<PAGE>
================================================================================
DFA Investment Dimensions Group Inc.
and
The DFA Investment Trust Company
ANNUAL REPORT
Year Ended November 30, 1994
================================================================================
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
-----------------
<S> <C>
Performance Charts ..................................................................... 1-6
Schedules of Investments ...............................................................
The U.S. 9-10 Small Company Portfolio ............................................. 7-23
The U.S. 6-10 Small Company Portfolio ............................................. 24
The U.S. Large Company Portfolio .................................................. 24
The U.S. Small Cap Value Portfolio ................................................ 24
The U.S. Large Cap Value Portfolio ................................................ 24
The DFA/AEW Real Estate Securities Portfolio ...................................... 25-26
The Japanese Small Company Portfolio .............................................. 27-32
The Pacific Rim Small Company Portfolio ........................................... 33-43
The United Kingdom Small Company Portfolio ........................................ 44-51
The Emerging Markets Portfolio .................................................... 51
The Continental Small Company Portfolio ........................................... 52-63
The Large Cap International Portfolio ............................................. 64-67
The DFA International High Book to Market Portfolio ............................... 68
The DFA One-Year Fixed Income Portfolio ........................................... 68
The DFA Five-Year Government Portfolio ............................................ 68
The DFA Global Fixed Income Portfolio ............................................. 69
The DFA Intermediate Government Fixed Income Portfolio ............................ 70
Statements of Assets and Liabilities ................................................... 71-73
Statements of Operations ............................................................... 74-79
Statements of Changes in Net Assets .................................................... 80-85
Financial Highlights ................................................................... 86-95
Notes to Financial Statements .......................................................... 96-102
Report of Independent Accountants ...................................................... 103
</TABLE>
This report is submitted for the information of the Fund's shareholders. It
is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
2
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
-----------------
<S> <C>
Performance Charts ..................................................................... 104-106
Schedules of Investments ...............................................................
The U.S. 6-10 Small Company Series ................................................ 107-128
The U.S. Large Company Series ..................................................... 129-133
The U.S. Small Cap Value Series ................................................... 134-144
The U.S. Large Cap Value Series ................................................... 145-146
The DFA One-Year Fixed Income Series .............................................. 147-148
The DFA International Value Series ................................................ 149-155
The Emerging Markets Series ....................................................... 156-159
Statements of Assets and Liabilities ................................................... 160
Statements of Operations ............................................................... 161-162
Statements of Changes in Net Assets .................................................... 163-165
Financial Highlights ................................................................... 166-167
Notes to Financial Statements .......................................................... 168-170
Report of Independent Accountants ...................................................... 171
</TABLE>
3
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
The U.S. 9-10 Small Company Portfolio
Vs. 9-10 CRSP Index
December 1984-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. 9-10 9-10
Small Company CRSP
Portfolio Index
------------- -----
$10000 $10000
Dec-84 10150 10047
Jan-85 11225 11394
Feb-85 11530 11815
Mar-85 11283 11622
Apr-85 11087 11493
May-85 11393 11747
Jun-85 11514 11822
Jul-85 11813 12112
Aug-85 11728 12066
Sep-85 11090 11377
Oct-85 11380 11647
Nov-85 12085 12250
Dec-85 12653 12675
Jan-86 12795 13159
Feb-86 13715 13946
Mar-86 14369 14586
Apr-86 14461 14817
May-86 14982 15303
Jun-86 15021 15382
Jul-86 13954 14179
Aug-86 14258 14323
Sep-86 13461 13409
Oct-86 13927 13693
Nov-86 13884 13608
Dec-86 13520 13113
Jan-87 14795 14543
Feb-87 15992 15655
Mar-87 16365 16080
Apr-87 15852 15683
May-87 15791 15598
Jun-87 16211 15828
Jul-87 16801 16167
Aug-87 17283 16396
Sep-87 17143 16112
Oct-87 12139 11525
Nov-87 11657 10907
Dec-87 12263 11256
Jan-88 12945 12110
Feb-88 13929 12926
Mar-88 14497 13471
Apr-88 14800 13663
May-88 14535 13303
Jun-88 15425 14004
Jul-88 15386 13981
Aug-88 15008 13677
Sep-88 15348 13878
Oct-88 15159 13656
Nov-88 14497 13143
Dec-88 15068 13499
Jan-89 15677 14146
4
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
Feb-89 15807 14250
Mar-89 16373 14579
Apr-89 16830 14950
May-89 17439 15377
Jun-89 17090 15220
Jul-89 17786 15686
Aug-89 18003 16000
Sep-89 18003 16027
Oct-89 16915 14997
Nov-89 16829 14869
Dec-89 16604 14609
Jan-90 15335 13677
Feb-90 15622 13870
Mar-90 16197 14153
Apr-90 15766 13712
May-90 16650 14260
Jun-90 16890 14355
Jul-90 16245 13731
Aug-90 14140 11959
Sep-90 12967 10840
Oct-90 12226 10121
Nov-90 12776 10516
Dec-90 13024 10514
Jan-91 14119 11595
Feb-91 15690 13280
Mar-91 16757 14342
Apr-91 16814 14541
May-91 17376 14927
Jun-91 16533 14341
Jul-91 17206 14846
Aug-91 17655 15299
Sep-91 17712 15493
Oct-91 18273 15851
Nov-91 17769 15300
Dec-91 18837 15941
Jan-92 20961 18152
Feb-92 21909 19128
Mar-92 21363 18679
Apr-92 20502 17803
May-92 20474 17824
Jun-92 19411 16897
Jul-92 20129 17436
Aug-92 19670 16943
Sep-92 19928 17212
Oct-92 20444 17686
Nov-92 22254 19401
Dec-92 23235 20090
Jan-93 24497 21253
Feb-93 24056 20658
Mar-93 24751 21259
Apr-93 23994 20606
May-93 24814 21389
Jun-93 24720 21428
Jul-93 25130 21760
5
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
Aug-93 25982 22683
Sep-93 26803 23381
Oct-93 28066 24473
Nov-93 27574 23800
Dec-93 28109 24079
Jan-94 29846 25275
Feb-94 29778 25179
Mar-94 28450 23956
Apr-94 28620 23721
May-94 28586 23702
Jun-94 27837 23074
Jul-94 28349 23189
Aug-94 29305 24226
Sep-94 29612 24616
Oct-94 29953 24761
Nov-94 29000 23800
Annualized One Five Ten
Total Return (%) Year Years Years
- ------------------------------------------------------------------------------
5.07 11.48 11.23
* Dimensional's objective is to
capture premium returns and
diversification benefits by
investing in a broad cross-section
of small companies on a market
cap weighted basis. The 9-10
Strategy provides access to
publicly traded U.S. small
companies with market
capitalization of approximately
$150 million or less.
* This portfolio's returns in fiscal
1994 reflected the performance of
small companies in the U.S.
Past performance is not predictive of
future performance.
CRSP 9-10 Index courtesy Center for Research in
Security Prices, University of Chicago.
- -------------------------------------------------------------------------------
6
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
The U.S. 6-10 Small Company Portfolio
Vs. CRSP 6-10 Index
April 1992-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. 6-10 CRSP
Small Company 6-10
Portfolio Index
------------- -----
$10000 $10000
Apr-92 9600 9600
May-92 9600 9700
Jun-92 9100 9300
Jul-92 9500 9600
Aug-92 9300 9400
Sep-92 9500 9600
Oct-92 9800 9900
Nov-92 10700 10700
Dec-92 11100 11100
Jan-93 11500 11500
Feb-93 11200 11200
Mar-93 11500 11600
Apr-93 11100 11200
May-93 11500 11700
Jun-93 11500 11800
Jul-93 11600 11900
Aug-93 12000 12500
Sep-93 12300 12800
Oct-93 12500 13200
Nov-93 12200 12800
Dec-93 12600 13200
Jan-94 13000 13700
Feb-94 12900 13600
Mar-94 12200 12800
Apr-94 12300 12800
May-94 12200 12700
Jun-94 11800 12400
Jul-94 12000 12600
Aug-94 12600 13300
Sep-94 12700 13300
Oct-94 12700 13300
Nov-94 12300 12800
Annualized From
Total Return (%) One Year April 1992
- ------------------------------------------------------------------------------
0.22 7.96
* The portfolio seeks to capture
premium returns and
diversification benefits by
investing in the 6-10 Small
Company Series of the DFA
Investment Trust Company
which in turn invests in a broad
cross-section of U.S. small
companies on a market cap
weighted basis.
* This portfolio's returns in fiscal
1994 reflected the performance of
small companies in the U.S.
Past performance is not predictive of
future performance.
CRSP 6-10 Index courtesy Center for Research in
Security Prices, University of Chicago.
- -------------------------------------------------------------------------------
7
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
The U.S. Large Company Portfolio
Vs. S&P 500 Index
January 1991-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. S&P
Large Company 500
Portfolio Index
------------- -----
$10000 $10000
Jan-91 10400 10400
Feb-91 11200 11200
Mar-91 11400 11500
Apr-91 11500 11500
May-91 12000 12000
Jun-91 11400 11400
Jul-91 11900 12000
Aug-91 12200 12200
Sep-91 12000 12000
Oct-91 12200 12200
Nov-91 11700 11700
Dec-91 13000 13100
Jan-92 12800 12800
Feb-92 12900 13000
Mar-92 12700 12700
Apr-92 13100 13100
May-92 13100 13200
Jun-92 12900 13000
Jul-92 13400 13500
Aug-92 13200 13200
Sep-92 13300 13400
Oct-92 13400 13400
Nov-92 13800 13900
Dec-92 14000 14100
Jan-93 14100 14200
Feb-93 14200 14400
Mar-93 14500 14700
Apr-93 14200 14300
May-93 14600 14700
Jun-93 14600 14700
Jul-93 14500 14700
Aug-93 15100 15200
Sep-93 15000 15100
Oct-93 15300 15400
Nov-93 15100 15300
Dec-93 15300 15500
Jan-94 15800 16000
Feb-94 15400 15500
Mar-94 14700 14900
Apr-94 14900 15100
May-94 15100 15300
Jun-94 14800 14900
Jul-94 15300 15400
Aug-94 15900 16100
Sep-94 15500 15700
Oct-94 15800 16000
Nov-94 15300 15400
Annualized One From
Total Return (%) Year January 1991
- ------------------------------------------------------------------------------
1.04 11.42
* The portfolio provides access
to U.S. large companies by
investing in the U.S. Large
Company Series of the DFA
Investment Trust Company
which in turn invests primarily
in the securities comprising the
S&P 500 Index.
* This portfolio's returns in fiscal
1994 were reflective of the
performance of the S&P 500 Index.
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
8
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The U.S. Small Cap Value Portfolio
Vs. Fama-French Small Cap Value Index
March 1993-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. Fama-French
Small Cap Small Cap
Value Portfolio Value Index
--------------- -----------
$10000 $10000
Mar-93 9900 10300
Apr-93 9700 10000
May-93 10000 10400
Jun-93 10000 10400
Jul-93 10300 10600
Aug-93 10600 10900
Sep-93 11000 11200
Oct-93 11300 11500
Nov-93 11100 11300
Dec-93 11400 11500
Jan-94 11900 12100
Feb-94 11900 12100
Mar-94 11500 11500
Apr-94 11600 11500
May-94 11600 11500
Jun-94 11400 11200
Jul-94 11600 11400
Aug-94 12000 11900
Sep-94 12000 11900
Oct-94 11800 11700
Nov-94 11400 11300
Annualized From
Total Return (%) One Year March 1993
- -------------------------------------------------------------------------------
2.19 7.67
* The portfolio seeks to capture return
premiums associated with high book-to-market
ratios by investing in the U.S. Small Cap
Value Series of the DFA Investment Trust
Company which in turn invests on a market cap
weighted basis in companies that are
approximately $500 million or less in market
cap and have book-to-market ratios in the
upper 30% of publicly traded companies.
* This portfolio's returns in fiscal 1994
reflected the performance of small U.S. companies
with high book-to-market ratios.
Past performance is not predictive of
future performance.
Fama-French Small Cap Value Index courtesy
Fama-French and CRSP, University of Chicago.
- ---------------------------------------------------------------------------
9
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The U.S. Large Cap Value Portfolio
Vs. Fama-French Large Cap Value Index
March 1993-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. Fama-French
Large Cap Value Large Cap Value
Series Index
--------------- ---------------
$10000 $10000
Mar-93 10100 10300
Apr-93 10100 10200
May-93 10200 10300
Jun-93 10400 10500
Jul-93 10600 10700
Aug-93 10800 11000
Sep-93 10600 10900
Oct-93 10800 11000
Nov-93 10700 10900
Dec-93 10900 11200
Jan-94 11200 11400
Feb-94 10700 11000
Mar-94 10300 10500
Apr-94 10400 10600
May-94 10400 10500
Jun-94 10200 10300
Jul-94 10600 10800
Aug-94 10900 11100
Sep-94 10600 10700
Oct-94 10800 10900
Nov-94 10300 10600
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
-3.27 1.62
* The portfolio seeks to capture return premiums
associated with high book-to-market ratios by
investing in the U.S. Large Cap Value Series of the
DFA Investment Trust Company which in turn
invests on a market cap weighted basis in companies
that are approximately $500 million or larger in
market cap and have book-to-market ratios in the
upper 30% of publicly traded companies.
* This portfolio's returns in fiscal 1994 reflected
the performance of large U.S. companies with high
book-to-market ratios.
Past performance is not predictive of future performance.
Fama-French Large Cap Value Index courtesy
Fama-French and CRSP, University of Chicago.
- -----------------------------------------------------------------------------
10
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The DFA/AEW Real Estate Securities Portfolio
Vs. NAREIT Index
February 1993-November 1994
The following reflects the growth of a $10,000 investment.
The DFA/AEW
Real Estate Securities NAREIT
Portfolio Index
---------------------- -----
$10000 $10000
Feb-93 10048 10616
Mar-93 10395 11421
Apr-93 9971 10879
May-93 9981 10695
Jun-93 10280 11062
Jul-93 10550 11254
Aug-93 10936 11529
Sep-93 11429 12062
Oct-93 11274 11773
Nov-93 10713 11159
Dec-93 11134 11165
Jan-94 11380 11476
Feb-94 11321 11963
Mar-94 10700 11510
Apr-94 10670 11717
May-94 10612 11987
Jun-94 10346 11749
Jul-94 10376 11721
Aug-94 10554 11721
Sep-94 10210 11476
Oct-94 9786 11094
Nov-94 9500 10700
Annualized From
Total Return (%) One Year February 1993
- ------------------------------------------------------------------------------
-11.76 -3.01
* This portfolio invests in equity REITS.
The portfolio invests on a market capitalized
weighted basis.
* This portfolio's returns in fiscal 1994
reflected the performance of equity REITS and
U.S. companies.
Past performance is not predictive of future performance.
- ------------------------------------------------------------------------------
11
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The Japanese Small Company Portfolio
Vs. Japanese Large Company Stocks
February 1986-November 1994
The following reflects the growth of a $10,000 investment.
The Japanese Japanese
Small Company Large Company
Portfolio Stocks
------------- -------------
$10000 $10000
Feb-86 10943 11039
Mar-86 11409 13200
Apr-86 12572 13775
May-86 12884 13742
Jun-86 14947 15253
Jul-86 15335 17190
Aug-86 14788 18730
Sep-86 13294 18423
Oct-86 12479 16085
Nov-86 13699 17354
Dec-86 13827 18445
Jan-87 14822 21242
Feb-87 15050 21563
Mar-87 16284 23984
Apr-87 17315 27692
May-87 19039 27642
Jun-87 19850 25597
Jul-87 20341 24678
Aug-87 23160 27691
Sep-87 23019 26780
Oct-87 22563 24795
Nov-87 23711 25817
Dec-87 25938 26168
Jan-88 26851 27469
Feb-88 28585 29636
Mar-88 30423 31770
Apr-88 32340 32094
May-88 34416 30678
Jun-88 33119 29599
Jul-88 31135 30794
Aug-88 30017 28599
Sep-88 30107 29991
Oct-88 31697 32169
Nov-88 35003 35321
Dec-88 34355 35417
Jan-89 36836 35353
Feb-89 37539 36145
Mar-89 37074 34891
Apr-89 39209 34898
May-89 38017 33111
Jun-89 36789 31402
Jul-89 40785 35585
Aug-89 39235 32952
Sep-89 44484 35282
Oct-89 43519 34343
Nov-89 45726 36091
Dec-89 47587 36185
Jan-90 46735 33858
Feb-90 45132 30401
Mar-90 38114 24561
Apr-90 34745 24795
May-90 41492 28333
Jun-90 41874 26961
Jul-90 43846 26689
Aug-90 37221 24004
Sep-90 31165 20092
Oct-90 40851 25090
Nov-90 32411 21959
Dec-90 31711 23092
Jan-91 30278 23762
Feb-91 37166 26587
Mar-91 36155 24904
Apr-91 37442 25723
May-91 36836 25520
Jun-91 34349 23683
Jul-91 34256 24467
Aug-91 30471 23099
Sep-91 34362 25118
Oct-91 36860 26344
Nov-91 32931 24363
Dec-91 33965 25130
12
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
Jan-92 32773 24004
Feb-92 31233 21983
Mar-92 27710 19604
Apr-92 24964 18405
May-92 28381 19905
Jun-92 25756 18085
Jul-92 23773 17847
Aug-92 27003 21030
Sep-92 26777 20517
Oct-92 25207 19594
Nov-92 25354 20105
Dec-92 25100 19824
Jan-93 24563 19705
Feb-93 25872 20566
Mar-93 30019 23466
Apr-93 35255 27544
May-93 39912 28329
Jun-93 37721 27941
Jul-93 39166 29830
Aug-93 39784 30486
Sep-93 37664 28929
Oct-93 34579 28853
Nov-93 27771 24113
Dec-93 28654 24790
Jan-94 34370 28965
Feb-94 36092 30202
Mar-94 36803 28927
Apr-94 38253 30073
May-94 38636 30773
Jun-94 41908 32352
Jul-94 40399 31181
Aug-94 39915 31399
Sep-94 38110 30577
Oct-94 39120 31491
Nov-94 36000 30000
Annualized One Five From
Total Return (%) Year Years February 1986
- ------------------------------------------------------------------------------
28.29 -4.87 15.60
* Dimensional's objective is to capture premium returns
and diversification benefits by investing in a
broad cross section of small companies on a market
cap weighted basis. The Japanese Small Company
Strategy provides access to publicly traded small
companies listed on the lower half, of companies on
the first section of Tokyo Stock Exchange. Currently,
these companies have market capitalization of
approximately $785 million or less.
* This portfolio's returns in fiscal 1994 reflected
the performance of small cap companies in Japan.
Past performance is not predictive of
future performance.
Japanese Large Company Stocks courtesy
Morgan Stanley Capital International Index.
- ------------------------------------------------------------------------------
13
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The Pacific Rim Small Company Portfolio
Vs. Pacific Rim Large Company Stocks
February 1993-November 1994
The following reflects the growth of a $10,000 investment.
The Pacific Rim Pacific Rim
Small Company Large Company
Portfolio Stocks
--------------- -------------
$10000 $10000
Feb-93 10580 10770
Mar-93 11125 10953
Apr-93 12215 11512
May-93 13218 11949
Jun-93 12848 11591
Jul-93 13082 11996
Aug-93 13422 12908
Sep-93 13967 13153
Oct-93 15777 15284
Nov-93 16128 14826
Dec-93 18749 17909
Jan-94 17716 17426
Feb-94 17904 16572
Mar-94 16013 14782
Apr-94 16427 15462
May-94 16436 15972
Jun-94 15983 15270
Jul-94 16435 16079
Aug-94 17390 17156
Sep-94 17981 16710
Oct-94 18139 16977
Nov-94 16800 15600
Annualized One From
Total Return (%) Year February 1993
- -----------------------------------------------------------------------------
2.70 32.78
* Dimensional's objective is to
capture premium returns and
diversification benefits by
investing in a broad
cross-section of small
companies on a market cap
weighted basis. The Pacific Rim
Small Company Strategy
provides access to publicly
traded small companies listed
on the major exchanges of Hong
Kong, Singapore, Australia,
Korea and Malaysia. Currently,
these companies have market
capitalization of approximately
$573 million or less.
* This portfolio's returns in fiscal
1994 reflected the performance
of small cap companies in the
Pacific Rim.
Past performance is not predictive of
future performance.
Pacific Rim Large Company Stocks courtesy
Morgan Stanley Capital International.
- ------------------------------------------------------------------------------
14
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The United Kingdom Small Company Portfolio
Vs. United Kingdom Large Company Stocks
April 1986-November 1994
The following reflects the growth of a $10,000 investment.
The United Kingdom United Kingdom
Small Company Large Company
Portfolio Stocks
----------------- ----------------
$10000 $10000
Apr-86 10775 10550
May-86 10193 9759
Jun-86 10975 10569
Jul-86 10421 9723
Aug-86 10682 10336
Sep-86 10071 9457
Oct-86 10171 9684
Nov-86 10729 10023
Dec-86 11418 10635
Jan-87 12626 11762
Feb-87 14218 13126
Mar-87 15680 13901
Apr-87 16796 14735
May-87 17794 15530
Jun-87 19314 16245
Jul-87 20756 16700
Aug-87 20352 16396
Sep-87 21194 17255
Oct-87 17513 13466
Nov-87 15819 12891
Dec-87 17292 14568
Jan-88 17168 14393
Feb-88 17131 14220
Mar-88 18543 15166
Apr-88 19007 15671
May-88 19069 15323
Jun-88 18385 14929
Jul-88 18730 14999
Aug-88 17610 14044
Sep-88 17853 14697
Oct-88 19162 15710
Nov-88 19563 15994
Dec-88 18449 15589
Jan-89 19551 17228
Feb-89 20124 17002
Mar-89 20043 17045
Apr-89 20057 17336
May-89 18691 16214
Jun-89 18390 16221
Jul-89 20189 18596
Aug-89 18919 18069
Sep-89 19243 18129
Oct-89 16653 16416
Nov-89 16549 17241
Dec-89 17294 18729
Jan-90 18190 19065
Feb-90 17746 18512
Mar-90 16889 17968
Apr-90 15842 16810
May-90 17079 19112
Jun-90 18333 20260
Jul-90 19339 21235
Aug-90 17396 19889
Sep-90 15611 18101
Oct-90 16396 19513
Nov-90 16181 20289
Dec-90 16141 20307
Jan-91 15681 20872
Feb-91 17301 22494
Mar-91 17326 21207
Apr-91 17274 21190
May-91 16865 21035
Jun-91 15519 19424
Jul-91 16244 21578
Aug-91 16824 22077
Sep-91 18597 23092
Oct-91 18426 23353
15
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
Nov-91 18212 21611
Dec-91 18524 23444
Jan-92 18277 23303
Feb-92 18190 22886
Mar-92 17275 21346
Apr-92 19201 24278
May-92 20854 25691
Jun-92 20018 24885
Jul-92 18014 23730
Aug-92 17407 23692
Sep-92 16448 23415
Oct-92 14576 21537
Nov-92 14400 21804
Dec-92 15938 22748
Jan-93 16940 22432
Feb-93 16630 21965
Mar-93 17960 23527
Apr-93 19191 24306
May-93 19429 24479
Jun-93 19091 24043
Jul-93 18762 24014
Aug-93 20303 25690
Sep-93 20230 25413
Oct-93 20294 26315
Nov-93 19645 26231
Dec-93 20818 28311
Jan-94 23643 29854
Feb-94 23541 28483
Mar-94 22185 27085
Apr-94 22984 27911
May-94 22269 26688
Jun-94 21590 26857
Jul-94 22119 28403
Aug-94 22891 29775
Sep-94 22584 28266
Oct-94 23011 30021
Nov-94 22000 28900
Annualized One Five From
Total Return (%) Year Years April 1986
- ------------------------------------------------------------------------------
10.17 5.51 9.51
* Dimensional's objective is to capture premium
returns and diversification benefits by
investing in a broad cross-section of small
companies on a market cap weighted basis.
The United Kingdom Small Company Portfolio
provides access to publicly traded small
companies listed on the bottom half by market
cap of companies traded on the London Stock Exchange.
Currently, these companies have market
capitalization of approximately $380 million or less.
* This portfolio's returns in fiscal 1994 reflected the
performance of small cap companies in the United Kingdom.
Past performance is not predictive of
future performance.
United Kingdom Large Company Stocks courtesy
Morgan Stanley Capital International.
- -------------------------------------------------------------------------------
16
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The Emerging Markets Portfolio
Vs. MSCI Emerging Markets Free
Equal Weighted Index
May 1994-November 1994
The following reflects the growth of a $10,000 investment.
The Emerging Markets MSCI Emerging Markets
Portfolio Free Equal Weighted Index
------------------ -------------------------
$10000 $10000
May-94 10008 10320
Jun-94 10047 10018
Jul-94 10775 10635
Aug-94 11740 11942
Sep-94 11859 12066
Oct-94 11504 11832
Nov-94 11100 11200
Total From
Return (%) May 1994
- ------------------------------------------------------------------------------
11.31
* This portfolio provides access to
non-U.S. large companies in
"emerging market" countries,
including Argentina, Brazil, Chile,
Indonesia, Malaysia, Mexico,
Portugal, Thailand and Turkey.
Investment is based on market
capitalization, with investments
attempting to capture between 40%
and 75% of the largest companies
in each country. The portfolio
attempts to have equal
country-weighting.
* This was a new portfolio in fiscal
1994. Its returns reflected the
performance of an equally weighted
emerging markets country portfolio.
Past performance is not predictive of
future performance.
MSCI Emerging Markets Free Equal-Weighted
Index created by equal-weighting the MSCI country
returns for the nine countries that Dimensional is
currently invested in. Courtesy of Morgan Stanley.
- ------------------------------------------------------------------------------
17
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
==============================================================================
The Continental Small Company Portfolio
Vs. Continental Large Company Stocks
May 1988-November 1994
The following reflects the growth of a $10,000 investment.
The Continental Continental
Small Company Large Company
Portfolio Stocks
--------------- -------------
$10000 $10000
May-88 9676 9891
Jun-88 9763 9952
Jul-88 9608 9930
Aug-88 9559 9633
Sep-88 10189 10196
Oct-88 11129 11235
Nov-88 11623 11390
Dec-88 11760 11620
Jan-89 11965 11514
Feb-89 12023 11502
Mar-89 12180 11599
Apr-89 12970 12032
May-89 12697 11562
Jun-89 13146 12274
Jul-89 14132 13493
Aug-89 14152 13425
Sep-89 15382 13843
Oct-89 14835 13173
Nov-89 15763 13928
Dec-89 17016 15485
Jan-90 16936 15373
Feb-90 16645 15041
Mar-90 17409 15610
Apr-90 17840 15502
May-90 18343 16277
Jun-90 18976 16653
Jul-90 20141 17356
Aug-90 17851 15218
Sep-90 15982 13183
Oct-90 16917 14333
Nov-90 16315 14106
Dec-90 16323 13849
Jan-91 15863 14288
Feb-91 16951 15607
Mar-91 15571 14424
Apr-91 15571 14306
May-91 15633 14948
Jun-91 14724 13706
Jul-91 15048 14254
Aug-91 15048 14451
Sep-91 15497 14815
Oct-91 15006 14557
Nov-91 14829 14463
Dec-91 15651 15532
Jan-92 15392 15636
Feb-92 15314 15858
Mar-92 15122 15531
Apr-92 15054 15781
May-92 15637 16688
Jun-92 15704 16605
Jul-92 15312 16042
Aug-92 15368 15991
Sep-92 14482 15751
Oct-92 13338 14759
Nov-92 12776 14640
Dec-92 12546 14802
Jan-93 12939 15068
Feb-93 12939 15595
18
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
Mar-93 13631 16204
Apr-93 14231 16495
May-93 14253 16726
Jun-93 13504 16442
Jul-93 13446 16573
Aug-93 14911 18214
Sep-93 14946 18251
Oct-93 15061 19054
Nov-93 14725 18368
Dec-93 15720 19764
Jan-94 16905 20851
Feb-94 17129 20288
Mar-94 17680 20166
Apr-94 18361 21073
May-94 18091 20294
Jun-94 17915 19949
Jul-94 18362 20986
Aug-94 18549 21385
Sep-94 18139 20615
Oct-94 18150 21357
Nov-94 17400 20600
Annualized One Five From
Total Return (%) Year Years May 1988
- ------------------------------------------------------------------------------
16.42 1.69 8.78
* Dimensional's objective is to capture premium returns and
diversification benefits by investing in a broad
cross-section of small companies on a market cap weighted
basis. The Continental Small Company Strategy provides access
to publicly traded small companies listed on the major exchanges
of France, Germany, Italy, Switzerland, The Netherlands, Belgium
and Spain. Currently, these companies have market capitalization
of approximately $594 million or less.
* This portfolio's returns in fiscal 1994 reflected the
performance of small companies in Continental Europe.
Past performance is not predictive of future
performance.
Continental Large Company Stocks courtesy of
Morgan Stanley Capital International.
- ------------------------------------------------------------------------------
19
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
The Large Cap International Portfolio
Vs. EAFE Index
August 1991-November 1994
The following reflects the growth of a $10,000 investment.
The Large Cap
International EAFE
Portfolio Index
------------- ------
$10000 $10000
Aug-91 9900 9800
Sep-91 10300 10400
Oct-91 10600 10500
Nov-91 10300 10000
Dec-91 10900 10500
Jan-92 10500 10300
Feb-92 10100 9900
Mar-92 9400 9300
Apr-92 9400 9300
May-92 10000 10000
Jun-92 9500 9500
Jul-92 9400 9300
Aug-92 10100 9800
Sep-92 9900 9700
Oct-92 9300 9200
Nov-92 9400 9200
Dec-92 9500 9300
Jan-93 9400 9300
Feb-93 9600 9600
Mar-93 10400 10400
Apr-93 11100 11400
May-93 11300 11600
Jun-93 11100 11500
Jul-93 11500 11900
Aug-93 12100 12500
Sep-93 11800 12200
Oct-93 12100 12600
Nov-93 11200 11500
Dec-93 11900 12300
Jan-94 12700 13400
Feb-94 12400 13400
Mar-94 12000 12800
Apr-94 12400 13300
May-94 12300 13200
Jun-94 12500 13400
Jul-94 12700 13600
Aug-94 13000 13900
Sep-94 12500 13500
Oct-94 13000 13900
Nov-94 12400 13300
Annualized One From
Total Return (%) Year August 1991
- ------------------------------------------------------------------------------
10.74 6.66
* This portfolio provides access to non-U.S.
large companies in Europe, Australia and the
Far East (currently 8 countries). Investment
will be based on market capitalization, with
investments made in the largest 50% of
companies in each country. Country weighting is
designed to reflect each country's market
capitalization relative to the overall index,
adjusted to reflect cross-ownership.
* This portfolio's returns in fiscal 1994 reflect
the performance of its strategy.
Past performance is not predictive of
future performance.
EAFE Index courtesy Morgan Stanley Capital
International.
- ------------------------------------------------------------------------------
20
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
The DFA International High Book to Market Portfolio
Vs. EAFE Index
July 1993-November 1994
The following reflects the growth of a $10,000 investment.
The DFA
International High Book to Market EAFE
Portfolio Index
--------------------------------- -----
$10000 $10000
Jul-93 10400 10300
Aug-93 11000 10900
Sep-93 10800 10700
Oct-93 11000 11000
Nov-93 10300 10000
Dec-93 11100 10800
Jan-94 12000 11700
Feb-94 11900 11600
Mar-94 11600 11100
Apr-94 12000 11600
May-94 12100 11600
Jun-94 12200 11700
Jul-94 12400 11800
Aug-94 12600 12100
Sep-94 12200 11700
Oct-94 12700 12100
Nov-94 12000 11600
Annualized From
Total Return (%) One Year July 1993
- -------------------------------------------------------------------------------
16.71 13.80
* This portfolio invests in the International Value
Series of the DFA Investment Trust Company which in
turn invests in companies with market capitalization
greater than $500 million, and whose book-to-market
factor is in the upper 30% of such large publicly
traded companies. Country weightings are designed
to reflect each country's market capitalization
relative to our country universe, adjusted to reflect
cross-ownership.
* This portfolio's returns in fiscal 1994 reflected the
performance of large, high book-to-market companies.
Past performance is not predictive of
future performance.
EAFE Index courtesy Morgan Stanley
Capital International.
- ------------------------------------------------------------------------------
21
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
The DFA One-Year Fixed Income Portfolio
Vs. One Month CD's
December 1984-November 1994
The following reflects the growth of a $10,000 investment.
The DFA
One-Year Fixed Income One Month
Portfolio CD's
-------------------- ----------
$10000 $10000
Dec-84 10100 10100
Jan-85 10200 10100
Feb-85 10200 10200
Mar-85 10300 10300
Apr-85 10400 10400
May-85 10600 10400
Jun-85 10600 10500
Jul-85 10700 10600
Aug-85 10800 10600
Sep-85 10900 10700
Oct-85 10900 10800
Nov-85 11000 10800
Dec-85 11100 10900
Jan-86 11200 11000
Feb-86 11300 11000
Mar-86 11500 11100
Apr-86 11500 11200
May-86 11600 11200
Jun-86 11700 11300
Jul-86 11800 11400
Aug-86 11900 11400
Sep-86 11900 11500
Oct-86 12000 11500
Nov-86 12100 11600
Dec-86 12100 11700
Jan-87 12200 11700
Feb-87 12300 11800
Mar-87 12300 11800
Apr-87 12300 11900
May-87 12300 12000
Jun-87 12500 12000
Jul-87 12500 12100
Aug-87 12600 12200
Sep-87 12600 12200
Oct-87 12700 12300
Nov-87 12800 12400
Dec-87 12900 12400
Jan-88 13100 12500
Feb-88 13200 12600
Mar-88 13200 12600
Apr-88 13300 12700
May-88 13300 12800
Jun-88 13400 12800
Jul-88 13500 12900
Aug-88 13500 13000
Sep-88 13600 13100
Oct-88 13800 13200
Nov-88 13800 13200
Dec-88 13900 13300
Jan-89 14000 13400
Feb-89 14000 13500
Mar-89 14200 13600
Apr-89 14300 13700
May-89 14400 13800
Jun-89 14600 14000
Jul-89 14700 14100
Aug-89 14800 14200
Sep-89 14900 14300
Oct-89 15000 14400
Nov-89 15100 14500
Dec-89 15200 14600
Jan-90 15300 14700
Feb-90 15400 14800
Mar-90 15500 14800
Apr-90 15600 14900
May-90 15700 15000
Jun-90 15900 15100
Jul-90 16000 15200
Aug-90 16100 15300
Sep-90 16200 15400
Oct-90 16300 15500
Nov-90 16500 15600
Dec-90 16600 15700
22
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
Jan-91 16700 15800
Feb-91 16800 15900
Mar-91 16900 16000
Apr-91 17000 16100
May-91 17100 16200
Jun-91 17200 16200
Jul-91 17300 16300
Aug-91 17500 16400
Sep-91 17600 16500
Oct-91 17700 16600
Nov-91 17900 16600
Dec-91 18000 16700
Jan-92 18100 16700
Feb-92 18200 16800
Mar-92 18200 16800
Apr-92 18300 16900
May-92 18400 16900
Jun-92 18500 17000
Jul-92 18700 17000
Aug-92 18800 17100
Sep-92 18900 17100
Oct-92 18900 17200
Nov-92 18900 17200
Dec-92 19000 17300
Jan-93 19100 17300
Feb-93 19200 17300
Mar-93 19300 17400
Apr-93 19400 17400
May-93 19400 17400
Jun-93 19500 17500
Jul-93 19500 17500
Aug-93 19600 17600
Sep-93 19700 17600
Oct-93 19700 17600
Nov-93 19700 17700
Dec-93 19800 17700
Jan-94 19900 17800
Feb-94 19900 17800
Mar-94 19900 17800
Apr-94 19900 17900
May-94 19900 17900
Jun-94 20000 18000
Jul-94 20100 18000
Aug-94 20200 18100
Sep-94 20200 18200
Oct-94 20300 18200
Nov-94 20200 18300
Annualized One Five Ten
Total Return (%) Year Year Year
- -------------------------------------------------------------------------------
2.48 6.02 7.31
* The portfolio maximizes expected returns by
investing in the One-Year Fixed Income Series
of the DFA Investment Trust Company which uses
a strategy shifting maturities based on changes
in the yield curve. Using current prices, the
strategy creates a matrix of expected returns
from different buy and sell strategies and
identifies the optimal maturity range for
the highest expected returns. Issues which meet
maturity and quality level are further evaluated
for business risk. Maturities are shifted
if sufficient premiums can be documented.
* This portfolio's returns in fiscal 1994
reflected the performance of its strategy.
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
23
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
The DFA Five-Year Government Portfolio
Vs. Lehman Intermediate Government Index
June 1987-November 1994
The following reflects the growth of a $10,000 investment.
The DFA Lehman
Five-Year Government Intermediate Government
Portfolio Index
------------------- -----------------------
$10000 $10000
Jun-87 10100 10100
Jul-87 10100 10100
Aug-87 10100 10100
Sep-87 9900 10000
Oct-87 10300 10300
Nov-87 10300 10300
Dec-87 10400 10400
Jan-88 10800 10700
Feb-88 10900 10800
Mar-88 10800 10800
Apr-88 10800 10800
May-88 10700 10700
Jun-88 10900 10900
Jul-88 10800 10900
Aug-88 10800 10900
Sep-88 11000 11100
Oct-88 11200 11200
Nov-88 11100 11100
Dec-88 11100 11100
Jan-89 11200 11300
Feb-89 11200 11200
Mar-89 11300 11300
Apr-89 11400 11500
May-89 11500 11700
Jun-89 11700 12000
Jul-89 11800 12300
Aug-89 11800 12100
Sep-89 11900 12200
Oct-89 12000 12400
Nov-89 12100 12500
Dec-89 12200 12600
Jan-90 12200 12500
Feb-90 12300 12500
Mar-90 12300 12500
Apr-90 12400 12500
May-90 12600 12800
Jun-90 12700 12900
Jul-90 12800 13100
Aug-90 12700 13100
Sep-90 12900 13200
Oct-90 13100 13300
Nov-90 13300 13500
Dec-90 13500 13700
Jan-91 13600 13900
Feb-91 13700 14000
Mar-91 13700 14100
Apr-91 13900 14200
May-91 14000 14300
Jun-91 13900 14300
Jul-91 14100 14500
Aug-91 14400 14700
Sep-91 14700 15000
Oct-91 14900 15200
Nov-91 15100 15300
Dec-91 15400 15700
Jan-92 15300 15600
Feb-92 15300 15600
Mar-92 15200 15600
Apr-92 15400 15700
May-92 15600 16000
Jun-92 15900 16200
Jul-92 16300 16500
Aug-92 16500 16700
Sep-92 16700 16900
Oct-92 16500 16700
Nov-92 16300 16600
Dec-92 16600 16900
Jan-93 16900 17200
Feb-93 17200 17400
24
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
Mar-93 17200 17500
Apr-93 17400 17700
May-93 17300 17600
Jun-93 17600 17900
Jul-93 17600 17900
Aug-93 17900 18200
Sep-93 18000 18300
Oct-93 18000 18300
Nov-93 17900 18200
Dec-93 18000 18300
Jan-94 18200 18500
Feb-94 17800 18300
Mar-94 17500 18000
Apr-94 17400 17800
May-94 17400 17800
Jun-94 17400 17800
Jul-94 17600 18100
Aug-94 17700 18100
Sep-94 17500 18000
Oct-94 17500 18000
Nov-94 17300 17900
Annualized One Five From
Total Return (%) Year Year June 1987
- ------------------------------------------------------------------------------
-3.13 7.46 7.61
* DFA Five-Year Government
Portfolio maximizes expected
returns by shifting maturities
based on changes in the yield curve.
Using current prices the strategy
creates a matrix of expected returns
from different buy and sell strategies
and identifies the optimal maturity
range for the highest expected returns.
Maturities are shifted if sufficient
premiums can be documented. Investments
are made in U.S. governments securities
with a maximum maturity of five years.
* This portfolio's returns in fiscal 1994
reflected the performance of its strategy.
Past performance is not predictive of
future performance.
Lehman Index courtesy Lehman Brothers.
- -------------------------------------------------------------------------------
25
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
The DFA Global Fixed Income Portfolio
Vs. Salomon World Fixed Income Index
December 1990-November 1994
The following reflects the growth of a $10,000 investment.
The DFA Salomon
Global Fixed Income World Fixed Income
Portfolio Index
------------------- ------------------
$10000 $10000
Dec-90 10100 10100
Jan-91 10100 10300
Feb-91 10200 10400
Mar-91 10200 10400
Apr-91 10300 10500
May-91 10400 10500
Jun-91 10400 10500
Jul-91 10500 10600
Aug-91 10700 10800
Sep-91 10900 11000
Oct-91 11000 11100
Nov-91 11100 11200
Dec-91 11400 11500
Jan-92 11300 11400
Feb-92 11300 11500
Mar-92 11200 11400
Apr-92 11300 11400
May-92 11500 11600
Jun-92 11700 11700
Jul-92 11900 11900
Aug-92 12100 12000
Sep-92 12300 12100
Oct-92 12100 12200
Nov-92 12000 12200
Dec-92 12100 12300
Jan-93 12400 12500
Feb-93 12500 12800
Mar-93 12600 12800
Apr-93 12600 12800
May-93 12600 12800
Jun-93 12800 13100
Jul-93 12900 13200
Aug-93 13200 13500
Sep-93 13200 13600
Oct-93 13300 13700
Nov-93 13400 13700
Dec-93 13500 13900
Jan-94 13600 13900
Feb-94 13300 13600
Mar-94 13000 13400
Apr-94 12900 13300
May-94 12800 13300
Jun-94 12700 13200
Jul-94 12800 13300
Aug-94 12900 13200
Sep-94 12800 13200
Oct-94 12800 13200
Nov-94 13000 13300
Annualized One From
Total Return (%) Year December 1990
- ------------------------------------------------------------------------------
-2.91 6.72
* The DFA Global Fixed Income Portfolio invests in U.S. and
international government bonds, debt guaranteed by foreign governments,
high quality corporate debt and debt of supranational issuers with maturities
of 10 years or less. Eligible countries: United States, Canada,
United Kingdom, Germany, Japan, France and Australia. The portfolio is
diversified across countries. Using current prices the strategy creates a
matrix of expected horizon returns from different buy and sell strategies
and identifies the maturity range with the highest expected return.
Maturities are shifted only if sufficient premiums warrant it. Country
weighting is increased or reduced based on expected returns. The portfolio
may be concentrated in the U.S. if international curves are inverted.
* This portfolio's return in fiscal 1994 reflected the performance
of its strategy.
Past performance is not predictive of
future performance.
Salomon World Fixed Income Index courtesy
Salomon Brothers.
- ------------------------------------------------------------------------------
26
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
===============================================================================
The DFA Intermediate Government Fixed Income Portfolio
Vs. Lehman Intermediate Government Index
November 1990-November 1994
The following reflects the growth of a $10,000 investment.
The DFA Lehman
Intermediate Government Fixed Income Intermediate Government
Portfolio Index
------------------------------------ ------------------------
$10000 $10000
Nov-90 10300 10200
Dec-90 10400 10300
Jan-91 10600 10400
Feb-91 10600 10500
Mar-91 10700 10600
Apr-91 10800 10700
May-91 10900 10700
Jun-91 10800 10700
Jul-91 11000 10900
Aug-91 11200 11100
Sep-91 11500 11300
Oct-91 11600 11400
Nov-91 11800 11500
Dec-91 12200 11800
Jan-92 12000 11700
Feb-92 12000 11700
Mar-92 11900 11700
Apr-92 12000 11800
May-92 12200 12000
Jun-92 12500 12200
Jul-92 12900 12400
Aug-92 13000 12500
Sep-92 13300 12700
Oct-92 13000 12500
Nov-92 12900 12500
Dec-92 13100 12600
Jan-93 13500 12900
Feb-93 13800 13100
Mar-93 13900 13100
Apr-93 14000 13200
May-93 14000 13200
Jun-93 14300 13400
Jul-93 14300 13500
Aug-93 14700 13700
Sep-93 14800 13700
Oct-93 14800 13800
Nov-93 14600 13700
Dec-93 14700 13800
Jan-94 14900 13900
Feb-94 14500 13700
Mar-94 14200 13500
Apr-94 14000 13400
May-94 14000 13400
Jun-94 13900 13400
Jul-94 14200 13600
Aug-94 14200 13600
Sep-94 14000 13500
Oct-94 14000 13500
Nov-94 13900 13400
Annualized One From
Total Return (%) Year November 1990
- ------------------------------------------------------------------------------
-4.72 8.43
* The strategy employs a buy and hold strategy
investing in securities with a maturity of
between five and fifteen years and maintaining
an average weighted maturity of seven to ten years.
The investment universe includes obligations of
the U.S. Government, U.S. Government Agencies
and AAA rated dollar denominated obligations of
foreign securities or options on such contracts.
Performance is expected to match or exceed the
returns of the Lehman Intermediate Government
Index without exceeding the volatility of that index.
Portfolio turnover is estimated to be no more than 30%.
* This portfolio's returns in fiscal 1994 reflected
the performance of its strategy.
Past performance is not predictive of
future performance.
Lehman Index courtesy Lehman Brothers.
