assets. Note 4 - OTHER Investment Transactions Consistent with its investment objective, the fund engages in the following practices to manage exposure to certain risks and/or to enhance performance. The investment objective, policies, program, and risk factors of the fund are described more fully in the fund s prospectus and Statement of Additional Information. 73

106 Securities Lending The fund may lend its securities to approved brokers to earn additional income. Its securities lending activities are administered by a lending agent in accordance with a securities lending agreement. Security loans generally do not have stated maturity dates and the fund may recall a security at any time. The fund receives collateral in the form of cash or U.S. government securities, valued at 102% to 105% of the value of the securities on loan. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities; any additional collateral required due to changes in security values is delivered to the fund the next business day. Cash collateral is invested by the lending agent(s) in accordance with investment guidelines approved by fund management. Additionally, the lending agent indemnifies the fund against losses resulting from borrower default. Although risk is mitigated by the collateral and indemnification, the fund could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities, collateral investments decline in value and the lending agent fails to perform. Securities lending revenue consists of earnings on invested collateral and borrowing fees, net of any rebates to the borrower, compensation to the lending agent, and other administrative costs. In accordance with GAAP, investments made with cash collateral are reflected in the accompanying financial statements, but collateral received in the form of securities is not. At June 30, 2015, the value of loaned securities was $74,627,000; the value of cash collateral and related investments was $75,753,000. Other Purchases and sales of portfolio securities other than short-term securities aggregated $76,774,000 and $64,842,000, respectively, for the six months ended June 30, Note 5 - Federal Income Taxes No provision for federal income taxes is required since the fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute to shareholders all of its taxable income and gains. Distributions determined in accordance with federal income tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character but are not adjusted for temporary differences. The amount and character of tax-basis distributions and composition of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of the date of this report. 74

107 At June 30, 2015, the cost of investments for federal income tax purposes was $589,562,000. Net unrealized gain aggregated $272,497,000 at period-end, of which $299,662,000 related to appreciated investments and $27,165,000 related to depreciated investments. Note 6 - related Party Transactions The fund is managed by T. Rowe Price Associates, Inc. (Price Associates), a wholly owned subsidiary of T. Rowe Price Group, Inc. (Price Group). The investment management and administrative agreement between the fund and Price Associates provides for an all-inclusive annual fee equal to 0.40% of the fund s average daily net assets. The fee is computed daily and paid monthly. The all-inclusive fee covers investment management, shareholder servicing, transfer agency, accounting, and custody services provided to the fund, as well as fund directors fees and expenses. Interest, taxes, brokerage commissions, and extraordinary expenses are paid directly by the fund. Additionally, the fund is one of several mutual funds in which certain college savings plans managed by Price Associates may invest. As approved by the fund s Board of Directors, shareholder servicing costs associated with each college savings plan are allocated to the fund in proportion to the average daily value of its shares owned by the college savings plan. Shareholder servicing costs allocated to the fund are borne by Price Associates, pursuant to the fund s all-inclusive fee agreement. At June 30, 2015, approximately 1% of the outstanding shares of the fund were held by college savings plans. The fund may invest in the T. Rowe Price Reserve Investment Fund, the T. Rowe Price Government Reserve Investment Fund, or the T. Rowe Price Short-Term Reserve Fund (collectively, the Price Reserve Investment Funds), open-end management investment companies managed by Price Associates and considered affiliates of the fund. The Price Reserve Investment Funds are offered as short-term investment options to mutual funds, trusts, and other accounts managed by Price Associates or its affiliates and are not available for direct purchase by members of the public. The Price Reserve Investment Funds pay no investment management fees. 75

108 NOTE 7 - BORROWING To provide temporary liquidity, the fund may borrow from other T. Rowe Pricesponsored mutual funds under an interfund borrowing program developed and managed by Price Associates. The program permits the borrowing and lending of cash at rates beneficial to both the borrowing and lending funds. Pursuant to program guidelines, loans totaling 10% or more of a borrowing fund s total assets require collateralization at 102% of the value of the loan; loans of less than 10% are unsecured. During the six months ended June 30, 2015, the fund incurred $1,000 in interest expense related to outstanding borrowings on four days in the average amount of $10,400,000 and at an average annual rate of 1.21%. At June 30, 2015, there were no borrowings outstanding. NOTE 8 - SUBSEQUENT EVENTS The Board has approved reduction of the fund s management fee rate from 0.40% to 0.35%, effective August 1,

