13F-HR 1 d13fhr.txt GARTMORE SA CAPITAL TRUST UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended September 30, 2005 Check here if Amendment [ ]; Amendment Number: ---------- This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Gartmore SA Capital Trust Address: 1200 River Road Conshohocken, PA 19428 Form 13F File Number: 28-04903 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it understood that all required items, statements, schedules, lists, and Lables, are considered integral part of this form. Person Signing this Report on Behalf of Reporting Manager: Name: /s/ Eric Miller ---------------------------- Title: Vice President - Associate General Counsel Phone: 888-223-2116 Signature, Place, and Date of Signing: /s/ Eric Miller Conshohocken, PA 11/15/05 --------------- (City, State) (Date) (Signature) Report Type (Check only one): [X] 13F HOLDING REPORT. (Check here if all holding of this reporting mangaer are reported in this report.) [ ] 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) Form 13F Gartmore SA Capital Trust Summary Page Report Summary: Form 13F Gartmore SA Capital Trust Information Table Entry 739 Form 13F Gartmore SA Capital Trust Information Table Value 5,810,529 (thousands)

Shared Fair Shares of as in Managers Title of Market Principal ~~Shared~~Instr as Shared- ~~Managers~~ see Name of Issuer ~~Title of~~ Class Cusip Value Amount Sole ~~in Instr~~ V Other Instr V ~~Sole1~~Sole 1 Shared None ------------------------- -- --------~~----~~ --------- -------- --------- ---- ------~~----~~ ------- --------~~----~~ ------ --------- ---- 3COM CORP COMMON 885535104 $ ~~474~~1,698 ~~133~~403,~~239~~882 X ~~133~~403,~~239~~882 3M CO COMMON 88579Y101 $ 15,519 209,112 X 209,112 ABBOTT LABS COMMON 002824100 $ 1,644 38,816 X 38,816 ABERCROMBIE & FITCH CO. COMMON 002896207 $ ~~434~~1,860 759,~~590~~058 X 759,~~590~~058 ABERCROMBIE AND FITCH CO COMMON 002896207 $ 1,402 28,119 X 28,119 ACADIA PHARMACEUTICALS I COMMON 004225108 $ 199 25,454 X 25,454 ACADIA PHARMACEUTICALS IN COMMON 004225108 $ 1,~~365~~212 ~~197~~106,~~850~~614 X ~~197~~106,~~850~~614 ~~ACCENTURE~~ACTUANT ~~LTD.~~CORP COMMON ~~G1150G111~~00508X203 $ ~~487~~300 206,~~150~~400 X 206,~~150~~400 ~~ACTIVISION,~~ACXIOM ~~INC.~~CORP COMMON ~~004930202~~005125109 $ ~~357~~606 2432,~~133~~378 X 2432,~~133~~378 ADOLOR CORP COMMON 00724X102 $ ~~1,250~~958 ~~125~~88,~~791~~313 X ~~125~~88,~~791~~313 ~~ADTRAN~~ADVANCED ~~INC~~ENERGY INDS COMMON ~~00738A106~~007973100 $ 1,~~648~~185 93127,~~418~~587 X 93127,~~418~~587 ADVANCED ENERGY INDS INC COMMON 007973100 $ 1768 71,~~266~~336 ~~130~~X 71,~~972~~336 ADVANCED FIBRE COMMUNICA COMMON 00754A105 $ 614 38,646 X ~~130~~38,~~972~~646 ADVANCED MICRO DEVICES IN COMMON 007903107 $ 19,152 760,001 X 760,001 ADVANTA CORP COMMON 007942204 $ 323 11,428 X 11,428 