- ------------------------------------------------------------------------------
27
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULE OF INVESTMENTS
THE U.S 9-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (98.2%)
*A Plus Communications, Inc. ............................ 57,100 $ 720,888
*AAON, Inc. ............................................. 5,000 69,375
ABS Industries, Inc. ................................... 122,200 1,664,975
ACC Corp. .............................................. 14,500 235,625
*ACS Enterprises, Inc. .................................. 23,900 170,288
*AEL Industries, Inc. Class A ........................... 1,000 9,000
AEP Industries, Inc. ................................... 22,350 360,394
*ARI Holdings Corp. ..................................... 2,200 11,825
*ARI Network Services, Inc. ............................. 15,500 47,469
*ARK Restaurants Corp. .................................. 4,800 37,200
*AW Computer Systems, Inc. Class A ..................... 1,000 1,625
Aaron Rents, Inc. Class A .............................. 41,500 526,531
Aaron Rents, Inc. Class B .............................. 52,100 657,763
*Abaxis, Inc. ........................................... 1,000 3,938
Abington Savings Bank MA ............................... 18,400 239,200
*Accell International Corp. ............................. 97,293 249,313
*Acceptance Insurance Companies, Inc. ................... 55,420 796,663
*Access Health Marketing, Inc. .......................... 1,000 17,375
Aceto Corp. ............................................ 5,710 82,795
*Ackerley Communications, Inc. .......................... 21,500 142,438
*Acmat Corp. ............................................ 100 1,550
*Acme Electric Corp. .................................... 126,584 1,693,161
*Acme Metals, Inc. ...................................... 98,500 1,563,328
*Acme United Corp. ...................................... 69,033 198,470
Acme-Cleveland Corp. ................................... 42,100 457,838
*Action Industries, Inc. ................................ 47,100 82,425
*Adage, Inc. ............................................ 50,942 241,974
*Adams Resources & Energy, Inc. (New) ................... 74,150 667,350
*Advance Circuits, Inc. ................................. 189,012 2,339,084
*Advance Ross Corp. (New) ............................... 60,500 1,255,375
*Advanced Logic Research, Inc. .......................... 3,100 14,531
*Advanced Magnetics, Inc. ............................... 45,550 632,006
*Advanced Marketing Services, Inc. ...................... 31,500 196,875
*Advanced Polymer Systems, Inc. ......................... 71,000 321,719
*Advantage Bancorp, Inc. ................................ 1,000 28,375
*Advantage Health Corp. ................................. 49,100 1,436,175
*Advest Group, Inc. ..................................... 7,900 41,475
*Aequitron Medical, Inc. ................................ 55,700 219,319
*Aeroflex, Inc. ......................................... 97,252 376,852
*Aerovox, Inc. .......................................... 1,000 7,000
*Agouron Pharmaceuticals, Inc. .......................... 36,500 415,188
*Agridyne Technology, Inc. .............................. 63,900 95,850
*Aileen, Inc. ........................................... 104,200 182,350
*Air Methods Corp. (New) ................................ 5,000 10,000
*Airsensors, Inc. ....................................... 10,000 95,000
Airtran Corp. .......................................... 59,100 465,413
*Akorn, Inc. ............................................ 9,500 29,984
*Alamco, Inc. (New) ..................................... 45,260 282,875
*Alantec Corp. .......................................... 15,000 311,250
Alatenn Resources, Inc. ................................ 39,900 688,275
*Alba-Waldensian, Inc. .................................. 21,000 225,750
*Alexander Energy Co. ................................... 31,000 201,500
*Alfin, Inc. ............................................ 78,727 68,886
*Alkermes, Inc. ......................................... 136,000 459,000
</TABLE>
28
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*All American Semiconductor, Inc. ....................... 1,000 $ 2,031
*All for a Dollar, Inc. ................................. 1,000 875
*Allegheny & Western Energy Corp. ....................... 49,400 534,138
*Allegiant Physician Services, Inc. ..................... 25,000 53,906
*Allerion, Inc. ......................................... 12,000 6,000
*Allied Holdings, Inc. .................................. 75,000 909,375
Allied Life Financial Corp. ............................ 20,000 285,000
*Allied Products Corp. .................................. 212,994 2,928,668
*Allied Research Corp. .................................. 41,040 225,720
*Allied Waste Industries, Inc. .......................... 42,500 191,250
*Allou Health & Beauty Care, Inc. Class A ............... 27,500 213,125
*Allstate Financial Corp. ............................... 1,500 9,234
*Alltrista Corp. ........................................ 6,374 125,090
*Aloette Cosmetics, Inc. ................................ 7,200 16,200
*Alpha Beta Technology, Inc. ............................ 108,000 1,215,000
*Alpha Industries, Inc. ................................. 86,700 552,713
*Alpha Microsystems, Inc. ............................... 48,600 60,750
*Alpha One Biomedicals, Inc. ............................ 60,700 51,216
*Alpharel, Inc. ......................................... 60,300 101,756
*Alpine Group, Inc. ..................................... 159,544 917,378
*Alpine Lace Brands, Inc. ............................... 28,500 108,656
*Alpnet, Inc. ........................................... 30,500 12,867
*Alta Gold Co. .......................................... 14,143 18,121
*Alteon, Inc. ........................................... 102,000 624,750
*Altron, Inc. ........................................... 38,650 801,988
*Ambar, Inc. ............................................ 1,000 6,250
*Ambers Stores, Inc. .................................... 1,000 1,750
*Amdura Corp. (New) ..................................... 5,702 9,979
*America Services Group, Inc. ........................... 29,000 168,563
American Biltrite, Inc. ................................ 97,800 2,475,563
*American City Business Journals, Inc. .................. 13,000 212,875
*American Claims Evaluation, Inc. ....................... 3,100 6,200
*American Consumer Products, Inc. ....................... 38,600 120,625
*American Dental Technologies, Inc. ..................... 1,000 750
American Ecology Corp. ................................. 62,800 463,150
*American Educational Products, Inc. .................... 21,000 49,875
American Federal Bank FSB Greenville, SC ............... 30,000 330,000
American Filtrona Corp. ................................ 20,200 550,450
*American Healthcorp, Inc. .............................. 53,400 293,700
*American Holdings, Inc. ................................ 169,100 274,788
*American Homepatient, Inc. ............................. 51,000 1,039,125
American Indemnity Financial Corp. ..................... 16,400 172,200
American List Corp. .................................... 21,615 383,666
*American Locker Group, Inc. ............................ 8,800 48,400
American Maize Products Co. Class A .................... 68,400 1,607,400
*American Medical Electronics, Inc. ..................... 102,100 657,269
*American Physicians Services Group, Inc. ............... 71,800 181,744
American Precision Industries, Inc. .................... 160,375 1,142,672
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American Recreation Centers, Inc. ...................... 3,300 $ 19,800
*American Recreation Co. Holdings, Inc. ................. 75,200 582,800
*American Science & Engineering, Inc. ................... 75,000 421,875
*American Shared Hospital Services ..................... 14,800 6,475
American Software, Inc. Class A ........................ 6,000 22,125
American Studios, Inc. ................................. 80,000 295,000
*American Technical Ceramics Corp. ...................... 1,000 3,313
*American United Global, Inc. ........................... 1,000 3,656
*American White Cross, Inc. ............................. 67,000 217,750
*American Woodmark Corp. ................................ 9,029 45,145
Americana Bancorp, Inc. ................................ 13,650 203,044
Amerifed Financial Corp. ............................... 9,000 399,375
*Amerihost Properties, Inc. ............................. 15,000 60,938
*Ameriquest Technology, Inc. ............................ 72,775 218,325
*Ameriwood Industries International Corp. ............... 52,900 472,794
*Amfed Financial, Inc. .................................. 29,419 581,025
*Amistar Corp. .......................................... 65,100 130,200
*Ampal-American Israel Corp. Class A ................... 121,000 877,250
Ampco-Pittsburgh Corp. ................................. 40,100 280,700
Amplicon, Inc. ......................................... 29,000 551,000
Amre, Inc. ............................................. 124,500 684,750
*Amrep Corp. (New) ...................................... 166,510 1,165,570
Amresco, Inc. .......................................... 84,500 612,625
*Amserv, Inc. ........................................... 9,151 12,011
Amvestors Financial Corp. (New) ........................ 90,352 767,992
Amwest Insurance Group, Inc. ........................... 57,900 680,325
Analysis & Technology, Inc. ............................ 26,800 408,700
*Anaren Microwave, Inc. ................................. 69,400 216,875
*Andersen Group, Inc. ................................... 15,000 58,125
Andover Bancorp, Inc. DE ............................... 13,900 200,681
*Andover Togs, Inc. ..................................... 3,562 9,350
*Andrea Electronics Corp. ............................... 500 11,000
*Andros, Inc. ........................................... 68,300 1,101,338
*Anergen, Inc. .......................................... 1,000 3,000
Anthony Industries, Inc. ............................... 50,243 829,001
*Apertus Technologies, Inc. ............................. 268,800 2,654,400
*Appliance Recycling Centers of America, Inc. ........... 1,000 5,000
*Applied Extrusion Technologies, Inc. ................... 30,000 315,000
*Applied Magnetics Corp. ................................ 70,700 203,263
*Applied Signal Technologies, Inc. ...................... 75,000 314,063
*Arabian Shield Development Co. ......................... 66,200 115,850
*Arbor National Holdings, Inc. .......................... 46,300 668,456
*Arch Communications Group, Inc. ........................ 68,700 1,361,119
*Arch Petroleum, Inc. (New) ............................. 26,826 54,490
*Arizona Instrument Corp. ............................... 100 84
*Arlen Corp. ............................................ 280,300 5,474
*Armatron International, Inc. ........................... 68,500 55,656
*Arrhythmia Research Technology, Inc. ................... 75 206
*Arris Pharmaceutical Corp. ............................. 10,000 62,500
*Arrow Automotive Industries, Inc. ...................... 44,800 330,397
Arrow Financial Corp. .................................. 10,826 159,689
Artistic Greetings, Inc. ............................... 2,200 9,075
*Artra Group, Inc. ...................................... 65,200 260,800
*Arts Way Manufacturing Co., Inc. ....................... 100 788
*Ashworth, Inc. ......................................... 70,000 590,625
Aspen Bancshares, Inc. ................................. 1,250 15,938
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*Aspen Imaging International, Inc. ...................... 53,900 $ 47,163
Associated Natural Gas Corp. ........................... 22 853
*Astec Industries, Inc. ................................. 98,100 1,287,563
Astro-Med, Inc. ........................................ 58,175 614,473
Astronics Corp. ........................................ 18,280 38,845
*Astrosystems, Inc. ..................................... 44,100 176,400
*Astrotech International Corp. (New) .................... 22,500 59,063
*Athey Products Corp. ................................... 24,277 166,904
*Atkinson (Guy F.) of California ........................ 13,900 144,213
*Atlanfed Bancorp, Inc. ................................. 5,000 74,375
*Atlantic American Corp. ................................ 112,825 211,547
*Atlantic Coast Airlines, Inc. .......................... 65,000 121,875
*Atlantic Gulf Communities Corp. ........................ 1,000 9,500
*Atlantic Tele-Network, Inc. ............................ 10,000 84,375
Atlantis Plastics, Inc. ................................ 2,100 12,600
*Atlas Corp. ............................................ 117,620 279,348
*Atrix Labs, Inc. ....................................... 1,000 5,500
*Atwood Oceanics, Inc. .................................. 22,000 287,375
*Audiovox Corp. Class A ................................. 7,200 51,300
*Aurora Electronics, Inc. ............................... 120,962 551,889
*Auspex Systems, Inc. ................................... 12,000 84,750
*Autocam Corp. .......................................... 33,575 449,066
Autoclave Engineers, Inc. .............................. 30,180 262,189
*Autofinance Group, Inc. ................................ 87,356 775,285
*Autoinfo, Inc. ......................................... 115,900 322,347
*Avondale Industries, Inc. .............................. 60,600 435,563
*Aydin Corp. ............................................ 56,350 633,938
Aztec Manufacturing Co. ................................ 55,826 240,750
BB&T Financial Corp. ................................... 1 17
BEI Electronics, Inc. .................................. 4,100 21,269
BGS Systems, Inc. ...................................... 6,400 178,400
BHA Group, Inc. Class A ................................ 63,828 805,829
*BI, Inc. (New) ......................................... 85,900 413,394
BMC Industries, Inc. MN ................................ 198,700 2,980,500
*BMJ Financial Corp. .................................... 56,750 624,250
*BOK Financial Corp. .................................... 3,054 65,279
*BPI Packaging Technologies, Inc. ....................... 8,200 36,644
BSB Bancorp, Inc. ...................................... 41,150 1,111,050
BT Financial Corp. ..................................... 10,996 313,386
*BTU International, Inc. ................................ 20,000 93,750
*Bachman Information Systems, Inc. ...................... 91,000 335,563
*Back Bay Restaurant Group, Inc. ........................ 22,800 202,350
Badger Meter, Inc. ..................................... 14,600 352,225
Badger Meter, Inc. ..................................... 20,300 489,738
*Bailey Corp. ........................................... 4,800 36,300
Bairnco Corp. .......................................... 104,700 458,063
*Baker (Michael) Corp. .................................. 83,700 334,800
*Baker (Michael) Corp. Class B .......................... 15,400 61,600
Balchem Corp. .......................................... 1,500 8,813
*Baldwin Piano & Organ Co. .............................. 37,900 492,700
*Baldwin Technology, Inc. Class A ....................... 25,000 120,313
*Bally Gaming International, Inc. ....................... 10,000 90,000
*Baltek Corp. ........................................... 21,562 159,020
BanCorp New Jersey, Inc. ............................... 1,000 31,000
*BancTexas Group, Inc. .................................. 73,187 73,187
*Bancinsurance Corp. .................................... 1,000 3,250
Bancorp Connecticut, Inc. .............................. 1,000 13,250
Bangor Hydro-Electric Co. .............................. 63,000 645,750
Bank of Granite Corp. .................................. 77 1,906
Bank of New Hampshire Corp. ............................ 23,300 466,000
BankAtlantic Bancorp, Inc. ............................. 4,600 65,550
*Banker's Note, Inc. .................................... 30,700 26,863
Bankers First Corp. .................................... 44,900 853,100
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*Banner Aerospace, Inc. ................................. 33,100 $ 132,400
Barnwell Industries, Inc. .............................. 11,800 225,675
*Barra, Inc. ............................................ 75,400 574,925
*Barrett Business Services, Inc. ........................ 32,800 508,400
*Barrister Information Systems Corp. (New) .............. 7,866 3,933
*Barry (R.G.) Corp. ..................................... 116,266 2,121,855
*Barrys Jewelers, Inc. .................................. 192 1,200
*Base Ten Systems, Inc. Class A ......................... 1,000 7,688
*Basin Exploration, Inc. ................................ 43,000 443,438
*Bayou Steel Corp. Class A .............................. 9,100 30,144
*Beard Co. .............................................. 26,533 48,920
Beauticontrol Cosmetics, Inc. .......................... 1,000 14,500
Beeba's Creations, Inc. ................................ 20,780 75,328
*Bel Fuse, Inc. ......................................... 121,000 922,625
*Bell Industries, Inc. .................................. 57,803 1,271,666
*Belmac Corp. ........................................... 1,000 625
*Ben & Jerry's Homemade, Inc. Class A ................... 6,400 81,600
*Ben Franklin Retail Stores, Inc. ....................... 1,000 4,063
*Benchmark Electronics, Inc. ............................ 44,100 1,190,700
*Benihana National Corp. ................................ 9,100 59,719
*Benson Eyecare Corp. ................................... 1,047 7,067
Berkshire Gas Co. ...................................... 7,200 107,100
*Bestop, Inc. ........................................... 3,000 31,500
*Bettis Corp. ........................................... 81,850 240,434
*Big O Tires, Inc. ...................................... 1,000 16,063
Bindley Western Industries, Inc. ....................... 1,000 13,250
Binks Manufacturing Co. ................................ 61,300 1,187,688
*Bio Technology General Corp. ........................... 4,000 9,125
*Bio-Logic Systems Corp. ................................ 23,400 59,963
*Biocircuits Corp. ...................................... 101,000 94,688
*Biomagnetic Technologies, Inc. ......................... 11,400 12,113
*Biomatrix, Inc. ........................................ 85,000 393,125
*Biomedical Waste Systems, Inc. ......................... 62,000 98,813
*Biomerica, Inc. ........................................ 48,500 54,563
*Biopharmaceutics, Inc. ................................. 6,000 4,125
*Biospherics, Inc. ...................................... 18,300 109,800
*Biosurface Technology, Inc. ............................ 83,700 240,638
*Biosys, Inc. ........................................... 77,200 246,075
*Biotechnica International, Inc. ........................ 146,500 41,203
*Biowhittaker, Inc. ..................................... 30,000 217,500
*Bird Corp. ............................................. 55,800 470,813
*Bird Medical Technologies, Inc. ........................ 44,600 161,675
*Birtcher Medical Systems, Inc. ......................... 1,000 1,156
*Biscayne Apparel, Inc. ................................. 7,700 19,009
Blessings Corp. ........................................ 80,956 2,580,473
*Bloc Development Corp. ................................. 22,600 26,131
*Bobbie Brooks, Inc. (New) .............................. 300 394
*Bon-Ton Stores, Inc. ................................... 1,000 12,250
*Bonray Drilling Corp. .................................. 4,985 39,880
*Boole & Babbage, Inc. .................................. 33,300 836,663
*Borror Corp. ........................................... 5,300 23,188
Boston Acoustics, Inc. ................................. 30,000 536,250
Bowl America, Inc. Class A ............................. 28,080 466,830
*Bowmar Instrument Corp. ................................ 104,100 312,300
Braintree Savings Bank MA .............................. 14,800 173,900
Brandon Systems Corp. .................................. 4,687 80,265
*Branford Savings Bank CT ............................... 610 1,315
*Brauns Fashions Corp. .................................. 13,500 43,031
Brenco, Inc. ........................................... 142,500 1,718,906
*Brendle's, Inc. ........................................ 45,400 36,888
*Brewer (C.) Homes, Inc. Class A ........................ 24,000 234,000
*Brite Voice Systems, Inc. .............................. 69,000 1,280,813
*Broadcast International, Inc. .......................... 31,000 170,500
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*Broadway & Seymour, Inc. ............................... 66,600 $1,323,675
*Brooke Group, Ltd. ..................................... 1,000 2,875
*Brookstone, Inc. ....................................... 7,800 108,225
*Brooktree Corp. ........................................ 1,000 8,750
*Brooktrout Technology, Inc. ............................ 39,000 448,500
*Brown & Sharpe Manufacturing Co. Class A ............... 108,000 621,000
*Brown (Tom), Inc. (New) ................................ 51,600 512,775
Bryn Mawr Bank Corp. ................................... 500 16,188
*Buffton Corp. .......................................... 15,800 25,675
*Builders Transport, Inc. ............................... 52,100 586,125
*Bull Run Corp. GA ...................................... 171,700 284,378
*Burr Brown Corp. ....................................... 80,700 1,160,063
*Business Records Corp. Holding Co. ..................... 107,400 3,678,450
*Butler International, Inc. ............................. 23,727 148,294
Butler Manufacturing Co. ............................... 10,400 351,000
*Buttrey Food & Drug Stores Co. ......................... 1,000 7,313
*C-COR Electronics, Inc. ................................ 45,800 2,312,900
CB Bancshares, Inc. HI ................................. 818 25,154
*CBL Medical, Inc. ...................................... 1,400 350
*CCA Industries, Inc. ................................... 1,000 3,875
*CE Software Holdings, Inc. ............................. 8,600 19,888
*CEM Corp. .............................................. 41,500 498,000
*CFI Industries, Inc. ................................... 19,600 88,200
CFSB Bancorp, Inc. ..................................... 1,000 18,500
CFX Corp. .............................................. 14,280 253,470
*CII Financial, Inc. .................................... 23,600 126,850
*CIS Technologies, Inc. DE .............................. 15,800 45,919
*CMI Corp. Class A ...................................... 359,099 2,154,594
CPAC, Inc. ............................................. 14,595 191,559
CRSS, Inc. ............................................. 1,000 11,000
*CSP, Inc. .............................................. 59,300 504,050
CTS Corp. .............................................. 20,000 580,000
*CU Bancorp ............................................. 20,140 146,015
CVB Financial Corp. .................................... 20,246 285,975
*CXR Corp. .............................................. 107,508 90,710
*Cablemaxx, Inc. ........................................ 40,000 207,500
*Cabot Medical Corp. .................................... 1,210 6,655
*Cache, Inc. ............................................ 81,375 498,422
*Caci International, Inc. Class A ....................... 1,000 10,313
Cadmus Communications Corp. ............................ 58,900 935,038
*Caere Corp. ............................................ 1,000 15,750
Cagle's, Inc. Class A .................................. 74,250 2,440,969
*Caire, Inc. ............................................ 669 6,690
*California Amplifier, Inc. ............................. 26,200 165,388
California Financial Holding Corp. ..................... 43,870 581,278
*California Micro Devices Corp. ......................... 36,300 226,875
California State Bank .................................. 10,000 100,000
*Calloways Nursery, Inc. ................................ 28,500 32,063
*Calprop Corp. .......................................... 61,478 42,266
*Cambex Corp. ........................................... 82,300 334,344
*Cambridge Neuroscience, Inc. ........................... 1,000 4,000
*Candela Laser Corp. .................................... 13,700 29,113
*Candies, Inc. .......................................... 5,200 8,125
*Cannon Express, Inc. Class A ........................... 3,250 41,031
*Cannon Express, Inc. Class B ........................... 3,250 42,250
*Canonie Environmental Services Corp. ................... 89,700 470,925
*Cantel Industries, Inc. Class B ........................ 26,000 123,500
*Canyon Resources Corp. ................................. 96,000 159,000
Cape Cod Bank & Trust Co. .............................. 13,900 350,975
*Capital Associates, Inc. ............................... 42,100 32,891
Capitol Bancorp, Ltd. .................................. 4,400 39,050
*Care Group, Inc. ....................................... 77,100 305,991
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*CareNetwork, Inc. ...................................... 1,000 $ 24,875
*Carlisle Plastics, Inc. Class A ........................ 11,000 45,375
*Carolco Pictures, Inc. ................................. 97,200 5,832
Carolina First Corp. ................................... 21,050 284,175
*Carolina Freight Corp. ................................. 28,550 267,656
*Carr-Gottstein Foods Co. ............................... 68,100 502,238
*Carrington Laboratories, Inc. .......................... 184,300 1,589,588
*Carver Corp. WA ........................................ 94,700 290,019
Cascade Natural Gas Corp. .............................. 33,900 478,838
Castle (A.M.) & Co. .................................... 210,605 2,737,865
*Catalina Lighting, Inc. ................................ 53,600 408,700
*Catalyst Semiconductor, Inc. ........................... 50,000 143,750
*Catalytica, Inc. ....................................... 5,000 17,500
*Catherines Stores Corp. ................................ 5,600 43,400
Cavalier Homes, Inc. ................................... 29,837 350,585
*Celgene Corp. .......................................... 227,800 1,601,719
*Cell Genesys, Inc. ..................................... 30,000 275,625
*Cellular Technical Services Co., Inc. .................. 8,700 128,325
*Celtrix Pharmaceuticals, Inc. .......................... 91,800 275,400
*Centennial Bancorp ..................................... 1,155 11,983
Center Banks, Inc. ..................................... 22,800 245,100
*Centerbank Waterbury, CT ............................... 111,200 1,112,000
Central & Southern Holding Co. ......................... 19,700 125,588
*Central Co-Operative Bank Somerville, MA ............... 1,000 10,375
Central Jersey Financial Corp. ......................... 150 2,663
Central Reserve Life Corp. ............................. 22,100 179,563
*Central Sprinkler Corp. ................................ 31,100 311,000
Century Bancorp Income Class A ......................... 1,000 6,500
*Ceradyne, Inc. ......................................... 115,100 323,719
*Cerberonics, Inc. Class A (New) ........................ 3,500 16,188
*Champion Parts, Inc. ................................... 91,200 324,900
*Chart House Enterprises, Inc. .......................... 48,500 503,188
*Chart Industries, Inc. ................................. 10,000 37,500
Charter Federal Savings Bank ........................... 6,340 60,230
Charter Power Systems, Inc. ............................ 35,800 622,025
*Chattem, Inc. .......................................... 1,000 5,250
*Chaus (Bernard), Inc. .................................. 53,600 281,400
*Check Technology Corp. ................................. 19,200 100,800
*Checkpoint System, Inc. ................................ 51,600 1,025,550
*Chemex Pharmaceuticals, Inc. (New) ..................... 74,500 50,055
*Chemfab Corp. .......................................... 81,800 1,083,850
*Chemical Leaman Corp. .................................. 1 2,600
*Chempower, Inc. ........................................ 8,600 34,938
*Cherry Corp. Class A ................................... 3,600 51,300
*Cherry Corp. Class B ................................... 9,900 143,550
Chesapeake Utilities Corp. ............................. 10,875 137,297
Chester Valley Bancorp ................................. 663 13,426
Chicago Rivet & Machine Co. ............................ 14,200 376,300
*Chicos Fas, Inc. ....................................... 49,600 325,500
*Children's Comprehensive Services, Inc. ................ 24,000 42,000
*Chips & Technologies, Inc. ............................. 600 4,200
Chittenden Corp. ....................................... 9,875 201,203
*Chock Full O' Nuts Corp. ............................... 181,694 1,090,164
*Choice Drug System, Inc. ............................... 1,000 4,031
*Cholestech Corp. ....................................... 71,000 137,563
*Christiana Companies, Inc. ............................. 16,600 529,125
*Chromcraft Revington, Inc. ............................. 56,000 1,169,000
*Chyron Corp. ........................................... 75,061 37,531
*Ciber, Inc. ............................................ 30,000 268,125
*Cimco, Inc. ............................................ 12,225 62,653
*Cincinnati Microwave, Inc. ............................. 103,700 466,650
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*Ciprico, Inc. .......................................... 28,850 $ 138,841
*Circon Corp. ........................................... 1,000 12,000
*Circuit Systems, Inc. .................................. 2,500 12,500
*Citation Computer System, Inc. ......................... 10,000 69,375
*Citation Insurance Group ............................... 500 1,969
Citfed Bancorp, Inc. ................................... 21,000 580,125
*Civic Bancorp .......................................... 1,000 5,875
*Clark (Dick) Productions, Inc. ......................... 1,000 9,000
*Clean Harbors, Inc. .................................... 90,500 548,656
*Cliffs Drilling Co. .................................... 39,300 466,688
*Clothestime, Inc. ...................................... 51,300 205,200
Co-Operative Bank of Concord, MA ....................... 30,300 412,838
Coachmen Industries, Inc. .............................. 120,200 1,742,900
*Coast Distribution System .............................. 42,100 336,800
Coastal Bancorp, Inc. .................................. 29,400 477,750
*Cobra Electronic Corp. ................................. 135,100 261,756
*Coda Energy, Inc. ...................................... 173,300 1,158,944
*Code Alarm, Inc. ....................................... 42,900 455,813
*Cognitronics Corp. ..................................... 57,450 100,538
*Coherent Communications Systems Corp. .................. 63,400 958,925
*Coherent, Inc. ......................................... 76,800 1,113,600
*Coho Energy, Inc. ...................................... 19,000 95,000
Cohu, Inc. ............................................. 65,500 1,301,813
*Collins Industries, Inc. ............................... 186,325 349,359
Colonial Gas Co. ....................................... 5,150 99,138
*Columbia First Bank, A Federal Savings Bank ............ 26,200 972,675
*Columbia Laboratories, Inc. ............................ 149,000 698,438
*Comarco, Inc. .......................................... 47,200 407,100
*Comcoa, Inc. ........................................... 18,600 281,325
*Comdata Holding Corp. .................................. 93,800 938,000
*Comdial Corp. .......................................... 454,300 1,306,113
Commerce Bancorp, Inc. ................................. 8,875 157,531
*Communication Cable, Inc. .............................. 24,248 300,069
Communications Systems, Inc. ........................... 118,500 1,392,375
Community Bank System, Inc. ............................ 26,800 793,950
Community Bankshares, Inc. NH .......................... 1,700 22,738
Community First Bankshares, Inc. ....................... 15,000 206,250
*Community Health Computing Corp. ....................... 57,600 21,600
*Comnet Corp. ........................................... 30,300 318,150
*Comprehensive Care Corp. ............................... 420 2,783
*Comptek Research, Inc. ................................. 93,900 1,338,075
Computer Data Systems, Inc. ............................ 103,000 1,042,875
*Computer Horizons Corp. ................................ 59,425 883,947
*Computer Identics Corp. ................................ 23,800 38,675
Computer Language Research, Inc. ....................... 83,800 743,725
*Computer Network Technology Corp. ...................... 1,200 8,250
*Computer Products, Inc. ................................ 237,600 712,800
Computer Task Group, Inc. .............................. 53,300 426,400
*Computrac, Inc. ........................................ 73,400 91,750
*Comshare, Inc. ......................................... 42,100 510,463
*Comstock Resources, Inc. ............................... 1,000 3,094
*Comtech Telecommunications Corp. (New) ................. 1,000 3,313
*Concord Camera Corp. ................................... 5,800 13,413
*Concord Fabrics, Inc. Class A .......................... 45,500 381,063
*Concord Fabrics, Inc. Class B .......................... 45,700 379,881
*Concurrent Computer Corp. (New) ........................ 7,780 10,698
*Condor Services, Inc. .................................. 7,900 19,750
*Confertech International, Inc. ......................... 62,400 292,500
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<TABLE>
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*Conmed Corp. ........................................... 16,700 $ 419,588
Connecticut Water Services, Inc. ....................... 42,350 995,225
*Consilium, Inc. ........................................ 48,500 315,250
*Consolidated Products, Inc. ............................ 43,900 449,975
Consumers Financial Corp. .............................. 26,000 65,000
*Continental Can, Inc. DE ............................... 4,100 91,738
Continental Homes Holding Corp. ........................ 70,100 955,113
*Continental Materials Corp. ............................ 7,900 91,838
*Control Data Systems, Inc. ............................. 48,000 288,000
*Convergent Solution, Inc. .............................. 5,200 9,263
*Convex Computer Corp. .................................. 12,000 73,500
Cooker Restaurant Corp. (New) .......................... 25,300 164,450
*Cooper Companies, Inc. ................................. 12,000 27,000
*Cooper Development Co. ................................. 6,800 17,850
*Corcom, Inc. ........................................... 63,400 210,013
Core Industries, Inc. .................................. 56,800 582,200
*Cornerstone Financial Corp. ............................ 19,500 121,875
*Cornerstone Natural Gas, Inc. .......................... 165,500 351,688
*Corrections Corp. of America ........................... 150,500 2,219,875
*Corvel Corp. ........................................... 1,000 23,750
*Cosmetic Centers, Inc. Class A ......................... 19,650 255,450
*Cosmetic Centers, Inc. Class B ......................... 20,050 258,144
*Cosmo Communications Corp. ............................. 17,600 19,800
*Country Wide Transport Services, Inc. .................. 26,000 120,250
Courier Corp. .......................................... 31,700 562,675
Craftmade International, Inc. .......................... 26,000 260,000
*Craig Corp. ............................................ 78,900 779,138
*Cree Research, Inc. .................................... 45,300 368,063
*Criticare Systems, Inc. ................................ 29,500 63,609
*Crop Genetics International Corp. ...................... 130,400 105,950
*Crosscomm Corp. ........................................ 10,000 94,375
*Crossman Communities, Inc. ............................. 60,000 397,500
*Crowley, Milner & Co. .................................. 12,200 70,150
*Crown Books Corp. ...................................... 11,900 199,325
*Crown Resources Corp. .................................. 62,000 271,250
*Crown-Andersen, Inc. ................................... 10,500 73,500
*Cruise America, Inc. ................................... 35,400 108,413
*Cryenco Sciences, Inc. Class A ......................... 30,900 127,463
*Cryomedical Sciences, Inc. ............................. 1,000 3,375
*Crystal Brands, Inc. ................................... 28,600 6,256
*Crystal Oil Co. (New) .................................. 5,000 140,625
Cubic Corp. ............................................ 2,000 35,000
*Culbro Corp. ........................................... 62,600 868,575
Culp, Inc. ............................................. 178,480 1,762,490
*Curative Technologies, Inc. ............................ 79,600 308,450
*Custom Chrome, Inc. .................................... 1,000 18,063
*Customedix Corp. (New) ................................. 3,350 9,213
*Cyberonics, Inc. ....................................... 6,000 20,250
*Cyberoptics Corp. ...................................... 16,000 135,000
*Cycare Systems, Inc. ................................... 129,400 1,520,450
*Cygnus Therapeutic System .............................. 1,000 6,250
*Cytel Corp. ............................................ 11,000 30,938
*Cytocare, Inc. ......................................... 28,200 153,338
*Cytotherapeutics, Inc. ................................. 97,700 476,288
*Cytrx Corp. ............................................ 90,000 174,375
*D&N Financial Corp. .................................... 27,800 206,763
*DBA Systems, Inc. ...................................... 20,800 161,200
*DDL Electronics, Inc. .................................. 171,500 257,250
*DEP Corp. Class A ...................................... 66,025 193,948
*DEP Corp. Class B ...................................... 66,025 206,328
*DH Technology, Inc. .................................... 31,900 729,713
*DI Industries, Inc. .................................... 157,700 147,844
*DIY Home Warehouse, Inc. ............................... 70,000 455,000
*DNA Plant Technology Corp. ............................. 54,000 170,438
</TABLE>
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<TABLE>
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*DNX Corp. .............................................. 10,000 $ 47,500
*DRCA Medical Corp. ..................................... 43,400 111,213
*DS Bancor, Inc. ........................................ 44,348 1,025,548
*DSP Technology, Inc. ................................... 1,000 4,875
*DVI, Inc. .............................................. 66,100 677,525
*Daisy Systems, Inc. .................................... 317,500 0
*Daka International, Inc. ............................... 1,000 14,688
*Damark International, Inc. Class A ..................... 1,000 10,875
*Danielson Holding Corp. ................................ 153 1,071
*Danskin, Inc. .......................................... 10,000 37,500
*Data I/O Corp. ......................................... 42,900 185,006
*Data Measurement Corp. ................................. 500 2,594
*Data Race, Inc. ........................................ 3,600 15,750
*Data Research Association, Inc. ........................ 1,000 10,000
*Data Switch Corp. ...................................... 273,800 633,163
*Data Translation, Inc. ................................. 41,300 634,988
*Dataflex Corp. ......................................... 37,125 341,086
*Datakey, Inc. .......................................... 11,100 40,238
*Datametrics Corp. ...................................... 31,000 182,125
*Datapoint Corp. ........................................ 129,100 274,338
*Dataram Corp. .......................................... 3,300 22,688
*Dataware Technologies, Inc. ............................ 46,000 546,250
*Datron Systems, Inc. ................................... 23,200 263,900
*Datum, Inc. ............................................ 72,600 644,325
*Davis Water & Waste Industries, Inc. ................... 48,900 409,538
*Davox Corp. ............................................ 53,900 262,763
*Dawson Geophysical Co. ................................. 44,700 491,700
*Daxor Corp. ............................................ 47,500 279,063
*Day Runner, Inc. ....................................... 2,000 27,875
*De Tomaso Industries, Inc. ............................. 7,000 39,375
Deb Shops, Inc. ........................................ 35,700 189,656
Decorator Industries, Inc. ............................. 1,000 7,875
*Defiance, Inc. ......................................... 65,200 460,475
*Del Electronics Corp. .................................. 7,181 36,803
Del Laboratories, Inc. ................................. 46,384 1,635,036
*Delaware Ostego Corp. .................................. 918 9,639
*Delphi Information Systems, Inc. ....................... 7,000 4,813
Delta Natural Gas Co., Inc. ............................ 18,800 317,250
*Designatronics, Inc. ................................... 57,175 264,434
*Detection Systems, Inc. ................................ 44,124 358,508
*Detrex Corp. ........................................... 9,500 115,781
*Devcon International Corp. ............................. 18,900 158,288
*Devlieg-Bullard, Inc. .................................. 30,000 48,750
*Devon Group, Inc. (New) ................................ 1,000 25,250
*Diana Corp. ............................................ 80,432 542,916
*Dianon Systems, Inc. ................................... 16,700 65,756
*Digicon, Inc. .......................................... 41,000 58,938
*Digital Biometrics, Inc. ............................... 32,000 252,000
*Digital Sound Corp. .................................... 12,000 33,000
*Digital Systems International, Inc. .................... 96,900 1,168,856
*Dimark, Inc. ........................................... 23,860 357,900
*Dime Financial Corp. ................................... 20,100 160,800
*Diodes, Inc. ........................................... 31,400 164,850
*Diversified Communications Industries, Ltd. ............ 1,000 1,063
Dixie Yarns, Inc. ...................................... 42,319 298,878
*Dixon Ticonderoga Co. .................................. 26,550 228,994
Donegal Group, Inc. .................................... 12,500 151,563
Donnelly Corp. Class A ................................. 1,000 15,500
*Doskocil Companies, Inc. ............................... 65,551 458,857
*Dotronix, Inc. ......................................... 102,000 133,875
Douglas & Lomason Co. .................................. 37,550 572,638
*Drew Industries, Inc. (New) ............................ 27,800 243,250
*Drexler Technology Corp. ............................... 112,550 689,369
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*Driver-Harris Co. ...................................... 27,000 $ 141,750
*Drug Emporium, Inc. .................................... 1,000 4,875
*Ducommun, Inc. ......................................... 52,100 236,078
*Duplex Products, Inc. .................................. 13,500 118,125
*Dura Pharmaceuticals, Inc. ............................. 1,000 12,750
*Durakon Industries, Inc. ............................... 54,500 953,750
*Duramed Pharmaceuticals, Inc. .......................... 53,000 655,875
*Dycom Industries, Inc. ................................. 100,700 276,925
Dyersburg Corp. ........................................ 1,000 6,000
Dynamics Corp. of America .............................. 86,300 1,574,975
*Dynamics Research Corp. ................................ 53,984 158,578
*Dynasty Classics Corp. ................................. 10,000 500
*E-Z-Em, Inc. Class A ................................... 37,000 180,375
*E-Z-Em, Inc. Class B ................................... 45,120 197,400
*EA Engineering Science & Technology, Inc. .............. 77,175 578,813
*ECC International Corp. ................................ 139,750 1,414,969
*ECI International, Inc. ................................ 20,000 12,500
*EFI Electronics Corp. .................................. 91,400 148,525
*EIP Microwave, Inc. (New) .............................. 3,140 7,850
*ELXSI Corp. ............................................ 1,000 5,375
EMC Insurance Group, Inc. .............................. 20,300 203,000
*EP Technologies, Inc. .................................. 45,000 421,875
*ERO, Inc. .............................................. 20,000 175,000
*ESCO Electronics Corp. Trust Receipts .................. 100,000 787,500
*ESSEF Corp. ............................................ 48,700 712,238
*EXX, Inc. Class A ...................................... 300 8,175
*EXX, Inc. Class B ...................................... 100 2,663
Eagle Financial Corp. .................................. 550 10,725
*Eagle Food Centers, Inc. ............................... 79,300 158,600
*Earth Technology Corp. ................................. 5,400 50,288
*Easel Corp. ............................................ 60,000 180,000
*Eastco Industrial Safety Corp. ......................... 83 117
Eastern Bancorp, Inc. .................................. 6,800 118,150
Eastern Co. ............................................ 56,500 748,625
*Eastern Environment Services, Inc. ..................... 1,000 1,125
*Eastex Energy, Inc. .................................... 4,300 9,675
*Ecogen, Inc. ........................................... 36,000 105,750
*Ecogen, Inc. (Private Placement) ....................... 140,000 370,125
*Ecoscience Corp. ....................................... 83,200 213,200
*Edison Control Corp. ................................... 7,000 28,875
*Edisto Resources Corp. (New) ........................... 90,000 652,500
*Editek, Inc. ........................................... 136 536
Edo Corp. .............................................. 56,500 190,688
*Education Alternatives, Inc. ........................... 25,800 503,100
*Ekco Group, Inc. ....................................... 8,300 54,988
*El Chico Restaurants, Inc. ............................. 83,200 811,200
Elco Industries, Inc. .................................. 49,900 848,300
Eldorado Bancorp CA .................................... 12,434 124,340
*Electric & Gas Technology, Inc. ........................ 48,500 95,484
*Electro Rent Corp. ..................................... 137,750 2,324,531
*Electro Scientific Industries, Inc. .................... 77,000 1,501,500
Electro Sensors, Inc. .................................. 2,300 8,338
*Electro-Catheter Corp. ................................. 30,300 37,875
*Electromagnetic Sciences, Inc. ......................... 163,699 1,892,770
*Electronic Associates, Inc. ............................ 63,600 405,450
Electronic Tele Communications, Inc. Class A ........... 15,500 69,750
*Elek-Tek, Inc. ......................................... 40,000 365,000
*Eljer Industries, Inc. ................................. 6,400 42,400
*Elsinore Corp. (New) ................................... 51,720 77,580
*Embrex, Inc. ........................................... 123,200 770,000
*Emcon .................................................. 66,450 299,025
</TABLE>
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*Emisphere Technologies, Inc. ........................... 2,500 $ 7,188
*Empi, Inc. ............................................. 7,700 72,188
*Employee Benefit Plans, Inc. ........................... 1,000 10,000
*Emulex Corp. ........................................... 53,800 605,250
*Encore Computer Corp. .................................. 363,100 1,355,952
*Energy Biosystems Corp. ................................ 74,000 499,500
*Energy Conversion Devices, Inc. ........................ 61,400 652,375
Energynorth, Inc. ...................................... 32,526 536,679
*Engineered Support Systems, Inc. ....................... 22,000 88,000
*Engineering Measurements Co. CO ........................ 28,400 95,850
Engle Homes, Inc. ...................................... 9,000 68,625
*Ensys Environmental Products, Inc. ..................... 48,000 180,000
*Envirogen, Inc. ........................................ 5,300 8,613
*Environmental Elements Corp. ........................... 47,800 167,300
*Environmental Power Corp. .............................. 221,100 124,369
*Environmental Tectonics Corp. .......................... 3,300 11,138
*Enviroq Corp. .......................................... 5,040 15,435
*Envirosource, Inc. ..................................... 370,700 1,343,788
*Enzon, Inc. ............................................ 75,000 161,719
*Equinox Systems, Inc. .................................. 10,000 62,500
*Equitex, Inc. .......................................... 1,000 2,094
*Equity Oil Co. ......................................... 134,100 636,975
*Escagenetics Corp. ..................................... 45,800 62,975
*Escalade, Inc. ......................................... 108,398 514,891
Eskimo Pie Corp. ....................................... 27,000 465,750
Espey Manufacturing & Electronics Corp. ................ 21,000 275,625
*Essex Corp. ............................................ 1,000 2,000
*Esterline Technologies Corp. ........................... 32,400 376,650
*Evans & Sutherland Computer Corp. ...................... 12,000 169,500
*Evans, Inc. ............................................ 107,900 296,725
*Everest & Jennings International, Ltd. ................. 4,700 3,231
Evergreen Bancorp, Inc. DE ............................. 2,000 28,500
*Evergreen Healthcare, Inc. ............................. 4,080 39,780
*Evergreen Media Corp. Class A .......................... 45,000 798,750
*Evergreen Resources, Inc. .............................. 1,000 6,625
*Excalibur Technologies Corp. ........................... 6,000 40,500
*Excel Technology, Inc. ................................. 26,222 126,193
*Executive Telecard, Ltd. ............................... 13,124 62,339
*Executone Information Systems, Inc. .................... 21,900 71,859
*Exide Electronics Group, Inc. .......................... 39,700 655,050
*Express America Holdings Corp. ......................... 25,000 101,563
*F & M Distributors, Inc. ............................... 5,000 8,438
*FDP Corp. .............................................. 56,200 365,300
*FFO Financial Group, Inc. .............................. 6,000 14,625
*FPA Corp. .............................................. 101,400 126,750
*FRP Properties, Inc. ................................... 31,700 546,825
*FSI International, Inc. ................................ 12,500 353,125
*Failure Group, Inc. .................................... 98,000 441,000
*Fairchild Corp. Class A ................................ 125,800 408,850
*Falcon Oil & Gas Co., Inc. ............................. 500 359
Falcon Products, Inc. .................................. 23,900 268,875
Family Bancorp ......................................... 1,400 23,975
*Family Steak Houses of Florida, Inc. ................... 6,900 2,156
Fansteel, Inc. ......................................... 97,500 633,750
*Farah, Inc. ............................................ 72,800 591,500
*Farr Co. ............................................... 25,450 170,197
*Farragut Mortgage, Inc. ................................ 39 1
*Fastcomm Communications Corp. .......................... 1,000 3,313
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<TABLE>
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*Fedders Corp. .......................................... 113,300 $ 722,288
*Fedders Corp. Class A .................................. 56,650 311,575
Federal Screw Works .................................... 21,600 426,600
*Ferrofluidics Corp. .................................... 36,700 178,913
*Fibreboard Corp. ....................................... 1,000 28,625
*Fibronics International, Inc. .......................... 148,200 105,963
*Fifty-Off Stores, Inc. ................................. 1,000 4,375
*Financial Benefit Group, Inc.
Class A .............................................. 55,200 144,900
*Financial Federal Corp. ................................ 49,000 869,750
*Finish Line, Inc. Class A .............................. 1,000 7,500
First Central Financial Corp. .......................... 98,600 640,900
*First Citizens Financial Corp. ......................... 2,232 31,248
*First Commercial Bancorp, Inc. ......................... 17,700 16,594
First Essex Bancorp .................................... 31,700 233,788
First Federal Capital Corp. ............................ 22,000 324,500
First Federal Savings & Loan Association of East
Hartford, CT ......................................... 24,100 367,525
First Financial Holdings, Inc. ......................... 39,700 555,800
First Indiana Corp. .................................... 61,634 916,806
First Liberty Financial Corp. .......................... 6,500 85,313
First Northern Savings Bank S.A. Green Bay, WI ......... 12,600 165,375
*First Republic Bancorp, Inc. ........................... 216,149 2,269,565
First State Financial Services, Inc. ................... 300 2,100
*First Team Sports, Inc. ................................ 3,300 52,800
Firstfed Bancshares, Inc. .............................. 19,100 331,863
*Fischer Imaging Corp. .................................. 1,000 6,000
*Flanigan's Enterprises, Inc. ........................... 10,300 30,900
Flexsteel Industries, Inc. ............................. 52,550 597,756
*Florida Gaming Corp. ................................... 15,550 46,650
Florida Public Utilities Co. ........................... 4,500 73,125
*Flow International Corp. ............................... 158,200 1,018,413
*Fonar Corp. ............................................ 171,950 394,948
*Foodarama Supermarkets, Inc. ........................... 22,000 250,250
Foothill Independent Bancorp ........................... 1,050 8,925
*Forest Oil Corp. ....................................... 224,968 562,420
*Forschner Group, Inc. .................................. 57,300 691,181
*Forstmann & Co., Inc. .................................. 24,200 136,125
*Fortune Petroleum Corp. (New) .......................... 4,707 12,944
*Foster (L.B.) Co. Class A .............................. 206,600 697,275
*Fountain Powerboat Industries, Inc. .................... 5,600 30,100
*Fourth Shift Corp. ..................................... 20,000 70,000
*Framingham Savings Bank MA ............................. 48,000 144,000
*Franklin Electric Publishers, Inc. ..................... 4,000 77,000
Frederick's of Hollywood, Inc. Class A ................. 31,639 130,511
Frederick's of Hollywood, Inc. Class B ................. 84,878 360,732
Freds, Inc. Class A .................................... 20,000 187,500
*Frequency Electronics, Inc. ............................ 57,600 259,200
*Fresenius USA, Inc. .................................... 5,350 43,469
*Fresh Choice, Inc. ..................................... 25,000 321,875
*Fretter, Inc. (New) .................................... 38,148 112,060
*Freymiller Trucking, Inc. .............................. 44,100 107,494
Friedman Industries, Inc. .............................. 117,011 438,791
Frisch's Restaurants, Inc. ............................. 59,698 604,443
Frontier Adjusters of America, Inc. .................... 1,000 2,750
*Fruehauf Trailer Corp. ................................. 85,200 394,050
*Funco, Inc. ............................................ 48,200 698,900
Furon Co. .............................................. 4,600 89,700
*Future Healthcare, Inc. ................................ 7,000 145,250
*Future Now, Inc. ....................................... 46,600 372,800
*G-III Apparel Group, Ltd. .............................. 28,560 46,410
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<TABLE>
<CAPTION>
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GBC Bancorp ............................................ 46,700 $ 572,075
*GBC Technologies, Inc. ................................. 40,000 302,500
*GMIS, Inc. ............................................. 47,500 914,375
*GNI Group, Inc. ........................................ 76,800 345,600
*GRC International, Inc. ................................ 131,600 1,924,650
*GTS Duratek, Inc. ...................................... 500 1,688
*GZA Geoenvironmental Technologies, Inc. ................ 14,700 62,475
*Galileo Electro-Optics Corp. ........................... 69,300 277,200
*Galoob (Lewis) Toys, Inc. DE ........................... 166,000 1,037,500
Galveston-Houston Co. .................................. 163,700 266,013
Gamma Biologicals, Inc. ................................ 46,000 198,375
*Gander Mountain, Inc. .................................. 41,290 732,898
*Gantos, Inc. ........................................... 25,200 49,613
*Garnet Resources Corp. ................................. 73,900 277,125
Gateway Bancorp, Inc. .................................. 139 1,512
*Gateway Industries, Inc. ............................... 11,120 38,920
*Gehl Co. ............................................... 1,600 10,400
*Gelman Sciences, Inc. .................................. 124,175 1,738,450
*Gencor Industries, Inc. ................................ 5,000 55,000
*Genelabs Technologies, Inc. ............................ 26,000 52,000
*General Automation, Inc. CA ............................ 4,500 2,250
*General Computer Corp. ................................. 13,300 88,113
General Host Corp. ..................................... 12,000 61,500
General Housewares Corp. ............................... 39,600 633,600
*General Kinetics, Inc. ................................. 61,000 34,313
General Magnaplate Corp. ............................... 4,200 18,638
General Microwave Corp. ................................ 8,600 69,875
General Parametrics Corp. .............................. 106,906 173,722
General Physics Corp. .................................. 63,700 175,175
*Genesco, Inc. .......................................... 12,000 22,500
*Genetic Therapy, Inc. .................................. 129,200 952,850
*Genicom Corp. .......................................... 109,900 219,800
*Genisco Technology Corp. ............................... 7,060 3,530
*Genlyte Group, Inc. .................................... 60,700 246,594
*Genome Therapeutics Corp. .............................. 121,600 262,200
Genovese Drug Stores, Inc. Class A .................... 87,827 889,248
*Genrad, Inc. ........................................... 79,600 348,250
*Genta, Inc. ............................................ 5,000 35,625
*Genus, Inc. ............................................ 69,100 453,469
Geodynamics Corp. ...................................... 33,400 254,675
*Georgia-Bonded Fibres, Inc. ............................ 2,200 13,200
*Geriatric & Medical Companies, Inc. .................... 214,513 610,021
*Gerrity Oil and Gas Corp. .............................. 10,000 52,500
*Giant Group, Ltd. ...................................... 92,500 693,750
*Giant Industries, Inc. ................................. 33,900 279,675
*Gibraltar Packaging Group, Inc. ........................ 1,000 7,250
Gibson (C.R.) Co. ...................................... 84,260 610,885
*Giga-Tronics, Inc. ..................................... 60,000 352,500
Gilbert Associates, Inc. Class A ....................... 5,000 69,688
*Gish Biomedical, Inc. .................................. 74,750 448,500
Glacier Bancorp, Inc. .................................. 5,445 92,905
Gleason Corp. .......................................... 116,700 1,706,738
*Glycomed, Inc. ......................................... 50,100 181,613
*Go Video, Inc. ......................................... 86,400 232,200
*Golden Oil Co. DE ...................................... 1,369 1,968
Golden Poultry Co., Inc. ............................... 32,400 200,475
*Goldfield Corp. ........................................ 338,400 126,900
*Goldwyn (Samuel) Co. (New) ............................. 41,855 272,058
GoodMark Foods, Inc. ................................... 220,400 3,361,100
*Gottschalks, Inc. ...................................... 43,800 361,350
*Government Technology Services, Inc. ................... 1,000 12,875
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
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<S> <C> <C>
*Gradco Systems, Inc. ................................... 151,411 $ 558,328
*Graham Corp. ........................................... 3,300 35,681
*Graham-Field Health Products, Inc. ..................... 42,000 136,500
Granite State Bankshares, Inc. ......................... 500 5,781
*Grant Geophysical, Inc. ................................ 26,500 67,078
Graphic Industries, Inc. ............................... 1,000 10,000
*Great American Recreation, Inc. (New) .................. 5,000 1,016
Great Bay Bankshares, Inc. ............................. 1,600 30,200
*Great Country Bank of Ansonia, CT ...................... 7,600 18,525
*Great Lakes Bancorp, A Federal Savings Bank ............ 49,513 1,216,163
Great Southern Bancorp, Inc. ........................... 1,800 31,275
*Greater New York Savings Bank NY ....................... 144,200 1,207,675
Green (A.P.) Industries, Inc. .......................... 61,550 1,177,144
*Greenman Brothers, Inc. ................................ 115,100 690,600
Greiner Engineering, Inc. .............................. 104,941 1,311,763
*Greyhound Lines, Inc. .................................. 20,000 43,750
*Griffin Technology, Inc. ............................... 5,500 42,625
*Grist Mill & Co. ....................................... 60,450 668,728
*Grossmans, Inc. ........................................ 1,000 2,656
*Ground Round Restaurants, Inc. ......................... 84,650 571,388
*Groundwater Technology, Inc. ........................... 1,000 13,500
*Group 1 Software, Inc. ................................. 31,400 306,150
Grovebank for Savings .................................. 3,500 76,563
*Grubb & Ellis Co. (New) ................................ 39,552 79,104
*Guardian Bancorp Los Angeles, CA ....................... 7,787 4,380
Guardsman Products, Inc. ............................... 130,885 1,521,538
*Guest Supply, Inc. ..................................... 71,400 1,155,788
*Gulfmark International, Inc. ........................... 24,800 424,700
*Gull Laboratories, Inc. (New) .......................... 2,500 10,938
*Gundle Environmental Systems, Inc. ..................... 101,500 532,875
*HEI, Inc. .............................................. 100 444
*HPSC, Inc. ............................................. 106,000 377,625
*Hadco Corp. ............................................ 126,700 1,108,625
*Hadson Corp. (New) ..................................... 26,367 59,326
Halifax Corp. .......................................... 4,700 32,313
*Hallwood Group, Inc. ................................... 41,550 88,294
*Halsey Drug Co., Inc. .................................. 41,000 92,250
*Hamburger Hamlet Restaurants, Inc. ..................... 30,700 157,338
*Hampton Industries, Inc. ............................... 139,782 751,328
*Hampton Resources Corp. ................................ 644 3,864
*Handex Environmental Recovery, Inc. .................... 35,000 255,938
*Hanger Orthopedic Group, Inc. .......................... 39,200 117,600
*Harding Associates, Inc. ............................... 71,400 490,875
*Harlyn Products, Inc. .................................. 42,581 178,308
Harmon Industries, Inc. (New) .......................... 54,300 960,431
*Harolds Stores, Inc. ................................... 30,786 338,646
*Harris & Harris Group, Inc. ............................ 31,600 171,825
*Harry's Farmers Market, Inc. Class A .................. 8,900 93,450
*Harvey Group, Inc. ..................................... 500 188
Hastings Manufacturing Co. ............................. 10,100 227,250
Hathaway Corp. ......................................... 34,580 110,224
*Hauser Chemical Research, Inc. ......................... 1,000 6,063
Haverty Furniture Company, Inc. Class A ................ 13,550 182,925
Hawkins Chemical, Inc. ................................. 33,783 228,035
</TABLE>
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*Hawthorne Financial Corp. .............................. 12,800 $ 69,600
*He-Ro Group, Ltd. ...................................... 1,000 1,375
Health Images, Inc. .................................... 1,000 6,250
*Health Professionals, Inc. ............................. 49,229 27,691
*Health Risk Management, Inc. ........................... 21,000 141,750
*Health-Chem Corp. ...................................... 174,500 458,063
Health-Mor, Inc. ....................................... 84,200 1,326,150
*Healthcare Services Group, Inc. ........................ 78,800 911,125
*Healthdyne, Inc. ....................................... 1,000 8,625
*Healthwatch, Inc. ...................................... 6,750 7,594
*Hector Communications Corp. ............................ 21,300 143,775
Heico Corp. ............................................ 60,650 583,756
*Hein-Werner Corp. ...................................... 33,608 168,040
*Heist (C.H.) Corp. ..................................... 10,600 75,525
*Helian Health Group, Inc. .............................. 8,100 47,081
*Helionetics, Inc. (New) ................................ 15,510 25,204
Helix Technology Corp. ................................. 112,600 1,703,075
Henry Jack & Associates, Inc. .......................... 25,666 256,660
*Herley Industries, Inc. ................................ 11,500 40,969
*Hi-Lo Automotive, Inc. ................................. 101,600 1,041,400
*Hi-Shear Industries, Inc. .............................. 100,075 487,866
*Hi-Tech Pharmacal, Inc. ................................ 1,500 8,156
*Hibernia Savings Bank .................................. 500 7,750
*High Plains Corp. ...................................... 16,632 186,071
Hingham Institution for Savings MA ..................... 1,900 17,813
*Hitox Corp. ............................................ 24,700 58,663
Hogan Systems, Inc. .................................... 143,700 880,163
*Holiday RV Superstores, Inc. ........................... 5,500 8,766
*Hologic, Inc. .......................................... 50,300 669,619
*Holopak Technologies, Inc. ............................. 32,000 296,000
*Holson Burnes Group, Inc. .............................. 10,000 65,625
Home Federal Bancorp ................................... 14,800 321,900
Home Federal Financial Corp. ........................... 6,891 105,088
Home Port Bancorp, Inc. ................................ 600 7,800
*Home State Holdings, Inc. .............................. 60,000 765,000
*Homeowners Group, Inc. ................................. 115,600 65,025
*Hometown Bancorp., Inc. ................................ 200 2,050
*Hondo Oil and Gas Co. .................................. 24,500 321,563
Hooper Holmes, Inc. .................................... 60,800 380,000
Horizon Bank Bellingham, WA ............................ 23,573 279,929
*Hospital Staffing Services, Inc. ....................... 34,200 55,575
*Hosposable Products, Inc. .............................. 500 4,000
*House of Fabrics, Inc. ................................. 116,000 116,000
Howell Corp. ........................................... 108,200 1,406,600
Howell Industries, Inc. ................................ 25,000 684,375
*Howtek, Inc. ........................................... 36,100 351,975
*Hudson General Corp. ................................... 25,300 441,169
*Huffman Koos, Inc. ..................................... 28,600 243,100
Hughes Supply, Inc. .................................... 57,950 1,028,613
*Hurco Companies, Inc. .................................. 46,900 187,600
*Hycor Biomedical, Inc. ................................. 62,616 262,205
*Hyde Athletic Industries, Inc. Class A ................ 70,700 366,756
*Hyde Athletic Industries, Inc. Class B ................ 65,500 347,969
*Hydron Technologies, Inc. .............................. 82,500 420,234
*ICN Pharmaceuticals, Inc. .............................. 20,094 449,603
*ICO, Inc. .............................................. 43,980 217,151
*ICU Medical, Inc. ...................................... 1,000 14,250
*IFR Systems, Inc. ...................................... 62,935 597,883
*IG Laboratories, Inc. .................................. 89,700 313,950
*IGI, Inc. .............................................. 65,500 884,250
*II-VI, Inc. ............................................ 3,400 24,225
*ILC Technology, Inc. ................................... 54,600 505,050
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*IMP, Inc. .............................................. 256,600 $ 457,069
*IPL Systems, Inc. Class A .............................. 8,500 23,906
*Ibah, Inc. ............................................. 1,000 2,813
*Icot Corp. ............................................. 267,700 267,700
*Identix, Inc. .......................................... 8,500 24,438
*Ikos Systems, Inc. ..................................... 6,500 15,234
*Illinois Superconductor Corp. .......................... 5,000 34,375
*Image Entertainment, Inc. (New) ........................ 103,400 743,188
*Image Industries, Inc. ................................. 58,000 670,625
*Imatron, Inc. .......................................... 83,600 84,906
*Imclone Systems, Inc. .................................. 12,000 17,625
*Imclone Systems, Inc. (Private Placement) .............. 131,000 173,166
*Immucor, Inc. .......................................... 1,000 6,000
*Immulogic Pharmaceutical Corp. ......................... 10,000 76,250
*Immune Response Corp. DE ............................... 25,000 187,500
*Immunogen, Inc. ........................................ 40,000 160,000
*Impact Systems, Inc. ................................... 232,600 407,050
*Imperial Credit Industries, Inc. ....................... 55,000 467,500
*In Home Health, Inc. ................................... 1,000 2,313
*Inco Homes Corp. ....................................... 20,000 25,000
*Incstar Corp. .......................................... 1,000 2,125
Independence Holding Co. (New) ......................... 4,739 14,513
Independent Bank Corp. MA .............................. 101,000 536,563
Independent Bank East .................................. 2,250 54,281
Independent Bankshares, Inc. ........................... 590 4,868
Indiana Federal Corp. .................................. 16,449 252,903
Industrial Acoustics Co., Inc. ......................... 900 14,288
*Industrial Funding Corp. Class A ....................... 1,000 1,719
*Industrial Training Corp. .............................. 2,000 15,625
*Infodata Systems, Inc. ................................. 1,833 12,373
*Information International, Inc. ........................ 27,500 216,563
*Infrasonics, Inc. ...................................... 108,000 391,500
*Inmac Corp. ............................................ 108,100 547,256
Innovex, Inc. .......................................... 68,000 969,000
Insituform East, Inc. .................................. 12,100 34,031
Insteel Industries, Inc. ............................... 40,462 298,407
Instituform Mid America, Inc. Class A ................. 20,000 193,750
Instron Corp. .......................................... 118,200 1,374,075
*Integrated Systems, Inc. ............................... 85,600 1,358,900
*Integrated Waste Services, Inc. ........................ 9,900 27,225
*Intellicall, Inc. ...................................... 151,607 587,477