109 Information on Proxy Voting Policies, Procedures, and Records A description of the policies and procedures used by T. Rowe Price funds and portfolios to determine how to vote proxies relating to portfolio securities is available in each fund s Statement of Additional Information. You may request this document by calling or by accessing the SEC s website, sec.gov. The description of our proxy voting policies and procedures is also available on our website, troweprice.com. To access it, click on the words Social Responsibility at the top of our corporate homepage. Next, click on the words Conducting Business Responsibly on the left side of the page that appears. Finally, click on the words Proxy Voting Policies on the left side of the page that appears. Each fund s most recent annual proxy voting record is available on our website and through the SEC s website. To access it through our website, follow the above directions to reach the Conducting Business Responsibly page. Click on the words Proxy Voting Records on the left side of that page, and then click on the View Proxy Voting Records link at the bottom of the page that appears. How to Obtain Quarterly Portfolio Holdings The fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The fund s Form N-Q is available electronically on the SEC s website (sec.gov); hard copies may be reviewed and copied at the SEC s Public Reference Room, 100 F St. N.E., Washington, DC For more information on the Public Reference Room, call SEC

110 Approval of Investment Management Agreement On March 13, 2015, the fund s Board of Directors (Board), including a majority of the fund s independent directors, approved the continuation of the investment management agreement (Advisory Contract) between the fund and its investment advisor, T. Rowe Price Associates, Inc. (Advisor). In connection with its deliberations, the Board requested, and the Advisor provided, such information as the Board (with advice from independent legal counsel) deemed reasonably necessary. The Board considered a variety of factors in connection with its review of the Advisory Contract, also taking into account information provided by the Advisor during the course of the year, as discussed below: Services Provided by the Advisor The Board considered the nature, quality, and extent of the services provided to the fund by the Advisor. These services included, but were not limited to, directing the fund s investments in accordance with its investment program and the overall management of the fund s portfolio, as well as a variety of related activities such as financial, investment operations, and administrative services; compliance; maintaining the fund s records and registrations; and shareholder communications. The Board also reviewed the background and experience of the Advisor s senior management team and investment personnel involved in the management of the fund, as well as the Advisor s compliance record. The Board concluded that it was satisfied with the nature, quality, and extent of the services provided by the Advisor. Investment Performance of the Fund The Board reviewed the fund s three-month, one-year, and year-by-year returns, as well as the fund s average annualized total returns over the 3-, 5-, and 10-year periods, and compared these returns with a wide variety of previously agreed-upon comparable performance measures and market data, including those supplied by Lipper and Morningstar, which are independent providers of mutual fund data. On the basis of this evaluation and the Board s ongoing review of investment results, and factoring in the relative market conditions during certain of the performance periods, the Board concluded that the fund s performance was satisfactory. Costs, Benefits, Profits, and Economies of Scale The Board reviewed detailed information regarding the revenues received by the Advisor under the Advisory Contract and other benefits that the Advisor (and its affiliates) may have realized from its relationship with the fund, including any research received under soft dollar agreements and commission-sharing arrangements with broker-dealers. The Board considered that the Advisor may receive some benefit from soft-dollar arrangements pursuant to which research is received from broker-dealers that execute the applicable fund s portfolio transactions. The Board received information on the estimated costs incurred and profits realized by the Advisor from managing T. Rowe Price mutual funds. The Board also reviewed estimates of the profits realized from managing the fund in particular, and the Board concluded that the Advisor s profits were reasonable in light of the services provided to the fund. 78