AES CORP COMMON 00130H105 $ 43,~~074~~416 ~~248~~207,~~708~~909 X ~~248~~207,~~708~~909 AETNA INC COMMON 00817Y108 $14 15,~~723~~282 ~~196~~177,~~442~~411 X ~~196~~177,~~442~~411 ~~AFC~~AETNA ~~ENTERPRISES~~ INC NEW COMMON ~~00104Q107~~00817Y108 $ ~~224~~13,594 8136,~~800~~040 X 8136,~~800~~040 AFFILIATED COMPUTER SERV COMMON 008190100 $ 11,940 214,482 X 214,482 AFFILIATED COMPUTER SVCS COMMON 008190100 $17 14,~~066~~309 ~~320~~262,~~554~~062 X ~~320~~262,~~554~~062 AFFILIATED MANAGERS GROU COMMON 008252108 $ 2,091 39,049 X 39,049 AFFILIATED MANAGERS GROUP COMMON 008252108 $ ~~354~~380 5,~~700~~250 X 5,~~700~~250 AFLAC INC COMMON 001055102 $ 9,644 212,894 X 212,894 AGERE SYS INC COMMON 00845V100 $ 753 717,187 X 717,187 AIR PRODS & CHEMS INC COMMON 009158106 $ 18,757 344,929 X 344,929 AIR PRODS + CHEMS INC COMMON 009158106 $ 35,~~550~~613 56101,~~096~~790 X 56101,~~096~~790 AIRGAS INC COMMON 009363102 $ 47,~~746~~421 ~~198~~284,~~676~~450 X ~~198~~284,~~676~~450 ~~ALAMO~~AKAMAI ~~GROUP~~TECHNOLOGIES INC COMMON ~~011311107~~00971T101 $ ~~277~~258 1116,200 X 1116,200 ALASKA AIR GROUP INC COMMON 011659109 $ ~~336~~221 117,~~400~~600 X 117,~~400~~600 ALBEMARLE CORP COMMON 012653101 $ ~~204~~641 517,~~600~~000 X 517,~~600~~000 ALBERTSONS INC COMMON 013104104 $29 56,~~078~~974 12,~~408~~350,~~146~~524 X 12,~~408~~350,~~146~~524 ~~ALCON~~ALCOA INC COMMON ~~H01301102~~013817101 $ 214,~~205~~574 24433,~~700~~882 X 24433,~~700~~882 ALERIS INTL INC COMMON 014477103 $ 264 9,600 X 9,600 ALLEGHENY TECHNOLOGIES IN COMMON 01741R102 $ ~~244~~282 109,100 X 109,100 ALLIANCE DATA SYSTEMS COR COMMON 018581108 $ 6,267 160,078 X 160,078 ALLIED WASTE INDS INC COMMON 019589308 $ ~~1,380~~799 ~~188~~94,~~753~~588 X ~~188~~94,~~753~~588 ALLMERICA FINL CORP COMMON 019754100 $ ~~331~~465 911,~~200~~300 X 911,~~200~~300 ALLSTATE CORP COMMON 020002101 $31 29,~~222~~706 ~~577~~581,~~537~~513 X ~~577~~581,~~537~~513 ALLTEL CORP COMMON 020039103 $ 13,832 212,438 X 212,438 ALNYLAM PHARMACEUTICALS COMMON 02043Q107 $ 518 89,887 X 89,887 ALNYLAM PHARMACEUTICALS I COMMON 02043Q107 $ ~~1,606~~957 ~~219~~84,~~119~~664 X ~~219~~84,~~119~~664 ALPHA NAT RES INC COMMON 02076X102 $ 1627 20,~~123~~881 39X 20,~~179~~881 ALTERA CORP COMMON 021441100 $ 13,788 721,500 X 39721,~~179~~500 ALTRIA GROUP INC COMMON 02209S103 $42 89,~~682~~348 ~~652~~1,~~725~~569,548 X ~~652~~1,~~725~~569,548 AMB PROPERTY CORP COMMON 00163T109 $ 341 9,200 X 9,200 AMBAC FINL GROUP INC COMMON 023139108 $ 504 6,300 X 6,300 AMEDISYS INC COMMON 023436108 $ ~~321~~454 1013,~~600~~875 X 13,875 AMERICAN CAPITAL STRATEG COMMON 024937104 $ 320 10,~~600~~200 ~~AMEDISYS~~X 10,200 ~~INC.