*Intellicorp, Inc. ...................................... 188,300 517,825
*Intelogic Trace, Inc. .................................. 25,500 6,375
*Inter-Tel, Inc. ........................................ 56,200 389,888
*Interactive Network, Inc. .............................. 5,000 14,844
Intercargo Corp. ....................................... 10,600 91,425
Intercontinental Bank .................................. 1,000 19,000
Interface Systems, Inc. ................................ 29,800 255,163
*Interferon Sciences, Inc. .............................. 30,000 45,000
*Interferon Sciences, Inc. (Private Placement) .......... 180,000 243,000
*Interlake Corp. ........................................ 172,300 279,988
*Interleaf, Inc. ........................................ 1,000 4,125
*Intermagnetics General Corp. ........................... 148,087 2,165,772
*Intermedia Communications of Florida, Inc. ............. 18,000 216,000
Intermetrics, Inc. ..................................... 28,700 143,500
*International Power Machines Corp. ..................... 42,800 123,050
International Recovery Co. ............................. 13,400 209,375
*International Remote Imaging Systems, Inc. ............. 2,000 11,000
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International Research & Development Corp. ............. 48,000 $ 100,500
International Shipholding Corp. ........................ 3,000 63,000
*International Technology Corp. ......................... 184,000 575,000
*International Totalizator Systems ...................... 68,500 239,750
*Interphase Corp. ....................................... 30,600 361,463
*Interpoint Corp. WA .................................... 24,000 211,500
*Interpore International ................................ 50,000 368,750
*Intersystems, Inc. ..................................... 52,700 62,581
*Intertan, Inc. ......................................... 43,900 345,713
Intertrans Corp. ....................................... 109,600 1,438,500
*Intervisual Books, Inc. Class A ........................ 1,000 2,500
Investors Bank Corp. (Minnetonka, MN) .................. 9,200 205,850
*Investors Insurance Group, Inc. ........................ 42,700 82,731
Investors Title Co. .................................... 2,800 20,650
*Iomega Corp. ........................................... 224,000 749,000
Isco, Inc. ............................................. 101,341 912,069
*Isis Pharmaceuticals, Inc. ............................. 180,000 900,000
*Ithaca Bancorp, Inc. ................................... 5,800 110,200
*Iwerks Entertainment, Inc. ............................. 424 2,544
*J & J Snack Foods Corp. ................................ 40,000 482,500
*JB's Restaurants, Inc. ................................. 108,400 474,250
*JG Industries, Inc. .................................... 29,500 51,625
JLG Industries, Inc. ................................... 68,900 2,781,838
*Jabil Circuit, Inc. .................................... 60,000 285,000
Jaclyn, Inc. ........................................... 55,427 332,562
*Jaco Electronics, Inc. ................................. 350 2,363
*Jacobs Jay, Inc. ....................................... 45,500 81,047
Jacobson Stores, Inc. .................................. 64,800 814,050
*Jamesway Corp. ......................................... 63,650 23,869
*Jan Bell Marketing, Inc. ............................... 12,000 59,250
*Jefferson Savings Bancorp, Inc. ........................ 40,000 630,000
*Jennifer Convertibles, Inc. ............................ 41,000 307,500
*Jetronic Industries, Inc. .............................. 57,569 32,383
Johnston Industries, Inc. .............................. 207,687 2,128,792
Jones Medical Industries, Inc. ......................... 83,820 670,560
*Joule, Inc. ............................................ 42,100 84,200
*Just Toys, Inc. ........................................ 28,300 95,513
*K-Tron International, Inc. ............................. 63,400 713,250
*K-V Pharmaceutical Co. Class A ......................... 22,250 152,969
*K-V Pharmaceutical Co. Class B ......................... 18,800 129,250
*KLLM Transport Services, Inc. .......................... 88,900 1,389,063
Kahler Realty Corp. .................................... 1,000 9,500
*Kaiser Resources, Inc. ................................. 76,500 573,750
*Kaneb Services, Inc. ................................... 1,000 2,250
Kasler Holding Co. ..................................... 139,300 609,438
*Kaufman (H.W.) Financial Group, Inc. ................... 24,300 106,313
*Kelley Oil Corp. ....................................... 67,000 301,500
Kenan Transport Co. .................................... 200 3,650
*Kent Financial Services, Inc. (New) .................... 14,278 78,529
*Kenwin Shops, Inc. ..................................... 500 1,703
*Keptel, Inc. ........................................... 46,300 810,250
*Kerr Group, Inc. ....................................... 82,200 688,425
*Ketema, Inc. ........................................... 13,200 194,700
*Kevlin Corp. ........................................... 500 1,172
*Kewaunee Scientific Corp. .............................. 44,800 120,400
*Key Energy Group, Inc. ................................. 2,114 10,570
*Key Technology, Inc. ................................... 27,000 172,125
*Key Tronic Corp. ....................................... 139,100 1,477,938
*Keystone Consolidated Industries, Inc. ................. 56,650 828,506
*Killearn Properties, Inc. .............................. 17,000 71,188
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*Kimmins Environmental Service Corp. .................... 1,000 $ 1,500
*Kinark Corp. ........................................... 70,800 238,950
*Kings Road Entertainments, Inc. ........................ 53,000 33,125
*Kirschner Medical Corp. ................................ 61,466 641,551
*Kit Manufacturing Co. .................................. 32,900 374,238
*Kleer-Vu Industries, Inc. (New) ........................ 20,073 193,203
*Kleinert's, Inc. ....................................... 5,000 85,625
Knape & Vogt Manufacturing Co. ......................... 64,599 1,275,830
*Knogo Corp. ............................................ 72,800 1,365,000
*Koss Corp. ............................................. 52,000 591,500
*Krug International Corp. ............................... 21,465 105,985
*Krystal Co. ............................................ 54,600 573,300
Kuhlman Corp. .......................................... 138,876 1,683,872
*Kulicke & Soffa Industries, Inc. ....................... 18,000 364,500
Kysor Industrial Corp. ................................. 27,200 595,000
LCS Industries, Inc. ................................... 2,800 22,050
*LDB Corp. .............................................. 21,260 156,793
LDI Corp. .............................................. 500 2,375
LSB Bancshares, Inc. NC ................................ 258 5,031
LSB Industries, Inc. ................................... 64,900 381,288
LSI Industries, Inc. ................................... 95,602 1,027,722
*LTX Corp. .............................................. 50,400 220,500
*LVI Group, Inc. (New) .................................. 11,680 8,030
*LXE, Inc. .............................................. 1,000 14,500
*LaBarge, Inc. .......................................... 228,750 314,531
*LaCrosse Footwear, Inc. ................................ 13,300 151,288
*Laclede Steel Co. ...................................... 25,450 257,681
Lakeland First Financial Corp. ......................... 5,241 96,959
*Lakeland Industries, Inc. .............................. 3,200 12,400
*Lamson & Sessions Co. .................................. 143,800 808,875
*Lancer Corp. ........................................... 29,400 529,200
*Lancit Media Productions, Ltd. ......................... 60,900 864,019
Landauer, Inc. ......................................... 87,000 1,479,000
*Larizza Industries, Inc. ............................... 12,800 59,200
*Laser Pacific Media Corp. .............................. 10,000 6,563
*Laser Precision Corp. .................................. 77,650 618,773
*Lasermaster Technologies, Inc. ......................... 83,300 1,140,169
*Laserscope ............................................. 66,600 299,700
*Lawrence Savings Bank MA ............................... 7,700 25,506
Lawyers Title Corp. .................................... 7,000 78,750
*Layne, Inc. ............................................ 1,000 6,938
*Lazare Kaplan International, Inc. ...................... 71,300 686,263
*Learning Co. ........................................... 36,000 819,000
*Lectec Corp. ........................................... 13,080 122,625
*Lee Pharmaceuticals, Inc. .............................. 97,000 66,688
*Leisure Concepts, Inc. ................................. 19,900 79,600
Lesco, Inc. ............................................ 87,100 1,262,950
*Leslie Building Products, Inc. ......................... 27,800 47,260
*Leslie's Poolmart ...................................... 1,050 13,650
Lexington Savings Bank MA .............................. 3,600 54,900
*Lidak Pharmaceuticals Class A .......................... 4,000 8,250
*Life Quest Medical, Inc. ............................... 1,000 2,688
*Lifecore Biomedical, Inc. .............................. 30,000 123,750
*Lifeline Systems, Inc. ................................. 18,700 109,863
Lincoln Savings Bank ................................... 1,000 57,000
*Lindal Cedar Homes, Inc. ............................... 40,777 142,720
Lindberg Corp. ......................................... 78,200 527,850
*Littlefield, Adams & Co. ............................... 16,500 101,063
*Liuski International, Inc. ............................. 1,000 4,813
*Live Entertainment, Inc. ............................... 10,000 6,850
*Lodgenet Entertainment Corp. ........................... 62,000 503,750
*Logic Devices, Inc. .................................... 49,300 137,116
*Lomak Petroleum, Inc. .................................. 1,000 6,688
*Lone Star Casino Corp. ................................. 57,375 64,547
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*Longhorn Steaks, Inc. .................................. 44,500 $ 389,375
*Lori Corp. ............................................. 25,300 98,038
*Lumex, Inc. ............................................ 81,300 1,036,575
*Lunar Corp. ............................................ 1,000 19,000
*Lund International Holdings, Inc. ...................... 700 12,250
*Luria & Son, Inc. ...................................... 120,197 871,428
*Lynch Corp. ............................................ 29,600 873,200
*M-Wave, Inc. ........................................... 1,000 14,875
*M/A/R/C, Inc. .......................................... 13,838 164,326
MAF Bancorp, Inc. ...................................... 1,000 18,625
*MDT Corp. .............................................. 63,900 403,369
*MFRI, Inc. ............................................. 400 2,300
*MGI Pharma, Inc. ....................................... 137,700 1,015,538
*MHI Group, Inc. (New) .................................. 35,304 260,367
*MLX Corp. .............................................. 23,145 98,366
MMI Medical, Inc. ...................................... 13,640 54,560
*MRS Technology, Inc. ................................... 20,000 95,000
MTS Systems Corp. ...................................... 50 1,119
Maine Public Service Co. ............................... 32,700 731,663
*Mallon Resources Corp. ................................. 7,100 19,969
*Manatron, Inc. ......................................... 115 403
Marble Financial Corp. ................................. 1,000 10,813
*Marcam Corp. ........................................... 15,500 153,063
*Marietta Corp. ......................................... 71,200 591,850
*Mark VII, Inc. ......................................... 47,800 495,925
*Marlton Technologies, Inc. ............................. 90,100 98,547
*Marquest Medical Products, Inc. ........................ 78,700 63,944
*Marsam Pharmaceuticals, Inc. ........................... 34,000 399,500
Marsh Supermarkets, Inc. Class A ....................... 1,000 10,750
*Marten Transport, Ltd. ................................. 91,200 1,755,600
*Martin Lawrence Limited Editions, Inc. ................. 110,200 55,100
Maryland Federal Bancorp ............................... 1,500 35,250
Massbank Corp. Reading, MA ............................. 2,850 61,988
*Mastec, Inc. ........................................... 58,000 456,750
*Matec Corp. DE ......................................... 76,300 305,200
*Mathsoft, Inc. ......................................... 25,000 73,438
*Matlack Systems, Inc. .................................. 65,850 625,575
*Matrix Service Co. ..................................... 51,000 350,625
*Matthews Studio Equipment Group ........................ 1,000 2,563
*Maverick Tube Corp. .................................... 42,700 392,306
*Max & Ermas Restaurants, Inc. .......................... 1,416 9,735
*Maxco, Inc. ............................................ 3,200 27,000
*Maxicare Health Plans, Inc. (New) ...................... 27,000 423,563
*Maxwell Laboratories, Inc. ............................. 29,246 230,312
*Maxxim Medical, Inc. ................................... 87,400 1,037,875
*Maynard Oil Co. ........................................ 101,800 515,363
*Mays (J.W.), Inc. ...................................... 2,100 15,488
*McAfee Associates, Inc. ................................ 15,000 218,438
*McClain Industries, Inc. ............................... 68,300 793,988
*McFarland Energy, Inc. ................................. 52,000 331,500
*Mechanical Technology, Inc. ............................ 36,700 13,763
*Medalist Industries, Inc. .............................. 36,400 204,750
*Medalliance, Inc. ...................................... 25,000 47,656
*Medar, Inc. ............................................ 105,500 1,411,063
*Medarex, Inc. .......................................... 1,000 3,125
*Medchem Products, Inc. ................................. 56,000 308,000
Medex, Inc. ............................................ 26,000 412,750
Medford Savings Bank MA (New) .......................... 31,800 445,200
*Media Logic, Inc. ...................................... 1,000 2,375
*Medical Action Industries, Inc. ........................ 33,300 40,584
*Medical Diagnostics, Inc. .............................. 2,800 12,250
*Medical Graphics Corp. ................................. 12,700 73,025
*Medical Technology System, Inc. ........................ 1,000 6,688
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*Medicore, Inc. ......................................... 17,600 $ 46,200
Medicus Systems Corp. .................................. 40,100 571,425
*Medimmune, Inc. ........................................ 80,000 350,000
Mediq, Inc. ............................................ 58,200 210,975
*Megacards, Inc. ........................................ 333 624
*Melamine Chemicals, Inc. ............................... 103,100 1,056,775
*Mem Co., Inc. .......................................... 53,300 233,188
*Members Service Corp. .................................. 1 1
*Mental Health Management, Inc. ......................... 7,275 23,644
Merchants Group, Inc. .................................. 3,800 53,675
*Mercury Air Group, Inc. ................................ 500 3,688
Meridian Diagnostics, Inc. ............................. 57,236 407,807
Meridian Insurance Group, Inc. ......................... 6,800 71,400
*Merit Medical Systems, Inc. ............................ 2,200 11,000
Merrimac Industries, Inc. .............................. 12,332 99,427
*Mestek, Inc. ........................................... 118,750 1,150,391
*Met-Coil Systems Corp. ................................. 27,500 85,938
Met-Pro Corp. .......................................... 67,407 1,120,641
*Metalclad Corp. ........................................ 34,500 125,063
*Metatec Corp. Class A .................................. 1,200 12,600
Metro Bancshares, Inc. ................................. 4,100 93,788
Metrobank .............................................. 5,900 103,250
*Metrocall, Inc. ........................................ 40,000 725,000
*Miami Subs Corp. ....................................... 7,500 16,641
*Michael Anthony Jewelers, Inc. ......................... 32,300 213,988
Mickelberry Communications, Inc. ....................... 101,300 322,894
*Micro Bio-Medics, Inc. ................................. 1,000 9,688
*Micro Healthsystems, Inc. .............................. 9,800 34,913
*Microcom, Inc. ......................................... 124,600 1,246,000
*Microdyne Corp. ........................................ 10,000 83,125
*Microfluidics International Corp. ...................... 1,300 5,525
*Micrografx, Inc. ....................................... 1,000 5,750
*Microlog Corp. ......................................... 26,000 17,875
*Micronics Computers, Inc. .............................. 1,000 4,750
*Micropolis Corp. ....................................... 85,000 754,375
*Microsemi Corp. ........................................ 135,875 645,406
*Microtest, Inc. ........................................ 5,900 105,463
*Microtouch Systems, Inc. ............................... 2,000 80,500
*Microwave Filter Co., Inc. ............................. 5,347 6,015
Mid-Atlantic Realty Trust .............................. 3,366 26,087
*MidAmerican Waste System, Inc. ......................... 12,000 81,000
MidSouth Insurance Co. ................................. 53,235 485,769
Midconn Bank Kensington, CT ............................ 45,200 604,550
*Middleby Corp. ......................................... 65,200 301,550
Middlesex Water Co. .................................... 7,000 126,000
Midland Co. ............................................ 10,700 418,638
*Miller Building Systems, Inc. .......................... 72,800 254,800
*Miltope Group, Inc. .................................... 91,000 415,188
*Milwaukee Insurance Group, Inc. ........................ 9,200 85,100
Minntech Corp. ......................................... 7,031 98,427
*Mission West Properties, Inc. .......................... 22,000 145,750
*Mitek Surgical Products, Inc. .......................... 11,000 231,000
Mobile Gas Service Corp. ............................... 34,100 707,575
*Mobley Environmental Services, Inc. Class A ............ 1,000 1,750
Modern Controls, Inc. .................................. 56,650 421,334
*Molecular Dynamics, Inc. ............................... 18,100 118,781
Monarch Machine Tool Co. ............................... 53,900 491,838
*Moore Medical Corp. .................................... 44,600 579,800
*Moore Products Co. ..................................... 19,900 320,888
*Morgan Products, Ltd. .................................. 65,300 399,963
*Morgan's Foods, Inc. ................................... 13,000 18,688
*Morningstar Group, Inc. ................................ 10,000 70,000
Moscom Corp. ........................................... 14,400 120,600
*Moto Photo, Inc. ....................................... 6,100 15,250
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*Motor Club of America .................................. 20,500 $ 58,938
*Motts Holdings, Inc. ................................... 38,775 159,947
*Movie Star, Inc. ....................................... 415,417 493,308
Mueller (Paul) Co. ..................................... 26,700 837,713
*Multi Color Corp. ...................................... 5,300 39,088
*Munsingwear, Inc. (New) ................................ 2,145 14,747
Myers (L.E.) Co. Group ................................. 29,400 341,775
*Mylex Corp. ............................................ 11,600 101,500
*NAI Technologies, Inc. ................................. 82,813 238,087
*NBI, Inc. (New) ........................................ 3,085 1,157
*NCI Building Systems, Inc. ............................. 1,000 17,750
NFS Financial Corp. .................................... 4,100 86,100
*NMR of America, Inc. ................................... 27,200 122,400
*NS Group, Inc. ......................................... 10,100 49,238
NSC Corp. .............................................. 79,800 259,350
*Nabors Industries, Inc. DE ............................. 69,280 502,280
*Nahama Weagant Energy Co. (New) ........................ 11,000 1,719
*Namic USA Corp. ........................................ 1,000 18,500
*Nantucket Industries, Inc. ............................. 58,535 336,576
*Napco Security Systems, Inc. ........................... 70,000 210,000
*Natec Resources, Inc. .................................. 35,400 5,531
*National Convenience Stores, Inc. ...................... 49,800 354,825
*National Enterprises, Inc. ............................. 168,000 7,219
National Gas & Oil Co. ................................. 84,705 1,323,516
*National Home Health Care Corp. ........................ 13,700 31,681
*National Media Corp. ................................... 1,000 5,750
*National Mercantile Bancorp. ........................... 2,300 7,619
*National Patent Development Corp. ...................... 3,800 7,363
National Security Group, Inc. .......................... 10,500 181,125
*National Standard Co. .................................. 107,900 1,105,975
National Technical Systems, Inc. ....................... 47,184 163,670
*National Techteam, Inc. ................................ 64,800 332,100
*Nationwide Cellular Service, Inc. ...................... 172,800 2,894,400
*Natural Alternatives International, Inc. ............... 47,000 235,000
*Natural Wonders, Inc. .................................. 1,000 4,750
Natures Sunshine Products, Inc. ........................ 3,760 53,110
Nelson (Thomas), Inc. Class B .......................... 3,195 67,894
*Neoprobe Corp. ......................................... 83,000 163,406
*Neorx Corp. ............................................ 111,700 656,238
*Nestor, Inc. ........................................... 21,400 37,343
*Network Computing Devices, Inc. ........................ 61,000 270,688
*Network Equipment Technologies, Inc. ................... 1,000 20,750
*Neurogen Corp. ......................................... 1,000 6,625
*New Brunswick Scientific Co., Inc. ..................... 32,500 176,719
*New Image Industries, Inc. ............................. 43,763 224,285
*New Jersey Steel Corp. ................................. 8,000 127,500
*New Mexico & Arizona Land Co. .......................... 24,829 226,565
*New World Power Corp. .................................. 35,000 245,000
New York Bancorp, Inc. ................................. 1,330 24,938
Newcor, Inc. ........................................... 82,025 671,580
Newmil Bancorp, Inc. ................................... 44,200 193,375
*Newpark Resources, Inc. ................................ 60,796 1,383,109
Newport Corp. .......................................... 140,700 1,002,488
*Nichols Research Corp. ................................. 42,467 520,217
Noland Co. ............................................. 500 10,313
*Nord Resources Corp. ................................... 25,700 144,563
*Norstan, Inc. .......................................... 45,200 853,150
*Nortek, Inc. ........................................... 28,600 307,450
*North American Biologicals, Inc. ....................... 6,000 42,000
*North American Recycling System, Inc. .................. 31,000 54,250
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North Side Savings Bank NY ............................. 13,560 $ 252,555
*North Star Universal, Inc. ............................. 15,000 80,625
*Northcorp Realty Advisors, Inc. ........................ 104,700 87,948
*Northeast Federal Corp. ................................ 30,215 249,274
Northland Cranberries, Inc. Class A ................... 1,000 12,563
*Northwest Teleproductions, Inc. ........................ 15,800 41,475
Norwich Financial Corp. ................................ 23,800 238,000
*Novametrix Medical Systems, Inc. ....................... 79,700 393,519
*Novitron Internarional, Inc. ........................... 750 4,500
*Nu Horizons Electronics Corp. .......................... 65,054 540,761
*Nuclear Metals, Inc. ................................... 71,300 1,033,850
*Nuclear Support Services, Inc. ......................... 8,600 32,788
*Nutramax Products, Inc. ................................ 35,000 332,500
*Nuvision, Inc. ......................................... 43,700 163,875
*Nview Corp. ............................................ 1,000 8,125
*Nycor, Inc. (New) ...................................... 43,885 105,598
*Nycor, Inc. Class A (New) .............................. 57,625 136,859
*Nycor, Inc. Class B (New) .............................. 29,140 70,118
*O Charleys, Inc. ....................................... 2,850 30,994
*O.I. Corp. ............................................. 13,800 63,825
*OCG Technology, Inc. ................................... 7,000 2,406
*OEC Medical Systems, Inc. .............................. 9,900 61,875
*OESI Power Corp. ....................................... 1,000 1,000
*Oak Hill Sportswear Corp. .............................. 21,600 99,900
Oglebay Norton Co. ..................................... 25,000 756,250
Ohio Art Co. ........................................... 500 14,500
*Olympus Capital Corp. .................................. 5,500 80,438
*Oncogene Science, Inc. ................................. 1,000 2,688
*Oncor, Inc. ............................................ 40,000 180,000
*Oneita Industries, Inc. ................................ 68,520 702,330
*Opta Food Ingredients, Inc. ............................ 1,000 5,313
Optical Coating Laboratory, Inc. ....................... 35,826 219,434
*Optical Data Systems, Inc. ............................. 1,000 24,875
*Option Care, Inc. ...................................... 1,000 2,688
*Opto Mechanik, Inc. .................................... 63,800 21,931
*Orange Co., Inc. (New) FL .............................. 91,747 481,672
*Orbit International Corp. .............................. 127,600 342,925
*Orchard Supply Hardware Stores Corp. ................... 35,000 332,500
*Oregon Metallurgical Corp. ............................. 1,000 6,500
*Organogenesis, Inc. .................................... 1,000 15,000
Oriole Homes Corp. Convertible Class A ................. 66,500 448,875
*Orthomet, Inc. ......................................... 19,100 206,519
*Osborn Communications Corp. ............................ 79,800 513,713
Oshkosh Truck Corp. Class B ............................ 900 9,731
*Oshman's Sporting Goods, Inc. .......................... 129,500 1,003,625
*Osmonics, Inc. ......................................... 135,711 1,866,026
*Osteotech, Inc. ........................................ 25,000 104,688
*Outlook Group Corp. .................................... 1,000 12,250
*Oxis International, Inc. ............................... 89,800 230,113
*PHP Healthcare Corp. ................................... 11,800 137,175
*PLM International, Inc. ................................ 22,900 62,975
*PSC, Inc. .............................................. 7,300 69,350
*Pacific Rim Holding Corp. .............................. 500 1,219
Pacific Scientific Co. ................................. 71,800 2,773,275
Paco Pharmaceutical Services, Inc. ..................... 30,000 270,000
*Pages, Inc. ............................................ 31,000 145,313
*Palfed, Inc. ........................................... 16,650 125,916
*Panaco, Inc. ........................................... 6,900 25,875
Pancho's Mexican Buffet, Inc. .......................... 46,300 370,400
*Par Technology Corp. ................................... 86,200 560,300
*Parallan Computer, Inc. ................................ 61,600 306,075
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Park Electrochemical Corp. ............................. 55,950 $1,734,450
*Park-Ohio Industries, Inc. ............................. 156,300 2,051,438
Parkvale Financial Corp. ............................... 28,343 623,546
*Parlex Corp. ........................................... 19,900 273,625
*Patrick Industries, Inc. ............................... 49,050 423,056
*Patrick Petroleum Co. .................................. 258,200 322,750
*Patten Corp. ........................................... 66,984 234,444
*Paul Harris Stores, Inc. (New) ......................... 35,675 115,944
*Pay-Fone Systems, Inc. ................................. 500 2,063
*Peer Review Analysis, Inc. ............................. 1,000 2,781
Peerless Manufacturing Co. ............................. 9,250 111,000
*Peerless Tube Co. ...................................... 60,202 33,864
Penn Engineering & Manufacturing Corp. ................. 33,600 1,390,200
*Penn Treaty American Corp. ............................. 29,600 451,400
Penobscot Shoe Co. ..................................... 32,000 152,000
Penril Datacomm Networks, Inc. ......................... 89,033 200,324
*Pentech International, Inc. ............................ 1,000 4,563
*Peoples Savings Bank of Brockton, MA ................... 3,100 16,856
Peoples Savings Financial Corp. ........................ 6,000 103,500
*Peoples Telephone Co., Inc. ............................ 26,400 107,250
*Perceptronics, Inc. .................................... 36,600 8,967
*Performance Food Group Co. ............................. 10,000 116,250
*Perfumania, Inc. ....................................... 42,000 139,125
*Perini Corp. ........................................... 40,600 411,075
*Perry Drug Stores, Inc. ................................ 120,900 906,750
*Peters (J.M.) Co., Inc. ................................ 25,000 75,000
*Pharmaceutical Resources, Inc. ......................... 20 218
*Pharmacy Management Services, Inc. ..................... 9,500 161,500
*Pharmchem Laboratories, Inc. ........................... 37,600 101,050
*Pharmos Corp. (Private Placement) ...................... 120,000 138,375
*Phoenix Laser Systems, Inc. (New) ...................... 1,000 1,000
Phoenix Resource Companies, Inc. ....................... 3,400 136,425
*Phoenix Technologies, Ltd. ............................. 1,000 7,125
*Photo Control Corp. .................................... 1,000 6,500
*Photronics, Inc. ....................................... 23,600 628,350
*Physicians Insurance Co. of Ohio Class A ............... 1,000 5,313
Piccadilly Cafeterias, Inc. ............................ 30,000 240,000
*Pico Products, Inc. .................................... 68,500 179,813
Piedmont Bankgroup, Inc. ............................... 1,250 25,781
Pioneer Financial Services, Inc. ....................... 42,100 410,475
Pitt-Des Moines, Inc. .................................. 29,600 1,006,400
*Plexus Corp. ........................................... 1,200 11,850
*Polk Audio, Inc. ....................................... 5,000 51,875
*Polymedica Industries, Inc. ............................ 16,050 69,216
*Porta Systems Corp. .................................... 59,500 342,125
*Portage Industries Corp. DE ............................ 1,000 2,500
*Portec, Inc. ........................................... 99,037 1,250,347
Portsmouth Bank Shares, Inc. ........................... 9,831 117,972
*Possis Medical, Inc. ................................... 97,800 580,688
*Poughkeepsie Savings Bank FSB NY ....................... 9,900 42,694
*Powell Industries, Inc. ................................ 5,800 32,625
*Prairie Oil Royalties Co. .............................. 90,800 839,900
Pratt & Lambert United, Inc. ........................... 133,400 2,617,975
*Pre-Paid Legal Services, Inc. .......................... 178,375 356,750
*Precision Standard, Inc. ............................... 1,000 2,000
*Presidio Oil Co. Class A ............................... 95,500 35,813
*Presley Companies Class A .............................. 8,900 22,250
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*Price Communications Corp. ............................. 4,806 $ 33,041
*Pride Petroleum Services, Inc. ......................... 138,800 711,350
Prime Bancorp, Inc. .................................... 12,375 202,641
*Prime Medical Services, Inc. ........................... 74,500 265,406
Primesource Corp. ...................................... 21,843 229,352
*Printronix, Inc. ....................................... 69,800 2,006,750
*Procyte Corp. .......................................... 22,600 66,034
*Progress Financial Corp. ............................... 1,000 4,250
Progressive Bank, Inc. ................................. 29,100 607,463
*Progroup, Inc. ......................................... 33,700 210,625
*Proler International Corp. ............................. 44,900 314,300
*Pronet, Inc. ........................................... 35,100 491,400
*Proteon, Inc. .......................................... 1,000 6,000
*Protocol Systems, Inc. ................................. 68,800 619,200
Providence Energy Corp. ................................ 61,950 952,481
Provident Bankshares Corp. ............................. 53,700 1,120,988
*Psicor, Inc. ........................................... 44,400 405,150
*Publicker Industries, Inc. ............................. 208,400 364,700
*Publisher Equipment Corp. .............................. 4,700 3,231
Pulaski Furniture Corp. ................................ 13,000 240,500
*Pulse Engineering, Inc. ................................ 5,000 28,125
*Pure Tech International, Inc. (Private Placement) ...... 140,000 700,875
*Purepac, Inc. .......................................... 10,000 145,000
Putnam Trust Co. Greenwich, CT ......................... 1,000 26,250
*Q Logic Corp. .......................................... 53,800 359,788
*Q-Med, Inc. ............................................ 48,300 72,450
*QMS, Inc. .............................................. 67,000 594,625
*Quality Systems, Inc. .................................. 20,500 64,063
*Quantum Restaurant Group, Inc. ......................... 53,000 549,875
*Quarterdeck Office Systems, Inc. ....................... 3,000 6,563
*Quest Medical, Inc. .................................... 104,799 471,596
*Quickresponse Services, Inc. ........................... 10,000 143,750
*Quidel Corp. ........................................... 75,500 212,344
*Quiksilver, Inc. ....................................... 33,400 540,663
Quincy Savings Bank MA ................................. 18,400 466,900
Quixote Corp. .......................................... 43,900 685,938
*R & B, Inc. ............................................ 54,200 359,075
*RB & W Corp. ........................................... 97,100 740,388
*RPC Energy Services, Inc. .............................. 73,100 511,700
RS Financial Corp. ..................................... 18,000 387,000
*RTI, Inc. .............................................. 47,125 26,508
*Radius, Inc. ........................................... 350 3,281
*Rag Shops, Inc. ........................................ 2,000 4,750
*Ragan (Brad), Inc. ..................................... 40,900 1,349,700
*Railroad Financial Corp. ............................... 858 7,937
*Rainbow Technologies, Inc. ............................. 600 7,275
*Rally's Hamburgers, Inc. ............................... 15,000 52,500
*Ramsay Health Care, Inc. (New) ......................... 6,166 45,474
Raritan Bancorp, Inc. DE ............................... 750 13,125
*Rasterops .............................................. 8,200 24,600
*Rational Software Corp. ................................ 82,600 175,525
Raven Industries, Inc. ................................. 99,150 1,896,244
*Raymond Corp. .......................................... 87,985 1,539,738
*Raytech Corp. DE ....................................... 80,300 381,425
Re Capital Corp. ....................................... 29,100 363,750
*Readicare, Inc. ........................................ 182,800 251,350
*Reading Co. Class A .................................... 11,000 124,438
*Recoton Corp. .......................................... 95,316 1,691,859
*Reeds Jewelers, Inc. ................................... 10,450 84,906
Refac Technology Development Corp. ..................... 76,350 543,994
*Reflectone, Inc. ....................................... 2,500 20,000
*Regeneron Pharmaceuticals, Inc. ........................ 1,000 4,125
*Regis Corp. ............................................ 1,000 14,625
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*Rehabilicare, Inc. ..................................... 1,000 $ 2,563
*Rehability Corp. ....................................... 6,000 43,875
*Reliability, Inc. ...................................... 85,000 191,250
*Relife, Inc. Class A ................................... 56,500 1,306,563
*Reno Air, Inc. ......................................... 6,300 29,531
*Rentrak Corp. .......................................... 4,000 29,750
*Repligen Corp. ......................................... 54,000 162,000
*Republic Automotive Parts, Inc. ........................ 39,200 558,600
Republic Bancorp, Inc. ................................. 29,978 329,761
Republic Gypsum Co. .................................... 171,640 1,566,215
Republic Savings Financial Corp. ....................... 132 487
*Republic Waste Industries, Inc. ........................ 1,000 3,813
*Research Industries Corp. .............................. 1,000 13,188
Research, Inc. ......................................... 20,200 138,875
*Resource Recycling Technologies, Inc. .................. 43,687 218,435
*Response Technologies, Inc. ............................ 1,000 1,938
*Retix, Inc. ............................................ 35,000 166,250
*Revell Monogram, Inc. .................................. 34,500 211,313
*Rex Stores Corp. ....................................... 59,600 1,005,750
*Rexhall Industries, Inc. ............................... 10,000 63,750
*Rexon, Inc. ............................................ 96,600 489,038
*Rexworks, Inc. ......................................... 6,000 26,250
*Rheometrics, Inc. ...................................... 110 165
*Rhodes, Inc. ........................................... 35,000 345,625
*Ribi Immunichem Research, Inc. ......................... 45,200 186,450
*Richton International Corp. ............................ 1,500 5,813
*Riddell Sports, Inc. ................................... 6,982 16,582
*Right Management Consultants, Inc. ..................... 3,000 69,000
*Right Start, Inc. ...................................... 1,000 3,875
*Ringer Corp. ........................................... 76,600 122,081
*Riser Foods, Inc. Class A .............................. 106,700 746,900
*River Oaks Furniture, Inc. ............................. 34,000 480,250
*Riverside Group, Inc. .................................. 1,300 8,288
*Riverside National Bank CA ............................. 19,300 142,338
*Roadmaster Industries, Inc. ............................ 51,000 207,188
Roanoke Electric Steel Corp. ........................... 11,300 177,975
Robbins & Myers, Inc. .................................. 32,100 561,750
*Robec, Inc. ............................................ 99,200 170,500
*Robertson-Ceco Corp. ................................... 5,157 18,694
Robinson Nugent, Inc. .................................. 53,900 454,781
*Rogers Corp. ........................................... 64,400 2,696,750
*Ropak Corp. ............................................ 14,501 148,631
*Ross Systems, Inc. ..................................... 20,000 107,500
*Rotech Medical Corp. ................................... 40,000 1,140,000
*Rottlund, Inc. ......................................... 1,000 6,250
Rowe Furniture Corp. ................................... 30,375 273,375
*Royal Appliance Manufacturing Co. ...................... 140,000 542,500
*Royal Gold, Inc. ....................................... 114,700 917,600
*Royal International Optical, Inc. ...................... 14,098 8,811
*Rule Industries, Inc. .................................. 28,100 388,131
*Rymer Foods, Inc. ...................................... 65,133 227,966
S I Handling, Inc. ..................................... 1,000 8,500
*S&K Famous Brands, Inc. ................................ 25,200 204,750
*SBE, Inc. .............................................. 1,000 10,125
*SBM Industries, Inc. ................................... 500 6,000
*SCS/COMPUTE, Inc. ...................................... 47,300 112,338
*SGI International ...................................... 10,500 6,563
SJW Corp. .............................................. 16,600 581,000
SKI, Ltd. .............................................. 125 2,000
SL Industries, Inc. .................................... 183,585 826,133
*STV Engineers, Inc. .................................... 17,500 91,875
*Safeguard Health Enterprises, Inc. ..................... 94,600 880,963
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*Safeguard Scientifics, Inc. ............................ 190,200 $3,257,175
*Safetytek Corp. ........................................ 1,000 8,500
*Saga Communications, Inc. Class A ..................... 3,600 54,000
*Sahara Gaming Corp. .................................... 9,250 37,000
Saint Ives Laboratories Corp. .......................... 41,800 357,913
Saint Joseph Light & Power Co. ......................... 26,250 698,906
*Salant Corp. DE ........................................ 77,500 387,500
Salem Corp. ............................................ 40,442 621,796
*Salick Health Care, Inc. ............................... 35,800 895,000
*Salton/Maxim Housewares, Inc. .......................... 3,000 9,563
*Sam & Libby, Inc. ...................................... 1,000 1,219
San Filippo (John B.) & Son, Inc. ...................... 41,000 292,125
*San Francisco Co. Class A .............................. 1,090 7,903
Sands Regent Casino Hotel .............................. 25,110 178,909
Sandwich Co-Operative Bank MA .......................... 7,900 109,613
Sandy Corp. ............................................ 4,000 24,500
*Santa Monica Bank CA ................................... 1,000 8,250
*Sarnia Corp. ........................................... 48,700 12,175
*Satellite Technology Management, Inc. .................. 3,700 38,850
*Scan-Optics, Inc. ...................................... 158,000 1,027,000
*Scanforms, Inc. ........................................ 100 206
*Schieb (Earl), Inc. .................................... 94,400 542,800
Schult Homes Corp. ..................................... 35,800 389,325
Schultz Sav-O Stores, Inc. ............................. 19,800 393,525
*Schwitzer, Inc. ........................................ 96,100 780,813
*Sciclone Pharmaceuticals, Inc. ......................... 25,000 159,375
*Science Dynamics Corp. ................................. 28,300 32,722
*Scientific Software-Intercomp, Inc. .................... 80,000 450,000
Scope Industries, Inc. ................................. 34,800 839,550
*Score Board, Inc. ...................................... 88,400 370,175
Scotsman Industries, Inc. .............................. 6,100 105,225
*Seacor Holdings, Inc. .................................. 5,000 106,875
*Seattle Filmworks, Inc. ................................ 29,800 528,950
Seaway Food Town, Inc. ................................. 8,000 80,000
*Security Capital Corp. ................................. 45 13
*Security Capital Corp. Class A ......................... 90,155 14,087
*Seeq Technology, Inc. DE ............................... 168,600 155,428
*Seibels (Bruce) Group, Inc. ............................ 1,000 2,875
*Seitel, Inc. ........................................... 123,662 2,859,684
Selas Corp. of America ................................. 12,600 122,850
*Selfix, Inc. ........................................... 24,400 118,950
*Semtech Corp. .......................................... 6,000 15,750
*Sepracor, Inc. ......................................... 32,000 130,000
*Serv-Tech, Inc. ........................................ 43,600 294,300
*Servotronics, Inc. ..................................... 21,667 94,793
*Seven Oaks International, Inc. ......................... 150,950 55,852
*Shared Technologies, Inc. .............................. 50,000 225,000
*Sharper Image Corp. .................................... 63,300 427,275
Shelby Williams Industries, Inc. ....................... 35,100 302,738
*Sheldahl, Inc. ......................................... 84,650 1,163,938
Shelter Components, Inc. ............................... 40,387 444,257
*Shoe Carnival, Inc. .................................... 30,000 157,500
*Showscan Corp. ......................................... 42,500 260,313
*Shuffle Master, Inc. ................................... 1,000 11,375
*Sierra Semiconductor Corp. ............................. 1,000 14,813
*Sierra Tucson Companies, Inc. .......................... 500 1,500
*Sifco Industries, Inc. ................................. 49,475 160,794
*Sigma Designs, Inc. .................................... 53,400 363,788
*Signal Apparel Co., Inc. Class A ....................... 62,100 357,075
*Signal Technology Corp. ................................ 35,000 113,750
*Silicon Valley Bancshares .............................. 40,000 490,000
*Siliconix, Inc. (New) .................................. 28,200 324,300
*Skolniks, Inc. (New) ................................... 23 32
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*Sloane's Supermarkets, Inc. ............................ 46,490 $ 249,884
*Sodak Gaming, Inc. ..................................... 42,000 577,500
*Softech, Inc. .......................................... 85,600 556,400
*Softkey International, Inc. ............................ 47,730 960,566
*Softnet Systems, Inc. .................................. 13,700 99,325
*Softnet Systems, Inc. (Private Placement) .............. 20,000 130,500
*Software Publishing Corp. .............................. 71,000 390,500
*Software Spectrum, Inc. ................................ 15,700 257,088
*Solitron Devices, Inc. DE .............................. 7,400 7,631
*Somanetics Corp. ....................................... 1,000 984
*Somatix Therapies Corp. ................................ 76,775 268,713
*Somatogen, Inc. ........................................ 1,000 7,313
*Somerset Savings Bank (New) ............................ 440 474
*Sound Advice, Inc. ..................................... 65,000 385,938
*Southern Electronics Corp. ............................. 1,000 6,000
*Southern Energy Homes, Inc. ............................ 52,600 644,350
*Southern Union Co. ..................................... 134,015 2,395,518
*Southwall Technologies, Inc. ........................... 74,600 219,138
Southwest National Corp. ............................... 6,000 153,750
Southwest Water Co. .................................... 3,500 32,813
*Spaghetti Warehouse, Inc. .............................. 48,000 270,000
Span-American Medical System, Inc. ..................... 50,500 252,500
*Spartech Corp. (New) ................................... 15,305 84,178
*Sparton Corp. .......................................... 90,400 452,000
*Spec's Music, Inc. ..................................... 89,566 503,809
*Special Devices, Inc. .................................. 13,000 222,625
*Specialty Chemical Resources, Inc. ..................... 37,800 122,850
*Spectran Corp. ......................................... 51,000 277,313
*Spectranetics Corp. .................................... 802 1,103
*Spectrum Control, Inc. ................................. 68,800 146,200
*Speizman Industries, Inc. .............................. 21,600 89,100
*Spire Corp. ............................................ 56,200 151,038
Sport Supply Group, Inc. ............................... 1,250 12,969
*Sportstown, Inc. ....................................... 3,900 4,631
*Square Industries, Inc. ................................ 100 263
*Staar Surgical Co. (New) ............................... 4,175 43,838
*Stac Electronics ....................................... 10,000 53,750
*Stacey's Buffet, Inc. .................................. 142,600 178,250
*Staff Builders, Inc. ................................... 118,100 381,980
Stage II Apparel Corp. ................................. 8,000 32,000
*Standard Brands Paint Co. .............................. 23,100 14,438
*Stanford Telecommunications, Inc. ...................... 48,950 868,863
*Staodyn, Inc. .......................................... 3,200 4,800
*Star Technologies, Inc. ................................ 433,400 142,209
Starret Housing Corp. .................................. 125,800 872,738
*State of the Art, Inc. ................................. 21,000 145,688
*Steel of West Virginia, Inc. ........................... 42,300 401,850
Sterling Bancorp ....................................... 150,400 1,015,200
*Sterling Electronics Corp. ............................. 50,300 572,163
*Stevens Graphics Corp. Class A ......................... 47,800 322,650
Stewart Information Services Corp. ..................... 21,750 320,813
*Stokely USA, Inc. ...................................... 92,200 829,800
*Strober Organization, Inc. ............................. 29,100 100,031
*Stuart Entertainment, Inc. ............................. 1,000 4,563
*Stuarts Department Stores, Inc. ........................ 21,300 4,992
*Styles On Video, Inc. .................................. 1,500 10,688
*Suave Shoe Corp. ....................................... 37,200 95,325
*Sudbury, Inc. (New) .................................... 164 1,015
Suffolk Bancorp ........................................ 100 2,775
*Sulcus Computer Corp. .................................. 1,200 3,150
*Summagraphics Corp. .................................... 19,600 166,600
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Summit Bancorp, Inc. WA ................................ 33,560 $ 646,028
*Sun City Industries, Inc. .............................. 150 900
*Sun Coast Plastics, Inc. (New) ......................... 22,800 353,400
*Sun Sportswear, Inc. ................................... 55,700 250,650
*Sunair Electronics, Inc. ............................... 49,200 95,325
*Sunbelt Nursery Group, Inc. ............................ 6,800 15,725
*Sundance Homes, Inc. ................................... 50,000 125,000
*Sunrise Bancorp CA ..................................... 5,341 8,679
*Sunrise Technologies, Inc. ............................. 10,000 20,625
*Sunshine-Junior Stores, Inc. ........................... 34,900 340,275
*Sunstates Corp. DE ..................................... 18,399 119,594
Super Food Services, Inc. .............................. 25,000 278,125
*Super Rite Corp. ....................................... 1,000 11,250
*Supercuts, Inc. ........................................ 1,000 9,500
Superior Surgical Manufacturing Co., Inc. .............. 90,100 1,216,350
*Supertex, Inc. ......................................... 280,300 1,751,875
*Suprema Specialties, Inc. .............................. 1,000 3,188
*Supreme Industries, Inc. ............................... 54,609 307,176
*Surgical Laser Technologies, Inc. ...................... 12,500 35,938
*Surgical Technologies, Inc. ............................ 1,000 4,031
*Survival Technology, Inc. .............................. 17,900 158,863
*Swank, Inc. ............................................ 88,100 104,619
*Swift Energy Corp. ..................................... 56,320 563,200
*Swing-n-Slide Corp. .................................... 60,000 510,000
*Symix Systems, Inc. .................................... 1,000 8,000
*Symmetricom, Inc. ...................................... 60,000 753,750
Synalloy Corp. DE ...................................... 59,439 1,062,472
*Synbiotics Corp. ....................................... 18,500 40,469
*Synercom Technology, Inc. .............................. 105,400 540,175
*Syntellect, Inc. ....................................... 84,100 546,650
*Syntro Corp. ........................................... 9,400 19,388
*Systemed, Inc. ......................................... 142,364 952,059
*Systems & Computer Technology Corp. .................... 95,900 1,834,088
*T Cell Sciences, Inc. .................................. 68,800 172,000
*TCC Industries, Inc. ................................... 72,000 144,000
*TCI International, Inc. ................................ 32,060 132,248
*TII Industries, Inc. ................................... 16,020 94,118
*TII Industries, Inc. Class B ........................... 13,440 78,960
*TRC Companies, Inc. .................................... 75,700 671,838
*TRM Copy Centers Corp. ................................. 61,000 293,563
*TSF Communications Corp. ............................... 500 2,875
TSI, Inc. MN ........................................... 37,800 283,500
*TSR, Inc. .............................................. 25,500 172,125
Tab Products Co. DE .................................... 71,350 588,638
*Talley Industries, Inc. ................................ 89,700 773,663
*Tandy Brand Accessories, Inc. .......................... 55,977 797,672
*Tandy Crafts, Inc. ..................................... 140,300 1,683,600
*Tanknology Environmental, Inc. ......................... 1,000 2,594
Tasty Baking Co. ....................................... 31,700 423,988
*Team, Inc. ............................................. 61,100 175,663
*Tech-Sym Corp. ......................................... 67,300 1,472,188
Tech/O ps Sevcon, Inc. ................................. 56,800 788,100
Technalysis Corp. ...................................... 13,500 145,125
*Technical Communications Corp. ......................... 7,300 54,750
Technitrol, Inc. ....................................... 150,300 2,198,138
*Technology Solutions Corp. ............................. 1,000 7,875
*Tejas Power Corp. ...................................... 53,000 450,500
*Tekelec ................................................ 62,200 1,508,350
*Teknekron Communication System, Inc. ................... 1,000 9,625
*Telco Systems, Inc. .................................... 47,100 788,925
*Telebit Corp. .......................................... 111,200 528,200
</TABLE>
56
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Telephone USA Communications, Inc. ..................... 550 $ 8,800
*Televideo Systems, Inc. ................................ 349,000 103,609
*Telios Pharmaceuticals, Inc. ........................... 145,000 77,031
*Temtex Industries, Inc. ................................ 34,100 338,869
*Terex Corp. (New) ...................................... 1,000 7,250
*Tetra Technologies, Inc. ............................... 119,500 1,127,781
*Texfi Industries, Inc. ................................. 142,400 373,800
*Thackeray Corp. ........................................ 123,700 494,800
*Theragenics Corp. ...................................... 1,000 2,563
*Thermo Power Corp. ..................................... 60,100 533,388
*Thermo Voltek Corp. .................................... 80,300 612,288
Thomas Industries, Inc. ................................ 50,000 668,750
Thomaston Mills, Inc. .................................. 700 10,063
*Thor Energy Resources, Inc. ............................ 45,400 17,025
Thorn Apple Valley, Inc. ............................... 62,100 1,754,325
Three D Department Stores, Inc. Class A ................ 32,500 39,609
Three D Department Stores, Inc. Class B ................ 57,300 78,788
*Tigera Group, Inc. ..................................... 56,000 30,625
Timberline Software Corp. .............................. 9,700 95,788
*Tipperary Corp. ........................................ 5,500 15,125
*Titan Corp. ............................................ 234,600 1,290,300
*Todays Man, Inc. ....................................... 8,600 134,375
Todd-AO Corp. Class A .................................. 11,000 56,375
*Todhunter International, Inc. (Private Placement) ...... 48,000 661,500
*Tofutti Brands, Inc. ................................... 45,600 48,450
*Tokheim Corp. .......................................... 50,000 418,750
*Tokos Medical Corp. .................................... 86,000 569,750
*Tops Appliance City, Inc. .............................. 1,000 6,875
*Toreador Royalty Corp. ................................. 29,700 96,525
*Torotel, Inc. .......................................... 55,335 72,627
Tower Air, Inc. ........................................ 15,000 127,500
*Town & Country Corp. Class A ........................... 96,800 90,750
*Tracor, Inc. ........................................... 35,700 446,250
*Trak Auto Corp. ........................................ 92,000 1,483,500
*TransNet Corp. ......................................... 29,200 59,313
*Transamerica Waste Industries, Inc. .................... 12,000 10,500
*Transmation, Inc. ...................................... 1,000 4,375
Transport Financial Bancorp, Inc. ...................... 1,000 13,625
*Transport Industries, Inc. ............................. 1,000 1,375
*Transport Leasing International, Inc. .................. 3,000 10,406
Transport Lux Corp. .................................... 15,491 131,674
Transtechnology Corp. .................................. 99,100 1,139,650
Tranzonic Companies Class A ............................ 54,800 986,400
Tranzonic Companies Class B ............................ 30,350 504,569
*Travel Ports of America, Inc. .......................... 10,200 23,588
Treadco, Inc. .......................................... 41,900 665,163
*Tremont Corp. DE ....................................... 21,900 238,163
*Tri-Lite, Inc. ......................................... 109 245
*Triad Systems Corp. .................................... 111,100 562,444
*Triangle Corp. ......................................... 56,422 211,583
*Tricare, Inc. .......................................... 500 1,000
*Trico Products Corp. ................................... 5,000 420,000
*Triconex Corp. ......................................... 26,000 456,625
*Tridex Corp. ........................................... 39,300 221,063
*Trimark Holdings, Inc. ................................. 5,100 38,250
*Trimedyne, Inc. ........................................ 34,200 143,213
*Trinzic Corp. .......................................... 165,550 858,791
*Trion, Inc. ............................................ 67,550 375,747
*Tristar Corp. .......................................... 1,000 5,500
</TABLE>
57
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Triton Group, Ltd. ..................................... 1,568 $ 2,450
*Tuboscope Vetco International, Inc. .................... 110,000 790,625
*Tucker Drilling Co., Inc. .............................. 30,000 180,000
*Tuesday Morning Corp. .................................. 36,000 247,500
*Turn Technology, Inc. .................................. 22 2
*Turner Corp. ........................................... 86,400 691,200
Tuscarora Plastics, Inc. ............................... 1,000 17,375
Twin Disc, Inc. ........................................ 65,600 1,328,400
*Tyler Corp. ............................................ 7,800 28,275
U.S. Bancorp, Inc. ..................................... 2,525 54,294
*UDC Homes, Inc. ........................................ 1,000 1,750
*URS Corp. (New) ........................................ 92,251 472,786
*US 1 Industries, Inc. .................................. 164,200 133,413
*USMX, Inc. ............................................. 1,000 2,438
*Ultra Pacific, Inc. .................................... 10,000 65,625
Unico American Corp. ................................... 121,200 507,525
Uniforce Temporary Personnel, Inc. ..................... 92,200 1,071,825
*Unigene Laboratories, Inc. ............................. 9,400 26,144
*Unimed, Inc. ........................................... 26,300 80,544
*Union Corp. DE ......................................... 20,000 280,000
*Union Switch & Signal, Inc. ............................ 37,000 573,500
*Unionfed Financial Corp. ............................... 7,085 3,543
*Uniphase Corp. ......................................... 42,000 609,000
*Unit Corp. ............................................. 141,700 442,813
*United American Healthcare Corp. ....................... 6,250 153,125
*United Capital Corp. ................................... 50,754 450,442
United Financial Corp. ................................. 2,000 26,000
*United Foods, Inc. Class A ............................. 27,900 59,288
*United Foods, Inc. Class B ............................. 141,900 301,538
*United Gaming, Inc. .................................... 113,300 608,988
*United Guardian, Inc. .................................. 47,720 83,510
United Industrial Corp. ................................ 97,100 473,363
*United Inns, Inc. ...................................... 60,200 1,467,375
*United States Banknote Corp. ........................... 8,000 18,000
*United States Capital Group, Inc. ...................... 15,775 53,241
*United States Energy Corp. ............................. 8,470 34,409
*United States Facilities Corp. ......................... 54,100 541,000
*United States Gold Trust Corp. (New) ................... 100 44
*United States Homecare Corp. ........................... 1,000 2,250
*United States Intec, Inc. .............................. 41,500 233,438
*United States Lime & Minerals, Inc. .................... 14,300 84,013
*United States Paging Corp. ............................. 1,000 7,125
*Unitel Video, Inc. ..................................... 51,200 300,800
Unitil Corp. ........................................... 38,252 688,536
Unitog Co. ............................................. 2,550 46,219
*Univax Biologics, Inc. ................................. 15,000 86,250
*Universal Holding Corp. ................................ 500 1,281
*Universal International, Inc. .......................... 1,000 2,250
*Universal Security Instruments, Inc. ................... 44,000 60,500
*University Genetics Co. Class A ........................ 76,100 0
*University Patents, Inc. ............................... 107,400 751,800
*Uno Restaurant Corp. ................................... 182,493 2,303,974
Upper Peninsula Energy Corp. ........................... 20,400 316,200
*Uranuim Resources, Inc. (New) .......................... 1,000 5,438
*Uromed Corp. ........................................... 38,000 182,875
*Utah Medical, Inc. ..................................... 1,000 8,250
*Utilx Corp. ............................................ 144,800 515,850
*V Band Systems, Inc. ................................... 1,000 4,125
*V Mark Software, Inc. .................................. 5,000 68,750
*VTEL Corp. ............................................. 1,000 7,125
</TABLE>
58
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Valence Technology, Inc. ............................... 160,000 $445,000
*Vallen Corp. ........................................... 36,400 425,425
Valley Forge Corp. ..................................... 500 8,938
Valley Resources, Inc. ................................. 34,887 440,448
Vallicorp Holdings, Inc. ............................... 1,000 14,000
*Value-Added Communications, Inc. ....................... 1,000 1,625
*Valuevision International, Inc. Class A ................ 12,000 57,000
*Vans, Inc. ............................................. 5,500 33,344
*Varitronic Systems, Inc. ............................... 24,100 213,888
Varlen Corp. ........................................... 7,462 178,155
*Vectra Technologies, Inc. .............................. 34,500 107,813
Venturian Corp. ........................................ 21,900 147,825
Vermont Financial Services Corp. ....................... 15,013 304,013
*Vermont Research Corp. ................................. 44,500 55,625
Versa Technologies, Inc. ............................... 60,550 802,288
*Versar, Inc. ........................................... 45,600 133,950
*Vertex Communications Corp. ............................ 43,300 584,550
*Vestar, Inc. ........................................... 5,000 22,813
*Veterinary Centers of America, Inc. .................... 2,100 18,244
*Vicon Industries, Inc. ................................. 54,250 105,109
*Video Display Corp. .................................... 41,750 109,594
*Video Lottery Technologies, Inc. ....................... 5,000 46,875
*Vie de France Corp. .................................... 211,800 781,013
*Viral Testing Systems Corp. ............................ 114,750 8,965
Virco Manufacturing Corp. .............................. 57,296 537,150
Virginia Beach Federal Financial Corp. ................. 87,950 560,681
Virginia First Financial Corp. ......................... 4,935 66,006
*Vista Resources, Inc. .................................. 40,500 855,563
*Visx, Inc. DE .......................................... 43,000 483,750
Vital Signs, Inc. ...................................... 20,000 220,000
*Vitesse Semiconductor, Inc. ............................ 1,000 4,688
*Vitronics Corp. ........................................ 64,800 93,150
*Volt Information Sciences, Inc. ........................ 500 13,813
*Volunteer Capital Corp. (New) .......................... 121,100 847,700
Vulcan International Corp. ............................. 40,951 788,307
*WSFS Financial Corp. ................................... 12,200 44,225
*WSMP, Inc. ............................................. 1,900 13,063
*WTD Industries, Inc. ................................... 93,640 193,133
Wackenhut Corp. Class A ................................ 39,897 533,622
Wackenhut Corp. Class B Non- Voting .................... 36,897 424,316
*Wahlco Environmental System, Inc. ...................... 13,000 29,250
*Walker Interactive Systems, Inc. ....................... 11,000 68,750
*Wall Street Deli, Inc. ................................. 11,400 121,125
Walshire Assurance Co. ................................. 803 8,083
Warner Insurance Services, Inc. ........................ 85,845 236,074
*Warrantech Corp. ....................................... 13,000 74,344
*Warren Bancorp, Inc. ................................... 101,400 811,200
Washington Homes, Inc. (New) ........................... 11,000 42,625
Washington Mutual Savings Bank of Seattle .............. 646 11,103
Washington Savings Bank FSB Waldorf, MD ................ 27,712 107,384
*Washington Scientific Industries, Inc. ................. 61,100 229,125
*Waters Instruments, Inc. ............................... 500 938
Watsco, Inc. Class B ................................... 15,255 243,127
Waverly, Inc. .......................................... 31,100 627,831
*Waxman Industries, Inc. ................................ 30,950 42,556
*Waxman Industries, Inc. Class B ........................ 9,750 13,406
</TABLE>
59
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Webster Financial Corp. ................................ 9,570 $ 179,438
*Wedco Technology, Inc. ................................. 86,246 867,850
*Wegener Corp. .......................................... 5,500 11,516
*Weitek Corp. ........................................... 85,300 271,894
*Weldotron Corp. ........................................ 23,000 38,813
Wellco Enterprises, Inc. ............................... 4,100 68,931
*Wells-Gardner Electronics Corp. ........................ 79,500 238,500
*Wellstead Industries, Inc. ............................. 1,100 5,775
*Wendt-Bristol Health Services Corp. .................... 63,900 31,950
*Westbridge Capital Corp. ............................... 9,500 74,813
*Westerbeke Corp. ....................................... 20,000 39,375
Western Bank Coos Bay, OR .............................. 2,140 26,750
*Western Beef, Inc. ..................................... 40,186 293,860
*Western Micro Technology, Inc. ......................... 37,500 304,688
*Westmoreland Coal Co. .................................. 47,800 250,950
*Weston (Roy F.), Inc. Class A .......................... 1,000 5,688
*Westport Bancorp, Inc. ................................. 2,250 7,031
*Whitehall Corp. ........................................ 98,600 1,848,750
*Whittaker Corp. ........................................ 30,000 487,500
*Wholesome & Hearty Foods, Inc. ......................... 5,900 74,488
*Wichita River Holding Corp. ............................ 7,095 6,208
*Willcox & Gibbs, Inc. .................................. 12,200 77,775
Wilshire Oil Co. of Texas .............................. 233,511 1,605,388
*Winston Resources, Inc. ................................ 1,000 1,875
Wolf (Howard B.), Inc. ................................. 500 3,438
Wolohan Lumber Co. ..................................... 47,700 727,425
Woodhead Industries, Inc. .............................. 117,700 1,736,075
*World Acceptance Corp. ................................. 58,000 1,276,000
*Worldcorp, Inc. ........................................ 113,500 908,000
*Worldtex, Inc. ......................................... 141,800 620,375
*Worth Corp. ............................................ 8,800 20,625
*Wyman-Gordon Co. ....................................... 38,500 216,563
Wynns International, Inc. .............................. 115,875 2,752,031
*Xicor, Inc. ............................................ 22,000 52,938
*Xoma Corp. ............................................. 12,000 40,500
*Xscribe Corp. .......................................... 4,200 10,500
*Xylogics, Inc. ......................................... 55,400 2,188,300
*Xytronyx, Inc. ......................................... 28,200 105,750
*Yes Clothing Co. ....................................... 21,500 38,969
*York Research Corp. .................................... 16,400 73,800
*Younkers, Inc. ......................................... 25,000 434,375
*Zaring Homes, Inc. ..................................... 10,000 57,500
*Zemex Corp. ............................................ 34,953 332,057
*Zeos International, Ltd. ............................... 1,000 7,125
Ziegler Co., Inc. ...................................... 500 8,063
*Zing Technologies, Inc. ................................ 100 300
*Zitel Corp. ............................................ 63,100 496,913
*Zoll Medical Corp. ..................................... 2,400 33,300
*Zycad Corp. ............................................ 211,600 324,013
</TABLE>
60
<PAGE>
THE U.S 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Zygo Corp. ............................................. 9,500 $ 71,250
*Zynaxis, Inc. .......................................... 51,000 63,750
------------------
TOTAL COMMON STOCKS
(Cost $592,730,334) ..................................... 653,808,332
------------------
PREFERRED STOCKS -- (0.0%)
Alfin, Inc. Cumulative Redeemable ...................... 24 0
HUBCO, Inc. Cumulative Convertible Redeemable Series A . 14 298
*Pharmaceutical Resources, Inc. Convertible Class A ..... 32 360
------------------
TOTAL PREFERRED STOCKS
(Cost $582) ............................................. 658
------------------
RIGHTS/WARRANTS -- (0.0%)
*Buell Industries, Inc. Contingent Payment Rights ......... 59,800 0
*FFO Financial Group, Inc. Rights ......................... 1,200 0
*Greater New York Savings Bank Warrants 12/27/94 .......... 8,704 0
*Grubb & Ellis Co. Rights ................................. 39,552 0
*Patlex Corp. Contingent Payment Rights ................... 66,540 0
*Peoples Savings Bank Brockton, MA Warrants 12/18/96 ...... 845 0
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................................... 0
------------------
Face
Amount
--------
(000)
BONDS -- (0.0%)
MacNeal Schwendler Corp.