111 Approval of Investment Management Agreement (continued) The Board also considered whether the fund benefits under the fee levels set forth in the Advisory Contract from any economies of scale realized by the Advisor. The Board noted that, under the Advisory Contract, the fund pays the Advisor a single fee based on the fund s average daily net assets that includes investment management services and provides for the Advisor to pay all expenses of the fund s operations except for interest, taxes, portfolio transaction fees, and any nonrecurring extraordinary expenses that may arise. The Board concluded that, based on the profitability data it reviewed and consistent with this single-fee structure, the Advisory Contract provided for a reasonable sharing of any benefits from economies of scale with the fund. Fees The Board was provided with information regarding industry trends in management fees and expenses, and the Board reviewed the fund s single-fee structure in comparison with fees and expenses of other comparable funds based on information and data supplied by Lipper. For these purposes, the Board assumed that the fund s management fee rate was equal to the single fee less the fund s operating expenses. The information provided to the Board indicated that the fund s management fee rate and total expense ratio were above the median for certain groups of comparable funds and at or below the median for other groups of comparable funds. The Board also reviewed the fee schedules for institutional accounts and private accounts with similar mandates that are advised or subadvised by the Advisor and its affiliates. Management provided the Board with information about the Advisor s responsibilities and services provided to institutional account clients, including information about how the requirements and economics of the institutional business are fundamentally different from those of the mutual fund business. The Board considered information showing that the mutual fund business is generally more complex from a business and compliance perspective than the institutional business and that the Advisor generally performs significant additional services and assumes greater risk in managing the fund and other T. Rowe Price mutual funds than it does for institutional account clients. On the basis of the information provided and the factors considered, the Board concluded that the fees paid by the fund under the Advisory Contract are reasonable. Approval of the Advisory Contract As noted, the Board approved the continuation of the Advisory Contract. No single factor was considered in isolation or to be determinative to the decision. Rather, the Board concluded, in light of a weighting and balancing of all factors considered, that it was in the best interests of the fund and its shareholders for the Board to approve the continuation of the Advisory Contract (including the fees to be charged for services thereunder). The independent directors were advised throughout the process by independent legal counsel. 79

112 T. Rowe Price Mutual Funds This page contains supplementary information that is not part of the shareholder report. STOCK FUNDS Domestic Blue Chip Growth Capital Appreciation Capital Opportunity Diversified Mid-Cap Growth BOND FUNDS Domestic Taxable Corporate Income Credit Opportunities Floating Rate GNMA Money MArket FUNDS (cont.) Tax-Free California Tax-Free Money Maryland Tax-Free Money New York Tax-Free Money Summit Municipal Money Market Diversified Small-Cap Growth High Yield Tax-Exempt Money Dividend Growth Inflation Protected Bond Equity Income New Income INTERNATIONAL/GLOBAL Equity Index 500 Short-Term Bond FUNDS Extended Equity Market Index Ultra Short-Term Bond Stock Financial Services U.S. Bond Enhanced Index Africa & Middle East Growth & Income U.S. Treasury Intermediate Asia Opportunities Growth Stock U.S. Treasury Long-Term Emerging Europe Health Sciences Media & Telecommunications Domestic Tax-Free Emerging Markets Stock Mid-Cap Growth California Tax-Free Bond European Stock Mid-Cap Value Georgia Tax-Free Bond Global Growth Stock New America Growth Intermediate Tax-Free High Yield Global Industrials New Era Maryland Short-Term Global Real Estate New Horizons Tax-Free Bond Global Stock Real Estate Maryland Tax-Free Bond Global Technology Science & Technology New Jersey Tax-Free Bond International Concentrated Equity Small-Cap Stock New York Tax-Free Bond International Discovery Small-Cap Value Summit Municipal Income International Equity Index Tax-Efficient Equity Summit Municipal Intermediate International Growth & Income Total Equity Market Index Tax-Free High Yield International Stock U.S. Large-Cap Core Tax-Free Income Japan Value Tax-Free Short-Intermediate Latin America Virginia Tax-Free Bond New Asia ASSET ALLOCATION FUNDS Overseas Stock MONEY MARKET FUNDS Balanced Bond Global Allocation Taxable Emerging Markets Bond Personal Strategy Balanced Prime Reserve Emerging Markets Corporate Bond Personal Strategy Growth Summit Cash Reserves Emerging Markets Local Personal Strategy Income U.S. Treasury Money Currency Bond Real Assets Spectrum Growth Spectrum Income Spectrum International Global High Income Bond Global Multi-Sector Bond Global Unconstrained Bond International Bond Target Date Fundsˆ Call to request a prospectus or summary prospectus; each includes investment objectives, risks, fees, expenses, and other information that you should read and consider carefully before investing. Investments in the money market funds are not insured or guaranteed by the FDIC or any other government agency. Although the funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the funds. Closed to new investors except for a direct rollover from a retirement plan into a T. Rowe Price IRA invested in this fund. ˆ The Target Date Funds are inclusive of the Retirement Funds, the Target Retirement Funds, and the Retirement Balanced Fund. T. Rowe Price Investment Services, Inc. 100 East Pratt Street Baltimore, MD F /15