~~AMERICAN EAGLE OUTFITTERS COMMON ~~023436108~~02553E106 $ 14,~~027~~325 33183,~~960~~800 X 33183,~~960~~800 ~~AMERADA~~AMERICAN ~~HESS~~EXPRESS ~~CORP~~CO COMMON ~~023551104~~025816109 $ 79,~~950~~054 82157,~~630~~622 X 82157,~~630~~622 AMERICAN ~~CAP~~FINL ~~STRATEGIES~~RLTY LTR COMMON ~~024937104~~02607P305 $ ~~396~~1,782 12126,~~600~~289 X 12126,~~600~~289 AMERICAN INTL GROUP INC COMMON 026874107 $18 81,~~689~~101 ~~337~~1,~~281~~209,608 X ~~337~~1,~~281~~209,608 ~~AMERICAN~~AMERISOURCEBERGEN ~~STANDARD~~CORP ~~COMPANIES~~COMMON 03073E105 $ 15,829 253,925 X 253,925 AMERUS GROUP CO COMMON 03072M108 $ 1,416 34,538 X 34,538 AMGEN INC. COMMON ~~029712106~~031162100 $ ~~335~~41,021 7605,~~210~~085 X 7605,~~210~~085 ~~AMERICAN~~AMSOUTH ~~STD~~BANCORPORATION ~~COS~~COMMON ~~INC~~032165102 ~~DEL~~$ 1,105 43,750 X 43,750 ANADARKO PETE CORP COMMON ~~029712106~~032511107 $ 4766 11,~~578~~550 98X 11,~~500~~550 ANDREW CORP COMMON 034425108 $ 177 14,467 X 9814,~~500~~467 ~~AMETEK~~ANDRX ~~INC~~CORP ~~NEW~~DEL COMMON ~~031100100~~034553107 $ ~~379~~751 933,~~405~~600 X 933,~~405~~600 ~~AMGEN~~ANHEUSER BUSCH COS INC COMMON ~~031162100~~035229103 $15 18,~~444~~894 ~~265~~378,~~316~~268 X ~~265~~378,~~316~~268 ~~AMR~~ANNTAYLOR STORES CORP ~~DEL~~ COMMON ~~001765106~~036115103 $ 2,~~254~~134 ~~210~~90,~~695~~184 X ~~210~~90,~~695~~184 ~~AMSOUTH~~ANTHEM ~~BANCORPORATION~~INC COMMON ~~032165102~~03674B104 $ 113,~~809~~606 69155,~~700~~942 X 69155,~~700~~942 ~~ANADARKO~~AON ~~PETE~~ CORP COMMON ~~032511107~~037389103 $ 31,~~993~~444 5245,~~475~~000 X 5245,~~475~~000 APACHE CORP COMMON 037411105 $28 53,~~330~~210 ~~462~~905,~~686~~357 X ~~462~~905,~~686~~357 ~~APPLE~~APPLEBEES ~~COMPUTER~~INTL INC COMMON ~~037833100~~037899101 $ ~~8,876~~511 ~~213~~24,~~000~~280 X ~~213~~24,~~000~~280 APPLIED MATERIALS INC COMMON 038222105 $ 54,~~185~~947 ~~319~~291,~~100~~700 X ~~319~~291,~~100~~700 APPLIED MATLS INC COMMON 038222105 $ 324 19,620 X 19,620 APPLIED MICRO CIRCUITS C COMMON 03822W109 $ 708 226,335 X 226,335 ARAMARK CORP COMMON 038521100 $ 12,~~377~~668 52106,~~388~~032 X 52106,~~388~~032 ARCH COAL INC COMMON 039380100 $ 3,~~589~~188 8363,~~443~~656 X 8363,~~443~~656 ARCHER DANIELS MIDLAND C COMMON 039483102 $ 13,564 798,833 X 798,833 ARCHER DANIELS MIDLAND CO COMMON 039483102 $14 9,~~832~~689 ~~603~~392,~~427~~884 X ~~603~~392,~~427~~884 ARLINGTON TANKERS LTD COMMON G04899103 $ ~~1,623~~689 6929,~~061~~421 X 6929,~~061~~421 ARROW ELECTRS INC COMMON 042735100 $12 7,~~324~~565 ~~486~~241,~~168~~219 X ~~486~~241,~~168~~219 ARVINMERITOR INC COMMON 043353101 $ 864 46,093 X 46,093 ASHFORD HOSPITALITY TR I COMMON 044103109 $ 346 36,800 X 36,800 ASHFORD HOSPITALITY TR IN COMMON 044103109 $ ~~389~~390 3836,~~111~~221 X 3836,~~111~~221 ASHLAND INC NEW COMMON ~~044204105~~044209104 $ 6,~~897~~343 ~~102~~114,~~218~~829 X ~~102~~114,~~218~~829 ASK JEEVES INC COMMON 045174109 $ 546 16,680 X 16,680 ASPEN INSURANCE HOLDINGS COMMON G05384105 $ ~~277~~580 1121,~~003~~916 X 1121,~~003~~916 