Convertible Subordinated
Debentures 7.875%, 08/18/04
(Cost $127,320) .................... $ 127 111,405
-------------
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC
Securities Corp. 5.50%,
12/01/94 (Collateralized by
U.S. Treasury Bills 5.55%,
02/09/95) (Cost $11,803,000) 11,803 11,803,000
-------------
TOTAL INVESTMENTS - (100.0%)
(Cost $604,661,236) .................... $665,723,395
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
61
<PAGE>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
----------- -------------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA Investment
Trust Company .......................................................... 11,756,783 $112,184,507
-------------
Total Investments (100%) (Cost $96,065,132) ........................ $112,184,507
============
</TABLE>
THE U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
----------- -------------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA Investment Trust
Company ................................................................ 4,814,004 $48,656,861
-------------
Total Investments (100%) (Cost $42,598,708) ........................ $48,656,861
=============
</TABLE>
THE U.S. SMALL CAP VALUE PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------ --------------
<S> <C> <C>
Investment in The U.S. Small Cap Value Series of The DFA Investment
Trust Company ......................................................... 30,881,386 $344,218,464
--------------
Total Investments (100%) (Cost $345,657,390) ...................... $344,218,464
==============
</TABLE>
THE U.S. LARGE CAP VALUE PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------ -------------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment
Trust Company ......................................................... 19,923,848 $ 197,563,458
-------------
Total Investments (100%) (Cost $206,176,588) ...................... $ 197,563,458
=============
</TABLE>
- ------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements
62
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (96.3%)
AMLI Residential Properties Trust ...................... 10,300 $ 189,263
Agree Realty Corp. ..................................... 2,300 36,800
America First Real Estate Investment Trust, Inc. ....... 2,200 34,925
*American Industrial Properties ......................... 8,100 13,163
*American Realty Trust, Inc. ............................ 2,800 32,375
Apartment Investment & Management Co. Class A .......... 8,600 146,200
Arbor Property Trust ................................... 10,700 84,263
Associated Estates Realty Corp. ........................ 12,400 235,600
Avalon Properties, Inc. ................................ 25,400 463,550
BRE Properties, Inc. ................................... 9,800 303,800
Bay Apartment Communities, Inc. ........................ 10,300 185,400
Beacon Properties Corp. ................................ 9,400 169,200
Bedford Property Investors, Inc. ....................... 5,400 29,025
Berkshire Realty Co. ................................... 22,800 205,200
Boddie-Noell Restaurant Properties, Inc. ............... 2,600 36,075
Bradley Real Estate, Inc. .............................. 7,750 109,469
Burnham Pacific Properties, Inc. ....................... 14,200 197,025
CBL & Associates Properties, Inc. ...................... 18,400 324,300
California Real Estate Investment Trust ................ 8,200 14,350
Camden Property Trust .................................. 12,300 269,063
Carr Realty Corp. ...................................... 11,600 205,900
Centerpoint Properties Corp. ........................... 4,800 87,000
Chateau Properties, Inc. ............................... 5,100 95,625
Chelsea GCA Realty, Inc. ............................... 9,800 230,300
Chicago Dock & Canal Trust III ......................... 6,500 75,550
Clevetrust Realty Investors ............................ 2,800 9,100
Colonial Properties Trust .............................. 10,000 210,000
Columbus Realty Trust .................................. 10,000 178,750
Commercial Net Lease Realty, Inc. ...................... 6,800 84,150
Copley Properties, Inc. ................................ 3,200 31,200
Cousins Properties, Inc. ............................... 25,000 400,000
Crescent Real Estate Equities, Inc. .................... 12,700 322,263
Crown American Realty Trust ............................ 24,400 305,000
Debartolo Realty Corp. ................................. 43,700 617,263
Developers Diversified Realty Corp. .................... 14,400 394,200
Duke Realty Investments, Inc. .......................... 14,400 360,000
*EQK Realty Investors ................................... 8,300 16,600
Eastgroup Properties ................................... 3,700 63,825
Equity Residential Properties Corp. .................... 28,000 759,500
Essex Property Trust ................................... 7,300 124,100
Excel Realty Trust, Inc. ............................... 9,800 166,600
Factory Stores America, Inc. ........................... 10,600 218,625
Federal Realty Investment Trust ........................ 48,300 1,014,300
*First Industrial Realty Trust, Inc. .................... 16,900 304,200
First Union Real Estate Equity & Mortgage Investments .. 16,200 109,350
*Forest City Enterprises, Inc. Class B .................. 3,300 103,125
Gables Residential Trust ............................... 10,000 196,250
General Growth Properties .............................. 20,400 423,300
Glimcher Realty Trust .................................. 16,500 317,625
</TABLE>
63
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*HMG Courtland Properties, Inc. ......................... 1,000 $ 8,875
HRE Properties, Inc. ................................... 4,700 65,800
Haagen (Alexander) Properties, Inc. .................... 10,500 154,875
Highwood Properties, Inc. .............................. 8,000 151,000
Holly Residential Properties, Inc. ..................... 7,100 97,625
Home Properties of New York, Inc. ...................... 4,800 90,600
Horizon Outlet Centers, Inc. ........................... 9,200 204,700
IRT Property Co. ....................................... 37,800 359,100
Irvine Apartment Communities, Inc. ..................... 27,200 431,800
JDN Realty Corp. ....................................... 6,700 138,188
JP Realty, Inc. ........................................ 11,900 223,125
Kimco Realty Corp. ..................................... 18,000 623,250
*Koger Equity, Inc. ..................................... 15,800 108,625
Kranzco Realty Trust, Inc. ............................. 9,200 167,900
*Landsing Pacific Fund .................................. 4,000 14,000
Lexington Corp. Properties, Inc. ....................... 8,300 76,775
Liberty Property Trust ................................. 19,000 334,875
MGI Properties ......................................... 10,300 144,200
Macerich Co. ........................................... 12,900 254,775
Manufactured Home Communities, Inc. .................... 18,300 311,100
Mark Centers Trust ..................................... 15,000 196,875
McArthur/Glen Realty Corp. ............................. 17,200 240,800
Merry Land & Investment Co., Inc. ...................... 25,100 467,488
Mid-America Apartment Communities, Inc. ................ 9,500 232,750
Mid-America Realty Investments, Inc. ................... 7,400 53,650
Mid-Atlantic Realty Trust .............................. 5,600 43,400
*Mills Corp. ............................................ 15,200 283,100
Monmouth Real Estate Investment Corp. Class A .......... 2,400 12,900
National Golf Properties, Inc. ......................... 9,500 172,188
National Income Realty Trust ........................... 2,299 27,301
New Plan Realty Trust .................................. 65,100 1,293,863
Oasis Residential, Inc. ................................ 13,900 274,525
One Liberty Properties, Inc. ........................... 1,200 12,750
Oriole Homes Corp. Class B ............................. 2,100 13,913
PS Business Parks, Inc. Class A ........................ 400 5,900
*Pacific Gateway Properties, Inc. ....................... 3,400 12,113
Pacific Gulf Properties, Inc. .......................... 5,000 71,875
Paragon Group, Inc. .................................... 15,600 282,750
Parkway Co. ............................................ 1,500 20,625
Partners Preferred Yield II, Inc. Class A .............. 2,900 37,700
Partners Preferred Yield III, Inc. Class A ............. 1,300 19,175
Partners Preferred Yield, Inc. Class A ................. 3,200 40,800
Pennsylvania Real Estate Investment Trust .............. 7,700 140,525
Post Properties, Inc. .................................. 15,400 444,675
Presidential Realty Corp. (New) Class B ................ 2,700 21,600
Price Real Estate Investment Trust, Inc. Class B ....... 7,300 204,856
Prime Retail, Inc. ..................................... 10,500 136,500
Property Capital Trust ................................. 8,100 49,613
</TABLE>
64
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- ------------
<S> <C> <C>
Property Trust of America ................................. 68,200 $ 1,108,250
Public Storage Properties VI, Inc. Class A ............... 2,400 57,300
Public Storage Properties VII, Inc. Class A................ 3,400 54,400
Public Storage Properties IX, Inc. Class A ................ 1,700 29,325
Public Storage Properties X, Inc. Class A ................ 1,700 29,963
Public Storage Properties XI, Inc. Class A ............... 1,700 27,200
Public Storage Properties XII, Inc. Class A ............... 1,700 26,563
Public Storage Properties XIV, Inc. Class A ............... 2,100 33,338
Public Storage Properties XV, Inc. Class A . ............. 2,100 34,125
Public Storage Properties XVI, Inc. Class A ............... 3,000 41,813
Public Storage Properties XVII, Inc. Class A .............. 3,000 45,375
Public Storage Properties XVIII, Inc. Class A ............. 3,100 45,725
Public Storage Properties XIX, Inc. Class A ............... 2,900 35,163
Public Storage Properties XX, Inc. Class A ............... 900 11,925
ROC Communities, Inc. ..................................... 10,400 201,500
Real Estate Investment Trust CA ........................... 8,300 132,800
Regency Realty Corp. ...................................... 5,700 87,638
Saul Centers, Inc. ........................................ 10,600 153,700
Security Capital Industrial Trust ......................... 18,700 289,850
Shurgard Storage Centers, Inc. Class A .................... 15,100 285,013
Simon Property Group, Inc. ................................ 43,495 1,027,569
Sizeler Properties Investors, Inc. ........................ 8,000 90,000
Smith (Charles E.) Residential Realty, Inc. ............... 8,100 193,388
South West Property Trust, Inc. ........................... 13,800 155,250
Spieker Properties, Inc. .................................. 18,300 361,425
Storage Equities, Inc. .................................... 21,300 287,550
Storage USA, Inc. ......................................... 10,000 251,875
Summit Properties, Inc. ................................... 11,100 183,150
Sun Communities, Inc. ..................................... 9,500 200,688
Tanger Factory Outlet Centers, Inc. ....................... 7,000 154,875
Town & Country Trust ...................................... 13,900 180,700
Trinet Corporate Realty Trust, Inc. ....................... 8,300 212,688
Tucker Properties Corp. ................................... 10,000 125,000
United Dominion Realty Trust, Inc. ........................ 73,100 959,438
Urban Shopping Centers, Inc. .............................. 12,300 239,850
Vornado Realty Trust ...................................... 19,400 611,100
Walden Residential Properties, Inc. ....................... 7,700 137,638
Washington Real Estate Investment Trust ................... 40,400 646,400
Weeks Corp. ............................................... 8,400 159,600
Weingarten Realty Investors ............................... 23,700 782,100
Wellsford Residential Property Trust ...................... 8,200 153,750
Western Investment Real Estate Trust ...................... 15,000 183,750
------------------
TOTAL COMMON STOCKS
(Cost $32,387,007) ...................................... 29,306,895
------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
--------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (3.7%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94
(Collateralized by U.S. Treasury Bills 5.55%, 02/09/95)
(Cost $1,130,000) ........................................ $1,130 1,130,000
-------------
TOTAL INVESTMENTS - (100.0%) (Cost $33,517,007) ........... $30,436,895
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities.
See accompanying Notes to Financial Statements
65
<PAGE>
SCHEDULE OF INVESTMENTS
THE JAPANESE SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS -- (93.4%)
*ASK Corp., Yokohama ................................... 52,000 $ 270,916
Achilles Corp. ........................................ 181,000 770,875
Aica Kogyo Co., Ltd. .................................. 82,000 555,792
Aichi Corp. ........................................... 44,000 467,375
#Aichi Machine Industry Co., Ltd. ...................... 101,000 662,094
Aichi Tokei Denki Co., Ltd. ........................... 53,000 310,976
#Aida Engineering, Ltd. ................................ 104,000 925,847
*Akai Electric Co., Ltd. ............................... 86,000 327,992
#Akebono Brake Industry Co., Ltd. ...................... 100,000 618,108
#Alpine Electronics, Inc. .............................. 51,000 1,031,866
Amada Metrecs Co., Ltd. ............................... 13,000 219,626
#Amada Sonoike Co., Ltd. ............................... 101,000 882,792
*Amada Wasino Co., Ltd. ................................ 97,000 480,830
Ando Corp. ............................................ 98,000 555,185
Aomori Bank, Ltd. ..................................... 85,000 494,436
Arai-Gumi, Ltd. ....................................... 36,600 499,848
Araya Industrial Co., Ltd. ............................ 55,000 236,469
#Asahi Denka Kogyo KK .................................. 82,000 639,575
Asahi Kogyosha Co., Ltd. .............................. 40,000 291,351
*Asahi Optical Co., Ltd. ............................... 137,000 651,391
#Asahi Organic Chemicals Industry Co., Ltd. ........... 115,000 965,604
#Asahi Tec Corp. ....................................... 67,000 640,516
Asanuma Corp. ......................................... 96,000 503,065
*Ashimori Industry Co., Ltd. ........................... 67,000 441,244
Asics Corp. ........................................... 246,000 923,278
Bando Chemical Industries, Ltd. ....................... 141,000 731,745
Bank of Ikeda, Ltd. ................................... 7,100 507,810
Bank of Iwate, Ltd. ................................... 14,900 836,571
Bank of Okinawa, Ltd. ................................. 11,900 619,980
*Bank of Osaka, Ltd. ................................... 148,000 594,396
Bank of Saga, Ltd. .................................... 75,000 557,663
Bank of the Ryukyus, Ltd. ............................. 12,600 681,942
Bunka Shutter Co., Ltd. ............................... 86,000 657,724
#CKD Corp. ............................................. 68,000 687,911
CMK Corp. ............................................. 59,000 1,038,543
Cabin Co., Ltd. ....................................... 53,000 432,150
Calpis Food Industry Co., Ltd. ........................ 90,000 786,646
#Calsonic Corp. ........................................ 135,000 1,102,124
*Central Finance Co., Ltd. ............................. 136,000 588,852
*Central Glass Co., Ltd. ............................... 255,000 1,060,243
*Chichibu Onoda Cement Corp. ........................... 115,500 662,504
Chino Corp. ........................................... 54,000 356,176
*Chisan Tokan Co., Ltd. ................................ 51,000 196,055
*#Chori Co., Ltd. ....................................... 109,000 417,916
*#Chuetsu Pulp and Paper Co., Ltd. ..................... 134,000 756,419
Chugai Ro Co., Ltd. ................................... 60,000 291,351
#Chugoku Marine Paints, Ltd. ........................... 91,000 487,911
Chugokukogyo Co., Ltd. ................................ 38,000 165,301
Chukyo Coca-Cola Bottling Co., Ltd. .................. 54,000 589,985
Chukyo Sogo Bank, Ltd. ................................ 159,000 1,027,830
Chuo Paperboard Co., Ltd. ............................. 48,000 193,263
Chuo Spring Co., Ltd., Nagoya ......................... 72,000 478,543
*#Clarion Co., Ltd. ..................................... 178,000 857,137
Cleanup Corp. ......................................... 56,000 855,438
*Co-Op Chemical Co., Ltd. .............................. 64,000 249,267
*Copal Co., Ltd. ....................................... 60,000 288,923
</TABLE>
66
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*D'urban, Inc. ......................................... 89,000 $ 341,234
Dai Nippon Construction ............................... 63,000 423,824
Dai Nippon Toryo, Ltd. ................................ 144,000 581,244
Dai-Ichi Hotel, Ltd., Tokyo ........................... 41,000 352,554
*Dai-Ichi Katei Denki Co., Ltd. ........................ 73,000 370,723
Dai-Ichi Kogyo Seiyaku Co., Ltd. ...................... 39,000 248,164
*Dai-Ichi Securities Co., Ltd. ......................... 174,000 741,062
Daido Concrete Co., Ltd. .............................. 24,000 122,367
#Daido Hoxan, Inc. ..................................... 70,000 424,178
#Daido Kogyo Co., Ltd. ................................. 51,000 283,247
Daido Steel Sheet Corp. ............................... 53,000 225,190
Daidoh, Ltd. .......................................... 43,000 352,352
Daiei OMC, Inc. ....................................... 125,000 858,624
#Daihen Corp. .......................................... 159,000 805,857
Daiho Corp. ........................................... 70,000 552,352
Daiichi Cement Co., Ltd. .............................. 25,000 134,041
*#Daiichi Chuo Kisen Kaisha ............................. 208,000 719,636
Daiichi Jitsugyo Co., Ltd. ............................ 64,000 401,416
Daimei Telecom Engineering Corp. ..................... 37,000 437,936
Dainichi-Seika Colour & Chemi cals Manufacturing Co.,
Ltd. ................................................. 103,000 774,193
#Daio Paper Corp. ...................................... 82,000 1,045,220
Daisan Sogo Bank, Ltd. ................................ 166,000 1,031,098
Daiso Co., Ltd. ....................................... 46,000 222,438
#Daisue Construction Co., Ltd. ......................... 140,000 563,682
Daito Kogyo Co., Ltd. ................................. 51,000 227,011
*#Daito Woolen Spinning & Weaving Co., Ltd., Tokyo ..... 33,000 211,320
*Daiwa Danchi Co., Ltd. ................................ 134,000 664,239
#Daiwa Seiko, Inc. ..................................... 107,000 649,469
*Daiwa Spinning Co., Ltd. .............................. 174,000 492,868
Dantani Corp. ......................................... 51,000 288,407
Danto Corp. ........................................... 28,000 351,239
Denki Kogyo Co., Ltd. ................................. 80,000 833,586
Descente, Ltd. ........................................ 88,000 535,033
Diamond Lease Co., Ltd. ............................... 33,000 550,835
*Dijet Industrial Co., Ltd. ............................ 27,000 124,279
Dynic Corp. ........................................... 43,000 224,026
Ehime Bank, Ltd. ...................................... 154,000 886,454
*Enshu, Ltd. ........................................... 53,000 190,875
*FDK Corp. ............................................. 73,000 555,346
First Baking Co., Ltd. ................................ 55,000 334,396
France Bed Co., Ltd. .................................. 126,000 943,247
Fudo Construction Co., Ltd. ........................... 138,000 752,473
#Fuji-Tec Co., Ltd. .................................... 75,900 883,005
Fuji Car Manufacturing Co., Ltd. ...................... 26,000 118,361
Fuji Denki Reiki Co., Ltd. ............................ 51,000 768,741
Fuji Express Co., Ltd. ................................ 135,000 674,659
*#Fuji Kosan Co., Ltd. .................................. 97,000 354,244
#Fuji Oil Co., Ltd. .................................... 101,000 869,509
#Fuji Spinning Co., Ltd., Tokyo ........................ 124,000 615,923
*Fujii & Co., Ltd. ..................................... 32,000 137,582
#Fujiko Co., Ltd. ...................................... 48,000 213,657
Fujirebio, Inc. ....................................... 49,000 479,342
*#Fujitsu General, Ltd. ................................. 115,000 930,703
Fujiya Co., Ltd. ...................................... 145,000 758,371
#Fukuda Corp. .......................................... 52,000 662,822
Fukutoku Bank, Ltd. ................................... 177,000 601,639
*#Furukawa Battery Co., Ltd. ............................ 37,000 209,611
</TABLE>
67
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO --
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Futaba Industrial Co., Ltd. ........................... 21,000 $435,508
*Ga-jo-en Kanko K.K. ................................... 37,000 67,749
*Gakken Co., Ltd. ...................................... 117,000 878,240
#Gastec Service, Inc. .................................. 34,000 259,686
*Godo Shusei Co., Ltd. ................................. 57,000 289,469
*Graphtec Corp. ........................................ 33,000 302,124
Gun-Ei Chemical Industry Co., Ltd. ................... 126,000 627,132
Gunze Sangyo, Inc., Tokyo ............................. 72,000 369,287
#Hakone Tozan Railway Co., Ltd. ........................ 46,000 241,517
Hakuyosha Co., Ltd. ................................... 44,000 294,224
Hanshin Sogo Bank, Ltd. ............................... 67,000 308,397
#Harima Chemicals, Inc. ................................ 29,000 283,106
*Hayashikane Sangyo Co., Ltd. .......................... 96,000 280,668
Higashi-Nippon Bank, Ltd. ............................. 19,000 148,002
Hisaka Works, Ltd. .................................... 38,000 534,345
Hisamitsu Pharmaceutical Co., Inc. ................... 52,000 399,798
#Hitachi Electric, Ltd. ................................ 65,000 960,040
Hitachi Plant Engineering & Construction Co., Ltd. ... 135,000 928,680
Hitachi Sales Corp. ................................... 135,000 901,366
*#Hitachi Seiki Co., Ltd. ............................... 113,000 652,736
Hochiki Corp. ......................................... 32,000 378,756
*Hodogaya Chemical Co., Ltd. ........................... 74,000 223,834
*Hohsui Corp. .......................................... 41,000 138,118
Hokkai Can Co., Ltd., Tokyo ........................... 76,000 711,179
#Hokkaido Gas Co., Ltd. ................................ 65,000 323,520
Hokko Chemical Industry Co., Ltd. .................... 34,000 206,373
*#Hoko Fishing Co., Ltd. ................................ 64,000 220,132
#Hokuetsu Paper Mills, Ltd. ............................ 77,000 658,220
*#Hokuriku Electric Industry Co., Ltd. ................. 89,000 442,974
#Hokuriku Seiyaku Co., Ltd. ............................ 56,000 946,080
#Honen Corp. ........................................... 98,000 551,219
Horiba, Ltd. .......................................... 35,000 577,137
#Howa Machinery Co., Ltd. .............................. 140,000 539,605
#Ibiden Co., Ltd. ...................................... 124,000 959,636
#Ichida and Co., Ltd. .................................. 61,000 364,087
Ichikawa Co., Ltd. .................................... 39,000 185,432
Ichiken Co., Ltd. ..................................... 40,000 623,166
#Ichikoh Industries, Ltd. .............................. 109,000 485,180
Ihara Chemical Industry Co., Ltd. ..................... 60,000 472,231
*Iino Kaiun Kaisha, Ltd. ............................... 127,000 855,660
Ikegai Corp. .......................................... 69,000 254,780
Ikegami Tsushinki Co., Ltd. ........................... 67,000 630,349
Inabata and Co., Ltd., Osaka .......................... 63,000 499,666
Inageya Co., Ltd. ..................................... 10,000 176,024
*Ines Corp. ............................................ 56,000 628,832
Intec, Inc. ........................................... 32,000 459,686
*Inui Steamship Co., Ltd. .............................. 25,000 99,899
*#Iseki & Co., Ltd. ..................................... 210,000 786,039
Ishii Iron Works Co., Ltd. ............................ 43,000 220,981
Ishikawa Seisakusho, Ltd. ............................. 55,000 227,011
Ishizuka Glass Co., Ltd. .............................. 39,000 295,114
Itochu Fuel Corp. ..................................... 66,000 658,998
Itoki Crebio Corp. .................................... 46,000 465,352
Iwasaki Electric Co., Ltd. ............................ 72,000 399,879
Iwata Air Compressor Manufacturing Co., Ltd. ......... 55,000 273,192
*Iwatsu Electric Co., Ltd. ............................. 112,000 592,575
Izutsuya Co., Ltd. .................................... 90,000 435,205
#JDC Corp. ............................................. 203,000 922,074
</TABLE>
68
<PAGE>
THE JAPANESE SMALL COMPANY PORTFOLIO --
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*#Janome Sewing Machine Co., Ltd. ...................... 170,000 $515,933
Japan Aircraft Manufacturing Co., Ltd. ............... 56,000 397,127
*#Japan Aviation Electronics Industry, Ltd. ............ 106,000 754,922
*Japan Carlit Co., Ltd. ................................ 22,000 163,581
*Japan Coated Paper Manufacturing Co., Ltd. ........... 100,000 451,189
*#Japan Metals & Chemicals Co., Ltd. ................... 156,000 800,121
Japan Oil Transportation Co., Ltd. ................... 34,000 236,985
Japan Paper Industry Co., Ltd. ........................ 71,000 368,467
Japan Pulp and Paper Co., Ltd. ........................ 161,000 977,238
Japan Transcity Corp. ................................. 67,000 413,455
Japan Vilene Co., Ltd. ................................ 81,000 562,944
Japan Wool Textile Co., Ltd. .......................... 54,000 622,762
*#Jeol, Ltd. ............................................ 74,000 541,244
Joban Kosan Co., Ltd. ................................. 81,000 417,906
Joshin Denki Co., Ltd. ................................ 64,000 815,781
*Jujiya Co., Ltd. ...................................... 89,000 366,444
#Juken Sangyo Co., Ltd. ................................ 56,000 651,492
Juki Corp. ............................................ 116,000 456,490
Kagawa Sogo Bank, Ltd. ................................ 61,000 660,293
#Kagome Co., Ltd. ...................................... 65,000 756,196
Kakuei Corp. .......................................... 77,000 282,762
#Kamei Corp. ........................................... 43,000 535,053
Kanaden Corp. ......................................... 39,000 327,466
Kanagawa Chuo Kotsu Co., Ltd. ......................... 65,000 473,445
*Kanematsu-NNK Corp. ................................... 43,000 187,051
*Kansai Kisen Kaisha ................................... 145,000 387,253
#Kansei Corp. .......................................... 54,000 508,042
Kanto Auto Works, Ltd., Yokosuka ..................... 78,000 534,203
Kanto Bank, Ltd. ...................................... 10,200 372,504
*#Kanto Denka Kogyo Co., Ltd. ........................... 63,000 305,918
Kanto Natural Gas Development Co., Ltd. .............. 68,000 550,329
*#Kanto Special Steel Works, Ltd. ....................... 58,000 230,005
Kasho Co., Ltd., Tokyo ................................ 36,000 364,188
#Kasumi Co., Ltd. ...................................... 62,000 551,947
Katakura Industries Co., Ltd. ......................... 39,000 465,554
Kato Works Co., Ltd. .................................. 65,000 422,155
#Katsumura Construction Co., Ltd. ..................... 29,600 171,282
Kawada Industries, Inc. ............................... 60,000 637,329
Kawai Musical Instruments Manufacturing Co., Ltd. .... 79,000 337,258
Kawashima Textile Manufacturers, Ltd. ................ 99,000 423,642
*Kawasho Corp. ......................................... 138,000 632,413
Keihin Co., Ltd. ...................................... 78,000 418,998
Keiyo Co., Ltd. ....................................... 51,000 737,785
#Kimura Chemical Plants Co., Ltd. ..................... 21,000 101,760
#Kinki Nippon Tourist Co., Ltd. ........................ 77,000 751,694
Kinki Sharyo Co., Ltd., Nagaokakyo ................... 70,000 357,613
#Kinmon Manufacturing Co., Ltd. ........................ 36,000 209,408
Kinseki, Ltd. ......................................... 36,000 630,046
*#Kinsho Mataichi Corp. ................................. 36,000 222,883
*Kinugawa Rubber Industrial Co., Ltd. ................. 68,000 275,164
*#Kioritz Corp. ......................................... 68,000 251,088
</TABLE>
69
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THE JAPANESE SMALL COMPANY PORTFOLIO --
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Kita-Nippon Bank, Ltd. ................................ 6,900 $ 378,331
Kitagawa Iron Works Co., Ltd. ......................... 94,000 423,166
Kitano Construction Corp. ............................. 88,000 672,129
Kitz Corp. ............................................ 155,000 788,720
#Koa Corp. ............................................. 47,000 708,447
Koa Oil Co., Ltd. ..................................... 65,000 462,266
Koatsu Gas Kogyo Co., Ltd. ............................ 63,000 376,662
*#Kobe Kiito Co., Ltd. .................................. 45,000 194,385
Kokusai Kogyo Co., Ltd. ............................... 41,000 423,065
Komai Tekko, Inc. ..................................... 36,000 304,461
Komatsu Construction Co., Ltd. ........................ 21,000 107,284
Komatsu Forklift Co., Ltd. ............................ 101,000 820,465
#Komatsu Seiren Co., Ltd. .............................. 27,000 374,203
Komatsu Zenoah Co., Ltd. .............................. 59,000 321,710
#Konami Co., Ltd. ...................................... 38,200 823,126
Kosei Securities Co., Ltd. ............................ 107,000 586,687
*Krosaki Corp. ......................................... 67,000 272,473
#Kumiai Chemical Industry Co., Ltd., Tokyo ............ 97,000 570,126
Kurabo Industries, Ltd. ............................... 66,000 277,754
#Kyodo Printing Co., Ltd. .............................. 67,000 725,240
Kyodo Shiryo Co., Ltd. ................................ 119,000 482,742
Kyoei Tanker Co., Ltd. ................................ 40,000 162,671
*#Kyokuyo Co., Ltd. ..................................... 117,000 443,854
#Kyosan Electric Manufacturing Co., Ltd. .............. 70,000 552,352
*Kyotaru Co., Ltd. ..................................... 53,000 403,197
#Kyowa Exeo Corp. ...................................... 55,200 586,343
#Kyowa Leather Cloth Co., Ltd. ......................... 25,000 341,426
Kyushu Bank, Ltd. ..................................... 108,000 524,431
Life Corp. ............................................ 61,000 442,458
#Lintec Corp. .......................................... 45,000 755,690
#Magara Construction Co., Ltd. ......................... 49,000 406,474
*Makino Milling Machine Co., Ltd. ...................... 108,000 962,549
Maruei Department Store Co., Ltd. .................... 55,000 339,403
*Maruman Securities Co., Ltd. .......................... 80,000 454,831
Marusan Securities Co., Ltd. .......................... 88,000 827,921
Maruyama Manufacturing Co., Inc. ..................... 58,000 299,241
#Maruzen Co., Ltd. ..................................... 116,000 763,945
#Maruzen Showa Unyu Co., Ltd. .......................... 116,000 628,993
Matsui Construction Co., Ltd. ......................... 29,000 251,421
Matsuo Bridge Co., Ltd. ............................... 30,000 224,583
Matsuya Co., Ltd. ..................................... 61,000 394,942
*#Meiji Shipping Co., Ltd. .............................. 41,000 228,123
Meisei Industrial Co., Ltd. ........................... 29,000 288,973
Meito Sangyo Co., Ltd. ................................ 28,000 376,732
*#Meiwa Trading Co., Ltd. ............................... 48,000 203,945
Mercian Corp. ......................................... 65,000 432,018
Michinoku Bank, Ltd. .................................. 77,000 597,461
Mikuni Coca-Cola Bottling Co., Ltd. .................. 70,000 948,912
#Misawa Resort Co., Ltd. ............................... 23,000 237,329
#Mitsuba Electric Manufacturing Co., Ltd. ............. 38,000 453,617
Mitsubishi Chemical Machinery Manufacturing Co. ...... 91,000 1,012,645
Mitsubishi Pencil Co., Ltd. ........................... 39,000 394,537
#Mitsubishi Plastics, Inc. ............................. 39,000 179,514
*#Mitsubishi Shindoh Co., Ltd. .......................... 60,000 321,700
*Mitsubishi Steel Manufacturing Co., Ltd. ............. 165,000 794,537
Mitsuboshi Belting, Ltd. .............................. 119,000 787,314
Mitsui Construction Co., Ltd. ......................... 239,000 945,362
</TABLE>
70
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Mitsui High-Tec, Inc. ................................. 35,000 $ 973,698
Mitsui Matsushima Co., Ltd. ........................... 74,000 320,405
*Mitsui Mining Co., Ltd. ............................... 174,000 862,519
Mitsui Sugar Co., Ltd. ................................ 93,000 423,369
#Mitsumi Electric Co., Ltd. ............................ 59,000 793,829
Mitsuuroko Co., Ltd. .................................. 78,000 662,822
#Miyaji Iron Works Co. Ltd. ............................ 72,000 404,249
*Miyakoshi Corp. ....................................... 18,000 52,807
Miyazaki Bank, Ltd. ................................... 124,000 900,678
Miyoshi Oil & Fat Co., Ltd. ........................... 96,000 482,671
Miyuki Woolen Textile Co., Ltd. ....................... 33,000 248,710
Morita Fire Pump Manufacturing Co., Ltd. ............. 35,000 246,788
Morozoff, Ltd., Osaka ................................. 39,000 207,132
Mory Industries, Inc. ................................. 49,000 394,082
Mutoh Industries, Ltd. ................................ 49,000 431,259
Mutow Co., Ltd. ....................................... 31,000 291,027
Nabco, Ltd. ........................................... 95,000 490,137
*Nachi Fujikoshi Corp. ................................. 202,000 827,618
Nagatanien Co., Ltd. .................................. 44,000 433,991
Naigai Co., Ltd. ...................................... 90,000 572,686
#Nakabayashi Co., Ltd. ................................. 35,000 300,253
Nakamuraya Co., Ltd. .................................. 66,000 415,296
#Nakano Corp. .......................................... 56,000 345,008
#Nakayama Steel Works Co. .............................. 134,000 1,015,336
Neturen Co., Ltd., Tokyo .............................. 45,000 332,322
#Nichia Steel Works, Ltd. .............................. 29,000 291,907
Nichias Corp. ......................................... 145,000 707,031
Nichiban Co., Ltd. .................................... 46,000 274,557
*Nichiboshin, Ltd. ..................................... 93,000 171,229
Nichicon Corp. ........................................ 30,000 430,956
Nichiei Construction Co., Ltd. ........................ 70,000 743,551
*Nichimo Co., Ltd. ..................................... 43,000 191,401
*Nichimo Corp. ......................................... 69,000 315,508
#Nichireki Co., Ltd. ................................... 35,000 364,694
*#Nichiro Corp. ......................................... 189,000 692,140
Nifco, Inc. ........................................... 62,000 922,003
*Nihon Kentetsu Co., Ltd. .............................. 23,000 191,725
#Nihon Kohden Corp. .................................... 50,000 536,166
Nihon Matai Co., Ltd. ................................. 37,000 288,214
Nihon Nohyaku Co., Ltd. ............................... 74,000 641,558
#Nihon Nosan Kogyo K.K. ................................ 150,000 638,847
Nihon Parkerizing Co., Ltd. ........................... 74,000 486,596
Nihon Spindle Manufacturing Co., Ltd. ................ 43,000 170,956
Niigata Chuo Bank, Ltd. ............................... 107,000 411,330
*Nikkatsu Corp. ........................................ 191,000 15,458
#Nikken Chemicals Co., Ltd. ............................ 83,000 758,209
Nikkiso Co., Ltd. ..................................... 84,000 690,015
Nikko Co., Ltd., Akashi ............................... 52,000 502,377
Nippon Beet Sugar Manufactur ing Co., Ltd. ............ 176,000 797,653
*Nippon Carbide Industries Co., Inc., Tokyo ........... 75,000 341,426
*#Nippon Carbon Co., Ltd. ............................... 132,000 496,753
*Nippon Chemi-Con Corp. ................................ 142,000 848,983
Nippon Chemical Industrial Co., Ltd. ................. 84,000 603,338
Nippon Chemiphar Co., Ltd. ............................ 42,000 348,407
*Nippon Columbia Co., Ltd. ............................. 81,000 550,653
#Nippon Concrete Industries Co., Ltd. ................. 50,000 328,781
Nippon Conlux Co., Ltd. ............................... 49,000 421,345
#Nippon Conveyor Co., Ltd. ............................. 33,000 191,958
Nippon Denko Co., Ltd. ................................ 130,000 531,310
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Nippon Densetsu Kogyo Co., Ltd. ...................... 33,000 $ 417,299
*#Nippon Electric Industry Co., Ltd. ................... 44,000 211,431
Nippon Felt Co., Ltd. ................................. 20,000 118,361
Nippon Flour Mills Co., Ltd. .......................... 131,000 689,125
#Nippon Formula Feed Manufacturing Co., Ltd. .......... 80,000 392,514
#Nippon Gas Co., Ltd. .................................. 49,000 400,526
*Nippon Housing Loan Co., Ltd. ......................... 62,000 117,916
Nippon Hume Pipe Co., Ltd. ............................ 33,000 198,634
*Nippon Kasei Chemical Co., Ltd. ....................... 90,000 314,112
Nippon Kinzoku Co., Ltd. .............................. 75,000 386,191
Nippon Koei Co., Ltd., Tokyo .......................... 96,000 1,048,862
*Nippon Koshuha Steel Co., Ltd. ........................ 97,000 348,356
*Nippon Lace Co., Ltd. ................................. 20,000 74,254
#Nippon Metal Industry Co., Ltd. ....................... 187,000 817,238
Nippon Pipe Manufacturing Co., Ltd. .................. 29,000 176,024
#Nippon Piston Ring Co., Ltd. .......................... 88,000 471,826
Nippon Shinyaku Co., Ltd. ............................. 42,000 582,094
#Nippon Signal Co., Ltd. ............................... 69,000 725,948
*#Nippon Soda Co., Ltd. ................................. 98,000 594,841
*Nippon Steel Chemical Co., Ltd. ....................... 220,000 883,561
#Nippon Synthetic Chemical Industry Co., Ltd. ......... 101,000 556,854
Nippon Thompson Co., Ltd. ............................. 83,000 566,768
Nippon Trust Bank, Ltd. ............................... 38,000 154,922
Nippon Valqua Industries, Ltd. ........................ 98,000 424,320
*#Nippon Yakin Kogyo Co., Ltd. .......................... 158,000 885,503
*Nippon Yusoki Co., Ltd. ............................... 39,000 201,214
#Nissan Construction Co., Ltd. ......................... 98,000 531,391
Nissan Shatai Co., Ltd. ............................... 124,000 768,963
Nissha Printing Co., Ltd. ............................. 5,000 98,634
Nisshin Electric Co., Ltd. ............................ 124,000 935,802
Nissin Corp. .......................................... 113,000 571,573
Nittetsu Mining Co., Ltd. ............................. 96,000 896,388
*Nitto Boseki Co., Ltd. ................................ 284,000 807,324
Nitto Chemical Industry Co., Ltd. ..................... 88,000 391,705
#Nitto Flour Milling Co., Ltd. ......................... 43,000 317,552
*Nitto Seiko Co., Ltd. ................................. 25,000 115,579
*Nitto Seimo Co., Ltd. ................................. 25,000 111,280
Nittoc Construction Co., Ltd. ......................... 48,000 500,152
#Noritz Corp. .......................................... 40,000 760,749
North Pacific Bank, Ltd. .............................. 160,000 825,493
*#Nozaki and Co., Ltd. .................................. 48,000 206,373
O-M, Ltd. ............................................. 28,000 112,453
*#OKK Corp. ............................................. 78,000 304,583
OSG Manufacturing Co., Ltd. ........................... 111,000 757,967
Obayashi Road Corporation Co., Ltd. .................. 52,000 489,226
Odakyu Construction Co., Ltd. ......................... 23,000 179,393
#Odakyu Real Estate Co., Ltd. .......................... 49,000 239,919
*#Ohkura Electric Co., Ltd. ............................. 28,000 234,820
Oita Bank, Ltd. ....................................... 113,490 1,019,516
Okabe Co., Ltd. ....................................... 32,000 257,360
Okamura Corp. ......................................... 47,000 406,050
Oki Electric Cable Co., Ltd. .......................... 41,000 207,385
*Okuma Corp. ........................................... 78,000 728,316
*Okuma and Howa Machinery, Ltd. ....................... 55,000 233,131
Okura Industrial Co., Ltd. ............................ 74,000 603,379
*Okura and Co., Ltd. ................................... 112,000 478,139
*Ono Sokki Co., Ltd. ................................... 34,000 270,005
#Optec Dai-Ichi Denko Co., Ltd. ........................ 111,000 663,642
</TABLE>
72
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
#Organo Corp. .......................................... 66,000 $ 694,385
Origin Electric Co., Ltd. ............................. 38,000 217,198
Osaka Oxygen Industries, Ltd. ......................... 56,000 212,443
Osaki Electric Co., Ltd. .............................. 42,000 336,935
Pacific Industrial Co., Ltd. .......................... 61,000 370,258
*#Pacific Metals Co., Ltd. .............................. 205,000 997,521
#Parco Co., Ltd. ....................................... 47,000 527,769
Pasco Corp. ........................................... 110,000 578,655
Pilot Corp. ........................................... 27,000 158,422
#Pokka Corp. ........................................... 35,000 467,375
*#Press Kogyo Co., Ltd. ................................. 114,000 589,317
#Prima Meat Packers, Ltd. .............................. 179,000 737,006
#Rasa Industries, Ltd. ................................. 71,000 436,702
Renown Look, Inc. ..................................... 39,000 329,439
Rheon Automatic Machinery Co., Ltd. .................. 32,000 437,026
#Rhythm Watch Co., Ltd. ................................ 166,000 616,308
#Riken Corp. ........................................... 111,000 643,429
#Riken Vinyl Industry Co., Ltd. ........................ 80,000 720,283
Rohto Pharmaceutical Co., Ltd. ........................ 50,000 427,921
Royal Co., Ltd. ....................................... 47,000 675,164
Ryobi, Ltd. ........................................... 147,000 858,058
Ryoden Trading Co., Ltd. .............................. 58,000 480,546
Ryoyo Electro Corp. ................................... 37,000 954,476
#SMK Corp. ............................................. 95,000 627,567
SS Pharmaceutical Co., Ltd., Tokyo ................... 68,000 543,450
#SXL Corp. ............................................. 95,000 953,364
Saeki Kensetsu Kogyo Co., Ltd. ........................ 58,000 254,648
Sagami Co., Ltd. ...................................... 47,000 319,039
#Sakai Chemical Industry Co., Ltd. .................... 120,000 801,214
Sakai Heavy Industries, Ltd. .......................... 49,000 322,205
#Sakai Ovex Co., Ltd. .................................. 67,000 420,233
Sakata Inx Corp. ...................................... 63,000 420,637
Sakurada Co., Ltd. .................................... 32,000 198,118
#San-Ai Oil Co., Ltd. .................................. 88,000 685,483
Sanden Corp. .......................................... 165,000 1,089,985
Sankei Building Co., Ltd. ............................. 63,000 513,687
Sanken Electric Co., Ltd. ............................. 100,000 930,703
Sanko Metal Industrial Co., Ltd., Tokyo .............. 44,000 263,510
*Sankyo Seiki Manufacturing Co., Ltd. ................. 99,000 696,055
#Sankyo Seiko Co., Ltd. ................................ 67,000 599,848
*#Sansui Electric Co., Ltd. ............................. 23,000 66,080
Sanyo Industries, Ltd., Tokyo ......................... 39,000 278,149
Sanyo Shokai, Ltd. .................................... 156,000 883,763
#Sanyo Special Steel Co., Ltd. ......................... 204,000 932,807
Sasaki Glass Co., Ltd. ................................ 49,000 206,707
Sasebo Heavy Industries Co., Ltd., Tokyo ............. 193,000 720,455
Sata Construction Co., Ltd., Gumma ................... 48,000 286,495
Sato Shoji Corp. ...................................... 24,000 191,806
*Sawafugji Electric Co., Ltd. .......................... 22,000 124,856
#Seika Corp. ........................................... 111,000 678,240
Seikitokyu Industries Co., Ltd. ....................... 68,000 372,848
#Seiren Co., Ltd. ...................................... 66,000 621,608
Seiyo Food Systems, Inc. .............................. 69,000 767,830
#Sekisui Jushi Co., Ltd. ............................... 56,000 793,121
Sekisui Plastics Co., Ltd. ............................ 117,000 711,351
Senko Co., Ltd. ....................................... 61,000 383,217
*Settsu Corp. .......................................... 251,000 1,028,376
</TABLE>
73
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
#Shibaura Engineering Works Co., Ltd. ................. 37,000 $ 254,527
#Shibusawa Warehouse Co., Ltd. ......................... 91,000 627,840
Shibuya Kogyo Co., Ltd. ............................... 35,000 393,020
*Shikibo, Ltd. ......................................... 121,000 318,260
Shikoku Chemicals Corp. ............................... 71,000 362,721
Shimitzu Bank, Ltd. ................................... 10,700 833,485
#Shimura Kako Co., Ltd. ................................ 46,000 250,359
Shin-Etsu Polymer Co., Ltd. ........................... 94,000 538,230
#Shin-Kobe Electric Machinery Co., Ltd. ............... 58,000 416,591
#Shinagawa Fuel Co., Ltd. .............................. 95,000 916,844
Shinagawa Refractories Co., Ltd. ...................... 75,000 569,044
#Shindengen Electric Manufactur ing Co., Ltd. .......... 85,000 773,900
*#Shinko Electric Co., Ltd. ............................. 168,000 744,401
#Shinko Shoji Co., Ltd. ................................ 25,000 316,136
#Shinsho Corp. ......................................... 88,000 367,668
*Shintom Co., Ltd. ..................................... 43,000 367,577
Shinwa Bank, Ltd. ..................................... 149,000 1,038,553
*Shinwa Kaiun Kaisha, Ltd. ............................. 181,000 670,167
#Shinyei Kaisha ........................................ 44,000 218,108
#Shiroki Co., Ltd. ..................................... 99,000 527,800
#Sho-Bond Corp. ........................................ 32,600 867,355
#Shochiku Co., Ltd. .................................... 92,000 1,033,080
#Shoko Co., Ltd. ....................................... 125,000 542,489
*Shokusan Jutaku Sogo Co., Ltd. ........................ 127,000 494,638
Showa Aluminium Corp. ................................. 89,000 437,572
Showa Highpolymer Co., Ltd. ........................... 60,000 625,190
*Showa Line, Ltd. ...................................... 357,000 747,587
Showa Manufacturing Co., Ltd. ......................... 73,000 723,723
#Showa Sangyo Co., Ltd. ................................ 108,000 522,246
*#Silver Seiko, Ltd. .................................... 64,000 178,048
Sintokogio, Ltd., Nagoya .............................. 71,000 604,057
Sogo Co., Ltd. ........................................ 112,000 671,887
Sokkisha Co., Ltd. .................................... 31,000 423,369
#Sotetsu Rosen Co., Ltd. ............................... 30,000 254,932
#Star Micronics Co., Ltd. .............................. 36,000 331,411
Subaru Enterprise Co., Ltd. ........................... 27,000 236,267
Sumikim Bussan Kaisha, Ltd. ........................... 17,600 98,816
Sumisho Computer Service Corp. ....................... 38,000 511,280
*#Sumitomo Coal Mining Co., Ltd. ........................ 88,000 559,960
#Sumitomo Construction Co., Ltd. ....................... 236,000 954,982
Sumitomo Corporation's Leasing, Ltd. ................. 29,000 275,771
*#Sumitomo Osaka Cement Co., Ltd. Issue 94 ............. 138,000 631,017
Sumitomo Precision Products Co., Ltd., Amagasaki City 61,000 431,968
#Sumitomo Sieka Chemicals Co., Ltd. ................... 71,000 404,380
#Sumitomo Sitix Corp. .................................. 28,000 419,221
*#Sumitomo Special Metals Co., Ltd., Osaka ............. 48,000 733,232
Sumitomo Warehouse Co., Ltd. .......................... 90,000 624,583
Sun Telephone Co., Ltd. ............................... 52,000 368,235
#Sun Wave Corp. ........................................ 56,000 844,107
Suzutan Co., Ltd. ..................................... 16,000 157,491
*#TEC Corp. Issue 94 .................................... 55,000 267,071
TOC Co., Ltd. ......................................... 38,000 749,621
TYK Corp. ............................................. 55,000 280,981
Tabai Espec Corp. ..................................... 11,000 163,581
Tada Construction Co., Ltd. ........................... 23,000 117,501
Taihei Dengyo Kaisha, Ltd. ............................ 36,000 968,741
</TABLE>
74
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Taihei Kogyo Co., Ltd. ................................ 60,000 $ 344,158
*Taiheiyo Bank, Ltd. ................................... 68,000 255,215
*#Taiheiyo Kaiun Co., Ltd. .............................. 61,000 167,233
Taiheiyo Kouhatsu, Inc. ............................... 71,000 288,741
*Taiheiyo Securities Co., Ltd. ......................... 127,000 603,844
Taikisha, Ltd. ........................................ 42,000 688,316
Taisei Fire & Marine Insurance Co., Ltd. ............. 89,000 514,102
Taisei Rotec Corp. .................................... 99,000 790,197
Taito Co., Ltd. ....................................... 57,000 291,199
Taiyo Sanso Co., Ltd. ................................. 113,000 524,704
*Taka-Q Company, Ltd. .................................. 63,000 291,897
Takaoka Electric Manufacturing Co., Ltd., Tokyo ...... 114,000 648,134
Takara Co., Ltd. ...................................... 32,000 307,860
#Takasago International Corp. .......................... 115,000 910,926
*Takasaki Paper Manufacturing Co., Ltd. ............... 111,000 320,030
Takashima & Co., Ltd. ................................. 52,000 225,675
#Takiron Co., Ltd. ..................................... 86,000 603,784
Tamura Corp. .......................................... 73,000 545,746
*#Tamura Electric Works, Ltd. ........................... 58,000 538,634
Tatsuta Electric Wire & Cable Co., Ltd. .............. 84,000 420,637
*#Tayca Corp. ........................................... 59,000 235,761
*#Teac Corp. ............................................ 82,000 493,576
#Teijin Seiki Co., Ltd. ................................ 44,000 267,071
*#Teikoku Sen-I Co., Ltd. ............................... 26,000 124,411
Teikoku Tsushin Kogyo Co., Ltd. ....................... 57,000 389,226
#Teisan Co., Ltd. ...................................... 143,000 795,650
Tenma Corp. ........................................... 17,000 436,823
#Tesac Corp. ........................................... 68,000 285,483
Titan Kogyo Kabushiki Kaisha .......................... 30,000 196,965
Toa Doro Kogyo Co., Ltd. .............................. 68,000 467,779
Toa Wool Spinning & Weaving Co., Ltd. ................ 61,000 335,701
Tobu Store Co., Ltd. .................................. 58,000 428,326
Tochigi Fuji Industrial Co., Ltd. ..................... 41,000 481,133
Tochigi Sogo Bank, Ltd. ............................... 83,000 856,449
Toda Kogyo Corp. ...................................... 56,000 524,026
#Todentu Corp. ......................................... 45,000 405,159
Toei Co., Ltd. ........................................ 84,000 608,437
*Toho Rayon Co., Ltd. .................................. 101,000 424,026
Toho Real Estate Co., Ltd. ............................ 61,000 556,004
#Toho Zinc Co., Ltd. ................................... 123,000 522,610
#Tohto Suisan Co., Ltd. ................................ 45,000 225,341
#Tokai Carbon Co., Ltd. ................................ 236,000 1,002,731
Tokai Corp. ........................................... 80,000 566,515
*Tokai Kanko Co., Ltd. ................................. 114,000 213,354
*Tokai Kogyo Co., Ltd. ................................. 89,000 290,814
#Tokai Pulp Co., Ltd. .................................. 67,000 481,234
Tokai Rika Co., Ltd. .................................. 83,000 940,415
Tokai Senko K.K. Nagoya ............................... 41,000 261,305
Tokico, Ltd. .......................................... 147,000 753,961
*#Tokimec, Inc. ......................................... 66,000 327,162
#Tokin Corp. ........................................... 70,000 948,912
Toko Electric Corp. ................................... 33,000 225,341
#Toko, Inc. ............................................ 112,000 824,846
#Tokushu Paper Manufacturing Co., Ltd. ................ 56,000 674,153
Tokuyo City Bank, Ltd. ................................ 89,000 270,106
Tokyo Denki Komusho Co., Ltd. ......................... 40,000 505,817
Tokyo Machinery Works Co., Ltd. ...................... 80,000 615,073
</TABLE>
75
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Tokyo Nissan Auto Sales Co., Ltd. .................... 49,000 $436,216
Tokyo Rakutenchi Co., Ltd. ............................ 74,000 393,020
#Tokyo Rope Manufacturing Co., Ltd. ................... 113,000 618,442
Tokyo Securities Co., Ltd. ............................ 10,000 55,943
#Tokyo Seimitsu Co., Ltd. .............................. 37,000 467,881
Tokyo Tanabe Co., Ltd., Tokyo ......................... 76,000 624,299
#Tokyo Tekko Co., Ltd. ................................. 52,000 541,831
Tokyo Theatres Co., Inc., Tokyo ....................... 84,000 261,730