ASPEN TECHNOLOGY INC COMMON 045327103 $ 268 42,900 X 42,900 ASSURANT INC COMMON 04621X108 $ ~~280~~10,996 8292,~~310~~541 X 8292,~~310~~541 ~~AstraZeneca~~AT&T ~~PLC~~WIRELESS COMMON ~~046353108~~00209A106 $ 19,~~284~~077 32614,~~480~~137 X 32614,~~480~~137 ~~ASTRAZENECA~~ATI ~~PLC-SPNS~~TECHNOLOGIES ~~ADR~~INC COMMON ~~046353108~~001941103 $ 6,722 482,180 X 482,180 ATMEL CORP COMMON 049513104 $ 154 42,451 X 42,451 AU OPTRONICS CORP COMMON 002255107 $ 7,402 591,225 X 591,225 AUGUST TECHNOLOGY CORP COMMON 05106U105 $ 86 12,500 X 12,500 AUTOLIV COMMON 052800109 $ 7,132 163,951 X 163,951 AUTOLIV INC COMMON 052800109 $ 6,949 172,000 X 172,000 AUTOMATIC DATA PROCESSIN COMMON 053015103 $ 650 15,720 X 15,720 AUTOZONE INC COMMON 053332102 $ 1,~~270~~587 3220,~~140~~540 X 3220,~~140~~540 AVAYA INC COMMON 053499109 $ 1,010 97,952 X 97,952

AVERY DENNISON CORP COMMON 053611109 $ 1,398 21,246 X 21,246 AVID TECHNOLOGY INC COMMON 05367P100 $ 364 8,224 X 8,224 AVISTA CORP COMMON 05379B107 $ 279 14,375 X 14,375 AVNET INC COMMON 053807103 $ 7,301 298,605 X 298,605 AXCELIS TECHNOLOGIES INC COMMON 054540109 $ 270 32,600 X 32,600 B&G FOODS HOLDINGS CORP COMMON 05508R205 $ 426 33,653 X 33,653 BALL CORP COMMON 058498106 $ 7,852 213,710 X 213,710 BANK AMER CORP COMMON 060505104 $ 82,843 1,967,769 X 1,967,769 BANK NEW YORK INC COMMON 064057102 $ 33,067 1,131,476 X 1,131,476 BANK OF AMERICA CORP COMMON 060505104 $ 32,196 743,048 X 743,048 BANKATLANTIC BANCORP COMMON 065908501 $ 367 20,060 X 20,060 BANKATLANTIC BANCORP INC COMMON 065908501 $ 225 13,260 X 13,260 BANKUNITED FINL CORP COMMON 06652B103 $ 345 11,840 X 11,840 BARR PHARMACEUTICALS INC COMMON 068306109 $ 3,538 79,752 X 79,752 BAUSCH & LOMB INC COMMON 071707103 $ 9,996 150,422 X 150,422 BAUSCH + LOMB INC COMMON 071707103 $ 7,213 89,404 X 89,404 BEACON ROOFING SUPPLY INC COMMON 073685109 $ 222 6,800 X 6,800 BEAR STEARNS COS INC COMMON 073902108 $ 30,964 295,985 X 295,985 BEARINGPOINT INC COMMON 074002106 $ 1,563 174,802 X 174,802 BECKMAN COULTER INC COMMON 075811109 $ 1,050 18,704 X 18,704 BECTON DICKINSON + CO COMMON 075887109 $ 4,504 85,900 X 85,900 BELO CORP COMMON 080555105 $ 290 12,879 X 12,879 BERKLEY W R CORP COMMON 084423102 $ 348 8,800 X 8,800 BERKSHIRE HATHAWAY INC D COMMON 084670108 $ 520 6 X 6 BIO RAD LABS INC COMMON 090572207 $ 281 5,500 X 5,500 BIOGEN IDEC INC COMMON 09062X103 $ 1,709 27,932 X 27,932 BIOLASE TECHNOLOGY INC COMMON 090911108 $ 844 103,461 X 103,461 BJ SVCS CO COMMON 055482103 $ 30,185 692,050 X 692,050 BLOCK H & R INC COMMON 093671105 $ 242 4,900 X 4,900 BOISE CASCADE CORP COMMON 097383103 $ 9,077 272,744 X 272,744 BORG WARNER INC COMMON 099724106 $ 203 3,600 X 3,600 BORLAND SOFTWARE CORP COMMON 099849101 $ 1,482 177,457 X 177,457 BOWATER INC COMMON 102183100 $ 2,455 70,522 X 70,522 BOYD GAMING CORP COMMON 103304101 $ 6,485 150,442 X 150,442 BP PLC COMMON 055622104 $ 2,241 38,945 X 38,945 BRINKER INTL INC COMMON 109641100 $ 207 6,632 X 6,632 BRISTOL MYERS SQUIBB CO COMMON 110122108 $ 16,339 679,480 X 679,480 BURLINGTON NORTHN SANTA COMMON 12189T104 $ 12,009 313,480 X 313,480 BURLINGTON NORTHN SANTA F COMMON 12189T104 $ 36,091 603,531 X 603,531 BUSINESS OBJECTS S A COMMON 12328X107 $ 14,050 603,011 X 603,011 C COR INC COMMON 125010108 $ 157 18,600 X 18,600 CADENCE DESIGN SYSTEM IN COMMON 127387108 $ 1,641 125,819 X 125,819 CALPINE CORP COMMON 131347106 $ 4,537 1,570,032 X 1,570,032 CAMPBELL SOUP CO COMMON 134429109 $ 36,065 1,323,249 X 1,323,249 CAPITAL ONE FINL CORP COMMON 14040H105 $ 2,682 35,334 X 35,334 CAREER EDUCATION CORP COMMON 141665109 $ 563 19,820 X 19,820 CAREMARK RX INC COMMON 141705103 $ 4,049 126,251 X 126,251 CARLISLE COS INC COMMON 142339100 $ 336 5,255 X 5,255 CARPENTER TECHNOLOGY CORP COMMON 144285103 $ 944 16,100 X 16,100 CB RICHARD ELLIS GROUP I COMMON 12497T101 $ 3,000 129,852 X 129,852 CBL & ASSOC PPTYS INC COMMON 124830100 $ 302 4,950 X 4,950 CBRL GROUP INC COMMON 12489V106 $ 2,161 59,885 X 59,885 CDW CORP COMMON 12512N105 $ 815 13,824 X 13,824 CELESTICA INC COMMON 15101Q108 $ 2,006 177,361 X 177,361 CENDANT CORP COMMON 151313103 $ 7,528 348,500 X 348,500 CENTURY ALUM CO COMMON 156431108 $ 239 8,607 X 8,607 CHECK POINT SOFTWARE COMMON M22465104 $ 1,489 61,217 X 61,217 CHEMED CORP NEW COMMON 16359R103 $ 412 7,500 X 7,500 CHEVRON CORP COMMON 166764100 $ 54,224 837,699 X 837,699 CHEVRONTEXACO CORP COMMON 166764100 $ 60,968 1,136,618 X 1,136,618 CHUBB CORP COMMON 171232101 $ 15,637 174,622 X 174,622 CINCINNATI BELL INC NEW COMMON 171871106 $ 1,334 344,998 X 344,998 CINTAS CORP COMMON 172908105 $ 1,293 31,492 X 31,492 CIRRUS LOGIC INC COMMON 172755100 $ 249 32,800 X 32,800 CISCO SYS INC COMMON 17275R102 $ 47,677 2,639,047 X 2,639,047 CIT GROUP INC COMMON 125581108 $ 26,829 717,555 X 717,555 CITADEL BROADCASTING COR COMMON 17285T106 $ 810 63,208 X 63,208 CITADEL SEC SOFTWARE INC COMMON 17288Q109 $ 32 13,051 X 13,051 CITIGROUP INC COMMON 172967101 $ 41,095 923,404 X 923,404 CITIZENS COMMUNICATIONS C COMMON 17453B101 $ 2,699 199,200 X 199,200 CITY NATL CORP COMMON 178566105 $ 713 10,550 X 10,550 CLEAR CHANNEL COMMUNICAT COMMON 184502102 $ 11,277 361,794 X 361,794 CLEAR CHANNEL COMMUNICATI COMMON 184502102 $ 799 24,287 X 24,287 CMS ENERGY CORP COMMON 125896100 $ 1,387 84,295 X 84,295 CNET NETWORKS INC COMMON 12613R104 $ 167 18,300 X 18,300 COACH INC COMMON 189754104 $ 4,775 122,805 X 122,805 COCA COLA CO COMMON 191216100 $ 9,126 211,300 X 211,300 COGNIZANT TECHNOLOGY SOLU COMMON 192446102 $ 7,317 157,052 X 157,052 COHERENT INC COMMON 192479103 $ 231 7,900 X 7,900 COLGATE PALMOLIVE CO COMMON 194162103 $ 12,104 229,288 X 229,288 COLLEGIATE FDG SVCS INC COMMON 19458M108 $ 229 18,260 