*#Tokyu Car Corp. ....................................... 138,000 823,672
Tokyu Store Chain Corp. ............................... 80,000 638,543
*Tokyu Tourist Corp. ................................... 31,000 127,324
#Toli Corp. ............................................ 76,000 607,385
Tomoe Corp. ........................................... 32,000 271,927
*Tomoegawa Paper Co., Ltd. ............................. 31,000 152,726
#Tomoku Co., Ltd. ...................................... 120,000 780,577
#Tonami Transportation Co., Ltd. ....................... 112,000 867,901
*#Topcon Corp. .......................................... 52,000 402,428
#Tophe Corp. ........................................... 26,000 158,604
Topre Corp. ........................................... 65,000 552,352
Topy Industries, Ltd. ................................. 75,000 364,188
Torishima Pump Manufacturing Co., Ltd., Osaka ........ 18,000 172,989
*Toshiba Ceramics Co., Ltd. ............................ 110,000 757,815
Toshiba Engineering & Construction Co., Ltd. ........ 83,000 837,977
Toshiba Machine Co., Ltd. ............................. 115,000 831,816
*Toshibo Tungaloy Co.,Ltd. ............................. 91,000 470,420
#Tosho Printing Co., Ltd. .............................. 58,000 339,727
*Tostem Viva Corp. ..................................... 40,000 428,933
Totenko Co., Ltd. ..................................... 26,000 140,192
Totetsu Kogyo Co., Ltd. ............................... 41,000 311,077
Totoku Electric Co., Ltd., Tokyo ...................... 50,000 412,241
*Towa Real Estate Development Co., Ltd. ............... 115,000 468,842
Toyama Chemicals Co., Ltd. ............................ 172,000 890,885
Toyo Aluminium K.K. ................................... 63,000 431,472
#Toyo Chemical Co., Ltd. ............................... 33,000 178,938
#Toyo Construction Co., Ltd. ........................... 199,000 907,931
Toyo Corp. ............................................ 31,000 307,334
*Toyo Electric Co., Ltd. ............................... 53,000 214,466
Toyo Kanetsu K.K. ..................................... 160,000 958,220
#Toyo Kohan Co., Ltd. .................................. 115,000 985,382
Toyo Radiator Co., Ltd. ............................... 83,000 413,111
Toyo Sanso Co., Ltd. .................................. 30,000 149,621
*Toyo Securities Co., Ltd. ............................. 90,000 387,860
Toyo Shutter Co., Ltd. ................................ 20,000 171,978
#Toyo Sugar Refining Co., Ltd. ......................... 52,000 186,222
*Toyo Tire & Rubber Co., Ltd. .......................... 196,000 882,347
*#Toyo Umpanki Co., Ltd. ................................ 106,000 509,358
Toyo Wharf & Warehouse Co., Ltd. ..................... 94,000 445,038
Toyoda Gosei Co., Ltd. ................................ 61,000 506,019
Toyoda Machine Works, Ltd. ............................ 116,000 945,837
Toyota Auto Body Co., Ltd. ............................ 96,000 922,610
Tsubakimoto Chain Co., Ltd. ........................... 48,000 264,643
Tsubakimoto Machinery & Engineering Co., Ltd. ....... 36,000 195,569
Tsubakimoto Precision Products Co., Ltd. ............. 53,000 895,397
Tsudakoma Corp. ....................................... 49,000 443,156
</TABLE>
76
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Tsugami Corp. ......................................... 99,000 $ 597,906
Tsukamoto Co., Ltd. ................................... 32,000 165,099
#Tsukishima Kikai Co., Ltd. ............................ 47,000 1,003,237
#Tsumura & Co., Inc. ................................... 80,000 898,331
#Tsurumi Manufacturing Co., Ltd. ....................... 31,000 404,552
#Tsutsunaka Plastic Industry Co., Ltd. ................ 55,000 612,038
Uchida Yoko Co., Ltd. ................................. 60,000 376,935
Ueki Corp. ............................................ 37,000 215,225
Unisia Jecs Corp. ..................................... 139,000 878,857
#Utoc Corp. ............................................ 33,000 183,613
#Wakachiku Construction Co., Ltd. ..................... 127,000 651,381
Wakamoto Pharmaceutical Co., Ltd. .................... 36,000 238,543
*#Yahagi Iron Co., Ltd. ................................. 33,000 97,481
Yamagata Bank, Ltd. ................................... 185,000 1,042,438
#Yamamura Glass Co., Ltd. .............................. 139,000 1,105,257
Yamatane Corp. ........................................ 92,000 739,909
*#Yamatane Securities Co., Ltd. ......................... 159,000 804,249
Yamato Kogyo Co., Ltd. ................................ 25,000 250,632
*#Yamazen Co., Ltd. ..................................... 105,000 519,423
#Yokogawa Bridge Corp. ................................. 48,000 660,395
*#Yokohama Matsuzakaya, Ltd. ............................ 21,000 86,039
Yokohama Reito Co., Ltd. .............................. 49,000 644,411
Yomeishu Seizo Co., Ltd. .............................. 37,000 329,388
#Yomiuri Land Co., Ltd. ................................ 100,000 885,180
Yondenko Corp. ........................................ 43,000 369,752
Yoshihara Oil Mill, Ltd. .............................. 27,000 163,885
#Yoshimoto Kogyo Co., Ltd. ............................. 16,000 224,987
#Yuasa Trading Co., Ltd. ............................... 124,000 707,496
*Yuken Kogyo Co., Ltd. ................................. 50,000 222,054
#Zenchiku Co., Ltd. .................................... 98,000 433,242
------------------
(Cost $298,465,273) ................................... 325,222,687
------------------
RIGHTS/WARRANTS -- (0.0%)
*Shinwa Bank, Ltd. Rights
01/18/95 (Cost $0) ...................................... 21,750 73,490
------------------
INVESTMENT IN CURRENCY -- (2.8%)
*Japanese Yen
(Cost $9,793,656) ........................................ 9,723,813
------------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS --
(3.8%)
Repurchase Agreement, PNC
Securities Corp. 5.50%, 12/01/94
(Collateralized by U. S. Treasury
Bill 5.55%, 02/09/95) (Cost
$13,330,000) ..................... $13,330 13,330,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$321,588,929) .................... $348,349,990
==================
</TABLE>
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Securities on loan
See accompanying Notes to Financial Statements
77
<PAGE>
SCHEDULE OF INVESTMENTS
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
MALAYSIA - (26.9%)
COMMON STOCKS - (26.7%)
ALCOM (Aluminium Co. of
Malaysia) ............................................ 139,000 $187,110
Acidchem (Malaysia) Behard ............................. 75,850 198,863
Actacorp Holdings Berhad ............................... 39,000 89,278
*Advance Synergy Berhad ................................. 217,000 522,227
Ajinomoto (Malaysia) Berhad ............................ 44,000 117,942
Amalgamated Industrial Steel Berhad ................... 125,000 249,462
*Anakku Corp. Berhad .................................... 10,000 26,609
*Anson Perdana Berhad ................................... 77,000 124,140
Antah Holding Berhad ................................... 280,000 243,240
Arab Malaysia Development Berhad ...................... 710,000 597,339
Arab-Malaysia Corp. Berhad ............................. 261,000 781,315
Arensi Holdings Berhad ................................. 22,000 49,501
Asia Pacific Land Berhad ............................... 602,100 473,575
*Austral Amalgamated Tin Berhad ......................... 47,000 134,259
Austral Enterprises Berhad ............................. 96,000 304,285
Autoways Holdings Berhad ............................... 10,000 31,696
Ayer Hitam Planting Syndicate
Berhad ............................................... 50,000 328,703
*Ayer Hitam Tin Dredging Malaysia
Berhad ............................................... 24,000 45,831
Ayer Molek Rubber Co. Berhad ........................... 1,000 66,132
Ban Hin Lee Bank Berhad ................................ 47,000 154,490
Bandar Raya Development
Berhad ............................................... 354,000 631,673
Batu Kawan Berhad ...................................... 236,000 554,099
Benta Plantations Berhad ............................... 100,100 119,078
Berjaya Group Berhad ................................... 619,000 838,090
Berjaya Industrial Berhad .............................. 614,000 543,001
Berjaya Leisure Berhad ................................. 500,000 555,664
Berjaya Textile Berhad ................................. 78,000 305,224
*Berjuntai Tin Dredging Berhad .......................... 36,000 200,039
Binaan Setega Berhad ................................... 32,000 63,236
Bolton Properties Berhad ............................... 150,000 234,788
Bukit Katil Rubber Estates Berhad ...................... 7,000 106,828
C.I. Holdings Berhad ................................... 64,000 249,188
Carlsberg Brewery Malaysia Berhad ..................... 124,250 563,999
Cement Industries of Malaysia Berhad .................. 160,000 504,011
Cement Manufacturers Sarawak Berhad .................... 73,500 327,881
Chemical Company of Malaysia Berhad .................... 106,000 369,165
Chew Piau Berhad ....................................... 14,000 39,718
Chin Teck Plantations Berhad ........................... 66,000 253,101
Chocolate Products (Malaysia) Berhad .................. 136,000 118,145
Cold Storage (Malaysia) Berhad ......................... 90,000 155,664
Computer Forms (M) Berhad .............................. 16,000 39,444
Concrete Engineering Products Berhad .................. 16,000 28,488
Cycle and Carriage Bintang Berhad ..................... 117,000 414,342
DNP Holdings ........................................... 185,000 237,449
</TABLE>
78
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Daibochi Plastic and Packaging Industry Berhad ......... 32,200 $ 45,361
Dataprep Holdings Berhad ............................... 31,000 60,411
*Denko Industrial Corp. Berhad .......................... 16,000 24,543
Dutch Baby Milk Industry
(Malaysia) Berhad .................................... 19,000 127,881
East Asiatic Company (Malaysia)
Berhad ............................................... 377,000 678,615
Eastern & Oriental Berhad .............................. 27,000 68,675
*FACB Berhad ............................................ 696,000 427,595
*FAP (FA Penisular) Berhad .............................. 84,000 102,555
FCW Holdings Berhad .................................... 70,000 435,531
Far East Holdings Berhad ............................... 66,000 134,299
Federal Flour Mills Berhad ............................. 217,000 594,404
Fima Corp. Berhad ...................................... 34,000 86,480
Gadek (Malaysia) Berhad ................................ 63,000 382,117
*General Corp. Behard ................................... 386,000 367,044
George Kent (Malaysia) Berhad .......................... 102,500 236,646
George Town Holdings Berhad ............................ 49,000 136,138
Glenealy Plantations (Malaysia)
Berhad ............................................... 76,000 318,216
Goh Ban Huat Berhad .................................... 67,000 169,106
Gold Coin (Malaysia) Berhad ............................ 46,000 120,603
Golden Frontier Berhad ................................. 29,000 46,527
Golden Plus Holdings Berhad ............................ 160,000 644,884
Gopeng Berhad .......................................... 21,000 36,322
*Gopeng Berhad 'A' ...................................... 73,500 112,745
Guinness Anchor Berhad ................................. 368,000 619,213
*Gula Perak Berhad ...................................... 60,000 81,706
Guthrie Ropel Berhad ................................... 142,000 250,049
Hexza Corp. Berhad ..................................... 163,000 160,736
Hil Industries Berhad .................................. 11,000 21,092
Ho Hup Construction Co. Berhad ......................... 71,000 288,945
Hock Hua Bank Berhad ................................... 148,000 437,253
Hospital Pantai Berhad ................................. 28,500 51,301
IGB Corp. Berhad ....................................... 561,000 515,887
IJM Corp. Berhad ....................................... 96,000 349,364
Inchcape Timuran Berhad ................................ 50,000 131,090
*Innovest Berhad ........................................ 220,000 121,385
*Insas Berhad ........................................... 376,000 425,216
Island & Peninsular Berhad ............................. 139,000 369,869
Jaya Netting Industries Berhad ......................... 18,000 24,371
Johan Holdings Berhad .................................. 374,000 367,341
Kampong Lanjut Tin Dredging
Berhad ............................................... 28,000 115,046
Kanzen Berhard ......................................... 93,000 156,486
Keck Seng (Malaysia) Berhad ............................ 193,000 370,065
Kedah Cement Holdings Berhad ........................... 355,000 508,433
Kelang Container Terminal Berhad ....................... 152,000 404,461
Kemayan Corp. Berhad ................................... 301,000 482,919
Kentucky Fried Chicken Holding
(Malaysia) Berhad .................................... 114,000 753,903
Khong Guan Holdings (Malaysia)
Berhad ............................................... 21,000 143,807
Kian Joo Can Factory Berhad ............................ 141,000 521,405
Kluang Rubber Co. (M) Berhad ........................... 2,000 104,872
Kretan Sidim Holdings .................................. 97,500 299,501
Kuala Sidim Rubber Company Berhad ..................... 109,000 238,857
Kuantan Flour Mills Berhad ............................. 19,000 43,494
</TABLE>
79
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Kulim Malaysia Berhad .................................. 220,200 $ 317,095
Kumpulan Belton Berhad ................................. 21,000 34,514
*Kumpulan Emas Berhad ................................... 134,000 142,626
Kwong Onn Industries Berhad ............................ 62,000 84,915
Lam Soon Huat Development
Berhad ............................................... 52,700 200,035
Larut Consolidated Berhad .............................. 145,000 248,523
Leisure Management Berhad .............................. 80,000 209,744
Lien Hoe Corp. Berhad .................................. 215,000 294,463
Lim Kai Hai Holdings Berhad ............................ 43,000 118,626
Lingui Development Berhad .............................. 366,666 1,033,065
Lion Corp. Berhad ...................................... 94,000 116,971
Lion Land Berhad ....................................... 219,000 263,948
*Lion Land Berhad 'A' ................................... 27,375 32,244
Long Huat Group Berhad ................................. 33,000 48,038
MBF Holdings Berhad .................................... 738,500 476,824
MCB Holdings Berhad .................................... 177,000 155,148
MMC Engineering Group Berhad ........................... 38,000 135,316
MPI (Malaysian Pacific Industries) ..................... 237,666 433,388
MWE Holdings Berhad .................................... 115,000 143,103
*MWE Holdings Berhad 'A' ................................ 49,000 55,030
Malakoff Berhad ........................................ 257,000 633,575
Malaya Glass Berhad .................................... 27,000 80,297
Malayan Cement Berhad .................................. 393,000 676,658
Malayan Flour Mills Berhad ............................. 77,000 108,472
Malayan United Manufacturing
Berhad ............................................... 161,000 244,445
Malayasian British Assurance
Berhad ............................................... 47,000 88,280
Malayawata Steel Berhad ................................ 163,000 294,682
Malaysia Aica Berhad ................................... 70,000 112,307
Malaysia Packaging Industry ............................ 14,000 19,613
*Malaysian Assurance Alliance
Berhad ............................................... 93,000 225,631
Malaysian Mosaics Berhad ............................... 331,000 523,279
Malaysian Oxygen Berhad ................................ 168,000 479,906
Malaysian Tobacco Company
Berhad ............................................... 247,000 353,755
Malex Industries Berhad ................................ 13,000 82,410
Mancon Berhad .......................................... 30,000 147,916
*Mancon Berhad 'A' ...................................... 3,000 13,618
Matsushita Electric Co. (M)
Berhad ............................................... 39,000 381,530
Mechmar Corp. (Malaysia) Berhad ........................ 84,000 135,426
Mega First Corp. Berhad ................................ 236,000 264,121
*Menang Corp. ........................................... 248,000 220,293
Mentiga Corp. Berhad ................................... 41,000 133,164
Metacorp Berhad ........................................ 132,000 400,313
Metrojaya Berhad ....................................... 34,000 89,141
Metroplex Berhad ....................................... 366,000 326,543
Muda Holdings Berhad ................................... 152,500 196,928
Municipal Loong Berhad ................................. 35,000 104,089
Nam Fatt Berhad ........................................ 100,000 315,007
Nanyang Press (Malaysia) Berhad ........................ 67,200 165,666
Negara Properties (Malaysia)
Berhad ............................................... 74,000 361,964
Negri Sembilan Oil Palms Berhad ........................ 34,000 117,081
New Straits Times Press
(Malaysia) Berhad .................................... 199,000 731,990
Nylex (Malaysia) Berhad ................................ 182,000 381,021
Oriental Holdings Berhad ............................... 77,000 424,848
PJ Development Holding Berhad .......................... 222,000 254,533
PSC Industries Berhad .................................. 28,000 202,700
PWE Industries Berhad .................................. 14,000 41,088
Palmco Holdings Berhad ................................. 179,000 221,342
</TABLE>
80
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Pan Malaysia Cement Works
Berhad ............................................... 213,000 $716,807
Paramount Corp. Berhad ................................. 73,000 86,840
Parit Perak Holdings Berhad ............................ 17,000 385,834
Park May Berhad ........................................ 48,000 130,542
Pelangi Berhad ......................................... 393,500 480,423
*Pengkalen Industrial Holdings
Berhad ............................................... 39,000 144,981
Pernas International Hotels &
Properties Berhad .................................... 303,000 393,645
Petaling Garden Berhad ................................. 232,000 332,272
Petaling Tin Berhad .................................... 20,000 93,132
Phileo Allied Berhad ................................... 50,000 215,222
Pilecon Engineering Berhad ............................. 261,500 378,615
Poly Glass Fibre (M) Berhad ............................ 39,000 47,310
*Promet Berhad .......................................... 648,000 730,284
Public Finance Berhad (Foreign) ........................ 6,000 10,472
Putera Capital Berhad .................................. 73,000 162,825
Rahman Hydraulic Tin Berhad ............................ 33,000 124,614
Rashid Hussain Berhad .................................. 321,000 847,877
Reynolds (R.J.) Berhad ................................. 319,000 489,329
SCK (Shanghai Chong Kee)
Berhad ............................................... 19,000 70,260
*SPK Sentosa Corp. Berhad ............................... 51,000 91,403
*SRI Hartamas Corp. Berhad .............................. 156,000 152,002
Samanda Holdings Berhad ................................ 73,000 217,100
*Sanda Plastic Berhad ................................... 11,000 22,814
Sanyo Industries (Malaysia)
Berhad ............................................... 33,600 115,046
Sapura Telecommunciations
Berhad ............................................... 84,000 308,981
Sarawak Oil Palms Berhad ............................... 87,000 187,243
*Sateras Resources (Malaysia)
Berhad ............................................... 167,000 188,206
Scientex Industries Berhad ............................. 66,000 128,617
Selangor Coconuts Berhad ............................... 240,500 475,259
Selangor Properties Berhad ............................. 419,000 482,043
Selanor Dredging Berhad ................................ 324,000 277,660
*Setron (Malaysia) Berhad ............................... 41,000 103,483
Shapadu Kontena Berhad ................................. 38,000 147,955
Siah Brothers Corp. Berhad ............................. 55,000 110,839
Sin Heng Chan Berhad ................................... 17,000 79,828
Sitt Tatt Berhad ....................................... 76,000 188,848
*South East Asia Lumber, Inc.
Berhad ............................................... 58,000 118,020
South Johore Amalgamated
Holding Berhad ....................................... 27,000 69,732
South Malaysia Industries Berhad ....................... 126,000 147,916
Southern Acids (Malaysia) Berhad ....................... 48,000 109,881
Southern Bank Berhad ................................... 139,773 281,679
Sriwani Holdings Berhad ................................ 127,400 249,266
*Sungei Bagan Rubber Co.
(Malaysia) Berhad .................................... 2,000 99,785
Sungei Way Holdings Berhad ............................. 175,250 733,780
*TDM Berhad ............................................. 66,000 104,856
Tai Wah Garments Manufacturing
Berhad ............................................... 18,000 31,555
*Tai Wah Garments Manufacturing Berhad (Foreign) ........ 41,000 72,037
Taiping Consolidated Berhad ............................ 103,000 203,541
Tajo Bricks Berhad ..................................... 16,000 34,122
Tasek Cement Berhad .................................... 182,000 398,826
Timah Langat Berhad .................................... 22,000 99,002
Time Engineering Berhad ................................ 243,000 684,641
</TABLE>
81
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C>
Tiong Nam Transport Holdings
Berhad ............................................... 17,000 $ 32,729
Tractors Malaysia Holdings
Berhad ............................................... 232,000 326,824
Tronoh Mines Malaysia Berhad ........................... 36,000 190,178
UAC Berhad ............................................. 61,000 116,009
UMW Holdings Berhad .................................... 281,000 714,733
*Union Paper Holdings Berhad ............................ 17,000 54,549
Uniphoenix Corp. Berhad ................................ 228,000 269,442
Uniphone Telecommunications
Berhad ............................................... 170,000 331,285
United Chemical Industries
Berhad ............................................... 18,000 29,724
United Malacca Rubber Estates
Berhad ............................................... 86,000 612,483
United Malayan Flour Mills Berhad ...................... 22,000 81,784
United Plantation Berhad ............................... 185,000 434,357
Westmont Berhad ........................................ 28,800 180,317
*Westmont Land (Asia) Berhad ............................ 129,000 250,378
Wing Tiek Holdings Berhad .............................. 85,800 245,095
*Worldwide Holdings Berhad .............................. 192,000 323,068
------------------
TOTAL COMMON STOCKS
(Cost $36,616,554) ...................................... 56,740,530
------------------
INVESTMENT IN CURRENCY - (0.1%)
*Malaysian Ringetts (Cost $201,536) ..................... 204,447
------------------
RIGHTS/WARRANTS - (0.1%)
*Arab Malaysian Development
Berhad Rights 01/16/95 ............................... 177,500 0
*Kent (George) (Malaysia) Berhad
Warrants 01/17/99 .................................... 500 397
*Kian Joo Can Factory Berhad
Rights 12/20/94 ...................................... 18,800 0
*Kumpulan Emas Berhad Rights
12/28/94 ............................................. 134,000 0
*Larut Consolidated Berhad Rights
12/23/94 ............................................. 80,400 0
*Malaysian Resources Corp.
Berhad Warrants 05/17/97 ............................. 22,800 29,621
*Southern Bank Berhad Rights
12/31/94 ............................................. 24,300 18,542
*Sriwani Holdings Berhad Warrants
1994-1999 ............................................ 45,500 0
*Tiong Nam Transport Holdings
Berhad Warrants 05/10/99 ............................. 8,500 7,185
*YTL Corp. Berhad Warrants
08/26/97 ............................................. 57,600 252,444
------------------
TOTAL RIGHTS/WARRANTS
(Cost $11,298) .......................................... 308,189
------------------
TOTAL - MALAYSIA
(Cost $36,829,388) ...................................... 57,253,166
------------------
HONG KONG - (19.1%)
COMMON STOCKS - (19.0%)
ABC Communications (Holdings),
Ltd. ................................................. 212,000 82,266
ALCO Holdings, Ltd. .................................... 184,000 40,460
ASM Pacific Technology, Ltd. ........................... 222,000 162,243
Allied Group, Ltd. ..................................... 4,928,000 382,460
Allied Industries International, Ltd. .................. 1,698,000 101,032
Anex International Holdings, Ltd. ...................... 152,000 18,678
Applied International Holdings, Ltd. ................... 1,110,000 147,885
Asia Commercial Holdings, Ltd. ......................... 3,640,000 167,145
</TABLE>
82
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Asia Financial Holdings, Ltd. .......................... 1,000,000 $388,048
Associated International Hotels,
Ltd. ................................................. 828,000 492,666
B + B Asia, Ltd. ....................................... 124,000 30,475
Beauforte Investors Corporation,
Ltd. ................................................. 66,000 110,982
Beijing Development (Hong Kong),
Ltd. ................................................. 164,000 82,732
Benelux International, Ltd. ............................ 30,000 2,173
*Berjaya Holdings (Hong Kong), Ltd. ..................... 1,420,000 36,735
Burwill Holdings, Ltd. ................................. 1,332,000 172,293
CDL Hotels International, Ltd. ......................... 426,562 180,700
*CDW International, Ltd. ................................ 12,000 1,614
CIL Holdings, Ltd. ..................................... 122,000 12,151
CNT Group, Ltd. ........................................ 574,000 40,093
Cafe de Coral Holdings, Ltd. ........................... 256,000 62,584
Capital Asia, Ltd. ..................................... 897,000 272,662
Century City International
Holdings, Ltd. ....................................... 2,703,000 646,818
Champion Technology Holdings,
Ltd. ................................................. 814,337 221,201
Chen Hsong Holdings, Ltd. .............................. 1,156,000 725,210
Cheuk Nang Properties (Holdings),
Ltd. ................................................. 708,400 261,149
Cheung Wah Development Co.,
Ltd. ................................................. 1,286,000 54,062
*Chevalier (OA) International, Ltd. ..................... 1,604,000 124,486
Chevalier International Holdings,
Ltd. ................................................. 1,372,000 186,341
*China Aerospace International
Holdings, Ltd. ....................................... 1,620,000 249,360
China Foods Holdings, Ltd. ............................. 1,128,000 255,336
*China Merchants Hai Hong
Holdings Co., Ltd. ................................... 122,000 26,827
China Motor Bus Co., Ltd. .............................. 105,000 811,506
#China Travel International
Investment Hong Kong, Ltd. ............................. 910,000 213,051
*China Treasure Telecom Holdings,
Ltd. ................................................. 230,000 15,768
Chow Sang Sang Holdings
International, Ltd. .................................. 1,012,000 366,524
Chuang's China Investments, Ltd. ....................... 820,000 32,881
Chun Wo Holdings, Ltd. ................................. 154,000 22,709
Climax International Co., Ltd. ......................... 134,000 16,986
Companion Building Material
(Holdings), Ltd. ..................................... 168,800 38,646
*Continental Holdings, Ltd. ............................. 54,000 4,750
Continental Mariner Investment Co., Ltd. ............... 263,000 53,410
Cosmos Machinery Enterprises,
Ltd. ................................................. 500,000 64,675
Crocodile Garments, Ltd. ............................... 1,419,000 132,154
Cross Harbour Tunnel Co., Ltd. ......................... 328,103 683,283
Culturecom Holdings, Ltd. .............................. 1,950,000 122,332
Dah Sing Financial Holdings, Ltd. ...................... 144,400 313,791
Daido Concrete (Hong Kong), Ltd. ....................... 194,000 30,614
#Dickson Concepts (International),
Ltd. .................................................. 411,000 318,976
Dynamic Holdings, Ltd. ................................. 70,000 17,203
East Asiatic Co. (Hong Kong), Ltd. ..................... 919,000 133,137
Eastern Century Holdings, Ltd. ......................... 302,000 29,688
Egana International Holdings, Ltd. ..................... 468,000 62,352
Elec & Eltek International Holdings,
Ltd. ................................................. 2,371,159 279,104
</TABLE>
83
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Emporer International Holdings,
Ltd. ................................................. 50,800 $ 19,549
*Englong International, Ltd. ............................ 130,000 21,524
FPB Bank Holding Co., Ltd. ............................. 1,399,520 237,145
Fairwood Holdings, Ltd. ................................ 284,000 35,266
Far East Aluminum (Holdings), Ltd. ..................... 582,000 96,360
Far East Consorium International,
Ltd. ................................................. 1,316,626 207,772
Far East Holdings International,
Ltd. ................................................. 70,000 9,779
Far East Hotels & Entertainment,
Ltd. ................................................. 1,762,000 490,014
First Asia International Holdings,
Ltd. ................................................. 115,000 17,850
Fong's Industries Co., Ltd. ............................ 174,000 23,182
Fortei Holdings, Ltd. .................................. 242,000 26,920
Fountain Set Holdings, Ltd. ............................ 1,774,000 266,180
Four Seas Mercantile Holdings,
Ltd. ................................................. 160,000 53,292
Frankie Dominion International, Ltd. ................... 452,000 34,495
*Fu Hui Jewelry Co. (Hong Kong),
Ltd. ................................................. 232,000 20,106
Furama Hotel Enterprises, Ltd. ......................... 428,000 642,194
General Electronics, Ltd. .............................. 1,562,000 80,817
Giordano Holdings, Ltd. ................................ 378,000 213,912
Gold Peak Industries (Holdings),
Ltd. ................................................. 950,000 387,078
Golden Resources Development
International, Ltd. .................................. 878,000 112,433
Goldlion Holdings, Ltd. ................................ 365,000 73,652
Grand Hotel Holdings, Ltd.
Class A .............................................. 1,212,000 454,637
Grand Hotel Holdings, Ltd.
Class B .............................................. 960,000 31,665
Grande Holdings, Ltd. .................................. 250,000 291,036
Great Wall Electronic International,
Ltd. ................................................. 2,038,000 187,166
#Guangzhou Investment Co., Ltd. ........................... 1,026,000 268,743
#HKCB Bank Holding Co., Ltd. .............................. 250,000 75,184
Hanny Magnetics (Holdings), Ltd. ....................... 366,000 45,448
Harbour Centre Development, Ltd. ....................... 314,000 320,864
Harbour Ring International
Holdings, Ltd. ....................................... 972,000 106,868
High Fashion International, Ltd. ....................... 178,000 25,327
#Hon Kwok Land Investment Co.,
Ltd. .................................................... 1,720,620 461,814
Hong Kong Ferry (Holdings) Co.,
Ltd. ................................................. 757,500 788,756
Hong Kong Parkview Group, Ltd. ......................... 1,026,000 358,324
Hong Kong Toy Centre
International, Ltd. .................................. 508,000 39,426
Hop Hing Holdings, Ltd. ................................ 581,645 109,091
Hsin Chong Construction Group,
Ltd. ................................................. 356,000 46,509
Hung Hing Printing Group, Ltd. ......................... 228,000 50,136
Hwa Kay Thai Holdings, Ltd. ............................ 2,062,914 325,541
IDT International, Ltd. ................................ 358,397 50,067
IMC Holdings, Ltd. (Bermudas) .......................... 531,000 391,502
Innovative International (Holdings),
Ltd. ................................................. 292,000 83,094
International Pipe, Ltd. ............................... 108,000 13,830
*Island Dyeing & Printing Co., Ltd. ..................... 135,000 167,637
JCG Holdings, Ltd. ..................................... 304,000 189,730
</TABLE>
84
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Jinhui Holdings Co., Ltd. .............................. 320,000 $ 51,740
Joyce Boutique Holdings, Ltd. .......................... 628,000 156,777
K Wah International Holdings, Ltd. ..................... 1,672,033 393,623
Ka Wah Bank, Ltd. ...................................... 1,392,640 558,425
Kader Holdings Co., Ltd. ............................... 140,000 11,590
Keck Seng Investments (Hong
Kong), Ltd. .......................................... 434,000 157,185
Kee-Shing Holdings Co., Ltd. ........................... 886,000 103,143
King Fook Holdings, Ltd. ............................... 1,000,000 103,479
Kosonic International Holdings, Ltd. ................... 198,000 15,623
Kumagai Gumi Hong Kong, Ltd. ........................... 647,000 669,512
Kwong Sang Hong International,
Ltd. ................................................. 368,000 104,721
Lafe International Holdings, Ltd. ...................... 347,000 141,385
Lai Sun Garment (International),
Ltd. ................................................. 440,000 614,668
Lam Soon (Hong Kong), Ltd. ............................. 1,013,400 314,598
Lam Soon Food Industries, Ltd. ......................... 183,000 32,666
Lamex Holdings, Ltd. ................................... 134,000 53,732
Lap Heng Co., Ltd. ..................................... 128,000 252,490
Laws International Holdings, Ltd. ...................... 274,000 63,441
Le Saunda Holdings, Ltd. ............................... 236,000 18,621
Leefung-Asco Printers Holdings,
Ltd. ................................................. 144,000 22,352
Li & Fung, Ltd. ........................................ 318,000 191,269
Lippo, Ltd. ............................................ 591,800 524,360
*Liu Chong Hing Bank, Ltd. .............................. 28,600 34,034
Liu Chong Hing Investment, Ltd. ........................ 572,000 566,007
Luks Industrial Co., Ltd. .............................. 1,636,000 268,752
M.C. Packaging (Hong Kong), Ltd. ....................... 376,000 131,315
*Mandarin Dragon Holdings, Ltd. ......................... 880,000 55,206
Mansion Holdings, Ltd. ................................. 138,000 18,743
Mansion House Group, Ltd. .............................. 640,200 57,967
Megga (S.) International Holdings,
Ltd. ................................................. 970,000 135,506
Melbourne Enterprises, Ltd. ............................ 38,000 297,374
Melco International Development,
Ltd. ................................................. 180,000 52,969
Min Xin Holdings, Ltd. ................................. 558,000 173,225
Ming Pao Enterprise Corp., Ltd. ........................ 616,000 374,492
Mingly Corp., Ltd. ..................................... 3,298,000 499,115
*Morning Star Holdings, Ltd. ............................ 410,000 47,730
*Nanyang Holdings, Ltd. ................................. 115,000 132,389
National Electronics Holdings, Ltd. .................... 720,000 42,841
Ngai Lik Industrial Holdings, Ltd. ..................... 164,000 28,002
Novel Enterprises, Ltd. ................................ 2,161,000 525,505
Ocean-Land Development, Ltd. ........................... 182,000 196,572
Oxford Properties & Finance, Ltd. ...................... 110,000 332,945
*Pacific Concord Holding, Ltd. .......................... 1,154,000 271,670
Paramount Publishing Group, Ltd. ....................... 574,000 59,397
Paul Y. ITC Construction Holdings,
Ltd. ................................................. 464,000 105,632
Peace Hill Enterprise Group, Ltd. ...................... 96,000 27,629
Playmate Toys Holdings, Ltd. ........................... 837,000 295,023
Playmates Properties Holdings,
Ltd. ................................................. 837,000 189,464
Pokfulam Development Co., Ltd. ......................... 212,000 133,683
*Poly Investments Holdings, Ltd. ........................ 2,432,000 99,092
Prod-Art Technology (Holdings),
Ltd. ................................................. 322,000 21,658
QPL International Holdings, Ltd. ....................... 120,000 32,596
*RJP Electronics, Ltd. .................................. 1,000,000 16,815
Raymond Industrial, Ltd. ............................... 558,000 95,274
</TABLE>
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Regal Hotels International
Holdings, Ltd. ....................................... 1,558,000 $332,518
Rhine Holdings, Ltd. ................................... 160,000 19,661
*Rivera Holdings, Ltd. .................................. 2,916,000 113,155
Safety Godown Co., Ltd. ................................ 310,000 340,836
San Miguel Brewery Hong Kong,
Ltd. ................................................. 858,000 643,694
Seapower International Holdings,
Ltd. ................................................. 154,000 59,759
Seapower Resources International,
Ltd. ................................................. 2,290,000 263,627
Semi-Tech (Global) Co., Ltd. ........................... 193,000 320,793
Shanghai International (Hong
Kong), Ltd. .......................................... 110,000 17,786
*Shaw Brothers Hong Kong, Ltd. .......................... 50,000 80,843
Shell Electric Manufacturing
(Holdings) Co., Ltd. ................................. 756,000 222,468
*Shenzhen International Holdings,
Ltd. ................................................. 1,865,000 55,002
Shougang Concord Grand (Group),
Ltd. ................................................. 1,416,000 324,191
Shougang Concord International Enterprises Co., Ltd. ... 880,000 221,964
Shougang Concord Technology
Holdings, Ltd. ....................................... 867,000 68,409
*Shun Ho Construction (Holdings),
Ltd. ................................................. 846,000 36,112
*Shun Ho Resources Holdings, Ltd. ....................... 460,000 19,040
*Shun Shing Holdings, Ltd. .............................. 408,000 20,582
Silver Grant International
Industries, Ltd. ..................................... 255,000 69,267
Sime Darby Hong Kong, Ltd. ............................. 276,000 296,314
Sincere Co., Ltd. ...................................... 294,000 58,184
Sing Tao Holdings, Ltd. ................................ 693,000 403,376
Singamas Container Holdings, Ltd. ...................... 144,000 42,841
South China Brokerage Co., Ltd. ........................ 112,000 14,632
South China Industries, Ltd. ........................... 1,020,000 145,130
South Sea Development Co., Ltd. ........................ 466,400 31,371
Southeast Asia Properties and
Finance, Ltd. ........................................ 145,200 58,223
Star Paging (International Holding),
Ltd. ................................................. 214,000 69,202
Starlight International Holdings, Ltd. ................. 645,356 100,172
Stelux Holdings, Ltd. .................................. 505,702 186,425
Sum Cheong International, Ltd. ......................... 230,000 138,339
Sun Fook Kong Holdings, Ltd. ........................... 1,372,000 124,227
Sun Hung Kai & Co., Ltd. ............................... 1,170,000 503,201
*Suwa International Holdings, Ltd. ...................... 1,062,000 33,655
Swank International Manufacturing
Co., Ltd. ............................................ 568,000 108,002
TVE (Holdings), Ltd. ................................... 680,000 307,852
Tack Hsin Holdings, Ltd. ............................... 148,000 21,824
Tai Sang Land Development, Ltd. ........................ 417,259 205,094
Tak Sing Alliance Holdings, Ltd. ....................... 337,200 113,403
Tak Wing Investment Holdings, Ltd. ..................... 388,000 85,821
Techtronic Industries Co., Ltd. ........................ 856,000 105,187
Tem Fat Hing Fung (Holdings), Ltd. ..................... 1,868,000 316,528
Termbray Industries International
(Holdings), Ltd. ..................................... 398,000 54,055
Texwinca Holdings, Ltd. ................................ 278,000 73,716
</TABLE>
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Tian An China Investments Co.,
Ltd. ................................................. 2,007,000 $ 423,155
Tian Teck Land, Ltd. ................................... 1,006,000 202,996
Tomei International (Holdings), Ltd. ................... 1,712,000 155,012
Tristate Holdings, Ltd. ................................ 77,000 52,787
Truly International Holdings, Ltd. ..................... 214,000 39,307
Tse Sui Luen Jewellery
(International), Ltd. ................................ 1,449,600 301,883
Tung Fong Hung (Holdings), Ltd. ........................ 270,000 24,098
Tungtex (Holdings) Co., Ltd. ........................... 904,000 100,561
Tysan Holdings, Ltd. ................................... 134,000 16,986
UDL Holdings, Ltd. ..................................... 266,000 31,310
USI Holdings, Ltd. ..................................... 1,112,000 106,439
Ultronics International Holdings,
Ltd. ................................................. 112,000 6,085
Union Bank of Hong Kong, Ltd. .......................... 543,600 407,823
Uniworld Holdings, Ltd. ................................ 9,920,000 41,061
Varitronix International, Ltd. ......................... 442,000 634,614
Wah Ha Realty Co., Ltd. ................................ 240,000 47,808
Wah Kwong Shipping Holdings,
Ltd. ................................................. 75,500 161,137
*Wah Nam Group, Ltd. .................................... 1,700,000 39,801
Wai Kee Holdings, Ltd. ................................. 300,000 76,834
Watary International Holdings, Ltd. .................... 90,000 8,964
Wing Hang Bank, Ltd. ................................... 145,000 356,358
Wing On Co. International, Ltd. ........................ 507,000 570,547
Wing On International Holdings,
Ltd. ................................................. 50,000 81,490
Wing Shan International, Ltd. .......................... 256,000 49,670
Winsor Industrial Corp., Ltd. .......................... 447,000 575,301
Winton Holdings (Bermuda), Ltd. ........................ 174,000 49,515
Wo Kee Hong (Holdings), Ltd. ........................... 1,430,000 425,430
Wong's International (Holdings),
Ltd. ................................................. 1,012,000 117,811
Wong's Kong King International
(Holdings), Ltd. ..................................... 717,000 46,372
World Houseware (Holdings), Ltd. ....................... 227,539 54,155
YGM Trading, Ltd. ...................................... 70,000 39,387
Yangtzekiang Garment
Manufacturing Co., Ltd. .............................. 323,000 104,450
Yaohan Food Processing &
Trading Co., Ltd. .................................... 124,000 18,285
Yaohan Hongkong Corp., Ltd. ............................ 690,000 104,424
Yaohan International Caterers, Ltd. .................... 452,000 119,855
Yaohan International Holdings, Ltd. .................... 592,000 141,663
*Yau Lee Holdings, Ltd. ................................. 360,000 18,393
Yeebo (International Holdings), Ltd. ................... 126,000 18,580
Yiu Wing International Holdings,
Ltd. ................................................. 188,000 37,449
*Yoshiya International Corp., Ltd. ...................... 370,000 62,217
Yue Yuen Industrial (Holdings), Ltd. ................... 1,320,000 271,478
------------------
TOTAL COMMON STOCKS
(Cost $48,011,909) ...................................... 40,296,316
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Hong Kong Dollars
(Cost $100,367) ...................................... 100,265
------------------
RIGHTS/WARRANTS - (0.1%)
*Century City International
Holdings, Ltd. Warrants 12/31/95 ..................... 270,300 8,741
</TABLE>
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*Century City International
Holdings, Ltd. Warrants 12/31/96 ..................... 135,150 $ 3,426
*Chevalier International Holdings, Ltd. Warrants 09/30/97 274,400 6,389
*China Aerospace International
Holdings, Ltd. Warrants 12/31/95 ..................... 324,000 10,058
*Culturecom Holdings, Ltd.
Warrants 12/31/96 .................................... 304,800 2,523
*Far East Hotels & Entertainment,
Ltd. Warrants 03/31/96 ............................... 310,400 15,257
*First Asia International Holdings,
Ltd. Warrants 09/30/95 ............................... 23,000 268
*Frankie Dominion International, Ltd. Warrants 06/07/97 . 90,400 620
*Hong Kong Ferry (Holdings) Co.,
Ltd. Warrants 06/30/96 ............................... 50,500 18,290
*Hong Kong Parkview Group, Ltd.
Warrants 12/31/96 .................................... 205,200 3,716
*Hop Hing Holdings, Ltd. Warrants
12/31/97 ............................................. 116,329 7,373
*Mandarin Dragon Holdings, Ltd.
Warrants 12/31/96 .................................... 176,000 1,024
*Min Xin Holdings, Ltd. Warrants
12/31/96 ............................................. 111,600 3,205
*Rivera Holdings, Ltd. Warrants
01/15/97 ............................................. 583,200 5,733
*Shell Electric Manufacturing
(Holdings) Co., Ltd. Warrants
03/31/96 ............................................. 151,200 4,342
*Tak Wing Investment Holdings, Ltd. Warrants 10/31/96 ... 38,800 2,459
*Tian An China Investments Co., Ltd. Warrants 01/25/96 .. 401,400 10,125
*Uniworld Holdings, Ltd. Warrants
10/31/95 ............................................. 1,102,222 1,426
*Wah Nam Group, Ltd. Warrants
05/31/96 ............................................. 340,000 2,287
*Wai Kee Holdings, Ltd. Warrants
12/31/96 ............................................. 42,000 875
*Yeebo (International Holdings), Ltd.
Warrants 08/31/96 .................................... 25,200 502
------------------
TOTAL RIGHTS/WARRANTS
(Cost $45,507) ....................................... 108,639
------------------
TOTAL - HONG KONG (Cost $48,157,783) .................... 40,505,220
------------------
KOREA - (19.0%)
COMMON STOCKS - (19.0%)
Aluminium of Korea ..................................... 5,448 87,794
*Aluminium of Korea Em 94 ............................... 1,809 27,102
Anam Electrics Co. ..................................... 6,000 145,789
Asia Cement Co., Ltd. .................................. 4,800 262,269
*Asia Cement Co., Ltd. Em 94 ............................ 426 21,989
*Asia Motors Co., Inc. .................................. 19,839 349,674
*Asia Motors Co., Inc. Em 94 ............................ 2,979 52,507
*BIF Co., Ltd. .......................................... 5,000 26,312
*Bing Grae Co., Ltd. .................................... 3,100 126,841
Boram Bank Co., Ltd. ................................... 18,300 246,519
*Boram Bank Co., Ltd. Em 94 ............................. 4,349 55,300
Boryung Pharmaceutical Co., Ltd. ....................... 3,480 95,511
Byuck San Corp. ........................................ 6,580 140,000
Cheil Industrial, Inc. ................................. 13,000 435,352
*Cheil Industrial, Inc. Em 94 ........................... 1,808 59,409
*Cho Kwang Leather Co., Ltd. ............................ 2,000 47,085
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*Cho Kwang Leather Co., Ltd. Em
94 ................................................... 120 $ 2,599
*Chon Bang Co., Ltd. .................................... 3,255 376,192
Chong Kun Dang ......................................... 3,121 141,453
*Choong Wae Pharmaceutical Em
94 ................................................... 1 53
*Choongnam Spinning Co., Ltd. ........................... 15,800 405,791
Chosun Brewery Co., Ltd. ............................... 9,409 355,370
Crown Confectionary Co., Ltd. .......................... 1,500 74,027
Dae Dong Industrial Co., Ltd. .......................... 6,233 164,790
Dae Han Pulp Co., Ltd. ................................. 1,000 39,658
Dae Ryung Industry, Inc. ............................... 2,000 147,551
*Dae Sung Electric Wire Co., Ltd ........................ 940 21,183
Dae Wan Kang Up Co., Ltd. .............................. 5,132 180,909
*Daehan Fire & Marine Insurance
Co., Ltd. ............................................ 5,000 176,256
Daelim Industrial Co., Ltd. ............................ 8,210 253,236
Daesung Industries Co., Ltd. ........................... 4,000 287,045
*Daewoo Electronic Components
Co., Ltd. ............................................ 8,679 142,046
*Daewoo Electronic Components
Co., Ltd. Em 94 - I .................................. 233 3,843
*Daewoo Electronic Components
Co., Ltd. Em 94 - II ................................. 1,748 27,068
*Daewoo Telecom Co., Ltd. ............................... 16,240 245,348
*Daewoo Telecom Co., Ltd.
Em 94 - I ............................................ 441 6,385
*Daewoo Telecom Co., Ltd.
Em 94 - II ........................................... 2,668 37,956
*Dai Han Wool Textile Corp. ............................. 1,100 34,483
Dong Bang Corp. ........................................ 3,630 250,896
Dong Shin Paper Manufacturing
Co., Ltd. ............................................ 6,900 119,879
Dong Wha Pharmaceutical
Industries Co., Ltd. ................................. 3,663 174,319
Dong Yang Tin Plate Industrial Co.,
Ltd. ................................................. 2,660 99,126
*Dong Yang Tin Plate Industrial Co., Ltd. Em 94 ......... 419 13,979
Dong-A Pharmaceutical Co., Ltd. ........................ 16,014 487,900
Dong-Il Corp. .......................................... 2,000 143,523
*Dongbu Chemical Co., Ltd. .............................. 12,600 228,428
Dongbu Industrial Co., Ltd. ............................ 4,700 98,225
Dongbu Steel Co., Ltd. ................................. 11,000 404,381
*Donghae Pulp ........................................... 19,400 537,328
Dongkuk Steel Mill Co., Ltd. ........................... 13,220 411,105
Dongsung Chemical Industry ............................. 5,000 191,993
*Dongwon Industries Co., Ltd. ........................... 15,100 408,725
*Doosan Foods Co., Ltd. ................................. 2,600 41,571
*Doosan Glass Co., Ltd. ................................. 6,000 116,329
Doosan Industrial Co., Ltd. ............................ 7,300 130,505
*Doosan Industrial Co., Ltd. Em 94 ...................... 1,946 31,849
*Doosan Manufacturing Co., Ltd. ......................... 3,390 60,178
*Doosan Manufacturing Co., Ltd.
Em 94 ................................................ 1,161 19,732
*Goldstar Tele-Communication Co.,
Ltd. ................................................. 5,000 90,646
*Haedong Fire & Marine Insurance
Co., Ltd. ............................................ 2,340 72,471
Hai Tai Electronics Co., Ltd. .......................... 7,300 127,748
Haitai Confectionary Co., Ltd. ......................... 13,270 258,951
*Han Jin Shipping Co., Ltd. ............................. 16,000 632,507
*Han-Il Synthetic Fiber Industrial
Co., Ltd. ............................................ 29,000 416,216
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*Hanjin Engineering & Construction
Co., Ltd. ............................................ 23,175 $577,697
Hankook Caprolactam Corp. Co.,
Ltd. ................................................. 3,400 159,235
Hankook Cosmetics Co., Inc. ............................ 3,000 141,256
*Hanmi Pharmaceutical Co., Ltd. ......................... 2,262 64,645
Hannong Corp. .......................................... 1,000 75,161
*Hanwha Corp. ........................................... 25,800 552,184
*Hanwha Energy Co., Ltd. ................................ 26,000 330,606
*Hanwha Machinery Co., Ltd. ............................. 16,000 279,995
Heung Ah Tire & Rubber ................................. 5,000 131,562
*Hyosung Corp. .......................................... 19,600 198,394
Hyundai Cement Co., Ltd. ............................... 5,600 285,534
Hyundai Corp. .......................................... 9,700 293,088
*Hyundai Corp. Em 94 .................................... 2,975 86,145
Hyundai Mipo Dockyard Co., Ltd. ........................ 14,000 430,064
Hyundai Pharmaceutical Co., Ltd. ....................... 3,427 108,725
*Hyundai Wood Industry .................................. 12,472 196,273
*ISU Chemical Co., Ltd. ................................. 16,274 284,790
Il Shin Spinning ....................................... 3,021 387,942
Il Yang Pharmaceutical Co., Ltd. ....................... 4,371 144,728
Inkel Corp. ............................................ 6,900 150,283
Jindo Corp. ............................................ 9,270 267,258
Jinro, Ltd. ............................................ 7,000 215,032
Kang Won Industrial Co., Ltd. .......................... 19,500 463,993
Kangwon Bank Co., Ltd. ................................. 27,820 323,977
*Kangwon Bank Co., Ltd. Em 94 ........................... 14,592 163,501
*Keun Wha Pharmaceutical Co.,
Ltd. ................................................. 2,000 8,309
*Kia Steel Co., Ltd. .................................... 24,633 331,831
*Kohap Co., Ltd. ........................................ 35,568 662,730
Kolon International Corp. .............................. 8,732 195,681
*Kony Precision Co., Ltd. ............................... 2,000 36,510
Korea Electronics Co., Ltd. ............................ 7,220 341,775
Korea Fertilizer Co., Ltd. ............................. 90 12,713
Korea Iron and Steel Co., Ltd. ......................... 18,127 502,078
*Korea Iron and Steel Co., Ltd.