X 18,260 COLONIAL BANCGROUP INC COMMON 195493309 $ 374 18,300 X 18,300 COLONIAL BANCGROUPINC COMMON 195493309 $ 1,755 78,364 X 78,364 COMCAST CORP NEW COMMON 20030N101 $ 18,795 657,582 X 657,582 COMERICA INC COMMON 200340107 $ 1,074 18,225 X 18,225 COMMERCIAL CAP BANCORP IN COMMON 20162L105 $ 272 16,000 X 16,000 COMMERCIAL METALS CO COMMON 201723103 $ 215 5,455 X 5,455 COMMSCOPE INC COMMON 203372107 $ 200 9,269 X 9,269 COMMUNITY HEALTH SYS INC COMMON 203668108 $ 1,318 49,400 X 49,400 COMPASS BANCSHARES INC COMMON 20449H109 $ 1,186 25,884 X 25,884 COMPUTER SCIENCES CORP COMMON 205363104 $ 8,643 182,789 X 182,789 COMPUWARE CORP COMMON 205638109 $ 1,721 334,124 X 334,124 CONAGRA FOODS INC COMMON 205887102 $ 1,553 60,386 X 60,386

CONOCOPHILLIPS COMMON 20825C104 $ 50,122 675,758 X 675,758 CONSOLIDATED COMMUNICATIO COMMON 209034107 $ 2,695 198,133 X 198,133 CONSTELLATION BRANDS INC COMMON 21036P108 $ 15,497 488,617 X 488,617 CONSTELLATION ENERGY GRO COMMON 210371100 $ 6,454 162,000 X 162,000 CONSTELLATION ENERGY GROU COMMON 210371100 $ 8,048 130,657 X 130,657 COOPER INDS LTD COMMON G24182100 $ 1,477 25,034 X 25,034 COOPER TIRE + RUBR CO COMMON 216831107 $ 1,585 103,809 X 103,809 CORINTHIAN COLLEGES INC COMMON 218868107 $ 1,418 105,950 X 105,950 CORNING INC COMMON 219350105 $ 6,298 325,809 X 325,809 COSTCO WHSL CORP NEW COMMON 22160K105 $ 21,553 509,352 X 509,352 COUNTRYWIDE FINANCIAL CO COMMON 222372104 $ 42,146 1,069,974 X 1,069,974 COVANCE INC COMMON 222816100 $ 5,115 121,816 X 121,816 COVANSYS CORP COMMON 22281W103 $ 233 14,850 X 14,850 COVENTRY HEALTH CARE INC COMMON 222862104 $ 961 13,353 X 13,353 COX COMMUNICATIONS INC N COMMON 224044107 $ 770 23,227 X 23,227 CROMPTON CORP COMMON 227116100 $ 1,028 108,354 X 108,354 CSX CORP COMMON 126408103 $ 7,875 169,429 X 169,429 CULLEN FROST BANKERS INC COMMON 229899109 $ 761 15,436 X 15,436 CVS CORP COMMON 126650100 $ 15,169 522,895 X 522,895 D R HORTON INC COMMON 23331A109 $ 874 26,387 X 26,387 DANAHER CORP COMMON 235851102 $ 8,117 150,783 X 150,783 DANAHER CORP DEL COMMON 235851102 $ 1,394 27,181 X 27,181 DEAN FOODS CO NEW COMMON 242370104 $ 12,797 426,103 X 426,103 DEERE & CO COMMON 244199105 $ 6,920 113,070 X 113,070 DEL MONTE FOODS CO COMMON 24522P103 $ 144 13,700 X 13,700 DELL INC COMMON 24702R101 $ 64,547 1,857,145 X 1,857,145 DENTSPLY INTL INC NEW COMMON 249030107 $ 364 7,000 X 7,000 DEVELOPERS DIVERSIFIED R COMMON 251591103 $ 246 6,294 X 6,294 DEX MEDIA INC COMMON 25212E100 $ 3,186 133,361 X 133,361 DIEBOLD INC COMMON 253651103 $ 977 28,336 X 28,336 DISNEY WALT CO COMMON 254687106 $ 29,331 1,251,482 X 1,251,482 DOBSON COMMUNICATIONS COR COMMON 256069105 $ 199 25,900 X 25,900 DOLLAR GEN CORP COMMON 256669102 $ 13,140 652,108 X 652,108 DOLLAR TREE STORES INC COMMON 256747106 $ 3,251 127,489 X 127,489 DONNELLEY R R & SONS CO COMMON 