Em 94 ................................................ 5,006 130,459
Korea Kumho Petrochemical .............................. 31,600 449,553
*Korea Steel Pipe Co., Ltd. ............................. 14,995 64,186
Korea Tungsten Mining Co. Dae Han Jung Souk ............ 11,227 620,503
Koryo Cement Manufacturing Co.,
Ltd. ................................................. 2,000 118,595
Kukje Electric Wire Co., Ltd. .......................... 22,990 500,726
*Kukje Electric Wire Co., Ltd. Em 94 .................... 6,458 127,648
*Kum Ho and Co., Inc. ................................... 26,420 405,796
Kum Yang Co., Ltd. ..................................... 1,700 47,728
Kumho Construction & Engineering
Co., Ltd. ............................................ 39,720 570,072
*Kumho Construction & Engineering Co., Ltd. Em 94 ....... 17,417 249,973
Kunsul Chemical Industrial Co., Ltd .................... 620 36,921
Kyungnam Wool Textile Co., Ltd. ........................ 4,051 91,802
Lucky Development Co., Ltd. ............................ 23,618 523,325
Lucky Goldstar International Corp. ..................... 32,300 536,775
*Lucky Metals Corp. ..................................... 24,400 620,521
Midopa Department Store ................................ 16,536 274,802
Miwon Petrochemical Corp. .............................. 11,111 226,614
*Miwon Petrochemical Corp. Em 94 ........................ 2,666 50,348
*Namhan Paper Manufacturing Co.,
Ltd. ................................................. 6,500 42,635
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Nasan Industries Co., Ltd. ............................. 5,151 $233,458
Nhong Shim Co., Ltd. ................................... 4,028 200,817
Oriental Chemical Industries Co.,
Ltd. ................................................. 14,175 553,223
Orion Electric Co., Ltd. ............................... 266 7,535
*Orion Electric Co., Ltd. Issue 94 ...................... 51 1,380
Pacific Chemical Co., Ltd. ............................. 14,000 643,334
Pang Rim Spinning ...................................... 5,000 383,986
Poong San Corp. ........................................ 32,000 664,736
Posco Chemical Co., Ltd. ............................... 13,000 284,779
Pusan Steel Pipe Corp. ................................. 301 11,710
Pyung Hwa Industrial Co., Ltd. ......................... 2,000 81,078
STC Corp. .............................................. 12,400 448,042
Saehan Media Corp. ..................................... 11,800 380,310
*Saeil Heavy Industries Co., Ltd. ....................... 65,180 943,686
Sam Ick Construction Co., Ltd. ......................... 11,625 162,454
*Sam Ick Construction Co., Ltd.
Em 94 ................................................ 3,083 39,202
*Sam Jin Chemical Co., Ltd. ............................. 1,000 10,449
Sam Yang Co., Ltd. ..................................... 12,200 506,861
Samchully Co., Ltd. .................................... 700 51,555
*Samick Musical Instruments
Manufacturing Co., Ltd. .............................. 8,100 145,827
*Samlip Foods Industries Co., Ltd. ...................... 2,900 142,390
*Sammi Corp. ............................................ 29,600 228,065
*Sammi Steel Co., Ltd. .................................. 49,800 658,315
Samsung Aerospace Industrial Co.,
Ltd. ................................................. 11,081 403,174
*Samsung Aerospace Industrial Co.,
Ltd. Em 94 ........................................... 1,652 56,363
Samsung Electro Mechanics Co.,
Ltd. ................................................. 7,677 468,758
*Samsung Electro-Mechanics Co., Ltd. Em 94 .............. 888 53,103
Samwhan Corp. Co., Ltd. ................................ 14,400 415,158
*Samwhan Corp. Co., Ltd. Em 94 .......................... 2,764 76,555
Samyang Foods Co., Ltd. ................................ 2,000 107,264
*Samyoung Chemical Co., Ltd. ............................ 4,000 69,999
*Se Poong Corp. ......................................... 8,500 142,327
Seyang Shipping Co., Ltd. .............................. 2,360 85,273
Shin Dong-Ah Fire & Marine
Insurance Co. ........................................ 5,670 181,314
Shin Sung Corp. ........................................ 10,608 186,972
Shin Wha Engineering and
Construction Co., Ltd. ............................... 11,875 316,946
*Shin-A Chemical Manufacturing
Co., Ltd. ............................................ 4,700 60,355
*Shinshung Tongsang Co., Ltd. ........................... 9,321 127,910
Ssang Bang Wool Co., Ltd. .............................. 5,500 319,904
*Ssangyang Motor Co. .................................... 32,600 570,490
Ssangyong Corp. ........................................ 9,023 174,939
Sung Shin Cement Co., Ltd. ............................. 6,515 317,425
Sunkyong, Ltd. ......................................... 19,270 497,337
Tae Il Media Co., Ltd. ................................. 2,869 108,357
*Tae Il Media Co., Ltd. Em 94 ........................... 729 24,885
Tae Kwang Industrial Co., Ltd. ......................... 1,000 541,357
*Taejon Leather Industrial Co., Ltd. .................... 6,500 88,380
Tai Han Electric Wire Co., Ltd. ........................ 4,483 172,141
Taihan Sugar Industrial Co., Ltd. ...................... 3,080 170,616
Tong Yang Cement Corp. ................................. 16,890 684,701
*Tong Yang Confectionary Co.
Em 94 ................................................ 297 11,517
Tong Yang Mool San Co., Ltd. ........................... 5,000 95,682
*Tong Yang Mool San Co., Ltd.
Em 94 ................................................ 1,145 20,470
</TABLE>
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<S> <C> <C>
Tong Yang Nylon Co., Ltd. .............................. 14,930 $ 571,411
Tongkook Corp. ......................................... 7,400 105,275
Tongyang Confectionery Co. ............................. 1,240 49,019
Trigem Computer, Inc. .................................. 8,000 247,765
Union Steel Manufacturing Co.,
Ltd. ................................................. 3,000 302,153
Youngchang Akki Co., Ltd. .............................. 3,200 186,126
Youngpoung Corp. ....................................... 2,000 243,988
Yuhan Corp. ............................................ 3,255 247,926
------------------
TOTAL COMMON STOCKS
(Cost $30,347,077) ...................................... 40,250,409
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Korean Won (Cost $31,631) .............................. 31,633
------------------
RIGHTS/WARRANTS - (0.0%)
*Hanjin Engineering and Construction Co., Ltd. Rights
12/09/94 (Cost $0) ................................... 7,975 65,262
------------------
TOTAL - KOREA (Cost $30,378,708) .......................... 40,347,304
------------------
AUSTRALIA - (18.7%)
COMMON STOCKS - (18.4%)
AAPC, Ltd. (Accor Asia Pacific) ........................ 649,028 359,636
AIDC (Australian Industry
Development Corp.) ................................... 276,613 345,934
AWA, Ltd. .............................................. 335,000 195,941
*Aberfoyle, Ltd. ........................................ 168,750 433,768
Adelaide Brighton, Ltd. ................................ 188,241 207,165
Advance Bank Australia, Ltd. ........................... 101,100 661,359
*Agen, Ltd. ............................................. 71,000 13,114
*Airboss, Ltd. .......................................... 246,250 32,218
*Alcan Australia, Ltd. .................................. 321,400 643,112
Allgas Energy, Ltd. .................................... 18,800 138,898
Amalgamated Holdings, Ltd. ............................. 39,500 240,155
Ashton Mining, Ltd. .................................... 475,500 933,164
Atkins Carlyle, Ltd. ................................... 50,698 120,954
Atlas Steels, Ltd. ..................................... 129,000 124,099
*Auridiam Consolidated NL ............................... 60,093 36,998
Australian Agricultural Co. ............................ 20,900 161,169
Australian Chemical Holdings, Ltd. ..................... 56,200 190,308
*Australian Medical Enterprises, Ltd. ................... 247,700 133,442
Australian National Industries, Ltd. ................... 165,271 171,711
Australian Oil & Gas Corp., Ltd. ....................... 76,500 65,940
Australian Provincial Newspapers
Holdings, Ltd. ....................................... 191,016 199,929
Ballarat Brewing Co., Ltd. ............................. 51,392 73,170
Bank of Melbourne, Ltd. ................................ 193,554 661,382
Bank of Queensland, Ltd. ............................... 91,294 281,041
*Beach Petroleum NL ..................................... 165,200 13,985
*Biota Holdings, Ltd. ................................... 45,900 67,117
*Biota Holdings, Ltd. Issue 94 .......................... 12,900 20,352
Blackmores, Ltd. ....................................... 23,278 55,536
*Boulder Group NL ....................................... 66,500 24,054
*Brash Holdings, Ltd. ................................... 51,810 90,113
Bridgestone Australia, Ltd. ............................ 40,000 66,186
Burmine, Ltd. .......................................... 43,326 98,364
Caltex Australia, Ltd. ................................. 166,900 436,719
Campbell Brothers, Ltd. ................................ 14,887 44,683
*Cape Range, Ltd. ....................................... 217,000 88,512
*Carrington Cotton Corp., Ltd. .......................... 2,700 3,636
Central Equity, Ltd. ................................... 109,635 67,500
Central Norseman Gold Corp., Ltd. ...................... 374,000 247,535
Centro Properties, Ltd. ................................ 124,638 208,150
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Centro Properties, Ltd. Issue 94 ....................... 58,799 $ 54,302
Challenge Bank, Ltd. ................................... 134,710 298,579
*Climax Mining, Ltd. .................................... 81,600 65,940
*Clutha, Ltd. ........................................... 82,000 28,398
Clyde Industries, Ltd. ................................. 178,893 234,050
Coal & Allied Industries, Ltd. ......................... 2,850 31,146
*Command Petroleum Holdings NL .......................... 322,300 99,217
*Computer Power Group, Ltd. ............................. 47,260 67,651
Consolidated Rutile, Ltd. .............................. 58,800 208,162
*Coolgardie Gold NL ..................................... 72,200 13,891
*Coplex Resources NL .................................... 203,500 39,154
*Cortecs International, Ltd. ............................ 112,400 51,902
Country Road, Ltd. ..................................... 87,996 74,494
Coventry Group, Ltd. ................................... 57,738 222,177
Crane (G.E.) Holdings, Ltd. ............................ 31,376 188,347
Croesus Mining NL ...................................... 97,100 25,408
Crusader, Ltd. ......................................... 141,700 152,674
Cudgen RZ, Ltd. ........................................ 26,400 77,207
Danks Holdings, Ltd. ................................... 4,150 44,714
Datacraft, Ltd. ........................................ 102,700 80,619
Defiance Mills, Ltd. ................................... 69,200 73,494
*Delta Gold NL .......................................... 338,100 686,936
*Denehurst, Ltd. ........................................ 82,700 40,097
*Devex, Ltd. ............................................ 229,000 105,744
*Discovery Petroleum NL ................................. 46,000 19,471
Dominion Mining, Ltd. .................................. 765,378 179,657
*E.R.G. Australia, Ltd. ................................. 207,550 348,214
Eltin, Ltd. ............................................ 87,015 271,886
*Emperor Mines, Ltd. (Isle of Man) ...................... 109,000 186,229
*Energy Resources of Australia, Ltd. Class A ............ 357,400 354,823
*Equatorial Mining NL ................................... 367,000 118,627
Evans Deakin Industries, Ltd. .......................... 90,000 182,373
*Exicom, Ltd. ........................................... 171,700 38,321
FAI Insurances, Ltd. ................................... 506,569 296,292
Fai Life, Ltd. ......................................... 108,732 71,128
Faulding (F.H.) & Co., Ltd. ............................ 103,830 551,365
Finemore Holdings, Ltd. ................................ 53,500 94,700
Foodland Associated, Ltd. .............................. 78,477 241,585
Forrestania Gold NL .................................... 66,770 177,283
Futuris Corp., Ltd. .................................... 467,551 388,615
G.U.D. Holdings, Ltd. .................................. 50,634 114,177
Galore Group, Ltd. ..................................... 83,500 21,206
Gibson Chemical Industries, Ltd. ....................... 32,500 177,586
*Gold Mines of Australia, Ltd. .......................... 333,822 102,764
Gold Mines of Kalgoorlie, Ltd. ......................... 712,200 553,593
*Golden Shamrock Mines, Ltd. ............................ 320,900 276,602
*Great Central Mines NL ................................. 255,900 551,436
Gunns, Ltd. ............................................ 39,400 81,870
Gwalia Consolidated, Ltd. .............................. 90,900 129,420
HDC Group, Ltd. ........................................ 30,900 67,775
HMA, Ltd. .............................................. 18,000 26,043
Hardie (James) Industries, Ltd. ........................ 322,700 479,318
Harvey Norman Holdings, Ltd. ........................... 101,300 389,804
*Helix Resources NL ..................................... 25,000 13,853
Henry Walker Group, Ltd. ............................... 135,782 123,308
Herald Resources, Ltd. ................................. 62,628 59,766
Hills Industries, Ltd. ................................. 31,500 145,455
*Hunter Resources, Ltd. ................................. 197,200 83,471
*I.S.R. Group, Ltd. ..................................... 85,500 69,749
#Incitec, Ltd. ......................................... 164,500 525,389
*Ipoh Garden (Australia), Ltd. .......................... 107,500 77,768
*Jennings Group, Ltd. ................................... 1,010,500 69,992
*Johnson's Well Mining NL ............................... 10,000 16,546
*Jones (David), Ltd. .................................... 110,000 16,085
</TABLE>
93
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THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Joyce Corp., Ltd. ...................................... 10,000 $ 9,235
Jupiters, Ltd. ......................................... 124,700 292,707
Kalamazoo Holdings, Ltd. ............................... 90,300 132,041
Kidston Gold Mines, Ltd. ............................... 224,800 477,499
Kurts (Peter) Properties, Ltd. ......................... 110,942 140,879
*Kurts (Peter) Properties, Ltd.
Issue 94 ............................................. 11,094 14,941
Lanes, Ltd. ............................................ 10,027 44,758
Leighton Holdings, Ltd. ................................ 394,025 576,162
Lemarne Corp., Ltd. .................................... 14,200 48,631
Long Homes, Ltd. ....................................... 30,800 7,585
*Loscam, Ltd. ........................................... 214,000 52,702
*MacMahon Holdings, Ltd. ................................ 107,100 46,158
Magellan Petroleum Australia, Ltd. ..................... 31,200 46,823
*Matrix Telecomunications, Ltd. ......................... 82,300 110,209
McIntosh Securities, Ltd. .............................. 118,300 79,208
*McPherson's, Ltd. ...................................... 219,000 42,136
*Meekatharra Minerals, Ltd. ............................. 35,000 11,044
Memtec, Ltd. ........................................... 136,426 157,491
Metal Manufactures, Ltd. ............................... 215,200 472,013
Metway Bank, Ltd. ...................................... 222,249 521,683
Mildara Blass, Ltd. .................................... 74,702 342,071
*Minora Resources NL .................................... 300,000 13,853
Mirvac, Ltd. ........................................... 246,004 185,539
Mount Edon Gold Mines
(Australia), Ltd. .................................... 99,937 222,275
*Mount Kersey Mining NL ................................. 65,900 33,980
Mount Leyshon Gold Mines, Ltd. ......................... 97,100 336,278
NCL (National Consolidated, Ltd.) ...................... 350,018 255,906
National Can Industries, Ltd. .......................... 75,960 181,223
National Foods, Ltd. ................................... 458,249 578,379
OPSM Protector, Ltd. ................................... 265,450 424,926
ORL (Oroton International, Ltd.) ....................... 31,400 42,290
Oil Company of Australia, Ltd. ......................... 51,800 63,785
Oil Search, Ltd. ....................................... 408,000 270,039
*Orbital Engine Corp., Ltd. ............................. 399,458 448,840
Oresearch NL ........................................... 17,300 59,914
Pacific BBA, Ltd. ...................................... 231,738 481,535
Pacific Magazines and Printing,
Ltd. ................................................. 219,342 455,777
Pacific Mutual Australia, Ltd. ......................... 61,000 103,281
*Pan Pacific Petroleum NL ............................... 298,000 37,841
*Pancontinental Mining, Ltd. ............................ 398,800 488,000
Parbury, Ltd. .......................................... 112,494 57,140
Penfold (W.C.), Ltd. ................................... 14,100 21,703
*Peptide Technology, Ltd. ............................... 158,000 133,757
*Perilya Mines NL ....................................... 96,800 79,712
Permanent Trustee Co., Ltd. ............................ 14,000 45,791
*Petroleum Securities Australia, Ltd. ................... 86,300 102,946
*Petroz NL .............................................. 131,040 68,577
*Portman Mining, Ltd. ................................... 68,400 38,954
Power Pacific, Ltd. .................................... 264,900 30,580
Prime Television, Ltd. ................................. 113,614 111,046
Q.U.F. Industries, Ltd. ................................ 126,374 291,774
QCT Resources, Ltd. .................................... 721,236 716,035
QDL, Ltd. .............................................. 38,500 59,259
*QNI, Ltd. .............................................. 453,300 680,280
*Queensland Metals Corp., Ltd. .......................... 176,000 158,477
Reece Australia, Ltd. .................................. 24,500 150,842
*Resolute Resources, Ltd. ............................... 442,600 357,658
Ridley Corp., Ltd. ..................................... 487,798 375,411
Rothmans Holdings, Ltd. ................................ 149,900 575,664
Rural Press, Ltd. ...................................... 180,300 596,666
*SBS Iama, Ltd. ......................................... 33,600 45,253
</TABLE>
94
<PAGE>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Samantha Gold NL ....................................... 164,800 $ 468,005
*Savage Resources, Ltd. ................................. 568,100 515,910
Schaffer Corp., Ltd. ................................... 11,800 24,974
Scott Corp., Ltd. ...................................... 30,700 71,589
Siddons Ramset, Ltd. ................................... 76,383 152,252
#Simsmetal, Ltd. ....................................... 117,120 540,816
*Sipa Resources International NL ........................ 81,000 14,961
Sons of Gwalia, Ltd. ................................... 60,100 226,641
*Sons of Gwalia, Ltd. Issue 94 .......................... 60,100 217,390
*Southern Pacific Petroleum NL .......................... 389,400 125,867
Spicers Paper, Ltd. .................................... 224,700 423,678
Spotless Group, Ltd. ................................... 184,000 164,264
Spotless Services, Ltd. ................................ 271,100 260,799
St. Barbara Mines, Ltd. ................................ 339,400 391,805
Stanilite Pacific, Ltd. ................................ 100,014 215,519
Steamships Trading Co., Ltd. ........................... 7,400 21,357
Sunraysia Television, Ltd. ............................. 13,000 48,273
Sunshine Broadcasting Network,
Ltd. ................................................. 73,100 101,264
Tassal, Ltd. ........................................... 320,526 76,470
*Telecasters North Queensland, Ltd. ..................... 39,200 111,623
*Ticor, Ltd. ............................................ 222,300 29,084
*Titan Resources NL ..................................... 50,000 14,045
*Tooth & Co., Ltd. ...................................... 153,000 47,100
*Transcom International, Ltd. ........................... 223,200 29,202
*Union Gold Mining Co. NL ............................... 127,600 70,705
Villa World, Ltd. ...................................... 60,750 56,572
*Villa World, Ltd. Issue 94 ............................. 60,750 61,715
#Village Roadshow, Ltd. ................................ 322,453 744,483
*Vox, Ltd. .............................................. 189,000 25,455
*Waco International, Ltd. ............................... 193,000 22,280
Wattyl, Ltd. ........................................... 113,567 485,079
Wesgo, Ltd. ............................................ 41,279 54,006
Weston (George) Foods, Ltd. ............................ 20,100 92,814
Westralian Forest Industries, Ltd. ..................... 21,900 75,339
Westralian Sands, Ltd. ................................. 98,073 294,362
White (Joe) Maltings, Ltd. ............................. 15,000 41,559
Wills (W.D. & H.O.) Holdings, Ltd. ..................... 237,000 496,117
*Wiluna Mines, Ltd. ..................................... 240,000 216,105
*Zapopan NL ............................................. 273,600 374,803
------------------
TOTAL COMMON STOCKS
(Cost $35,685,540) ...................................... 39,026,341
------------------
INVESTMENT IN CURRENCY - (0.2%)
*Australia Dollar (Cost $501,132) ....................... 515,464
------------------
PREFERRED STOCK - (0.1%)
Publishing and Broadcasting, Ltd.
(Cost $205,492) ...................................... 63,600 183,061
------------------
RIGHTS/WARRANTS - (0.0%)
*Gold Mines of Australia, Ltd. Rights 12/09/94 .......... 111,274 1,285
*I.S.R. Group, Ltd. Options 07/05/95 .................... 17,100 2,764
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................................... 4,049
------------------
TOTAL - AUSTRALIA
(Cost $36,392,164) ...................................... 39,728,915
------------------
SINGAPORE - (15.3%)
COMMON STOCKS - (15.2%)
Acma, Ltd. ............................................. 178,000 547,318
*Alliance Technology and
Development, Ltd. .................................... 48,000 28,862
</TABLE>
95
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Amtek Engineering, Ltd. ................................ 113,000 $ 203,068
*Ana Hotels Singapore, Ltd. ............................. 81,000 121,763
Apollo Enterprises, Ltd. ............................... 162,000 153,864
Avimo Singapore, Ltd. .................................. 174,625 193,299
Bonvests Holdings, Ltd. ................................ 359,000 316,440
British-American Tobacco Co.
(Singapore), Ltd. .................................... 101,000 462,385
Bukit Sembawang Estates, Ltd. .......................... 44,000 901,947
CK Tang, Ltd. .......................................... 76,000 119,440
CSA Holdings, Ltd. ..................................... 153,000 123,362
CWT Distribution, Ltd. ................................. 120,000 186,129
Carnaudmetalbox Asia, Ltd. ............................. 95,000 350,530
*Causeway Investment, Ltd. .............................. 122,000 131,712
Central Properties, Ltd. ............................... 37,000 407,038
Chemical Industries (Far East), Ltd. ................... 48,000 147,591
Chuan Hup Holdings, Ltd. ............................... 361,000 342,870
Cosco Investment (Singapore), Ltd. ..................... 48,000 134,472
#Far East Levingston Shipbuilding,
Ltd. .................................................. 52,000 250,495
Focal Finance, Ltd. .................................... 88,200 190,442
Fuji Offset Plates Manufacturing,
Ltd. ................................................. 33,750 15,566
GB Holdings, Ltd. ...................................... 90,000 65,186
#GK Goh Holdings ........................................ 429,000 639,030
GP Batteries International, Ltd. ....................... 12,000 19,515
General Magnetics, Ltd. ................................ 94,000 54,595
Goldtron, Ltd. ......................................... 424,000 391,117
Goodman Fielder Asia Holdings, Ltd. .................... 149,000 253,509
Guthrie Gts, Ltd. ...................................... 452,000 228,548
HTP Holdings, Ltd. ..................................... 297,000 280,055
Hai Sun Hup Group, Ltd. ................................ 278,000 309,628
Haw Par Brothers Internatonal, Ltd. .................... 331,100 714,914
Hind Hotels International, Ltd. ........................ 102,000 128,937
Hitachi Zosen(S), Ltd. ................................. 455,000 466,348
Hong Fok Corporation, Ltd. ............................. 231,000 347,250
Hotel Grand Central, Ltd. .............................. 238,000 286,218
Hotel Plaza, Ltd. ...................................... 520,000 383,738
Hotel Properties, Ltd. ................................. 509,000 918,182
Hotel Royal, Ltd. ...................................... 54,000 109,956
#Hour Glass, Ltd. ...................................... 122,000 125,043
Hwa Hong Corporation, Ltd. ............................. 189,000 304,776
ICB (Industrial & Commercial Bank, Ltd.) ............... 207,000 841,578
*Inno Pacific Holdings, Ltd. ............................ 265,500 134,247
Insurance Corp. of Singapore, Ltd. ..................... 85,000 233,481
Interaco, Ltd. ......................................... 160,000 256,918
Isetan (Singapore), Ltd. ............................... 56,000 136,987
Jack Chia-Mph, Ltd. .................................... 308,000 315,682
Jaya Holdings, Ltd. .................................... 122,400 148,034
Jurong Cement, Ltd. .................................... 73,750 257,004
Jurong Engineering, Ltd. ............................... 80,000 522,036
Keppel Finance, Ltd. ................................... 233,000 367,769
Khong Guan Flour Milling, Ltd. ......................... 7,000 27,024
#Kim Eng Holdings, Ltd. ................................ 580,200 650,173
L & M Group Investments, Ltd. .......................... 209,100 160,022
L.C. Development, Ltd. ................................. 81,000 77,485
Lee Kim Tah Holdings, Ltd. ............................. 147,000 100,444
Lim Kah Ngam, Ltd. ..................................... 249,333 347,550
Low Keng Huat Singadore, Ltd. .......................... 144,000 91,507
Lum Chang Holdings, Ltd. ............................... 380,000 451,794
Marco Polo Developments, Ltd. .......................... 733,000 1,071,828
</TABLE>
96
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Metal Containers, Ltd. ................................. 105,000 $112,641
Metalock (Singapore), Ltd. ............................. 20,000 23,505
Metro Holdings, Ltd. ................................... 160,800 692,204
Natsteel, Ltd. ......................................... 115,000 238,879
OUT (Overseas Union Trust) ............................. 63,000 163,580
Orchard Parade Holdings, Ltd. .......................... 70,000 597,882
PCI, Ltd. .............................................. 206,000 97,123
PSC (Provisions Suppliers Corp.) ....................... 158,000 150,065
Pacific Can Investment Holdings,
Ltd. ................................................. 90,000 70,106
Pacific Carriers, Ltd. ................................. 390,000 373,078
Pan Malayan Holdings, Ltd. ............................. 15,000 57,397
Pan Pacific Public Co., Ltd. ........................... 46,500 25,101
#Parkway Holdings, Ltd. ................................ 151,000 361,121
Pentex-Schweizer Circuits, Ltd. ........................ 66,000 101,018
Pertama Holdings, Ltd. ................................. 68,750 22,784
*Polytek Wearnes Holdings, Ltd. ......................... 33,000 25,029
Prima, Ltd. ............................................ 69,000 242,808
QAF, Ltd. .............................................. 567,000 643,129
Republic Hotels & Resorts, Ltd. ........................ 371,000 659,105
Resources Development Corp.,
Ltd. ................................................. 30,000 126,068
Robinson & Co., Ltd. ................................... 109,000 465,494
SBS (Singapura Building Society, Ltd.) ................. 57,500 67,185
*SPP, Ltd. .............................................. 83,000 30,342
Sal Industrial Leasing, Ltd. ........................... 171,200 126,338
San Teh, Ltd. .......................................... 227,500 198,975
Scott Holdings, Ltd. ................................... 284,000 193,085
Sea View Hotel, Ltd. ................................... 40,000 300,649
Sembawang Maritime, Ltd. ............................... 119,450 563,174
Shangri-la Hotel, Ltd. ................................. 195,000 766,143
Sime Singapore, Ltd. ................................... 706,000 506,525
Singapore Automative Engineering,
Ltd. ................................................. 120,000 225,487
Singapore Automotive Engineering,
Ltd. (Foreign) ....................................... 53,000 102,487
Singapore Finance, Ltd. ................................ 313,600 548,559
Singapore Investments & Finance,
Ltd. ................................................. 81,900 102,410
Singapore National Printers, Ltd. ...................... 68,000 72,019
Singapore Reinsurance
Corporation, Ltd. .................................... 93,500 121,387
Singatronics, Ltd. ..................................... 200,000 112,060
Singmarine Industries, Ltd. ............................ 188,500 502,323
Ssangyong Cement (Singapore),
Ltd. ................................................. 122,500 396,754
Stamford Tyres Corp., Ltd. ............................. 62,000 31,773
Steamers Maritime Holdings, Ltd. ....................... 283,750 201,640
*Sunshine Allied Investments, Ltd. ...................... 24,000 44,933
Superior Metal Printing ................................ 157,000 110,495
Tibs Holdings, Ltd. .................................... 54,000 176,372
Tiger Medicals, Ltd. ................................... 90,000 99,624
Times Publishing, Ltd. ................................. 191,000 488,104
Transmarco, Ltd. ....................................... 46,000 220,020
*Tuan Sing Holdings, Ltd. ............................... 2,084,000 790,311
United Engineers, Ltd. ................................. 283,000 570,448
United Overseas Finance, Ltd. .......................... 123,750 214,776
United Overseas Insurance, Ltd. ........................ 69,000 120,697
United Pulp & Paper Co., Ltd. .......................... 105,000 53,809
*#Van Der Horst, Ltd. ................................... 151,800 435,641
Van Der Horst, Ltd. 3.5%
Unsecured Loan Stock 1998 ............................. 23,400 13,351
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- ------------
WBL Corp., Ltd. .................. 209,000 $ 494,117
YHS (Yeo Hiap Seng, Ltd.) ........ 220,000 577,246
------------
TOTAL COMMON STOCKS
(Cost $24,310,229) .............. 32,374,077
------------
INVESTMENT IN CURRENCY - (0.0%)
*Singapore Dollars (Cost $24,002) 25,619
------------
RIGHTS/WARRANTS - (0.1%)
*Apollo Enterprises, Ltd.
Warrants 01/27/99 ............ 54,000 28,596
*Goldtron, Ltd. Warrants 11/24/95 32,000 11,370
*Pertama Holdings, Ltd. Rights
12/07/94 ..................... 11,000 1,127
*Provisions Supplier Corp.
Warrants 10/05/98 ............ 17,625 9,153
*SPP, Ltd. Rights 12/09/94 ...... 124,500 5,955
*Sing Investments & Finance, Ltd.
Warrants 12/29/98 ............ 19,500 9,927
*United Engineers, Ltd. Warrants
10/26/98 ..................... 141,500 130,526
*Van Der Horst, Ltd. Warrants
08/31/98 ..................... 31,200 67,367
------------
TOTAL RIGHTS/WARRANTS
(Cost $60,375) .................. 264,021
------------
TOTAL - SINGAPORE
(Cost $24,394,606) .............. 32,663,717
------------
Face
Amount
------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (1.0%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94
(Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost
$2,184,000) ......................................................... $ 2,184 2,184,000
------------
TOTAL INVESTMENTS - (100.0%) (Cost $178,336,649) ...................... $212,682,322
------------
</TABLE>
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Securities on loan
See accompanying Notes to Financial Statements
98
<PAGE>
SCHEDULE OF INVESTMENTS
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (95.6%)
600 Group P.L.C. ....................................... 135,000 $ 156,493
*AAF Industries P.L.C. .................................. 53,256 28,365
ABI Leisure Group P.L.C. ............................... 91,000 153,956
AIM Group P.L.C. ....................................... 35,501 92,873
API Group P.L.C. ....................................... 51,500 271,874
ASDA Property Holdings P.L.C. .......................... 94,000 170,811
ASW Holdings P.L.C. .................................... 165,900 506,771
Abbeycrest P.L.C. ...................................... 58,000 79,954
Abbott Mead Vickers P.L.C. ............................. 63,000 339,492
Aberdeen Trust P.L.C. .................................. 38,500 46,740
Acatos & Hutcheson P.L.C. .............................. 79,000 318,046
Act Group P.L.C. ....................................... 383,750 583,110
Adam & Harvey Group P.L.C. ............................. 10,500 93,755
Admiral P.L.C. ......................................... 27,000 269,422
Adscene Group P.L.C. ................................... 72,000 327,085
Adwest Group P.L.C. .................................... 204,250 502,333
*Aegis Group P.L.C. ..................................... 1,360,801 554,241
Aerospace Engineering P.L.C. ........................... 79,904 20,027
African Lakes Corp. P.L.C. ............................. 6,208 5,543
Airflow Streamlines P.L.C. ............................. 20,500 51,060
Airsprung Furniture Group P.L.C. ....................... 58,000 219,874
Aitken Hume International P.L.C. ....................... 252,000 201,327
Alba P.L.C. ............................................ 115,625 329,650
Alexanders Holdings P.L.C. ............................. 259,000 85,202
Alexandra Workwear P.L.C. .............................. 99,000 227,973
*Alexon Group P.L.C. .................................... 248,500 132,354
Allied Leisure P.L.C. .................................. 159,100 44,861
Allied London Properties P.L.C. ........................ 25,000 37,204
*Allied Radio P.L.C. .................................... 10,330 930
Allied Textile Companies P.L.C. ........................ 99,119 808,956
*Alphameric P.L.C. ...................................... 1,637 1,077
Alumasc Group P.L.C. ................................... 105,000 555,951
Alvis P.L.C. ........................................... 252,000 173,694
Amber Day Holdings P.L.C. .............................. 609,530 276,900
Amber Industrial Holdings P.L.C. ....................... 10,500 129,941
Amec P.L.C. ............................................ 71,200 81,420
Amstrad P.L.C. ......................................... 232,900 527,191
*Andrews Sykes Group P.L.C. ............................. 55,727 96,026
*Anglesey Mining P.L.C. ................................. 55,000 6,893
Anglian Group P.L.C. ................................... 74,000 231,842
Anglo Eastern Plantations P.L.C. ....................... 57,166 107,461
*Anglo United P.L.C. .................................... 826,666 25,899
Antofagasta Holdings P.L.C. ............................ 112,500 590,375
*Apollo P.L.C. .......................................... 110,000 0
Appleyard Group P.L.C. ................................. 269,627 485,726
*Arcadian International P.L.C. .......................... 98,212 61,540
Archer Group Holding P.L.C. ............................ 130,000 120,151
Arcolectric Holdings P.L.C. ............................ 4,500 10,785
Arcolectric Holdings P.L.C. Class A Non-Voting ......... 10,000 11,122
*Arlen P.L.C. ........................................... 255,728 124,185
Armitage Brothers P.L.C. ............................... 4,000 12,219
Armour Trust P.L.C. .................................... 163,500 125,500
Ash & Lacy P.L.C. ...................................... 63,000 151,982
Ashley (Laura) Holdings P.L.C. ......................... 549,000 705,207
Ashtead Group P.L.C. ................................... 48,666 324,000
Associated British Engineering P.L.C. .................. 534,500 37,678
Astec (BSR) P.L.C. ..................................... 766,000 1,025,948
</TABLE>
99
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THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Atkins Group P.L.C. .................................... 7,000 $ 9,540
*Aukett Associates P.L.C. ............................... 33,500 11,807
Austin Reed Group P.L.C. ............................... 77,000 271,396
*Automated Security Holdings P.L.C. ..................... 258,537 295,649
*Avesco P.L.C. .......................................... 186,666 30,703
Avon Rubber P.L.C. ..................................... 80,874 661,317
Avonside Group P.L.C. .................................. 50,000 79,892
Ayrshire Metal Products P.L.C. ......................... 25,000 48,170
*BM Group P.L.C. ........................................ 276,000 192,398
BNB Resources P.L.C. ................................... 59,000 166,362
BPP Holdings P.L.C. .................................... 62,450 224,026
BSG International P.L.C. ............................... 684,597 616,642
BTP P.L.C. ............................................. 49,141 219,391
*Babcock International Group P.L.C. ..................... 2,112,785 877,065
Baggeridge Brick P.L.C. ................................ 110,000 198,162
Bailey (Ben) Construction P.L.C. ....................... 26,000 13,848
*Bailey (C.H.) P.L.C. ................................... 109,500 11,150
*Bailey (C.H.) P.L.C. Class B ........................... 10,000 4,073
Baldwin P.L.C. ......................................... 81,000 143,382
Baltic P.L.C. .......................................... 176,984 343,784
Bank Leumi (U.K.), Ltd. ................................ 5,767 38,846
Banks (Sidney C.) P.L.C. ............................... 13,507 44,433
Barbour Index P.L.C. ................................... 40,000 112,788
Bardon Group P.L.C. .................................... 907,150 476,052
*Barlows P.L.C. ......................................... 50,000 39,946
Barr & Wallace Arnold Trust P.L.C. Class A ............. 16,000 63,663
Barr (A.G.) P.L.C. ..................................... 57,000 329,482
Barton Transport P.L.C. ................................ 1,250 5,385
Baynes (Charles) P.L.C. ................................ 341,378 454,553
Beales Hunter P.L.C. ................................... 22,254 92,381
Bearing Power International P.L.C. ..................... 81,757 29,457
Beattie (James) P.L.C. Class A ......................... 223,247 465,123
*Beauford P.L.C. ........................................ 1,312 658
Beckman (A.) P.L.C. .................................... 30,000 17,388
Bellway P.L.C. ......................................... 239,142 760,470
*Bellwinch P.L.C. ....................................... 163,266 81,842
Bemrose Corp. P.L.C. ................................... 78,750 429,299
*Benchmark Group P.L.C. ................................. 11,480 5,755
Benson Group P.L.C. .................................... 324,400 45,736
Bentalls P.L.C. ........................................ 153,500 295,763
Beradin Holdings P.L.C. ................................ 37,000 29,560
*Berisford International P.L.C. ......................... 187,014 641,577
*Berkeley Business Group P.L.C. ......................... 250,000 29,372
Berkeley Group P.L.C. .................................. 114,640 666,255
Bertam Holdings P.L.C. ................................. 51,162 188,341
Bespak P.L.C. .......................................... 60,718 260,614
*Betacom P.L.C. ......................................... 195,000 25,965
Bett Brothers P.L.C. ................................... 55,000 155,084
Betterware P.L.C. ...................................... 176,000 135,095
*Beverley Group P.L.C. .................................. 82,352 8,385
Bibby (J.) & Sons P.L.C. ............................... 262,300 291,734
*Bilton P.L.C. .......................................... 30,000 115,138
*Bimec Industries P.L.C. ................................ 32,677 0
Birkby P.L.C. .......................................... 119,513 402,517
*Birkdale Group P.L.C. .................................. 33,600 3,290
*Birse Group P.L.C. ..................................... 716,900 224,605
Black (A & C) P.L.C. ................................... 2,250 11,279
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Black (Peter) Holdings P.L.C. .......................... 235,495 $ 885,367
Black Arrow Group P.L.C. ............................... 56,500 37,173
Blacks Leisure Group P.L.C. ............................ 69,959 39,453
*Blagden Industries P.L.C. .............................. 226,875 383,832
Bletchley Motor Group P.L.C. ........................... 13,333 53,886
Blick P.L.C. ........................................... 74,555 483,512
Blockleys P.L.C. ....................................... 118,678 111,545
Boddington Group P.L.C. ................................ 149,000 602,194
Bodycote International P.L.C. .......................... 163,000 799,213
*Bolton Group P.L.C. .................................... 23,000 6,125
Boosey & Hawkes P.L.C. ................................. 47,500 251,502
Boot (Henry) & Sons P.L.C. ............................. 65,000 221,973
*Booth Industries Group P.L.C. .......................... 5,000 5,169
Borthwicks P.L.C. ...................................... 235,500 188,144
Bostrom P.L.C. ......................................... 67,000 312,767
Bourne End Properties P.L.C. ........................... 110,454 122,849
Bradstock Group P.L.C. ................................. 130,000 185,317
Brake Brothers P.L.C. .................................. 111,500 792,978
Brammer (H.) P.L.C. .................................... 111,000 585,981
Brasway P.L.C. ......................................... 189,541 47,507
Breedon P.L.C. ......................................... 75,428 99,253
Brent International P.L.C. ............................. 414,531 672,091
*Brent Walker Group P.L.C. .............................. 128,571 6,042
Bridgend Group P.L.C. .................................. 93,000 23,310
Bridon P.L.C. .......................................... 140,000 344,317
Bridport-Gundry P.L.C. ................................. 22,000 33,774
Bristol Evening Post P.L.C. ............................ 40,500 239,181
*Bristol Scotts P.L.C. .................................. 7,000 20,067
Bristol Water Holdings P.L.C. .......................... 12,000 189,484
Britannia Group P.L.C. ................................. 50,000 29,764
British Building and Engineering Appliances, Ltd. ...... 52,000 130,333
British Data Management P.L.C. ......................... 25,000 70,493
British Dredging P.L.C. ................................ 87,600 182,510
British Fittings Group P.L.C. .......................... 138,658 178,110
British Mohair Holdings P.L.C. ......................... 31,500 94,248
British Polythene Industries P.L.C. .................... 72,736 569,705
British Steam Specialties Group P.L.C. ................. 108,505 883,860
British Thornton Holdings .............................. 35,000 19,190
British-Borneo Petroleum
Syndicate P.L.C. ..................................... 95,498 321,635
Britton Group P.L.C. ................................... 171,200 329,867
Brockhampton Holdings P.L.C. ........................... 21,000 121,717
Bromsgrove Industries P.L.C. ........................... 196,885 277,578
*Brooke Tool Engineering Holdings P.L.C. ................ 77,875 15,554
Brooks Service Group P.L.C. ............................ 25,500 24,367
*Brown & Jackson P.L.C. ................................. 2,201,922 86,233
*Brown & Tawse Group P.L.C. ............................. 115,000 91,875
Brown (N.) Group P.L.C. ................................ 339,750 1,138,947
Budgens P.L.C. ......................................... 399,285 156,370
Bulgin (A.F.) & Co. P.L.C. ............................. 4,000 3,822
Bulgin (A.F.) & Co. P.L.C. Class A Non-Voting .......... 52,000 13,441
*Bullers P.L.C. ......................................... 97 31
Bullough P.L.C. ........................................ 393,000 948,077
Bulmer (H.P.) Holdings P.L.C. .......................... 110,500 676,814
Burn Stewart Distillers P.L.C. ......................... 291,500 547,962
Burndene Investments P.L.C. ............................ 335,500 225,991
Burnfield P.L.C. ....................................... 85,475 95,067
Burtonwood Brewery P.L.C. .............................. 52,000 145,810
CI Group P.L.C. ........................................ 413,897 97,255
CRT Group P.L.C. ....................................... 149,251 196,393
Caffyns P.L.C. ......................................... 6,000 27,069
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*Cairn Energy P.L.C. .................................... 142,500 $191,975
*Cakebread Robey & Co. P.L.C. Class A Non-Voting ........ 13,500 8,036
Cala P.L.C. ............................................ 98,400 172,641
Calderburn P.L.C. ...................................... 57,636 192,311
Camellia P.L.C. ........................................ 2,950 101,666
*Campari International P.L.C. ........................... 25,000 7,833
Canning (W.) P.L.C. .................................... 68,354 204,516
Cantors P.L.C. ......................................... 40,750 97,667
Cape P.L.C. ............................................ 132,000 463,183
Capita Group P.L.C. .................................... 121,000 316,543
Capital Industries P.L.C. .............................. 67,500 162,838
Capital Radio P.L.C. ................................... 176,000 909,823
Carclo Engineering Group P.L.C. ........................ 164,777 650,470
Carlisle Group P.L.C. .................................. 100,000 35,638
Carr's Milling Industries P.L.C. ....................... 30,000 105,739
Casket P.L.C. .......................................... 218,731 97,653
Castings P.L.C. ........................................ 102,000 225,294
*Castle Mill International P.L.C. ....................... 31,500 1,727
Cater Allen Holdings P.L.C. ............................ 56,833 430,010
*Cathay International Holdings P.L.C. ................... 339,600 154,275
Cattle's Holdings P.L.C. ............................... 344,399 766,091
Caverdale Group P.L.C. ................................. 1,262,244 266,936
Chamberlin & Hill P.L.C. ............................... 18,000 43,705
Channel Holdings P.L.C. ................................ 40,000 28,197
Cheam Group P.L.C. Class A ............................. 15,000 105,269
Chemring Group P.L.C. .................................. 24,000 106,397
Chesterfield Properties P.L.C. ......................... 25,000 181,322
*Chiltern Radio P.L.C. .................................. 15,000 61,094
*Chloride Group P.L.C. .................................. 571,500 208,147
*Christie Group P.L.C. .................................. 50,000 31,330
Chrysalis Group P.L.C. ................................. 125,036 475,961
Church & Co. P.L.C. .................................... 50,500 382,093
City Centre Restaurants P.L.C. ......................... 465,500 576,073
*City Site Estates P.L.C. ............................... 20,000 17,858
Claremont Garments (Holdings) P.L.C. ................... 135,700 665,357
Clark (Matthew) P.L.C. ................................. 72,800 619,244
*Clark (Matthew) P.L.C. Issue 94 ........................ 43,680 368,809
Clarke (T.) P.L.C. ..................................... 30,000 23,028
Clarkson (Horace) P.L.C. ............................... 142,489 209,816
Clayhithe P.L.C. ....................................... 41,500 48,107
Clinton Cards P.L.C. ................................... 77,000 114,589
*Cliveden P.L.C. ........................................ 27,140 0
Close Brothers Group P.L.C. ............................ 197,714 706,159
*Cluff Resources P.L.C. ................................. 181,100 119,151
Clyde Blowers P.L.C. ................................... 11,781 33,403
Clyde Petroleum P.L.C. ................................. 997,500 625,034
*Coal Investments P.L.C. ................................ 1,102 1,467
*Cohen (A.) & Co. P.L.C. ................................ 2,100 17,764
*Cohen (A.) & Co. P.L.C. Class A Non-Voting ............. 1,500 12,219
Colefax & Fowler Group P.L.C. .......................... 60,000 67,673
Colorvision P.L.C. ..................................... 50,000 22,714
Community Hospitals Group P.L.C. ....................... 191,333 731,324
Computer People Group P.L.C. ........................... 50,999 183,747
Concentric P.L.C. ...................................... 133,026 387,597
*Conrad P.L.C. .......................................... 30,000 2,115
Conrad Ritblat Sinclair Goldsmith P.L.C. ............... 198,000 93,050
Control Techniques P.L.C. .............................. 81,735 658,115
Cook (William) P.L.C. .................................. 53,750 203,762
Cooper (Frederick) P.L.C. .............................. 86,954 108,971
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Cornwell Parker P.L.C. ................................. 16,000 $ 27,570
Cornwell Parker P.L.C. Class A Non-Voting .............. 90,000 128,296
Cosalt P.L.C. .......................................... 72,500 173,764
*Costain Group P.L.C. ................................... 620,600 218,738
Country Casuals Holdings P.L.C. ........................ 5,040 7,185
Countryside Property P.L.C. ............................ 209,454 393,732
Courts P.L.C. .......................................... 60,542 758,712
*Coutts Consulting Group P.L.C. ......................... 92,000 73,500
Cradley Group Holdings P.L.C. .......................... 80,000 33,836
Crest Nicholson P.L.C. ................................. 231,250 282,557
Crestacare P.L.C. ...................................... 381,864 185,439
*Creston Land & Estates P.L.C. .......................... 50,000 11,749
Cropper (James) P.L.C. ................................. 36,000 159,031
*Cullen's Holdings P.L.C. ............................... 38,645 8,475
Culver Holdings P.L.C. ................................. 8,471 962
Cussins Property Group P.L.C. .......................... 43,750 70,590
Daejan Holdings P.L.C. ................................. 15,000 296,069
Dagenham Motors Group P.L.C. ........................... 81,000 177,641
Dalepak Foods P.L.C. ................................... 57,500 96,379
Daniels (S.) P.L.C. .................................... 20,500 17,341
Dart Group P.L.C. ...................................... 37,000 91,578
Davis Service Group P.L.C. ............................. 249,360 917,963
Dawson Group P.L.C. .................................... 100,674 488,888
Dawson International P.L.C. ............................ 194,000 382,915
Debenham Tewson & Chinnocks Holdings P.L.C. ............ 89,500 140,202
*Delaney Group P.L.C. ................................... 270,000 33,836
Delyn Group P.L.C. . ................................... 15,500 19,425
Dencora P.L.C. ......................................... 10,000 25,534
Densitron International P.L.C. ......................... 42,386 19,255
Derwent Valley Holdings P.L.C. ......................... 40,000 150,384
Development Securities P.L.C. .......................... 320,000 97,750
Dewhirst Group P.L.C. .................................. 378,760 768,359
Dewhurst P.L.C. ........................................ 9,000 13,112
Dewhurst P.L.C. Class A
Non-Voting ........................................... 15,500 22,581
Diploma P.L.C. ......................................... 139,000 921,055
Dixon Motors P.L.C. .................................... 1,167 2,797
Dobson Park Industries P.L.C. .......................... 354,537 438,752
Doeflex P.L.C. ......................................... 25,762 53,674
Dolphin Packaging P.L.C. ............................... 84,110 138,346
Domino Printing Sciences P.L.C. ........................ 147,187 1,235,847
*Donelon Tyson P.L.C. ................................... 322,588 65,693
Dorling Kindersley Holdings P.L.C. ..................... 20,000 91,170
Dowding & Mills P.L.C. ................................. 451,875 488,425
*Drummond Group P.L.C. .................................. 26,250 11,925
*Dunkeld Group P.L.C.
(In Receivership) .................................... 13,400 0
Dyson (J.& J.) P.L.C. Class A Non- Voting .............. 28,500 30,805
EBC Group P.L.C. ....................................... 30,000 34,306
EIS Group P.L.C. ....................................... 159,066 966,806
*ERA Group P.L.C. ....................................... 400,000 56,394
ERF Holdings P.L.C. .................................... 24,000 121,811
Eadie Holdings P.L.C. .................................. 118,000 33,272
*Eclipse Blinds P.L.C. .................................. 553,564 86,716
Edinburgh Fund Managers ................................ 42,500 484,675
Edmond Holdings P.L.C. ................................. 222,000 73,030
*Elbief P.L.C. .......................................... 23,500 5,154
*Eleco Holdings P.L.C. .................................. 133,527 64,843
Electron House P.L.C. .................................. 56,000 137,727
Electronic Data Processing P.L.C. ...................... 55,200 123,653
Elliott (B.) & Co. P.L.C. .............................. 6,087 9,535
Ellis & Everard P.L.C. ................................. 209,922 845,126
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Emess P.L.C. ........................................... 483,250 $ 230,888
English & Overseas Properties P.L.C. ................... 190,000 83,338
Epwin Group P.L.C. ..................................... 42,000 188,168
Erith P.L.C. ........................................... 96,000 90,230
Etam P.L.C. ............................................ 159,500 622,143
Eurocamp P.L.C. ........................................ 70,000 278,524
Eurocopy P.L.C. ........................................ 210,000 210,538
Euromoney Publications P.L.C. .......................... 50,000 1,292,363
European Colour P.L.C. ................................. 64,500 64,665
European Motor Holdings P.L.C. ......................... 175,000 337,189
Eurotherm P.L.C. ....................................... 208,000 1,274,003
Evans Halshaw Holdings P.L.C. .......................... 133,454 842,494
Everest Foods P.L.C. ................................... 60,000 61,094
Ewart P.L.C. ........................................... 30,000 33,836
Ex-Lands P.L.C. ........................................ 208,000 79,829
Excalibur Group P.L.C. ................................. 228,630 127,143
Expamet International P.L.C. ........................... 398,749 562,176
FII Group P.L.C. ....................................... 60,166 249,763
FR Group P.L.C. ........................................ 184,000 956,944
Faber Prest P.L.C. ..................................... 52,500 453,972
Fairey Group P.L.C. .................................... 140,000 853,116
Fairline Boats P.L.C. .................................. 8,500 57,788
Falcon Holdings P.L.C. ................................. 5,500 11,545
*Farringford P.L.C. ..................................... 30,000 2,350
Fenner P.L.C. .......................................... 161,457 351,562
Ferguson International Holdings P.L.C. ................. 126,000 633,587
*Ferranti International P.L.C.
(In Receivership) .................................... 2,338,000 0
Ferry Pickering Group P.L.C. ........................... 33,500 63,498
Fife Indmar P.L.C. ..................................... 24,000 22,934
Finlay (James) P.L.C. .................................. 644,500 696,630
First Choice Holidays .................................. 481,500 897,581
First National Finance Corp. P.L.C. .................... 413,813 411,631
First Technology P.L.C. ................................ 36,750 189,977
*Firth (G.M.) Holdings P.L.C. ........................... 151,000 59,135
*Fisher (James) & Sons P.L.C. ........................... 17,500 13,707
*Fitch P.L.C. ........................................... 15,500 2,914
Fletcher King P.L.C. ................................... 17,500 12,336
Folkes Group P.L.C. .................................... 28,000 19,299
Folkes Group P.L.C.