257867101 $ 2,004 63,981 X 63,981 DONNELLEY R R + SONS CO COMMON 257867101 $ 1,364 36,782 X 36,782 DOVER CORP COMMON 260003108 $ 2,004 50,503 X 50,503 DOVER DOWNS GAMING & ENT COMMON 260095104 $ 620 60,300 X 60,300 DOW CHEM CO COMMON 260543103 $ 34,289 781,810 X 781,810 DRESSER RAND GROUP INC COMMON 261608103 $ 694 28,189 X 28,189 DUKE ENERGY CO COMMON 264399106 $ 17,316 593,636 X 593,636 E M C CORP MASS COMMON 268648102 $ 16,874 1,462,260 X 1,462,260 E PIPHANY INC COMMON 26881V100 $ 964 239,110 X 239,110 EAGLE BULK SHIPPING INC COMMON Y2187A101 $ 898 52,382 X 52,382 EAST WEST BANCORP INC COMMON 27579R104 $ 1,275 37,462 X 37,462 EBAY INC COMMON 278642103 $ 9,565 232,170 X 232,170 ECHOSTAR COMMUNICATIONS C COMMON 278762109 $ 5,816 196,700 X 196,700 EDWARDS LIFESCIENCES COR COMMON 28176E108 $ 1,169 34,900 X 34,900 EGL INC COMMON 268484102 $ 934 34,408 X 34,408 EL PASO ELEC CO COMMON 283677854 $ 294 14,100 X 14,100 ELECTRONIC ARTS INC COMMON 285512109 $ 12,777 273,753 X 273,753 ELIZABETH ARDEN INC COMMON 28660G106 $ 490 23,025 X 23,025 ELKCORP COMMON 287456107 $ 397 12,400 X 12,400 EMC CORP COMMON 268648102 $ 15,057 1,163,584 X 1,163,584 EMERSON ELEC CO COMMON 291011104 $ 650 10,508 X 10,508 ENDURANCE SPECIALTY HOLDI COMMON G30397106 $ 611 17,915 X 17,915 ENERGEN CORP COMMON 29265N108 $ 342 7,910 X 7,910 ENGINEERED SUPPORT SYS IN COMMON 292866100 $ 812 19,780 X 19,780 ENNIS INC COMMON 293389102 $ 206 12,249 X 12,249 ENSCO INTL INC COMMON 26874Q100 $ 6,401 139,384 X 139,384 EOG RES INC COMMON 26875P101 $ 2,444 37,117 X 37,117 EOG RESOURCES INC COMMON 26875P101 $ 987 13,181 X 13,181 EXELON CORP COMMON 30161N101 $ 5,972 120,415 X 120,415 EXTREME NETWORKS INC COMMON 30226D106 $ 1,581 355,279 X 355,279 EXXON MOBIL CORP COMMON 30231G102 $147,415 2,455,134 X 2,455,134 FACTSET RESH SYS INC COMMON 303075105 $ 483 13,700 X 13,700 FEDERAL HOME LN MTG CORP COMMON 313400301 $ 11,201 171,688 X 171,688 FEDERAL NATL MTG ASSN COMMON 313586109 $ 1,982 31,260 X 31,260 FEDERATED DEPT STORES IN COMMON 31410H101 $ 11,173 245,949 X 245,949 FEDERATED DEPT STORES INC COMMON 31410H101 $ 8,888 132,916 X 132,916 FEDERATED INVS INC PA COMMON 314211103 $ 864 26,010 X 26,010 FEDEX CORP COMMON 31428X106 $ 18,647 216,125 X 216,125 FIRST AMERICAN CORP COMMON 318522307 $ 8,740 191,370 X 191,370 FIRST DATA CORP COMMON 319963104 $ 8,456 194,394 X 194,394 FIRSTMERIT CORP COMMON 337915102 $ 1,598 60,600 X 60,600 FISERV INC COMMON 337738108 $ 1,739 49,890 X 49,890 FISHER SCIENTIFIC INTL I COMMON 338032204 $ 244 4,187 X 4,187 FISHER SCIENTIFIC INTL IN COMMON 338032204 $ 9,111 146,830 X 146,830 FLEETWOOD ENTERPRISES INC COMMON 339099103 $ 708 57,600 X 57,600 FLOWSERVE CORP COMMON 34354P105 $ 1,554 64,262 X 64,262 FLUOR CORP NEW COMMON 343412102 $ 2,195 34,094 X 34,094 FMC TECHNOLOGIES INC COMMON 30249U101 $ 768 23,000 X 23,000 FORTUNE BRANDS INC COMMON 349631101 $ 15,378 207,555 X 207,555 FRANKLIN BANK CORP COMMON 352451108 $ 241 14,900 X 14,900 FRANKLIN BK CORP DEL COMMON 352451108 $ 215 12,600 X 12,600 FRANKLIN RES INC COMMON 354613101 $ 534 6,840 X 6,840 FREESCALE SEMICONDUCTOR I COMMON 35687M206 $ 6,406 271,675 X 271,675 FRIEDMAN BILLINGS RAMSEY COMMON 358434108 $ 1,608 84,179 X 84,179 GANNETT INC COMMON 364730101 $ 1,798 21,470 X 21,470 GEHL CO COMMON 368483103 $ 304 11,000 X 11,000 GENCO SHIPPING + TRADING COMMON Y2685T107 $ 985 51,640 X 51,640 GENERAL DYNAMICS CORP COMMON 369550108 $ 9,523 79,658 X 79,658 GENERAL ELEC CO COMMON 369604103 $179,083 5,327,422 X 5,327,422

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TEXAS INDS INC COMMON 882491103 $ 218 4,005 X 4,005 TEXAS INSTRS INC COMMON 882508104 $ 24,090 901,733 X 901,733 TEXTRON INC COMMON 883203101 $ 1,091 15,208 X 15,208 THERMO ELECTRON CORP COMMON 883556102 $ 19,858 692,658 X 692,658 THOMAS + BETTS CORP COMMON 884315102 $ 272 7,900 X 7,900 TIBCO SOFTWARE INC COMMON 88632Q103 $ 1,844 220,560 X 220,560 TIFFANY + CO NEW COMMON 886547108 $ 7,181 180,556 X 180,556 TIME WARNER INC COMMON 887317105 $ 19,886 1,232,104 X 1,232,104 TIME WARNER INC NEW COMMON 887317105 $ 15,948 880,603 X 880,603 TIMKEN CO COMMON 887389104 $ 9,197 325,255 X 325,255 TITAN CORP COMMON 888266103 $ 1,309 93,701 X 93,701 TJX COS INC NEW COMMON 872540109 $ 7,821 381,898 X 381,898 TOLL BROS INC COMMON 889478103 $ 268 6,000 X 6,000 TOO INC COMMON 890333107 $ 206 7,500 X 7,500 TOYS R US INC COMMON 892335100 $ 1,653 93,167 X 93,167 TRANSOCEAN INC COMMON G90078109 $ 13,699 382,866 X 382,866 TRIAD HOSPITALS INC COMMON 89579K109 $ 11,923 346,190 X 346,190 TRIAD HOSPS INC COMMON 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X 7,500 WELLCHOICE INC COMMON 949475107 $ 256 6,850 X 6,850 WELLPOINT INC COMMON 94973V107 $ 17,770 234,365 X 234,365 WELLS FARGO & CO NEW COMMON 949746101 $ 2,582 43,296 X 43,296 WELLS FARGO + CO NEW COMMON 949746101 $ 9,760 166,635 X 166,635 WESTAR ENERGY INC COMMON 95709T100 $ 362 17,900 X 17,900 WESTERN GAS RES INC COMMON 958259103 $ 229 8,000 X 8,000 WESTSTAR ENERGY INC COMMON 95709T100 $ 369 15,300 X 15,300 WESTWOOD ONE INC COMMON 961815107 $ 2,230 112,520 X 112,520 WEYERHAEUSER CO COMMON 962166104 $ 5,357 77,922 X 77,922 WILLIAMS COS INC COMMON 969457100 $ 3,267 130,433 X 130,433 WILLIAMS COS INC DEL COMMON 969457100 $ 20,072 1,658,879 X 1,658,879 WILLIAMS SONOMA INC COMMON 969904101 $ 15,394 409,953 X 409,953 WISCONSIN ENERGY CORP COMMON 976657106 $ 389 12,200 X 12,200 WPS RES CORP COMMON 92931B106 $ 393 6,800 X 6,800 WPS RESOURCES CORP COMMON 92931B106 $ 216 4,800 X 4,800 WYETH COMMON 983024100 $ 14,155 309,946 X 309,946 XEROX CORP COMMON 984121103 $ 8,039 571,077 X 571,077 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