Non-Voting ........................................... 65,500 42,068
Forminster P.L.C. ...................................... 32,500 75,349
Forth Ports P.L.C. ..................................... 31,000 218,527
Fortnum & Mason P.L.C. ................................. 1,000 104,172
Forward Technology Industries P.L.C. ................... 84,260 55,437
*Foster (John) & Son P.L.C. ............................. 27,500 7,754
French (Thomas) & Sons P.L.C. .......................... 49,000 72,921
Friendly Hotels P.L.C. ................................. 48,666 135,699
Frogmore Estates P.L.C. ................................ 40,000 273,824
Frost Group P.L.C. ..................................... 175,080 625,319
*Futura Holdings P.L.C. ................................. 9,000 2,115
GBE International P.L.C. ............................... 134,666 33,753
GEI International P.L.C. ............................... 87,000 102,214
Galliford P.L.C. ....................................... 466,500 182,693
Gardiner Group P.L.C. .................................. 310,500 85,120
Garton Engineering P.L.C. .............................. 10,248 19,906
Gaskell P.L.C. ......................................... 9,000 19,738
Gates (Frank G.) P.L.C. ................................ 86,250 86,471
Geest P.L.C. ........................................... 85,000 226,359
Gent (S.R.) P.L.C. ..................................... 125,000 148,818
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Gerrard & National Holdings P.L.C. ..................... 97,000 $ 724,804
Gestetner Holdings P.L.C. .............................. 100,000 170,749
Gibbs & Dandy P.L.C. ................................... 4,500 6,203
Gibbs & Dandy P.L.C. Class A
Non-Voting ........................................... 11,000 12,579
Gieves Group P.L.C. .................................... 84,000 77,636
Gleeson (M.J.) Group P.L.C. ............................ 25,000 323,091
Goal Petroleum P.L.C. .................................. 333,000 339,069
Gold Greenlees Trott P.L.C. ............................ 78,432 202,725
Goldsmiths Group P.L.C. ................................ 50,000 105,739
Goode Durrant P.L.C. ................................... 122,500 370,360
Goodhead Group P.L.C. .................................. 36,000 13,535
*Graham Wood P.L.C. ..................................... 9,000 0
Grainger Trust, Ltd. ................................... 22,000 84,090
Grampian Holdings P.L.C. ............................... 166,937 266,737
Grampian Television P.L.C. Class A Non-Voting .......... 35,000 180,382
Graseby P.L.C. ......................................... 208,480 473,547
Graystone P.L.C. ....................................... 602,750 122,747
Greene King P.L.C. ..................................... 78,000 659,810
Greenway Holdings P.L.C. ............................... 60,197 99,957
*Greenwich Resources P.L.C. ............................. 88,000 25,158
Greggs P.L.C. .......................................... 26,000 419,509
*Greycoat P.L.C. ........................................ 50,000 97,123
*Guinness Peat Group P.L.C. ............................. 121,000 55,916
HTV Group P.L.C. ....................................... 391,000 814,627
Haden Maclellan Holdings P.L.C. ........................ 218,914 229,762
Haggas (John) P.L.C. ................................... 98,000 130,489
Hall Engineering (Holdings) P.L.C. ..................... 148,528 381,577
Halstead (James) Group P.L.C. .......................... 74,955 408,611
Hambro Countrywide P.L.C. .............................. 1,089,000 716,486
Hampson Industries P.L.C. .............................. 144,536 126,793
Hardy Oil & Gas P.L.C. ................................. 281,750 622,320
Hardys & Hansons P.L.C. ................................ 48,000 181,213
Harris (Philip) P.L.C. ................................. 25,866 57,537
*Hartons Group P.L.C. ................................... 179,900 19,727
*Hartstone Group P.L.C. ................................. 1,774,626 382,243
Havelock Europa P.L.C. ................................. 64,250 176,133
*Hawtal Whiting Holdings P.L.C. ......................... 22,588 81,383
Hawtin P.L.C. .......................................... 146,500 63,110
*Hay (Norman) P.L.C. .................................... 48,000 19,550
Haynes Publishing Group P.L.C. ......................... 38,635 205,774
Headlam Group P.L.C. ................................... 99,696 234,261
*Healthcare Holdings P.L.C. ............................. 2,820 77
Heath (C.E.) P.L.C. .................................... 75,000 289,019
Heath (Samuel) & Sons P.L.C. ........................... 7,500 14,099
Helene P.L.C. .......................................... 416,326 169,565
Helical Bar P.L.C. ..................................... 20,000 100,569
*Hemingway Properties P.L.C. ............................ 200,000 90,857
Henderson Administration Group P.L.C. .................. 52,000 814,580
Henlys Group P.L.C. .................................... 105,931 455,508
Herring Baker Harris Group P.L.C. ...................... 35,916 13,503
Hewden-Stuart P.L.C. ................................... 577,933 1,321,785
Hewitt Group P.L.C. .................................... 8,000 12,281
Hi-Tech Sports P.L.C. .................................. 193,446 124,244
Hicking Pentecost P.L.C. ............................... 49,096 176,121
Higgs & Hill P.L.C. .................................... 109,500 156,094
High-Point P.L.C. ...................................... 13,500 9,728
Hill & Smith Holdings P.L.C. ........................... 124,121 272,210
Hodder Headline P.L.C. ................................. 61,000 320,114
Hogg Robinson P.L.C. ................................... 169,000 529,477
Hollas Group P.L.C. .................................... 354,000 144,181
*Holmes & Marchant Group P.L.C. ......................... 54,000 28,761
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Holt (Joseph) P.L.C. ................................... 6,000 $ 326,615
Home Counties Newspapers
Holdings P.L.C. ...................................... 25,000 63,835
Hopkinsons Group P.L.C. ................................ 247,557 205,533
*Horace Small Apparel P.L.C. ............................ 75,000 102,214
How Group P.L.C. ....................................... 88,000 46,870
Howard Holdings P.L.C. ................................. 57,730 19,895
Howden Group P.L.C. .................................... 700,168 943,259
*Hunterprint Group P.L.C. (New) ......................... 92,999 4,370
Hunting P.L.C. ......................................... 211,154 567,275
Huntingdon International Holdings P.L.C. ............... 138,000 97,280
ISA International P.L.C. ............................... 95,214 165,560
Ibstock P.L.C. ......................................... 625,200 763,913
Industrial Control Services Group P.L.C. ............... 20,000 41,669
Ingham P.L.C. .......................................... 38,000 40,478
Intereurope Technology Services P.L.C. ................. 23,500 49,329
International Business Communications Holdings P.L.C. .. 96,470 338,509
Ipeco Holdings P.L.C. .................................. 130,931 172,287
Isle of Man Steam Packet Co., Ltd. ..................... 72,000 157,903
Isotron P.L.C. ......................................... 30,500 136,168
Ivory & Sime P.L.C. .................................... 78,125 283,928
J.D. Wetherspoon P.L.C. ................................ 25,000 170,749
JIB Group P.L.C. ....................................... 248,500 467,130
JLI Group .............................................. 200,000 288,236
Jackson Group P.L.C. ................................... 78,000 76,978
Jacobs (John I.) P.L.C. ................................ 46,000 48,280
Jacques Vert P.L.C. .................................... 20,000 58,587
*Jarvis P.L.C. .......................................... 89,788 15,823
Jarvis Porter Group P.L.C. ............................. 99,894 438,155
Jerome (S.) & Sons Holdings P.L.C. ..................... 18,375 16,119
Johnson & Firth Brown P.L.C. ........................... 414,666 243,590
Johnson Group Cleaners P.L.C. .......................... 170,535 625,115
Johnston Group P.L.C. .................................. 50,000 209,128
Johnston Press P.L.C. .................................. 135,176 323,982
*Jones & Shipman P.L.C. ................................. 29,500 13,864
Jones Stroud Holdings P.L.C. ........................... 58,500 318,908
Joseph (Leopold) Holdings P.L.C. ....................... 28,000 183,343
Jourdan (Thomas) P.L.C. ................................ 40,000 18,798
Kalamazoo Computer Group P.L.C. ........................ 46,000 85,750
Kalon Group P.L.C. ..................................... 502,500 1,121,712
Kelsey Industries P.L.C. ............................... 7,500 35,246
Kelt Energy P.L.C. ..................................... 120,584 92,558
Kenwood Appliances P.L.C. .............................. 44,000 228,145
*Kenwood Appliances P.L.C. Issue 94 ..................... 11,000 57,036
Kershaw (A) & Sons P.L.C. .............................. 30,000 418,256
King & Shaxson Holdings P.L.C. ......................... 39,500 70,539
Kleeneze Holdings P.L.C. ............................... 32,757 55,419
Kode International P.L.C. .............................. 43,100 38,484
*Kunick P.L.C. .......................................... 600,000 124,537
Kwik-Fit Holdings P.L.C. ............................... 215,000 555,716
*LEP Group P.L.C. ....................................... 2,115,000 165,657
Laing (John) P.L.C. .................................... 102,870 378,693
Lambert Howarth Group P.L.C. ........................... 48,000 97,750
Lamont Holdings P.L.C. ................................. 72,231 409,602
Leeds Group P.L.C. ..................................... 71,850 311,772
Leigh Interests P.L.C. ................................. 156,499 414,313
Leslie Wise Group P.L.C. ............................... 107,000 110,626
</TABLE>
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Liberty P.L.C. ......................................... 51,875 $ 247,850
Life Sciences International P.L.C. ..................... 381,662 860,938
Lilleshall P.L.C. ...................................... 80,564 179,209
Linton Park P.L.C. ..................................... 53,000 303,039
Linx Printing Technologies P.L.C. ...................... 36,000 49,063
Lionheart P.L.C. ....................................... 419,949 32,893
Lister & Co. P.L.C. .................................... 41,000 20,552
Lloyd Thompson Group P.L.C. ............................ 154,000 402,872
Locker (Thomas) Holdings P.L.C. ........................ 22,500 6,344
Locker (Thomas) Holdings P.L.C. Class A Non-Voting ..... 66,000 13,958
Logica P.L.C. .......................................... 211,000 1,037,869
London Scottish Bank P.L.C. ............................ 140,500 246,504
Lookers P.L.C. ......................................... 80,160 243,607
Lopex P.L.C. ........................................... 154,948 50,972
*Lovell (Y.J.) Holdings P.L.C. .......................... 70,932 70,002
*Lowe (Robert H.) & Co. P.L.C. .......................... 1,551 194
Lowndes Lambert Group Holdings P.L.C. .................. 137,000 373,422
Lyles (S.) P.L.C. ...................................... 16,000 19,801
M & W P.L.C. ........................................... 7,200 18,497
M.R. Data Management Group P.L.C. ...................... 136,158 239,953
ML Holdings P.L.C. ..................................... 431,132 256,640
MS International P.L.C. ................................ 120,500 49,078
MTM P.L.C. ............................................. 228,250 293,194
MWGO Group P.L.C. ...................................... 176,000 56,519
MacAllan-Glenlivet P.L.C. .............................. 155,000 514,752
MacDonald Martin Distillies P.L.C. Class A ............. 20,000 219,310
MacFarlane Group Clansman P.L.C. ....................... 247,125 1,018,129
Macro 4 P.L.C. ......................................... 54,000 373,046
Magnolia Group P.L.C. .................................. 11,000 11,373
Mallett P.L.C. ......................................... 90,437 119,002
Manchester United P.L.C. ............................... 12,500 120,425
Manders P.L.C. ......................................... 79,000 371,261
Manganese Bronze Holdings P.L.C. ....................... 52,184 115,262
Mansfield Brewery P.L.C. ............................... 276,500 961,565
Marling Industries P.L.C. .............................. 922,398 361,234
Marshalls P.L.C. ....................................... 423,279 941,555
Marston Thompson & Evershed P.L.C. ..................... 45,000 205,133
Martin International Holdings P.L.C. ................... 106,000 56,457
*Martin International Holdings P.L.C. Issue 94 .......... 53,000 27,761
Matthews (Bernard) P.L.C. .............................. 342,000 642,892
Maunders (John) Group P.L.C. ........................... 123,000 416,188
Mayflower Corp. P.L.C. ................................. 621,272 515,808
McAlpine (Alfred) P.L.C. ............................... 171,111 490,523
*McCarthy & Stone P.L.C. ................................ 227,968 228,552
*McKay Securities P.L.C. ................................ 30,000 83,651
McLeod Russel Holdings P.L.C. .......................... 149,524 263,508
Meggitt P.L.C. ......................................... 562,654 705,118
*Melville Group P.L.C. .................................. 90,000 6,344
Merchant Retail Group P.L.C. ........................... 416,766 75,079
Metal Bulletin P.L.C. .................................. 24,000 186,100
Metalrax Group P.L.C. .................................. 363,405 597,738
*Micro Focus Group P.L.C. ............................... 34,500 483,696
Microgen Holdings P.L.C. ............................... 205,000 350,034
Misys P.L.C. ........................................... 103,929 680,524
Mitie Group P.L.C. ..................................... 50,000 151,167
Molins P.L.C. .......................................... 76,500 615,963
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More O'Ferrall P.L.C. .................................. 79,193 $ 444,120
Morland & Co. P.L.C. ................................... 137,500 1,051,122
*Mosaic Investments P.L.C. .............................. 33,000 12,407
Moss Brothers Group P.L.C. ............................. 40,500 222,686
Mowlem (John) & Co. P.L.C. ............................. 569,990 897,354
Mucklow (A & J) Group P.L.C. ........................... 100,000 233,409
*NSM P.L.C. ............................................. 58,474 92,516
Narborough Plantations P.L.C. .......................... 63,829 40,995
Neepsend P.L.C. ........................................ 109,250 61,610
Neotronics Technology P.L.C. ........................... 151,000 125,367
Nestor-BNA P.L.C. ...................................... 260,200 191,574
*New London P.L.C. ...................................... 141,500 8,866
Newman Tonks Group P.L.C. .............................. 300,834 810,561
*Newmarket Venture Capital P.L.C. ....................... 80,000 20,051
Nichols (J.N.) (Vimto) P.L.C. .......................... 98,750 368,167
Nobo Group P.L.C. ...................................... 40,716 142,871
Norcros P.L.C. ......................................... 192,857 344,406
North Sea Assets P.L.C. ................................ 184,800 69,477
Northamber P.L.C. ...................................... 44,444 69,622
Novo Group P.L.C. ...................................... 113,000 42,483
Nurdin & Peacock, Ltd. ................................. 34,000 87,881
*OEM P.L.C. ............................................. 12,000 4,887
OMI International P.L.C. ............................... 106,559 66,770
Ocean Wilsons Holdings, Ltd. ........................... 99,250 105,723
Oceana Consolidated Co. P.L.C. ......................... 16,000 31,581
*Oceonics Group P.L.C. .................................. 527,600 41,324
*Oliver Group P.L.C. .................................... 111,000 165,187
*Olives Property P.L.C. ................................. 126,208 59,311
Osborne & Little P.L.C. ................................ 17,500 114,589
*Osprey Communications P.L.C. ........................... 23,524 10,687
*Owen & Robinson P.L.C. ................................. 9,485 4,160
Oxford Instruments P.L.C. .............................. 122,000 642,140
P & P P.L.C. ........................................... 129,250 153,877
PSIT P.L.C. ............................................ 130,000 283,067
PWS Holdings P.L.C. .................................... 134,428 75,809
Page (Michael) Group P.L.C. ............................ 153,975 274,970
Park Food Group P.L.C. ................................. 382,500 731,007
Parkland Group P.L.C. .................................. 30,000 75,192
Partridge Fine Arts P.L.C. ............................. 75,000 91,640
Paterson Zochonis P.L.C. ............................... 22,000 154,739
Paterson Zochonis P.L.C.
Non-Voting ........................................... 27,000 177,218
Peek P.L.C. ............................................ 291,608 379,147
*Peel Holdings P.L.C. ................................... 50,000 180,148
*Peel Holdings P.L.C. 0% Coupon Loan Stock 10/08/98 ..... 94,500 100,663
Pendragon P.L.C. ....................................... 93,750 381,834
*Pentos P.L.C. .......................................... 839,262 216,926
Perkins Foods P.L.C. ................................... 365,000 394,523
Perpetual P.L.C. ....................................... 64,000 1,074,744
Perry Group P.L.C. ..................................... 120,666 308,108
Persimmon P.L.C. ....................................... 188,800 612,213
*Pex P.L.C. ............................................. 47,500 7,441
*Phoenix Timber Group P.L.C. ............................ 31,000 5,342
Photo-Me International P.L.C. .......................... 145,000 554,228
*Pict Petroleum P.L.C. .................................. 128,000 290,742
Pifco Holdings P.L.C. .................................. 20,000 110,595
Pifco Holdings P.L.C. Class A
Limited Voting ....................................... 20,000 104,016
Pittards P.L.C. ........................................ 99,985 98,675
*Pittencrieff Communications, Inc. ...................... 15,416 108,876
Pittencrieff Resources P.L.C. .......................... 74,000 98,533
Pizza Express P.L.C. ................................... 84,508 161,506
Plantation & General Investment P.L.C. ................. 96,224 85,919
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Plantsbrook Group P.L.C. ............................... 226,000 $ 612,470
Platignum P.L.C. ....................................... 160,600 33,963
Plysu P.L.C. ........................................... 117,800 302,635
Pochin's P.L.C. ........................................ 500 15,861
Polypipe P.L.C. ........................................ 814,670 1,812,176
*Porter Chadburn P.L.C. ................................. 410,000 276,174
Portmeirion Potteries (Holdings) P.L.C. ................ 64,000 485,239
Portsmouth & Sunderland
Newspapers P.L.C. .................................... 30,000 284,790
Porvair P.L.C. ......................................... 35,000 161,740
Powerscreen International P.L.C. ....................... 209,666 893,362
*Premier Consolidated Oilfields P.L.C. .................. 1,360,135 506,030
Pressac Holdings P.L.C. ................................ 94,000 132,526
*Prestwick Holdings P.L.C. .............................. 90,000 35,246
Property Partnerships P.L.C. ........................... 10,000 35,716
Prospect Industries P.L.C. ............................. 372,477 81,688
Protean P.L.C. ......................................... 71,076 233,815
Proudfoot P.L.C. ....................................... 202,646 222,211
Prowting P.L.C. ........................................ 171,000 334,839
QS Holdings P.L.C. ..................................... 197,775 511,194
*Quadrant Group P.L.C. .................................. 231,253 83,319
Quality Care Homes P.L.C. .............................. 20,000 81,458
Quick Group P.L.C. ..................................... 151,198 322,118
RCO Holdings P.L.C. .................................... 27,000 139,575
REA Holdings P.L.C. .................................... 14,658 36,968
Radamec Group P.L.C. ................................... 35,000 25,769
Raine P.L.C. ........................................... 467,965 362,868
Ransom (William) & Son P.L.C. .......................... 30,000 21,148
*Ransomes P.L.C. ........................................ 192,000 189,484
Rea Brothers Group P.L.C. .............................. 106,562 101,827
Readicut International P.L.C. .......................... 499,263 477,078
Record Holdings P.L.C. ................................. 158,727 208,863
*Reece P.L.C. ........................................... 283,750 13,335
Reed Executive P.L.C. .................................. 116,500 262,796
Reg Vardy P.L.C. ....................................... 206,645 504,987
*Regent Corp. P.L.C. .................................... 2,488 1,052
Relyon Group P.L.C. .................................... 45,777 178,557
Renishaw P.L.C. ........................................ 130,968 564,194
Renold P.L.C. .......................................... 322,000 928,120
*Resort Hotels P.L.C. ................................... 255,283 0
Rexmore P.L.C. ......................................... 32,500 36,147
Ricardo Group P.L.C. ................................... 102,709 230,078
Richards Group P.L.C. .................................. 16,000 12,783
Richards P.L.C. ........................................ 123,500 83,189
Richardsons Westgarth P.L.C. ........................... 187,928 229,624
*Richmond Oil & Gas P.L.C. .............................. 220,000 15,508
*Rodime P.L.C. .......................................... 261,000 36,797
Rolfe & Nolan P.L.C. ................................... 24,000 75,192
Ropner P.L.C. .......................................... 84,300 174,314
Ross Group P.L.C. ...................................... 13,200 1,758
Rotork P.L.C. .......................................... 283,500 750,534
Rowe Evans Investments P.L.C. .......................... 114,417 184,611
Rubicon Group P.L.C. ................................... 47,890 102,776
Russell (Alexander) P.L.C. ............................. 47,500 66,224
Rutland Trust P.L.C. ................................... 843,000 349,948
S & U P.L.C. ........................................... 29,040 136,928
*Saatchi & Saatchi Co. P.L.C. ........................... 51,760 124,056
Sage Group P.L.C. ...................................... 86,000 922,825
Sanderson Bramall Motor Group P.L.C. ................... 79,166 202,142
Sanderson Electronics P.L.C. ........................... 90,000 119,837
Saville (J.) Gordon Group P.L.C. ....................... 247,761 236,752
Savills P.L.C. ......................................... 145,000 129,471
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Scantronic Holdings P.L.C. ............................. 178,038 $ 55,779
Scholl P.L.C. .......................................... 166,250 380,229
*Scottish Heritable Trust P.L.C. ........................ 96,000 0
*Scottish Ice Rink Co. (1928) P.L.C. .................... 13,000 0
Scottish Metropolitan Property P.L.C. .................. 771,666 870,347
Scottish Television P.L.C. ............................. 108,000 724,099
Secure Trust Group P.L.C. .............................. 35,000 289,489
*Seet P.L.C. ............................................ 7,000 5,702
Sennah Rubber Co., Ltd.
(Guernsey) ........................................... 1,214 28,051
Serco Group P.L.C. ..................................... 110,000 504,883
Servomex P.L.C. ........................................ 30,000 125,007
Seton Healthcare Group P.L.C. .......................... 66,275 337,414
*Shaftesbury P.L.C. ..................................... 50,000 73,626
Shandwick P.L.C. ....................................... 302,640 210,968
Shanks & McEwan Group P.L.C. ........................... 192,000 255,653
Sharpe & Fisher P.L.C. ................................. 43,734 121,947
Sheffield Insulations Group P.L.C. ..................... 143,500 593,453
Sherwood Group P.L.C. .................................. 513,000 699,145
Shiloh P.L.C. .......................................... 14,500 33,617
ShopRite Group P.L.C. .................................. 350,780 65,940
Sidlaw Group P.L.C. .................................... 176,071 532,323
*Signet Group P.L.C. .................................... 736,900 274,159
Silentnight Holdings P.L.C. ............................ 112,500 363,036
*Simon Engineering P.L.C. ............................... 424,333 578,304
Sims Food Group P.L.C. ................................. 74,000 96,214
Sinclair (William) Holdings P.L.C. ..................... 53,000 155,256
Sindall (William) P.L.C. ............................... 50,500 47,465
Singapore Para Rubber Estates P.L.C. ................... 26,000 47,653
Singer & Friedlander Group P.L.C. ...................... 558,000 725,509
Sirdar P.L.C. .......................................... 181,266 278,274
Sketchley P.L.C. ....................................... 141,800 204,358
Smart (J.) & Co. (Contractors) P.L.C. .................. 22,500 76,484
Smith New Court P.L.C. ................................. 40,000 236,855
South Staffordshire Water Holdings P.L.C. .............. 11,600 333,445
Southend Property Holdings P.L.C. ...................... 200,000 175,448
Southern Business Group P.L.C. ......................... 230,900 159,150
Spirax-Sarco Engineering P.L.C. ........................ 75,777 548,416
Spring Ram Corp. P.L.C. ................................ 516,000 355,658
St. Modwen Properties P.L.C. ........................... 50,000 39,163
Stakis P.L.C. .......................................... 70,033 95,445
Stanley Leisure Organisation P.L.C. .................... 125,129 660,569
*Starmin P.L.C. ......................................... 248,445 4,865
Stat-Plus Group P.L.C. ................................. 104,000 293,249
Staveley Industries P.L.C. ............................. 276,000 795,531
Steel Burrill Jones Group P.L.C. ....................... 201,682 379,122
Sterling Industries P.L.C. ............................. 88,000 318,438
Stirling Group P.L.C. .................................. 432,000 385,735
Stoddard Sekers International P.L.C. ................... 277,100 145,416
Stratagem Group P.L.C. ................................. 38,354 103,941
Sturge Holdings P.L.C. ................................. 224,000 270,190
Stylo P.L.C. ........................................... 108,000 299,452
Sumit P.L.C. ........................................... 16,500 42,648
Sutcliffe Speakman P.L.C. .............................. 186,162 93,319
Suter P.L.C. ........................................... 411,376 1,063,294
Swallowfield P.L.C. .................................... 15,000 41,826
Swan (John) and Sons P.L.C. ............................ 1,000 6,705
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*Sycamore Holdings P.L.C. ............................... 4,316 $ 1,420
Syltone P.L.C. ......................................... 36,000 91,922
T & S Stores P.L.C. .................................... 359,340 940,053
TGI P.L.C. ............................................. 59,560 87,703
TT Group P.L.C. ........................................ 326,206 1,200,854
Takare P.L.C. .......................................... 217,000 696,858
*Talbex Group P.L.C.
(In Receivership) .................................... 385,000 0
*Tamaris P.L.C. ......................................... 206,460 7,277
Tay Homes P.L.C. ....................................... 192,666 501,007
Taylor Nelson AGB P.L.C. ............................... 546,475 303,899
Telemetrix P.L.C. ...................................... 294,826 364,857
*Tex Holdings P.L.C. .................................... 14,000 10,527
Thorntons P.L.C. ....................................... 407,000 1,115,740
Thorpe (F.W.) P.L.C. ................................... 24,000 87,599
Tibbett & Britten Group P.L.C. ......................... 98,400 1,100,585
Tie Rack P.L.C. ........................................ 129,000 260,681
Tilbury Douglas P.L.C. ................................. 132,183 1,180,269
Time Products P.L.C. ................................... 124,000 458,421
*Tinsley Robor P.L.C. ................................... 60,000 32,897
Tomkinsons P.L.C. ...................................... 14,800 50,078
Tops Estates P.L.C. .................................... 10,000 26,004
*Torday & Carlisle P.L.C. ............................... 65,000 32,583
*Tournesol Exploration P.L.C.
(In Liquidation) ..................................... 98,000 0
Town Centre Securities P.L.C. .......................... 120,000 225,576
*Toye & Co. P.L.C. ...................................... 2,000 3,446
Trace Computers P.L.C. ................................. 33,552 19,972
Trade Indemnity Group P.L.C. ........................... 448,404 421,455
Transtec P.L.C. ........................................ 221,525 211,682
Travis Perkins P.L.C. .................................. 202,200 918,564
Trinity Holdings P.L.C. ................................ 54,000 265,616
Trinity International Holdings P.L.C. .................. 168,600 977,214
Triplex Lloyd P.L.C. ................................... 158,110 314,553
Try Group P.L.C. ....................................... 243,407 83,885
Tunstall Group P.L.C. .................................. 102,000 410,642
UDO Holdings P.L.C. .................................... 71,000 235,790
*UK Estates P.L.C. ...................................... 50,000 16,448
UK Safety P.L.C. ....................................... 135,833 97,880
Ugland International P.L.C. ............................ 59,850 120,006
Ulster Television, Ltd. ................................ 25,000 268,263
*Unigroup P.L.C. ........................................ 77,163 44,724
Union P.L.C. ........................................... 47,000 67,735
Unitech P.L.C. ......................................... 169,100 940,378
United Industries P.L.C. ............................... 611,460 162,835
Usborne P.L.C. ......................................... 238,000 26,098
VSEL P.L.C. ............................................ 93,607 2,262,584
Vardon P.L.C. .......................................... 88,000 170,936
*Verson International Group P.L.C. ...................... 401,163 100,547
Vibroplant P.L.C. ...................................... 113,500 202,688
Victaulic P.L.C. ....................................... 204,000 750,980
Victoria Carpet Holdings P.L.C. ........................ 12,000 26,505
*Videologic Group P.L.C. ................................ 186,666 111,117
Vinten Group P.L.C. .................................... 170,722 1,385,319
Vivat Holdings P.L.C. .................................. 203,125 120,914
Volex Group P.L.C. ..................................... 61,206 378,723
Vosper Thornycroft Holdings P.L.C. ..................... 76,000 878,619
WSP Group P.L.C. ....................................... 50,000 36,813
Wace Group P.L.C. ...................................... 195,000 693,411
Waddington (John) P.L.C. ............................... 253,285 892,735
Wagon Industrial Holdings P.L.C. ....................... 121,138 871,011
*Wakebourne P.L.C. ...................................... 27,850 34,029
Walker Greenbank P.L.C. ................................ 457,500 752,507
</TABLE>
111
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Ward Holdings P.L.C. ................................... 130,000 $ 107,932
Wardle Storeys P.L.C. .................................. 58,000 310,731
Warner Estate Holdings P.L.C. .......................... 45,000 151,559
Warner Howard P.L.C. ................................... 59,000 284,664
Waterman Partnership Holdings P.L.C. ................... 45,000 38,771
*Wates City of London Properties P.L.C. ................. 230,000 230,589
Watmoughs Holdings P.L.C. .............................. 151,800 984,470
Watson & Philip P.L.C. ................................. 182,400 1,065,771
Watts, Blake, Bearne & Co. P.L.C. ...................... 50,500 421,647
*Waverly Mining Finance P.L.C. .......................... 25,000 41,904
Wehmiller (Barry) International P.L.C. ................. 112,322 237,536
Wellman P.L.C. ......................................... 144,833 93,021
*Wembley P.L.C. ......................................... 605,300 56,892
*West Industries P.L.C. ................................. 84,000 0
West Trust P.L.C. ...................................... 233,627 128,092
Westbury P.L.C. ........................................ 165,333 365,182
Western Selection P.L.C. ............................... 35,525 13,912
Whatman P.L.C. ......................................... 114,500 677,997
Whessoe P.L.C. ......................................... 71,875 115,970
Whitecroft P.L.C. ...................................... 105,000 259,882
Wholesale Fittings P.L.C. .............................. 75,500 292,129
*Widney P.L.C. .......................................... 494,108 73,532
*Wiggins Group P.L.C. ................................... 826,500 84,156
Williamson Tea Holdings P.L.C. ......................... 5,500 112,005
Willoughby's Consolidated P.L.C. ....................... 9,000 17,341
Wills Group P.L.C. ..................................... 1,147,500 269,634
Wilshaw P.L.C. ......................................... 340,409 359,944
*Windsor P.L.C. ......................................... 71,521 26,889
Wintrust P.L.C. ........................................ 46,500 156,611
Wolstenholme Rink P.L.C. ............................... 15,500 190,604
Worthington Group P.L.C. ............................... 50,666 48,415
Wyko Group P.L.C. ...................................... 164,000 141,298
Wyndeham Press Group P.L.C. ............................ 56,760 124,480
*YRM P.L.C. ............................................. 33,000 8,788
York Waterworks P.L.C. ................................. 23,000 116,375
Yorklyde P.L.C. ........................................ 23,000 90,074
Yorkshire Chemicals P.L.C. ............................. 110,400 601,836
Yorkshire Tyne Tees Television Holdings P.L.C. ......... 169,500 1,024,914
Young & Co's Brewery P.L.C. ............................ 10,000 65,010
Young & Co's Brewery P.L.C. Class A .................... 7,000 52,415
Young (H.) Holdings P.L.C. ............................. 100,419 97,530
Yule Catto & Co. P.L.C. ................................ 259,897 1,148,103
Zetters Group P.L.C. ................................... 14,500 30,664
------------------
TOTAL COMMON STOCKS
(Cost $198,094,827) .................................. 205,447,930
------------------
PREFERRED STOCKS -- (0.1%)
Clayhithe P.L.C. 9.5% Loan Stock ....................... 20,750 30,067
Triton Energy Corp., 5.00% Cumulative Convertible
Redeemable ........................................... 4,472 173,290
------------------
TOTAL PREFERRED STOCKS (Cost $703,779) .................. 203,357
------------------
RIGHTS/WARRANTS - (0.1%)
*Anglo United P.L.C. Warrants 1999 ...................... 282,138 1,105
*Brent Walker Group Warrants 12/31/07 ................... 64,285 1,007
*OMI International P.L.C. Rights 12/12/94 ............... 66,599 3,130
</TABLE>
112
<PAGE>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
---------- --------------
<S> <C> <C>
*Pentos P.L.C. Warrants 12/31/96 ........................................ 10,891 $ 0
*Pressac Holdings P.L.C. Rights 12/07/94 ................................ 47,000 3,681
*Select Industries P.L.C. Warrants 05/20/99 ............................. 1,717 0
*Seton Healthcare Group P.L.C. Rights 12/14/94 .......................... 22,091 13,150
*Suter P.L.C. Warrants 1994-2004 ........................................ 41,137 20,621
*Suter P.L.C. Warrants 1998 ............................................. 28,260 16,822
*Yorkshire Tyne Tees Television Holdings P.L.C. Warrants
09/29/97 ............................................................... 23,660 85,617
-----------------
TOTAL RIGHTS/WARRANTS
(Cost $0) .............................................................. 145,133
------------------
INVESTMENT IN CURRENCY - (1.4%)
*British Pound Sterling
(Cost $2,938,536) ...................................................... 2,940,808
------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
--------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (2.8%) ......................................
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94
(Collateralized by U.S. Treasury Bills 5.55%, 02/09/95) (Cost
$6,095,000) ............................................................ $6,095 6,095,000
--------------
TOTAL INVESTMENTS - (100.0%) (Cost $207,832,142) ......................... $214,832,228
==============
</TABLE>
SCHEDULE OF INVESTMENTS
THE EMERGING MARKETS PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Value+
--------------
<S> <C> <C>
Investment in The Emerging Markets Series of The DFA Investment Trust
Company .............................................................. $15,696,170
--------------
Total Investments (100%) (Cost $15,243,281) .................... $15,696,170
==============
</TABLE>
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
See accompanying Notes to Financial Statements
113
<PAGE>
SCHEDULE OF INVESTMENTS
THE CONTINENTAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
FRANCE - (28.5%)
COMMON STOCKS - (26.4%)
ALSPI (Societe Alsacienne de Participations
Industrielles) ....................................... 10,100 $ 728,552
Agache (Societe Financiere) ............................ 720 174,059
*Agricole & Industrielle de Madagascar SA ............... 1,242 35,106
Agricole de la Crau .................................... 400 33,845
Agricole de la Pointe-a-Pitre .......................... 450 47,280
Application des Gaz SA ADG ............................. 3,992 258,339
Arbel SA ............................................... 1,980 162,745
*Aurea .................................................. 600 13,556
Bains de Mer et du Cercle des Etrangers a Monaco ....... 4,615 596,453
*Banque Colbert ......................................... 7,139 147,493
*Banque Nationale de Paris Guyane ....................... 1,447 29,599
*Banque Nationale de Paris Intercontinentale ............ 12,465 653,674
*Banque Transatlantique ................................. 3,030 145,372
Bazar de l'Hotel de Ville SA ........................... 9,450 984,100
Berger Levrault SA ..................................... 476 49,127
Berger SA .............................................. 1,300 300,976
*Bis SA ................................................. 18,200 1,042,417
*Bollore Technologies SA ................................ 19,441 1,699,167
Brosse et Dupont ....................................... 3,170 229,843
*CAMAT (Cie d'Assurances Maritimes Aeriennes et
Terrestres) .......................................... 3,675 112,762
*CDE (Comptoir des Entrepeneurs SA) ..................... 8,713 354,839
CEGID .................................................. 4,100 339,284
CFC (Cie Financiere des Cardans) ....................... 296 48,439
*CLAL (Comptoir Lyon-Alemand Loyot SA) .................. 8,367 641,042
CPR (Cie Parisienne de Reescompte) ..................... 11,055 750,363
Cambodge ............................................... 1,605 277,573
Caoutchoucs de Padang .................................. 1,294 142,454
*Carbone Lorraine ....................................... 4,938 549,126
Carbonique ............................................. 763 1,433,064
*Caves & Producteurs Reunis de Roquefort ................ 192 50,343
Centenaire-Blanzy ...................................... 2,207 118,199
*Centrest (Societe Developpement Regional du Centre-Est) 1,705 1,902
*Ceragen Holding (Cie Generale de la Ceramique SA) ...... 2,780 15,509
Chambon Societe Generale Remorquage et de Travaux
Maritimes ............................................ 405 73,808
Cofigeo (Cie Financiere Geo) ........................... 400 141,330
Compagnie Financiere de CIC et de l'Union Europeene SA
Series D ............................................. 10,650 724,854
*Concorde Cie d'Assurances Contre les Risques de Toute
Nature SA ............................................ 2,992 470,708
*Conte SA ............................................... 5,730 63,933
*Continentale d'Assurances SA ........................... 810 40,669
</TABLE>
114
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Continentale d'Entreprises SA .......................... 6,569 $ 207,667
*Costimex SA ............................................ 700 17,573
Courtois SA ............................................ 100 5,635
Credit Foncier et Communal d'Alsace et de Lorraine ..... 800 92,087
*Credit General Industriel .............................. 1,160 6,806
Cristalleries de Baccarat .............................. 1,567 167,846
DMC (Dollfus Mieg et Cie) .............................. 23,400 1,331,548
Damart SA .............................................. 1,840 1,916,132
*Darblay SA ............................................. 305 25,529
*Dassault Electronique SA ............................... 16,900 1,187,321
*Degremont .............................................. 3,000 227,615
Didot-Bottin ........................................... 810 97,908
Dietrich et Cie ........................................ 2,351 1,302,832
Docks Lyonnais ......................................... 1,110 26,215
Docks de France Ruche Picard SA ........................ 1,879 677,873
Docks des Petroles d'Ambes ............................. 100 10,339
*Dynaction SA ........................................... 2,960 82,126
EBF SA ................................................. 9,728 1,570,229
ECIA (Equipements et Composants pour l'Industrie
Automobile) .......................................... 15,771 2,193,716
*EMI France SA .......................................... 300 31,911
Eau et Force ........................................... 4,280 1,078,457
Electricite de Strasbourg .............................. 6,796 813,877
*Emprunt Conjoint de Banque du Batiment et des Travaux
Publics et de Financiere de Gestion et
d'Investissement SA .................................. 29,814 105,617
Euro RSCG Worldwide SA ................................. 17,811 1,914,413
#Europe 1 Communication ................................ 3,550 1,109,066
*Europe 1 Communication Em 94 ........................... 492 142,728
Explosifs et de Produits Chimiques ..................... 524 110,111
*Fichet-Bauche .......................................... 1,850 146,211
Financiere Moncey SA ................................... 631 170,261
*Financiere et Immobiliere de l'Etang de Berre et de la
Mediterranee SA ...................................... 400 10,042
Fives-Lille ............................................ 8,400 734,951
Fonciere (Cie) ......................................... 2,823 257,233
Fonciere Lyonnaise SA .................................. 1,916 199,528
Fonciere du Chateau d'Eau de Paris ..................... 11,438 521,118
Fonderies Franco-Belge ................................. 410 61,071
*Francaise des Ferrailles ............................... 4,488 617,596
*Francaise des Magasins Uniprix ......................... 2,886 106,799
*France IARD (Incendie Accidents & Risques Divers) ...... 3,164 269,477
France SA .............................................. 9,420 1,488,982
*France-Africaine de Recherches Petrolieres Francarep ... 3,864 172,452
*GCI (Groupe Chatellier Industrie SA) ................... 8,721 76,223
*GTM Entrepose .......................................... 2,650 190,514
Galeries Lafayette SA .................................. 4,560 2,021,579
Gantois Series ......................................... 647 144,500
Gascogne SA ............................................ 5,655 525,802
Gaumont ................................................ 13,782 815,003
</TABLE>
115
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Generale d'Entreprises Automobiles SA .................. 6,463 $ 907,404
#Generale de Geophysique SA ............................ 10,976 663,357
Generale de Transport et d'Industrie ................... 11,743 807,980
Generale des Papeteries du Limousin SA ................. 2,750 173,873
Gevelot ................................................ 696 138,488
Gifrer Barbezat SA ..................................... 550 59,730
*Grand Bazar de Lyon .................................... 650 25,698
*Grande Paroisse SA ..................................... 379 9,515
Grands Moulins de Strasbourg ........................... 110 36,820
Groupement pour le Financement de la Construction SA ... 12,745 948,024
Guitel-Etienne-Mobilor SA .............................. 160 8,331
Guyenne et Gascogne SA ................................. 4,800 1,240,725
Hoteliere Lutetia Concorde ............................. 501 149,159
*Hotels et Casinos de Deauville ......................... 2,055 248,396
Immeubles de France .................................... 16,759 1,343,213
Immeubles de Lyon ...................................... 3,562 337,819
Immobiliere Marseillaise ............................... 567 630,527
*Immobiliere Phenix SA .................................. 91,200 892,073
Industrie des Transports ............................... 300 57,462
Industrielle et Financiere d'Entreprise SA ............. 300 14,393
Industrielle et Financiere d'Ingenierie SA ............. 14,075 251,269
*Intertechnique SA ...................................... 3,940 356,157
*Kleber (Pneumatiques) .................................. 82,273 374,837
Labinal SA ............................................. 14,525 1,906,955
Laurent Bouillet ....................................... 480 39,721
#Lefebvre (Enterprise Jean) ............................ 24,942 1,669,757
*Legris Industries SA ................................... 29,800 1,906,313
Locamion ............................................... 1,803 121,038
*Lucia .................................................. 254 4,251
*MRM .................................................... 1,424 25,951
*Matussiere et Forest SA ................................ 13,600 165,653
Metal Deploye .......................................... 238 19,474
*#Metaleurop SA ......................................... 52,400 769,800
*Metrologie International ............................... 990 2,559
*Metrologie International Em 94 ......................... 16,830 43,503
Monoprix SA ............................................ 1,656 483,481
Montupet SA ............................................ 2,120 342,985
*Mors ................................................... 32,445 102,569
*Moulinex SA ............................................ 92,011 1,899,251
*Musee Grevin SA ........................................ 822 20,636
*Nationale de Navigation ................................ 8,880 148,619
*Nodet-Gougis SA ........................................ 3,500 7,810
Nord-Est ............................................... 3,240 82,423
*Nordon & Cie ........................................... 800 60,281
*Olipar ................................................. 25,000 52,069
Oxygene & Acetylene d'Extreme Orient ................... 3,676 3,007,792
PSB Industries SA ...................................... 1,240 90,161
Papeteries de Clairefontaine ........................... 1,600 252,906
Papiers Peints (Societe Francaise des) ................. 200 32,357
Parisienne de Chauffage Urbain ......................... 200 16,179
*Piper-Heidsieck ........................................ 1,282 181,185
Pithiviers-le-Vieil (Sucriere de) ...................... 1,825 605,788
Plastic Omnium ......................................... 11,136 1,300,494
*Porcher Paris .......................................... 948 44,866
Publicis SA ............................................ 11,582 979,974
Radar SA ............................................... 2,246 167,066
Radiotechnique ......................................... 9,100 846,118
</TABLE>
116
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Reassurances SA (Francaise de) ......................... 12,019 $1,564,537
*Renard (Fromagerie F. Paul) ............................ 200 76,244
Reunion (Banque de la) ................................. 987 160,600
Reunion Francaise ...................................... 636 45,534
*Rhin & Moselle Assurances Cie Generale d'Assurances et
de Reassurances SA ................................... 1,922 321,674
*Rocamat ................................................ 5,579 22,824
Rochefortaise Communication SA ......................... 10,820 402,015
*#Rochette .............................................. 98,470 1,011,709
Rougier SA ............................................. 1,655 246,519
Rue Imperiale de Lyon .................................. 200 136,867
SAGA (Societe Anonyme de Gerance et d'Armement) ........ 407 39,205
SAMSE SA ............................................... 1,100 153,622
*SAT SA (SA des Telecommunications) ..................... 600 223,487
*SDV SA (Scac Delmas Vieljeux) .......................... 2,506 271,221
*SEUPAR (Societe Europeenne de Participations
Industrielles et Financieres) ........................ 35 638
SFIM (Societe de Fabrication d'Instruments de Mesure) .. 2,377 385,005
SGCA (Societe Generale de Courtage d'Assurances) ....... 554 81,387
*SIPH (Societe Internationale de Plantation d'Heveas) ... 811 27,146
SITA ................................................... 11,776 1,537,285
SOCIM (Societe Immobiliere d'Investissement) ........... 3,829 206,492
SUDAC SA (Societe Urbaine d'Air Comprime) .............. 100 78,103
Sabeton ................................................ 1,350 278,661
Sagem (Societe d'Applications Generales d'Electricite et
de Mechanique) ....................................... 325 158,828
Saint-Raphael .......................................... 1,374 144,618
Salins du Midi & des Salines de l'Est .................. 8,882 731,702
*Sambre et Meuse ........................................ 12,365 5,978
Sarreguemines Digoin et
Vitry-le-Francois SA ................................. 330 32,218
Saupiquet .............................................. 2,050 489,484
Sauvageau Commercy Soudure SA .......................... 1,400 110,646
*Savoisienne ............................................ 3,600 105,105
Scor SA ................................................ 16,443 362,036
Sechilienne ............................................ 200 38,159
*Segic (Societe d'Exploitation et de Gestion Industrielle
et Commerciale) ...................................... 3,330 142,427
Signaux et d'Equipements Electroniques SA .............. 19,986 1,724,501
Silec (Societe Industrielle de Liaisons Electriques) ... 12,591 819,732
Silic (Societe Immobiliere de Location pour l'Industrie
et le Commerce) ...................................... 889 112,417
*Silic (Societe Immobiliere de Location pour l'Industrie
et le Commerce) Em 94 ................................ 38 4,508
*Simmonds ............................................... 575 20,370
Skis Rossignol SA ...................................... 3,041 1,175,684
Sodero (Societe de Developpement Regional de l'Ouest) .. 4,181 24,491
</TABLE>
117
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Sofal .................................................. 5,231 $ 291,827
Soffo SA ............................................... 615 29,735
*Sofitam SA ............................................. 7,558 115,250
Sogenal (Societe Generale Alsacienne de Banque) ........ 14,113 333,306
Soie SA ................................................ 390 27,559
Solitaire Produits d'Entretien Francais Prodef ......... 300 71,409
Sommer-Allibert SA ..................................... 1,170 393,590
Soudure Autogene Francaise SA Series B ................. 3,158 616,625
*#Spie Batignolles ...................................... 18,385 889,591
*#Strafor Facom SA ...................................... 15,284 1,776,383
Taittinger SA .......................................... 2,540 1,154,868
Tanneries de France .................................... 158 8,815
*Teleflex Lionel-Dupont ................................. 7,625 208,438
Thermal de Bagnoles de l'Orne .......................... 245 29,455
Touax SA ............................................... 2,403 66,314
*Transports en Commun de Nice ........................... 100 3,905
*Tuileries de Marseille et de la Mediterranee ........... 73 40,589
UGC Droits Audiovisuels-UGC DA SA ...................... 21,384 763,501
Union Generale du Nord SA .............................. 994 29,852
*Union Industrielle de Credit SA, Paris ................. 12,620 741,594
*Usines Chausson Series B ............................... 2,590 1,950
*Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies) ................................... 29,300 1,514,719
Vermandoise de Sucreries ............................... 323 200,017
Via Banque ............................................. 18,134 1,315,157
Virax .................................................. 954 22,566
Zodiac SA .............................................. 4,060 1,863,333
*Zuber-Laederich SA ..................................... 1,800 21,756
------------------
TOTAL COMMON STOCKS (Cost $78,286,684) .................... 91,745,441
------------------
INVESTMENT IN CURRENCY - (2.1%)
*French Francs (Cost $7,433,092) ........................ 7,390,859
------------------
RIGHTS/WARRANTS - (0.0%)
*Lefebvre (Enterprise Jean) Warrants 07/01/96 ........... 689 12,415
*Scoa Warrants 06/30/95 ................................. 8,190 7,615
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ......................... 20,030
- ------------------
Face
Amount@
------------------
(000)
BONDS - (0.0%)
*IBM France 5.75%, 01/01/98 Convertible Bonds ........... 3 2,525
*Rocamat 8.0%, 01/01/99 Convertible Bonds ............... 1 10,134
*Scoa 9.0%, 04/01/98 Convertible Bond ................... 3 37,724
------------------
TOTAL BONDS (Cost $206,762) ............................... 50,383
------------------
TOTAL - FRANCE (Cost $85,926,538) ......................... 99,206,713
------------------
</TABLE>
118
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
GERMANY - (22.8%)
COMMON STOCKS - (22.8%)
Aachener Reuckvericherungs- Gesellschaft AG ............ 1,630 $ 798,622
Aachener Strassenbahn und Energie versorguns AG ........ 188 66,565
Ackermann Vermoegensverwaltungs AG ..................... 1,350 206,871
Aesculap AG ............................................ 1,326 604,842
Agrippina Rueckversicherung AG, Koeln .................. 177 167,120
*Agrob AG ............................................... 290 101,754
Aigner (Etienne) AG .................................... 600 194,450
*Alexanderwerk AG ....................................... 230 20,542
Allweiler AG ........................................... 289 54,389
Alte Leipziger Versicherungs AG Series C ............... 1,043 344,672
*Amira Verwaltungs AG ................................... 200 146,730
Andreae-Noris Zahn AG, Anzag ........................... 2,464 545,460
*Augsburger Kammgarn Spinnerei AG ....................... 660 32,000
BDAG Balcke-Duerr AG ................................... 2,194 607,462
*BDAG Balcke-Duerr AG Em 94 ............................. 1,097 297,432
Bayerische Handelsbank AG .............................. 1,928 581,782
Bayerischer Lloyd AG, Regensburg ....................... 247 52,000
Berliner Kindl-Brauerei AG ............................. 1,000 360,447
Binding-Brauerei AG .................................... 2,925 992,727
Biotest AG ............................................. 700 181,754
*Biotest AG Em 94 ....................................... 106 26,508
Blaue Quellen Mineral und Heilbrunnen AG ............... 300 373,206
*Bochum-Gelsenkirchener Strassenbahnen AG ............... 228 56,000
Boss (Hugo) AG ......................................... 870 574,450
Braunschweig-Hannoversche Hypotekenbank AG ............. 2,776 1,027,164
Breitenburger Portland-Cement- Fabrik AG ............... 25 12,759
Bremer Strassenbahn AG ................................. 307 47,005
*Bremer Woll-Kaemmerei AG ............................... 1,996 254,673
*Brillant AG ............................................ 750 64,593
Buckau (Walther) AG .................................... 900 114,833
Cassella AG ............................................ 850 1,499,362
*Ceag Industrie-Aktien und Anlagen AG ................... 2,067 200,436
Concordia Bau und Boden AG ............................. 24,761 1,574,904
DLW AG ................................................. 3,940 1,015,477
*DSL Holding AG ......................................... 5,850 656,842
Deutsche Bank Luebeck AG ............................... 1,200 1,270,813
Deutsche Hypotheken Bank AG, Hannover/Berlin ........... 2,500 749,601
Deutsche Kontinentale Rueckversicherungs AG ............ 936 121,217
Deutsche Spezialglas AG ................................ 1,600 250,080
Deutsche Steinzeug Cremer & Breuer AG .................. 2,780 957,703
Deutsche Verkehrs-Bank AG .............................. 4,750 513,636
Dibag Doblinger Industriebau- Glasmanufactur AG ........ 1,185 476,268
*Didier-Werke AG ........................................ 6,800 631,196
*Dierig Holding AG ...................................... 1,500 146,411
Doag-Holding AG ........................................ 750 167,943
*Doerries Scharmann AG .................................. 3,298 420,797
*Dortmunder Actien-Brauerei AG .......................... 1,650 187,368
</TABLE>
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THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Duerr Beteiligungs AG .................................. 3,175 $1,099,856
*Duerrkopp Adler AG ..................................... 2,219 184,173
Dyckerhoff & Widmann AG ................................ 4,919 1,085,789
Dyckerhoff AG .......................................... 2,285 947,528
*Dyckerhoff AG Em 94 II ................................. 114 46,545
Eichbaum-Brauereien AG, Mannheim ....................... 672 173,627
Erlus Baustoffwerke AG ................................. 297 154,421
Erste Kulmbacher Actien Brauerei AG .................... 432 454,737
*Escada AG .............................................. 2,052 379,636
*Escom AG ............................................... 350 62,520
*Fag Kugelfischer Georg Schaefer AG ..................... 8,550 1,309,091
Felten & Guilleaume Energietechnik AG .................. 3,250 684,211
Forst Ebnath AG ........................................ 24 11,789
Fraenkisches Ueberlandwerk AG, Nuernberg ............... 849 227,483
*Fraenkisches Ueberlandwerk AG, Nuernberg Em 94 ......... 47 11,394
Frankfurter Bankgesellschaft Gegr. 1899 AG ............. 2,173 644,622
Fuchs Petrolub AG Oel & Chemie ......................... 55 6,105
Fuchs Petrolub AG Oel & Chemie ......................... 2,231 306,006
Geestemuender Bank AG .................................. 750 88,995
Gestra AG Bremen ....................................... 1,203 165,389
Gilde Brauerei AG ...................................... 400 237,321
*Gildemeister AG ........................................ 1,120 111,821
Goldschmidt (T.H.) AG .................................. 3,200 1,735,247
Grosskraftwerk Franken AG .............................. 789 251,675
*Gutbrod AG ............................................. 290 14,801
*Gutbrod AG Em 90 ....................................... 75 3,684
*Hageda AG .............................................. 404 38,918
Hagen Batterie AG ...................................... 1,000 130,781
Hamborner AG ........................................... 2,100 456,842
Hamburger Hochbahn AG Series A ......................... 4,257 279,726
*Harpener AG ............................................ 7,100 1,361,116
Hasen-Braeu AG ......................................... 100 139,075
Heilit & Woerner Bau AG ................................ 425 123,094
Heilit & Woerner Bau AG ................................ 1,701 608,779
*Hein Lehmann AG, Duesseldorf ........................... 120 38,278
Heinrich Industrie & Handels AG ........................ 350 156,300
Herlitz AG ............................................. 3,462 682,461
Hermes Kreditversicherungs AG, Hamburg und Berlin ...... 400 123,764
Hermes Kreditversicherungs AG, Hamburg und Berlin ...... 1,166 278,947
*Hindrichs-Auffermann AG ................................ 358 62,807
Holsten-Brauerei AG, Hamburg ........................... 3,077 667,419
#Horten AG ............................................. 2,900 382,041
Hutschenreuther AG ..................................... 1,050 172,823
Hypothekenbank In Hamburg AG ........................... 1,198 607,598
ICN (Immobilien Consult Nuernberg AG) .................. 737 183,368
Ikon AG Praezisionstechnik ............................. 626 73,123
Iwka AG ................................................ 6,224 1,353,993
Jacobsen (W.) AG, Kiel ................................. 37 70,813
Jute-Spinnerei und Weberei Bremen AG ................... 378 106,105
*KM-Kabelmetal AG ....................................... 7,550 842,903
KSB AG ................................................. 2,387 542,119
KWS Kleinwanzlebener Saatzucht AG ...................... 1,650 693,684
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Kali und Salz Beteiligungs AG .......................... 13,950 $1,446,172
Kaufhalle AG ........................................... 7,800 1,149,474
Kempinski AG, Berlin ................................... 686 356,676
Keramag Keramische Werke AG ............................ 1,300 510,048
*Kloeckner Humboldt-Deutz AG ............................ 3,350 245,987
*#Kloeckner-Werke AG .................................... 23,800 2,011,802
*Koeln-Duesseldorfer Deutsche Rheinschiffahrt AG ........ 300 32,919
Kolb und Schuele AG .................................... 875 265,152
*Kolb und Schuele AG Em 94 .............................. 125 38,676
*Kolbenschmidt AG, Neckarsulm ........................... 7,500 889,952
Kraftuebertragungswerke Rheinfelden AG ................. 4,684 1,465,711
Kraftwerk Altwuerttemberg AG ........................... 314 170,271
Krauss-Maffei AG ....................................... 1,267 828,501
Kromschroder (G.) AG ................................... 765 254,268
*Kueppersbusch AG ....................................... 525 77,033
Kupferberg (Christian Adalbert) & Cie KG A.A. .......... 151 95,368
Leffers AG, Bielefeld .................................. 1,225 234,450
Leifheit AG ............................................ 1,350 543,445
*Leonische Drahtwerke AG ................................ 2,000 512,919
*Linotype-Hell AG ....................................... 4,300 918,979
Loewenbraeu Holding AG ................................. 50 104,625
MG Vermoegensverwaltungs AG ............................ 4,040 337,633
*MLF Holding fuer Umwelttechnologie AG .................. 165 15,684
Magda Media Verlaf AG .................................. 738 94,633
Magdeburger Versicherung AG ............................ 697 262,348
*Maihak (H.) AG ......................................... 275 37,719
Main Kraftwerke AG ..................................... 1,189 455,120
Mainzer Aktien-Bierbrauerei AG ......................... 563 158,035
Mannheimer Versicherung AG ............................. 2,257 943,116
Markt und Kuehlhallen AG ............................... 1,400 226,858
Mauser Waldeck AG ...................................... 1,667 245,663
Mittelschwaebische Ueberlandzentrale AG ................ 355 152,871
*Moenus AG .............................................. 1,575 76,364
Muehle Rueningen AG .................................... 160 34,195
Mueller-Weingarten AG .................................. 579 118,201
*Nak Stoffe AG .......................................... 1,046 142,136
*Neue Baumwoll-Spinnerei und Weberei Hof AG ............. 1,217 77,640
*Niedermayr Papierwarenfabrik AG ........................ 60 13,971
Nordcement AG .......................................... 2,000 778,309
Norddeutsche Steingutfabrik ............................ 497 164,874
Nuernberger Hypothekenbank AG .......................... 2,387 708,105
*Oberland Glas AG ....................................... 3,000 346,794
*Orenstein & Koppel AG .................................. 3,778 436,248
Otavi Minen AG ......................................... 600 61,818
*PWA (Papierwerke Waldhof-Aschaffenburg AG) ............. 1,290 196,689
Pag Pharma-Holding AG .................................. 800 137,799
Parkbrauerei AG ........................................ 300 55,502
*Patrizier-Braeu AG ..................................... 737 68,881
*Paulaner-Salvator Beteiligungs AG ...................... 100 130,207
*Pfaff (G.M.) AG ........................................ 3,200 371,547
Pfersee-Kolbermoor AG .................................. 1,550 503,317
*Pfersee-Kolbermoor AG Em 94 ............................ 50 15,949
*Phoenix AG, Hamburg .................................... 4,750 675,758
*Pittler Maschinenfabrik AG ............................. 3,350 192,344
Plettac AG ............................................. 2,777 1,293,276
Progress-Werk Oberkirch AG ............................. 500 56,778
Rathgeber AG ........................................... 8 4,211
</TABLE>
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THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Reckitt und Colman Deutschland AG ...................... 540 $ 72,344
Reichelbraeu AG, Kulmbach .............................. 550 166,667
*Reichelt (F.) AG ....................................... 1,290 75,713
Reiter Ingolstadt Spinnereimaschinen AG ................ 1,200 116,057
*Renk AG ................................................ 1,940 147,279
Rheinboden Hypothekenbank AG ........................... 2,650 473,365
Rheinmetall Berlin AG .................................. 5,000 889,952
Rhoen Klinikum AG ...................................... 1,270 964,147
Riedel de Haen AG ...................................... 573 603,158
Rosenthal AG ........................................... 1,650 242,105
Rothenberger AG ........................................ 300 48,421
Sabo-Maschinenfabrik AG ................................ 750 246,411
Salamander AG, Kornwestheim ............................ 5,172 1,072,344
Schlenk (Carl) AG ...................................... 65 13,850
Schwaebische Zellstoff AG .............................. 1,925 571,053
Sektkellerei Schloss Wachenheim AG ..................... 84 20,524
Sinalco AG ............................................. 110 47,719
Sinn AG ................................................ 1,973 427,955
Sinner AG, Karlsruhe ................................... 416 143,311
*Sloman Neptun Schiffahrts AG ........................... 35 2,791
*Stern-Brauerei Carl Funke AG ........................... 1,100 87,018
Stoehr & Co. AG ........................................ 1,400 223,285
*Stoehr & Co. AG Em 94 .................................. 200 30,622
Stolberger Zink AG ..................................... 64 26,539
Stollwerck AG .......................................... 1,358 385,525
*Stumpf (Otto) AG ....................................... 550 32,982
Stuttgarter Hofbraeu AG ................................ 1,800 556,938
Sued-Chemie AG ......................................... 2,186 720,996
Sueddeutsche Bodencreditbank AG ........................ 3,040 1,053,091
Tarkett Pegulan AG ..................................... 534 172,038
Tempelhofer Feld AG .................................... 25 39,075
*Terrex Handels AG ...................................... 1,250 394,737
*Traub AG ............................................... 2,538 335,162
Triton-Belco AG, Hamburg ............................... 1,186 180,832
Tucher Braeu AG ........................................ 750 91,388
Ueberlandwerk Unterfranken AG .......................... 40 7,298
VGT AG ................................................. 293 85,236
VK Muehlen AG .......................................... 1,312 270,352
*Varta AG ............................................... 5,500 1,112,281
*Vereinigte Deutsche Nickel-Werke AG .................... 1,380 180,478
Verseidag AG ........................................... 2,753 261,689
Voegele (Joseph) AG .................................... 750 165,550
*Vogtlaendische Baumwollspinnerei AG .................... 559 42,081
WCM Beteiligungs und Grundbesitz AG .................... 1,000 6,316
WMF (Wuerttembergische Metallwarenfabrik AG) ........... 3,033 713,989
*Walter AG .............................................. 1,350 223,923
Wanderer-Werke AG ...................................... 1,437 190,225
*Weil der Stadt AG, Weil der Stadt ...................... 80 12,198
Weinig (Michael) AG .................................... 2,500 980,064
Westag & Getalit ....................................... 700 200,064
Wickrather Bauelemente AG .............................. 465 91,962
Wuerttembergische & Badische Versicherungs AG Series A/B 112 197,563
Wuerttembergische Hypothekenbank AG .................... 1,498 704,323
Wuerzburger Hofbraeu AG ................................ 100 54,864
*Wuerzburger Hofbraeu AG Em 94 .......................... 33 16,211
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Zanders Feinpapiere AG ................................. 4,450 $ 641,595
Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn AG 1,942 474,505
------------------
TOTAL COMMON STOCKS (Cost $62,003,859) .................... 79,375,391
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $127,715) ........................... 133,478
------------------
PREFERRED STOCK -- (0.0%)
Dyckerhoff AG .......................................... 157 52,584
Westag & Getalit ....................................... 260 57,225
------------------
TOTAL PREFERRED STOCK (Cost $67,166) ...................... 109,809
------------------
RIGHTS/WARRANTS - (0.0%)
*Escom AG Rights 12/08/94 ............................... 2 26
*Hindrichs-Auffermann AG Rights 12/07/94 ................ 1 77
*Scor Deutschland Rueckversicherungs AG Rights 12/13/94 . 936 1,194
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 1,297
------------------
TOTAL - GERMANY (Cost $62,198,740) ........................ 79,619,975
------------------
ITALY - (10.9%)
COMMON STOCKS - (10.9%)
*Acqua Pia Antica Marcia SpA ............................ 211,200 30,718
Acquedotto de Ferrari Galliera SpA ..................... 54,000 188,829
Aedes SpA (Sta Ligure Lombarda per Imprese &
Costruzioni) ......................................... 42,000 266,700
#Ansaldo Trasporti SpA ................................. 199,533 740,955
*Attivita Immobiliari ................................... 181,400 246,994
*Auschem SpA (In Liquidation) ........................... 82,000 0
Autostrada Torino-Milano ............................... 33,750 201,570
Avir Finanziara SpA .................................... 114,000 651,227
Banca Agricola Milanese ................................ 48,000 258,456
Banca Mercantile Italiana SpA .......................... 40,800 189,386
Banco di Chiavari e della Riviera Ligure SpA, Chiavari . 175,000 379,081
Bassetti SpA ........................................... 67,500 324,602
*Bastogi SpA ............................................ 1,683,000 115,620
Boero (Bartolomeo) SpA ................................. 8,925 45,847
Bonifica dei Terreni Ferraresi e per Imprese Agricole
Roma ................................................. 11,600 121,690
*Brioschi Finanziaria SpA, Milano ....................... 200,000 49,513
CALP (Cristalleria Artistica la Piana SpA) ............. 48,000 160,124
CAMFIN (Cam Finanziaria) ............................... 20,500 38,063
CEMENTIR (Cementarie del Tirreno SpA), Roma ............ 661,563 571,587
*CIGA SpA (Compagnia Italiana Grandhi Alberghi) ......... 76,890 45,684
CMI SpA ................................................ 36,428 72,146
*Caffaro SpA (Sta per l'Industria Chimica Ed
Elettrochimica) ...................................... 297,550 332,402
*Calcestruzzi SpA ....................................... 51,560 277,625
Caltagirone SpA ........................................ 343,085 331,247
*Cantoni ITC SpA ........................................ 121,000 179,731
*Cartiere Burgo SpA ..................................... 271,200 1,597,071
*#Cartiere Sottrici Binda SpA ........................... 1,299,375 160,839
Cementeria de Barletta SpA ............................. 27,000 88,566
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Cementeria di Augusta SpA .............................. 105,000 $162,463
*Cementeria di Merone SpA ............................... 185,137 183,332
#Cementerie Siciliane SpA .............................. 82,200 206,804
Cementerie di Sardegna SpA ............................. 77,000 209,686
*#Cogefar-Impresit Costruzioni Generali SpA ............ 337,000 349,358
Comau Finanziara SpA ................................... 353,000 513,415
Condotta Acque Potabili SpA, Torino .................... 28,000 157,698
Costa Crociere SpA ..................................... 195,000 468,869
Costa Crociere SpA (Risp) .............................. 26,000 32,022
*Credito Lombardo SpA ................................... 170,000 426,118
*Cucirini SpA ........................................... 30,000 20,238
*Dalmine SpA ............................................ 3,001,700 815,006
#Danieli & C.Officine Meccaniche SpA .................. 93,500 604,719
*Dataconsyst C.G.S. SpA, Monza .......................... 22,050 20,197
*Del Favero SpA ......................................... 86,000 35,395
*Editoriale SpA ......................................... 210,000 102,677
Editoriale l'Espresso SpA .............................. 55,000 153,180
Editoriale la Repubblica SpA ........................... 125,000 232,090
*Enichem Augusta SpA .................................... 311,000 577,441
Ericsson SpA ........................................... 61,500 890,670
*Euromobiliare SpA ...................................... 73,500 122,595
*Europa-Metalli LMI SpA ................................. 1,086,000 497,379
FIAR (Fabbrica Italiana Apparecchiature Radioelettriche
SpA) ................................................. 22,990 109,561
*FMC (Fabbrica Milanese Condutorri SpA) ................. 25,000 12,997
FONSPA (Credito Fondiaro e Industriale Istituto per I
Finanziamenti a Medio e Lungo Termine SpA) ........... 269,000 943,976
*Fabbrica Italiana Magneti Marelli SpA, Milano .......... 1,190,000 935,355
Faema SpA .............................................. 31,000 63,314
*Falck (Acciaierie & Ferriere Lombarde) ................. 218,000 523,497
*Fimpar SpA ............................................. 1,000 117
*Finarte Casa d'Aste SpA (Milano) ....................... 56,266 42,833
*Fincasa 44 SpA ......................................... 150,036 94,251
*Finrex Finanziaria Immobiliaria SpA (In Liquidation) ... 36,000 2,696
*#Firs-Italiana de Assicurazioni Compagnia di Assicurazioni
Eriassicurazioni (In Liquidation) ...................... 90,000 0
Fiscambi Holding SpA, Milano ........................... 46,500 54,680
*Fisia SpA (Fiatimpresit Sistemi Ambientali) ............ 188,850 109,283
*Fochi (Filippo) SpA .................................... 216,000 537,410
*Fornara Societa Finanziaria e di Participazioni SpA .... 310,000 13,814
Gabetti Holding SpA .................................... 70,000 79,715
*Gerolimich SpA (In Liquidation) ........................ 297,400 0
Gewiss SpA ............................................. 51,500 699,629
*Gifim Iniziative Immobiliari Gifim SpA ................. 60,000 28,594
*Grassetto SpA .......................................... 279,125 281,587
*ITAJOLLY (Cia Italiana del Jolly Hotels SpA) ........... 48,500 198,563
#Immobiliare Metanopoli SpA ............................ 1,062,500 874,594
*Industrie Secco ........................................ 195,800 15,596
Industrie Zignago S. Margherita SpA .................... 61,000 313,353
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Istituto Finanziario Pro Arte SpA Finarte .............. 202,693 $ 135,484
*Italiana di Transporti Gottardo Ruffoni SpA, Milano (In
Liquidation) ......................................... 279,832 17,908
Linificio & Canapificio Nazionale SpA .................. 118,000 109,620
Lloyd Adriatico Assicurazione SpA ...................... 57,500 672,598
Maffei SpA ............................................. 75,000 120,687
Magona d'Italia SpA, Firenze ........................... 40,000 86,771
*Mandelli SpA ........................................... 41,000 53,263
Manifattura Lane Gaetano Marzotto & Figli SpA .......... 144,000 989,262
Marangoni SpA, Rovereto ................................ 50,000 153,180
Merloni Elettrodomestici SpA ........................... 210,000 740,832
*Montefibre SpA, Milano ................................. 645,000 573,644
*NAI SpA (Navigazione Alta Italia) ...................... 139,760 27,680
*Necchi SpA ............................................. 131,400 76,689
Perlier SpA ............................................ 120,700 31,375
Pininfarina SpA ........................................ 64,570 679,369
*Poligrafici Editoriale SpA ............................. 226,000 532,917
*#Premafin Finanziaria SpA .............................. 1,025,000 869,735
#Previdente Cia Italiana Assicurazione SpA ............. 149,590 1,210,978
Ratti SpA .............................................. 155,900 313,585
Recordati Industria Chimica E Farmaceutica SpA ......... 34,000 150,456
Rejna SpA, Milano ...................................... 19,000 104,657
Risanamento di Napoli SpA .............................. 26,700 432,124
Riva Finanziaria SpA ................................... 23,800 74,387
*Rodriquez SpA .......................................... 41,250 41,103
SISA (Societa Imballaggi Speciali Asti SpA) ............ 65,000 51,734
*SMI (Sta Metallurgica Italiana SpA) .................... 761,000 355,596
*#SNIA Fibre SpA ........................................ 328,000 203,408
SOPAF (Societa Partecipazioni Finanziarie SpA) ......... 50,500 90,014
*#Saffa SpA, Milano ..................................... 100,500 251,600
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali SpA) ........................................ 50,100 305,422
*Saiag SpA (Industrie Articoli Gomma) ................... 43,000 100,730
#Sasib SpA .............................................. 186,000 904,818
*Schiapparelli 1824 SpA ................................. 300,000 46,604
Serfi SpA (Servizi Finanziari) ......................... 72,000 236,175
*Simint SpA ............................................. 149,979 45,483
Sogefi SpA ............................................. 260,000 627,572
Sondel Nordelettrica SpA ............................... 674,900 1,044,252
*Sorin Biomedica SpA .................................... 407,610 1,021,705
#Stefanel SpA ........................................... 190,800 504,824
Tecnost SpA ............................................ 170,000 347,207
*Teknecomp SpA .......................................... 148,643 73,689
Terme Demaniali di Acqui SpA ........................... 39,900 32,103
*Texmantova SpA ......................................... 40,000 29,708
Trenno SpA ............................................. 147,333 215,198
*Tripcovich (D.) & Co. SpA Navigazione Rimorchi e
Salvataggi Trieste ................................... 113,898 26,082
#UNICEM (Unione Cementi Marchini Emiliane e di Augusta-
Casale) .............................................. 114,000 726,721
USA (Unione Subalpina di Assicurazioni SpA) ............ 52,500 336,299
*Unione Manifatture SpA (In Liquidation) ................ 156,000 0
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Unipar (Unione Nazionale di Participazione SpA) (In
Liquidation) ......................................... 539,000 $ 0
Unipol SpA ............................................. 65,000 448,753
*Vetrerie Italiane SpA .................................. 67,000 217,701
Vianini Industria SpA .................................. 126,000 81,881
Vianini Lavori SpA ..................................... 191,000 377,684
Vittoria Assicurazioni SpA ............................. 59,500 270,664
*Wabco Westinghouse SpA, Torino ......................... 6,200 19,225
Zucchi (Vincenzo) SpA .................................. 52,000 276,774
------------------
TOTAL COMMON STOCKS (Cost $48,640,448) .................... 37,850,970
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Italian Lira (Cost $44,326) ............................. 44,012
------------------
RIGHTS/WARRANTS - (0.0%)
Banca Nazionale del Lavoro SpA Covered Warrants -R-
01/01/97 ............................................. 50 46
*Cartiere Burgo SpA Warrants 12/31/95 ................... 45,200 5,679
*Cementeria di Augusta SpA Warrants 01/01/96 ............ 10,500 17,221
*Premafin Finanziaria SpA Rights 12/19/94 ............... 1,025,000 6,661
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 29,607
------------------
Face
Amount@
------------------
(000)
BONDS - (0.0%)
*Banca Nazionale del Lavoro SpA BNL 9.5%, 01/01/95 (Cost
$91,916) ............................................. 115,500 71,305
------------------
TOTAL - ITALY (Cost $48,776,690) .......................... 37,995,894
------------------
Shares
------------------
NETHERLANDS - (9.9%)
COMMON STOCKS - (9.8%)
*ACF Holding NV ......................................... 3,450 71,732
ACF Holding NV (Certificate) ........................... 12,307 235,554
Aalberts Industries NV ................................. 4,707 224,692
Ahrend Groep NV ........................................ 4,481 427,552
Atag Holding NV ........................................ 4,162 261,977
Athlon Groep NV ........................................ 5,350 209,368
Athlon Groep NV (Certificate) .......................... 3,500 131,188
Automobiel-Industrie Rotterdam ......................... 260 17,328
Bam Groep NV ........................................... 4,774 281,463
Batenburg Beheer NV .................................... 1,000 83,737
Beers NV ............................................... 3,325 359,869
Begemann Groep NV ...................................... 13,451 220,671
Bijenkorf Beheer KBB NV, Amsterdam ..................... 16,550 954,064
Boer Winkelbedrijven NV ................................ 12,000 477,129
Borsumij Wehry NV ...................................... 46,385 681,705
Boskalis Westminster NV ................................ 44,342 899,217
Braat Beheer NV ........................................ 3,676 51,093
Cap Volmac Group NV .................................... 67,650 924,865
Cindu International NV ................................. 1,750 100,185
Content Beheer ......................................... 14,750 236,941
Crown Van Gelder NV .................................... 2,400 210,538
*Delft Instruments NV ................................... 12,808 178,021
Econosto NV ............................................ 15,384 199,804
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Eriks Holdings NV ...................................... 9,000 $ 615,209
Flexovit International NV .............................. 3,500 173,654
*Frans Maas Groep NV .................................... 13,906 407,952
GTI Holding NV ......................................... 4,507 397,171
Gamma Holding NV ....................................... 18,338 963,124
Getronics NV ........................................... 32,922 1,085,835
*Geveke NV .............................................. 8,150 154,597
Goudsmit NV ............................................ 2,000 35,887
*Grand Hotel Krasnapopski NV ............................ 294 23,698
Grolsch NV ............................................. 43,100 1,313,500
Hoek's (W.A.) Machine & Zuurstofabriek NV .............. 12,600 556,252
Holdingsmij de Telegraaf NV ............................ 7,850 871,974
*Holland Sea Search Holding NV .......................... 286,987 67,026
Hollandia Industriele Maatschappij NV .................. 500 17,830
Hollandsche Beton Groep NV ............................. 4,728 720,444
IHC Caland NV .......................................... 64,700 1,529,507
Internatio-Mueller NV .................................. 15,682 824,522
Kas-Associatie NV ...................................... 7,830 282,781
Kempen & Co. NV ........................................ 22,200 182,102
Kondor Wessels Groep NV ................................ 1,000 25,919
Koppelpoort Holding NV ................................. 250 59,812
*Landre & Glinderman NV ................................. 1,862 48,791
MacIntosh NV ........................................... 19,733 460,868
*Multihouse NV .......................................... 20,000 25,064
NBM-Amstelland NV ...................................... 44,350 467,374
NKF Holding NV ......................................... 3,595 436,602
Nagron Nationaal Grondbezit NV ......................... 3,791 191,116
Nationaal Bezit van Aandeelen Vereenigde Glasfabrieken
NV, Schiedam ......................................... 2,150 678,496
Nationale Investeringsbank NV Class A .................. 14,615 1,103,097
Nedap (Nederlandsche Apparatenfabriek) ................. 4,250 145,500
*#Nederlandse Vliegtuigenfabriek Fokker NV .............. 53,650 452,304
*Nedlloyd Groep NV, Rotterdam ........................... 29,900 902,706
Nijverdal-Ten Cate NV, Amels ........................... 11,356 514,271
Norit NV ............................................... 29,655 307,446
Oce van der Grinten NV, Venlo .......................... 24,750 1,084,178
Orco Bank NV ........................................... 11,289 395,485
Otra NV ................................................ 6,275 1,036,598
Pakhoed NV ............................................. 27,406 704,079
Polynorm NV ............................................ 3,294 321,801
Randstad Holding NV .................................... 6,200 312,914
Reesink NV ............................................. 2,050 138,963
Roto Smeets de Boer NV ................................. 1,000 22,159
Rubber Cultuur Maatschappij, Amsterdam ................. 40,800 55,779
Samas-Groep NV, Zaandam ................................ 10,937 364,463
Schuitema NV, Amersfoort ............................... 300 322,643
Schuttersveld Holding .................................. 10,724 265,733
*Smit Internationale NV ................................. 10,790 258,149
*Sphinx NV .............................................. 22,678 700,170
Stad Rotterdam ......................................... 12,000 257,021
Stork NV ............................................... 42,728 1,031,996
*Textielgroep Twenthe NV ................................ 1,000 43,008
Tulip Computers NV ..................................... 10,916 103,222
Twentsche Kabel Holding NV ............................. 3,618 447,226
Ubbink NV .............................................. 1,500 49,986
Van Dorp Groep NV ...................................... 3,261 64,644
Van der Giessen de Nord ................................ 4,200 166,277
Van der Moolen Holding NV .............................. 6,250 146,682
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Volker Stevin NV ....................................... 13,250 $ 652,122
Vredestein NV .......................................... 19,725 149,440
Wegener NV ............................................. 19,676 1,401,024
*Wyers Beheer NV, Amsterdam ............................. 250 3,261
------------------
TOTAL COMMON STOCKS (Cost $23,564,807) .................... 33,980,147
------------------
INVESTMENT IN CURRENCY - (0.1%)
*Netherlands Guilder (Cost $419,202) .................... 417,960
------------------
RIGHTS/WARRANTS - (0.0%)
*Stad Rotterdam Rights 01/30/95 ......................... 12,000 5,947
*Wyers Beheer NV, Amsterdam Warrants 10/03/97 ........... 250 370
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 6,317
------------------
TOTAL - NETHERLANDS (Cost $23,984,009) .................... 34,404,424
------------------
SWITZERLAND - (9.6%)
COMMON STOCKS - (9.6%)
*AFG Arbonia Foster Holding AG, Arbon ................... 522 571,245
*Accumulatoren-Fabrik Oerlikon, Zuerich ................. 30 21,736
Afipa SA, Vevey ........................................ 20 2,642
Afipa SA, Vevey Class A ................................ 80 13,585
Aletsch AG, Moerel ..................................... 50 122,642
Allgemeine Finanzgesellschaft, Zuerich ................. 741 223,698
*Ascom Holding AG, Bern ................................. 907 965,185
Attisholz Holding AG ................................... 1,079 618,898
BHB Beteiligungs und Finanzgesellschaft ................ 150 46,415
Banque Cantonale de Geneve ............................. 840 190,189
Banque Cantonale du Jura ............................... 400 126,792
Banque Privee Edmond de Rothschild SA, Geneve .......... 120 389,434
Basellandschaftliche Kantonalbank ...................... 500 101,887
Basler Kantonalbank (Participating) .................... 500 92,453
Bernische Kraftwerke AG, Bern .......................... 600 412,075
Bossard Holding AG ..................................... 127 160,068
Brauerei Eichhof ....................................... 42 66,566
Bucher Holding AG, Niederweningen ...................... 650 355,660
Bucherer AG Luzern, Luzern (Participating) ............. 300 156,226
CKW (Centralschweizerische Kraftwerke), Luzern ......... 670 513,245
CKW (Centralschweizerische Kraftwerke), Luzern
(Participating) ...................................... 1,500 114,340
CS Holding, Zuerich .................................... 540 229,042
CS Holding, Zuerich (Namen) ............................ 540 44,219
Calida Holding AG, Oberkirch ........................... 99 82,189
*Carlo Gavazzi Holding AG, Baar Class B ................. 83 55,125
Chemin de Fer Brigue-Viege- Zermatt, Zermatt ........... 370 92,151
Chemin de Fer du Gornergrat, Sion ...................... 70 118,868
Chocoladefabriken Lindt & Spruengli AG, Kilchberg ...... 24 355,019
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Chocoladefabriken Lindt & Spruengli AG, Kilchberg
(Participating) ...................................... 74 $ 97,177
Credit Foncier Vaudois, Lausanne ....................... 875 607,547
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel ................................................ 141 61,189
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel (Genusschen) ................................... 330 21,668
Daetwyler Holding AG, Atldorf .......................... 388 614,943
Danzas Holding AG, Basel (Participating) ............... 1,502 296,999
Dipling Fust AG, Oberbueren ............................ 1,680 478,008
Edipresse SA, Lausanne ................................. 262 104,800
Elco Looser Holding AG, Zuerich ........................ 720 282,566
Elektrizitaets Gesellschaft Laufenberg AG
(Participating), Laufenberg .......................... 1,000 181,132
Elektrizitaets Gesellschaft Laufenburg AG, Laufenberg .. 740 1,368,302
Energie Electrique du Simplon SA Simplon Village ....... 70 47,547
*Escor AG, Duedingen .................................... 1,240 12,166
*Financiere Michelin, Granges- Paccot ................... 637 216,340
Financiere Tradition, Lausanne ......................... 50 72,075
*Fischer (Georg) AG, Schaffhausen ....................... 1,372 1,573,917
Forbo Holding AG, Eglisau .............................. 275 489,811
Fortuna Holding, Adliswil .............................. 140 137,358
Fortuna Holding, Adliswil (Participating) .............. 650 112,340
Fotolabo SA, Ropraz .................................... 120 262,642
Fuchs Petrolub AG, Frauenfeld .......................... 2,001 694,687
GZB Genossenschaftliche Zentralbank AG, Basel .......... 941 603,660
Galenica Holding AG, Bern Class B ...................... 120 36,226
*Golay-Buchel Holding SA, Lausanne ...................... 40 31,547
Grand Magasins Jelmoli SA, Zuerich ..................... 2,835 295,268
Grand Magasins Jelmoli SA, Zuerich (Participating) ..... 931 519,955
Gurit-Heberlein AG, Wattwil SG ......................... 310 521,736
*HPI Holding SA, Yverdon-les- Bains ..................... 200 22,642
Hilti AG, Schaan (Participating) ....................... 600 452,377
Holvis Holzst AG ....................................... 2,499 663,885
Huerlimann Holding AG, Zuerich ......................... 33 136,981
Huerlimann Holding AG, Zuerich (Participating) ......... 100 34,717
Immuno International AG, Zuerich ....................... 1,545 781,245
Industrieholding Cham AG, Cham ......................... 216 141,826
Interdiscount Holding SA, Freiburg ..................... 439 586,438
#Interdiscount Holding SA, Freiburg (Participating) ..... 450 56,038
Kardex AG, Zuerich ..................................... 630 153,102
Kardex AG, Zuerich (Participating) ..................... 610 145,019
Keramik Holding AG Laufen, Laufen ...................... 600 346,415
Konsumverein Zuerich, Zuerich .......................... 1,788 425,072
Konsumverein Zuerich, Zuerich (Participating) .......... 420 72,906
Kraftwerk Laufenburg, Laufenburg ....................... 8,475 1,311,226
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Loeb Holding AG, Bern (Participating) .................. 620 $ 93,585
Logitech International SA, Apples ...................... 4,805 344,509
*Maag Holding AG, Zuerich ............................... 820 111,396
Magazine Zum Globus, Zuerich ........................... 400 244,528
Magazine Zum Globus, Zuerich (Participating) ........... 396 239,393
*Mikron Holding AG, Biel ................................ 504 37,087
*Mikron Holding AG, Biel (Participating) ................ 120 9,509
Moevenpick Holding AG, Zuerich ......................... 1,320 438,340
Moevenpick-Holding AG, Zuerich (Participating) ......... 443 150,453
*Monteforno Acciaierie & Laminatoi SA, Giornico ......... 600 5,660
*Motor-Columbus AG, Baden ............................... 1,499 2,160,823
*Netstal-Maschinen AG, Nafaels .......................... 2 340
*Omnium Geneve SA, Geneve ............................... 110 32,377
*Orell Fuessli Graphische Betriebe AG, Zuerich
(Participating) ...................................... 240 61,585
Phoenix Mecano AG, Stein am Rhein ...................... 2,749 840,260
Pick Pay AG, Ruemlang .................................. 110 139,472
Porst Holding AG, Jegenstorf ........................... 1,844 349,316
Prodega AG, Moosseedorf (Participating) ................ 400 93,585
*Publicitas Holding SA, Lausanne (Participating) ........ 125 96,226
Rentsch (Walter) Holding AG, Dietlikon ................. 1,853 272,706
Rig Rentsch Industrie-Holding AG, Rickenbach ........... 110 207,547
*Riviera Participations Holding SA, Vevey ............... 50 5,189
SIG (Schweizerische Industrie Gesellschaft Holding AG),
Neuhausen am Rheinfall ............................... 167 312,574
Sarna Kunststoff Holding AG, Sarnen .................... 74 85,449
Schweizerische National Versicherungs Gesellschaft,
Basel ................................................ 22 31,713
Sece Cortaillod Holding SA, Cortaillod ................. 10 38,491
*Sibra Holding SA, Fribourg Class B ..................... 1,000 166,038
Siegfried AG, Zofingen ................................. 1,066 587,306
*Solothurner Kantonalbank (Participating) ............... 450 6,792
Sopracenerina (Sta Elettrica), Locarno ................. 459 190,528
Suedelektra Holding AG, Zug ............................ 1,500 1,103,774
*Suter & Suter AG, Basel Class A ........................ 635 81,472
*Swissair Schweizerische Luftverkehr AG, Zuerich ........ 78 47,977
Swisslog Holding AG .................................... 500 118,868
*UMS Schweizerische Metallwerke Holding AG, Bern ........ 2,560 202,868
Unigestion Holding, Geneve ............................. 2,891 327,283
Usego-Trimerco Holding AG, Volketswil .................. 1,160 236,377
Villars Holding SA, Fribourg ........................... 150 17,264
*Von Moos Holding AG, Luzern ............................ 1,400 137,358
*Von Roll AG, Gerlafingen ............................... 384 75,351
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Von Roll AG, Gerlafingen (Participating) ............... 504 $ 17,878
WMH Walter Meier Holding AG, Staefa .................... 50 40,000
*Zellweger Luwa AG, Uster ............................... 804 558,249
*Zschokke Holding SA, Geneve ............................ 80 44,679
*Zueblin Holding AG, Zuerich ............................ 700 66,038
Zuercher Ziegeleien Holding, Zuerich ................... 1,415 1,030,547
Zuger Kantonalbank ..................................... 429 443,570
*Zuger Kantonalbank Em 94 ............................... 71 70,196
------------------
TOTAL COMMON STOCKS (Cost $28,117,325) .................... 33,285,615
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Swiss Francs (Cost $20,687) ............................ 22,608
------------------
RIGHTS/WARRANTS - (0.0%)
*Bucher Holding AG, Niederweningen Warrants 10/27/95 .... 650 1,055
*Chocoladefabriken Lindt & Spruengli AG, Kilchberg
Warrants 02/28/95 .................................... 314 5,806
*Forbo Holding AG Warrants 11/01/95 ..................... 550 1,453
*Grands Magasins Jelmoli SA, Zuerich Warrants 03/29/96 .. 7,490 11,306
*Interdiscount Holding SA, Fribourg Warrants 11/15/96 ... 4,840 7,305
*Loeb Holding AG, Bern Warrants 02/29/96 ................ 620 211
*Zueblin Holding AG, Zuerich Warrants 02/28/95 .......... 300 792
------------------
TOTAL RIGHTS/WARRANTS (Cost $20,688) ...................... 27,928
------------------
TOTAL - SWITZERLAND (Cost $28,158,700) .................... 33,336,151
------------------
SPAIN - (9.4%)
COMMON STOCKS - (9.1%)
*Agroman Empresa Constructora SA ........................ 41,400 72,659
Ahorro Familiar SA ..................................... 6,051 60,487
*Algodonera de San Antonio SA ........................... 8,800 93,338
*Amper SA ............................................... 34,400 208,684
Asland SA .............................................. 66,900 959,725
*#Asturiana del Zinc SA ................................. 33,100 399,069
Azkoyen SA ............................................. 4,200 256,391
*BAMI SA (Inmobiliara de Construcciones y Terrenos) ..... 23,634 73,941
*BANDESCO (Banco del Desarrollo Economico Espanol SA) ... 300 24,723
*BNP Espana SA .......................................... 501,700 405,801
Banco Guipuzcoano SA ................................... 4,150 102,602
Banco Herrero .......................................... 15,350 439,826
Banco Pastor SA ........................................ 18,100 828,691
Banco Simeon SA ........................................ 10,700 268,623
Banco Zaragozano SA .................................... 45,598 695,887
Banco de Alicante ...................................... 6,100 238,321
Banco de Andalucia ..................................... 8,900 977,947
Banco de Castilla SA ................................... 2,100 806,829
Banco de Credito Balear SA ............................. 9,850 223,983
Banco de Galicia SA .................................... 7,550 594,552
Banco de Valencia ...................................... 51,350 579,916
*Banco de Vasconia SA ................................... 8,900 253,995
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Banco de Vitoria SA .................................... 13,850 $ 211,370
Bodegas y Bebidas SA ................................... 10,301 298,301
CAF (Construcciones y Auxiliar de Ferrocarriles SA) .... 9,500 550,935
*CAI (Corporacion Alimentaria Iberica SA) ............... 11,200 0
*CARTEMAR (Cartera de Valores del Mar SA) ............... 4,016 3,984
*CINSA (Compania de Inversiones SA) ..................... 1,400 12,606
COBRA (Compania Auxiliar de la Distribucion de
Electricidad Cobra SA) ............................... 13,861 190,384
COFIR (Corporacion Financiera Reunida SA) .............. 60,085 184,313
Cementos Alfa SA ....................................... 5,594 132,327
*Citroen Hispania SA .................................... 650 31,496
Conservera Campofrio SA ................................ 8,500 466,997
Construcciones Lain SA ................................. 127,600 201,551
*Cristaleria Espanol SA ................................. 19,300 1,092,758
#Cubiertas y Mzov SA .................................... 9,900 695,002
*Cubiertas y Mzov SA Em 94 .............................. 495 34,297
*Dimetal SA ............................................. 3,500 14,021
*ENCE (Empresa Nacional de Celulosa SA) ................. 8,200 201,167
ENHER (Empresa Nacional Hidroelectrica del Ribargozana
SA) Series B ......................................... 37,800 680,717
ERZ (Electricas Reunidas de Zaragoza) .................. 54,937 1,215,699
ESSA (Estacionamientos Subterraneos SA) ................ 8,875 142,217
Ebro Agricolas Compania de Alimentacion SA ............. 89,900 1,070,156
*El Aguila SA ........................................... 39,200 336,513
Elecnor SA ............................................. 8,100 182,335
*Ercros SA .............................................. 33,200 38,254
*Erpo SA ................................................ 3,289 9,091
Espanola de Carburos Metalicos SA ...................... 9,650 350,507
*Espanola del Zinc SA ................................... 6,500 45,879
*Estacionamientos Urbanos SA ............................ 4,200 150,630
Europistas Concesionaria Espanola SA ................... 73,750 607,783
Europistas Concesionaria Espanola SA Em 94 ............. 24,583 200,716
#Filo SA ................................................ 40,865 347,688
*Filo SA Em 94 .......................................... 20,432 171,501
*Financiera y Minera Series A/C ......................... 5,200 61,900
#GESA (Gas y Electricidad SA) ........................... 17,000 762,762
General Azucarera de Espana SA ......................... 15,850 435,406
*Grupo Anaya SA ......................................... 16,500 483,480
Hidro Nitro Espanola SA ................................ 7,990 43,898
*Hornos Ibericos Alba SA ................................ 46,600 597,390
#Huarte SA .............................................. 42,500 486,456
Hullas del Coto Cortes ................................. 8,666 166,972
*Iberica de Autopistas SA Concesionaria de Estado
Iberpistas ........................................... 45,070 835,712
Iberica del Frio SA .................................... 2,400 47,615
Inbesos SA ............................................. 1,610 17,691
Indo Internacional SA .................................. 5,600 209,386
*Inmobiliaria Alcazar SA ................................ 5,126 33,248
*Inmobiliaria Urbis SA .................................. 29,100 133,010
*Inmobiliaria Zabalburu SA .............................. 5,800 104,449
Inmobiliaria del Sur SA ................................ 1,320 55,399
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Inmobiliaria del Sur SA Em 94 .......................... 60 $ 2,461
*Inmolevante SA ......................................... 6,957 29,198
Koipe SA ............................................... 8,400 474,323
*LSB (La Seda de Barcelona SA) Series B ................. 25,200 55,765
*Lingotes Especiales SA ................................. 4,140 60,813
*Liwe Espanola SA ....................................... 4,400 20,145
Mapfre Inmuebles SA .................................... 740 54,773
*Max Center Leisa SA .................................... 1,500 5,437
Metrovacesa (Inmobiliaria Metropolitana Vasco Central) . 22,161 752,510
*Moulinex Espana SA ..................................... 3,100 96,986
*Nicolas Correa SA ...................................... 1,575 6,430
*Nueva Montana Quijano SA Series B ...................... 100,500 157,211
OCP Construcciones SA .................................. 9,600 230,019
*Papelera de Navarra SA ................................. 6,000 34,796
*Pascual Hermanos SA Em 94 .............................. 7,610 18,582
*Pescanova SA ........................................... 15,502 272,069
*Pescanova SA Em 93 ..................................... 3,100 52,869
*Pescanova SA Em 94 ..................................... 4,650 79,304
*Pesquerias Espanolas del Bacalao SA .................... 3,500 534
Portland Valderrivas SA ................................ 8,075 642,056
*Prim SA ................................................ 3,100 24,010
*Promociones Eurobuilding SA ............................ 16,650 43,833
*Radiotronica SA ........................................ 2,137 25,602
*Santana Motors SA Class A .............................. 22,100 0
*Sarrio SA .............................................. 105,100 365,705
*Sefanitro (Sdad Espanola de Fabricaciones Nitrogenadas
SA) .................................................. 1,600 4,884
*Sindibank (Sindicato de Banqueros de Barcelona) ........ 10,540 197,047
*Sotogrande SA .......................................... 69,786 194,368
*Tableros de Fibras SA Series B ......................... 26,550 299,840
*Transportes Ferroviarios Especiales Tranfesa ........... 24,000 159,329
*Trenzas y Cables de Acero SA ........................... 7,083 43,238
Uniland Cementera SA ................................... 5,750 282,564
*Union Resinera Espanola SA ............................. 1,100 45,326
*Union y el Fenix-Espanol Cia de Seguros Reunidos SA .... 19,550 212,581
Unipapel SA ............................................ 13,484 327,197
*Uralita SA ............................................. 122,725 1,282,970
Vallehermoso SA ........................................ 47,637 876,041
Vidrala SA ............................................. 9,400 301,259
*Vidriera Leonesa SA Vilesa ............................. 2,983 14,795
Viscofan Industria Navarra de Envolturas Celulosicas SA 46,425 821,870
Zeltia SA .............................................. 3,664 84,156
------------------
TOTAL COMMON STOCKS (Cost $33,326,142) .................... 31,564,855
------------------
INVESTMENT IN CURRENCY - (0.3%)
*Spanish Peseta (Cost $1,013,723) ....................... 986,711
------------------
RIGHTS/WARRANTS - (0.0%)
*Filo SA Rights 12/13/94 (Cost $0) ...................... 1 0
------------------
TOTAL - SPAIN (Cost $34,339,865) .......................... 32,551,566
------------------
BELGIUM - (4.9%)
COMMON STOCKS - (4.9%)
*Abfin SA ............................................... 2,560 9,985
Afrifina ............................................... 3,480 235,914
*Aurex SA ............................................... 2,000 4,396
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Axa Belgium SA ......................................... 7,270 $ 279,053
BMT NV ................................................. 2,040 233,648
Banque Belgo-Zairoise Belgolaise SA .................... 1,155 267,075
Banque Indosuez Belgique SA ............................ 3,210 148,253
Banque Nationale de Belgique ........................... 810 917,691
Barco NV ............................................... 19,115 1,470,385
*Beherman Auto Transports SA ............................ 895 87,270
Belge des Betons ....................................... 425 223,650
Belgo-Katanga NPV ...................................... 544 91,102
Bernheim-Comofi SA ..................................... 5,295 295,851
CFE (Compagnie Francois d'Entreprises) ................. 2,080 519,598
CMB (Cie Martime Belge) ................................ 1,500 120,957
Carrieres Unies Porphyre ............................... 20 21,452
*Chanic SA .............................................. 175 2,421
Chimique et Metallurgique Campine, Beerse .............. 370 42,435
City Hotels SA ......................................... 1,290 126,983
Cokeries & Houilleres d'Anderlues ...................... 100 9,596
Colruyt SA Halle ....................................... 8,760 1,965,950
Commerciale de Brasserie SA COBRHA ..................... 115 38,357
Credit General SA de Banque, Bruxelles ................. 3,459 467,910
*Creyf's Interim ........................................ 1,200 52,450
Deceuninck Plastics Industries SA ...................... 7,370 848,674
Desimpel Kortemark Cy NV ............................... 4,700 221,870
EII (Etudes et Investissements Immobiliers SA) ......... 2,165 467,782
*Electrorail SA (Reunies d'Electricite & de Transports) . 11,416 25,797
Engrais Rosier SA ...................................... 655 54,642
Fabrique de Fer de Charleroi ........................... 77 173,164
Financiere d'Obourg .................................... 440 384,770
*Floridienne NV ......................................... 2,033 58,023
*Ford Motor Co. SA Belgium .............................. 1,110 137,955
*Forges de Clabecq SA ................................... 3,460 133,023
Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA) ...................................... 5,875 173,859
Glaces de Charleroi .................................... 70 127,411
#Glaverbel SA ........................................... 7,512 988,268
*Glaverbel SA (Precompte Reduit) ........................ 150 18,364
Immobel (Cie Immobiliere de Belgique SA) ............... 10,600 903,978
*Intertropical-Comfina SA (In Liquidation) .............. 275 4,631
Mecaniver SA, Bruxelles ................................ 128 24,170
*Metiers Automatiques Picanol ........................... 403 140,965
*PCB SA Bruxelles ....................................... 6,504 55,768
*Papeteries de Catala SA ................................ 315 44,659
Plantations Nord-Sumatra SA ............................ 650 29,497
*Recticel SA ............................................ 8,450 121,368
Roton (Compagnie Industrielle et Financiere Roton) ..... 30 1,839
SABCA (Sa Belge de Constructions Aeronautiques) ........ 4,280 94,861
*SCF SA ................................................. 380 1,353
*SCF SA Em 94 ........................................... 2,470 8,869
*SIPEF (Societe Internationale de Plantations & de
Finance), Anvers ..................................... 1,175 176,768
*SIPEF (Societe Internationale de Plantations & de
Finance), Anvers (Precompte Reduit) .................. 334 50,661
</TABLE>
134
<PAGE>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
SNCI (Societe Nationale de Credit a l'Industrie) ....... 2,675 $ 535,744
Sa d'Ieteren ........................................... 11,850 834,506
*Sa d'Ieteren (Precompte Reduit) ........................ 3,150 224,269
Sait Radioholland ...................................... 6,088 160,186
*Sait Radioholland (Precompte Reduit) ................... 152 4,235
Sapec SA ............................................... 3,560 148,770
*Sapec SA (Taux Reduit) ................................. 75 2,907
Sidro .................................................. 4,040 225,730
Spadel NPV ............................................. 325 442,656
Surongo SA ............................................. 20 2,328
*Telinfo SA ............................................. 5,790 91,765
Ter Beke NV ............................................ 2,212 237,257
Tessenderlo Chemie ..................................... 1,729 544,577
*Tessenderlo Chemie (Precompte Reduit) .................. 27 8,298
UCO SA Ledeberg-Gand ................................... 531 260,938
UNIBRA ................................................. 1,600 62,602
------------------
TOTAL COMMON STOCKS (Cost $13,817,051) .................... 16,892,139
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Belgian Francs (Cost $26,306) ............................ 26,586
------------------
TOTAL -- BELGIUM (Cost $13,843,357) ....................... 16,918,725
------------------
SWEDEN -- (3.9%)
COMMON STOCKS -- (1.6%)
Allgon AB Series B ..................................... 11,200 197,756
Alma Industri & Handel AB Series B ..................... 5,200 45,563
*Arcona AB Series B ..................................... 118,000 89,293
*Argonaut AB Series A ................................... 49,100 87,999
*Arjo AB ................................................ 14,000 234,185
B & N Bylock & Nordsjoefrakt AB Series B ............... 29,600 229,884
*BPA AB Series A ........................................ 48,200 90,865
*BPA AB Series B ........................................ 36,900 69,563
Berg (C.F.) & Co. AB Series B .......................... 6,200 28,809
Bergman & Beving AB Series B ........................... 13,000 265,782
*Bilspedition AB Series A ............................... 62,600 224,388
*Bilspedition AB Series B ............................... 43,000 155,274
Bongs Fabriker AB Series B ............................. 3,000 23,100
Boras Waefveri AB Series B ............................. 6,800 53,263
*Catena AB Series A ..................................... 27,600 240,000
Celsius Industrier AB Series B ......................... 3,800 92,320
*Concordia Maritime AB Series B ......................... 8,500 27,647
*Eldon AB Series B ...................................... 7,700 140,047
Enea Data AB Series B .................................. 2,000 20,710
Esselte AB Series B .................................... 18,400 234,504
*Fabege Fastich AB Birger Gustavsson Series B ........... 278,900 172,172
Forcenergy AB Series B ................................. 22,000 111,503
Forsheda AB Series B ................................... 3,700 78,102
*Frontline AB ........................................... 45,100 134,716
Garphyttan Industrier AB ............................... 5,500 170,129
ICB Shipping AB Series B ............................... 10,000 78,327
JP Bank Series A ....................................... 9,000 39,071
*Jacobson and Widmark AB ................................ 7,800 73,004
*Kloevern Foervaltnings AB Series B ..................... 144,000 101,321
Marieberg Tidnings AB Series A ......................... 7,600 155,380
*NCC AB Series A ........................................ 26,400 252,346
</TABLE>
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THE CONTINENTAL SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- --------------
<S> <C> <C>
*NCC AB Series B .............................................................................. 26,800 $ 247,275
Nolato AB Series B ........................................................................... 8,400 68,583
Nordstroem & Thulin AB Series B .............................................................. 46,500 122,230
*Piren AB ..................................................................................... 367,000 79,417
*Platzer Bygg AB Series B ..................................................................... 31,000 79,429
*Rottneros Bruk AB ............................................................................ 177,100 239,817
Scandiaconsult AB ............................................................................ 9,000 66,313
Siab AB Series A ............................................................................. 8,500 55,632
Siab AB Series B ............................................................................. 4,000 26,286
Skane-Gripen AB Series B ..................................................................... 26,000 186,392
Skrinet AB Series B .......................................................................... 3,500 19,980
Stena Line AB Series B ....................................................................... 40,750 205,035
Svedala Industri ............................................................................. 8,900 199,681
Swepart Mecan AB Series B .................................................................... 3,000 13,541
*Tivox AB Series B ............................................................................ 7,200 23,323
*VBB Gruppen AB Series B ...................................................................... 10,000 37,836
*Wallenstam Byggn AB Series B ................................................................. 9,800 52,692
Westergyllen AB Series B ..................................................................... 900 16,369
--------------
TOTAL COMMON STOCKS (Cost $5,687,274) ......................................................... 5,656,854
--------------
INVESTMENT IN CURRENCY - (2.3%)
*Swedish Krona (Cost $8,000,000) ............................................................ 7,968,138
--------------
TOTAL - SWEDEN (Cost $13,687,274) ............................................................. 13,624,992
--------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS - (0.1%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by U.S. Treasury
Bill 5.55%, 02/09/95) (Cost $207,000) ....................................................... $ 207 207,000
--------------
TOTAL INVESTMENTS - (100.0%) (Cost $311,122,173) .............................................. $347,865,440
==============
</TABLE>
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Securities on loan
@ Denominated in local currency
See accompanying Notes to Financial Statements
136
<PAGE>
SCHEDULE OF INVESTMENTS
THE LARGE CAP INTERNATIONAL PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
JAPAN - (36.5%)
COMMON STOCKS - (36.5%)
Ajinomoto Co., Inc. .................................... 9,000 $116,540
All Nippon Airways Co., Ltd. ........................... 14,000 157,208
Asahi Bank, Ltd. ....................................... 26,000 299,848
Asahi Chemical Industry Co., Ltd. ...................... 14,000 104,805
Asahi Glass Co., Ltd. .................................. 15,000 185,129
#Bank of Tokyo, Ltd. .................................... 23,000 344,360
Bank of Yokohama, Ltd. ................................. 11,000 95,478
Bridgestone Corp. ...................................... 10,000 155,792
Canon, Inc. ............................................ 8,000 138,392
Chiba Bank, Ltd. ....................................... 8,000 74,456
Chubu Electric Power Co., Ltd. ......................... 7,100 173,101
Chugoku Electric Power Co., Ltd. ....................... 5,200 123,622
Dai Nippon Printing Co., Ltd. .......................... 9,000 157,511
Dai-Ichi Kangyo Bank, Ltd. ............................. 35,000 623,166
#Daiwa Bank, Ltd. ....................................... 15,000 149,469
Daiwa House Industry Co., Ltd. ......................... 5,000 68,791
Daiwa Securities Co., Ltd. ............................. 13,000 169,651
Fanuc, Ltd. ............................................ 3,000 139,909
Fuji Bank, Ltd. ........................................ 33,000 681,032
Fuji Photo Film Co., Ltd. .............................. 5,000 111,280
Fujitsu, Ltd. .......................................... 18,000 187,557
Hanwa Co., Ltd. ........................................ 5,000 18,816
Hitachi, Ltd. .......................................... 37,000 365,695
Hokkaido Takushoku Bank, Ltd. .......................... 9,000 38,786
Honda Motor Co., Ltd. .................................. 12,000 201,517
Industrial Bank of Japan, Ltd. ......................... 27,000 751,138
Ito-Yokado Co., Ltd. ................................... 5,000 265,554
Itochu Corp. ........................................... 14,000 102,539
Kajima Corp. ........................................... 13,000 112,969
Kansai Electric Power Co., Inc. ........................ 10,900 267,951
Kao Corp. .............................................. 6,000 67,375
Kawasaki Steel Corp. ................................... 41,000 175,862
Kinki Nippon Railway Co., Ltd. ......................... 20,000 167,527
Kirin Brewery Co., Ltd. ................................ 14,000 148,710
Kobe Steel, Ltd. ....................................... 27,000 85,766
Komatsu, Ltd. .......................................... 10,000 92,969
Kubota Corp. ........................................... 14,000 102,398
Kyocera Corp. .......................................... 2,000 148,508
Kyushu Electric Power Co., Inc. ........................ 4,500 108,346
Long Term Credit Bank of Japan, Ltd. ................... 27,000 292,261
Marubeni Corp. ......................................... 22,000 123,298
Matsushita Electric Industrial Co., Ltd. ............... 23,000 355,994
#Matsushita Electric Works, Ltd. ........................ 7,000 71,523
Mitsubishi Bank, Ltd. .................................. 33,000 737,785
Mitsubishi Chemical Corp. .............................. 15,000 83,005
Mitsubishi Corp. ....................................... 19,000 253,718
Mitsubishi Electric Corp. .............................. 21,000 148,073
Mitsubishi Estate Co., Ltd. ............................ 16,000 176,429
Mitsubishi Heavy Industries, Ltd. ...................... 38,000 282,165
Mitsubishi Trust & Banking Corp. ....................... 13,000 184,117
Mitsui & Co., Ltd. ..................................... 15,000 130,349
Mitsui Trust & Banking Co., Ltd. ....................... 12,000 122,610
NEC Corp. .............................................. 15,000 174,507
NKK Corp. .............................................. 34,000 93,900
Nikko Securities Co., Ltd. ............................. 18,000 191,199
Nintendo Co., Ltd., Kyoto .............................. 1,000 54,122
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Nippon Credit Bank, Ltd. ............................... 33,000 $ 194,962
Nippon Express Co., Ltd. ............................... 14,000 145,878
Nippon Oil Co., Ltd. ................................... 12,000 82,428
Nippon Steel Corp. ..................................... 78,000 303,005
Nippondenso Co., Ltd. .................................. 10,000 204,350
Nissan Motor Co., Ltd. ................................. 29,000 244,967
Nomura Securities Co., Ltd. ............................ 21,000 412,140
Osaka Gas Co., Ltd. .................................... 34,000 137,582
Pioneer Electronic Corp. ............................... 2,000 44,512
Sakura Bank, Ltd. ...................................... 38,000 503,591
Sankyo Co., Ltd. ....................................... 4,000 99,949
Sanwa Bank, Ltd. ....................................... 33,000 650,986
Sanyo Electric Co., Ltd. ............................... 19,000 111,482
Secom Co., Ltd. ........................................ 2,000 123,824
Sega Enterprises, Ltd. ................................. 1,000 52,605
Seibu Railway Co., Ltd. ................................ 5,000 196,763
Sekisui House, Ltd. .................................... 10,000 116,338
Seven-Eleven Japan Co., Ltd. ........................... 4,000 315,225
Sharp Corp., Osaka ..................................... 11,000 191,401
Shikoku Electric Power Co., Inc. ....................... 2,700 64,461
Shimizu Corp. .......................................... 8,000 79,069
Shizuoka Bank, Ltd. .................................... 8,000 106,829
Sony Corp. ............................................. 4,300 228,376
Sumitomo Bank, Ltd. .................................... 36,000 644,613
Sumitomo Chemical Co., Ltd. ............................ 16,000 92,747
Sumitomo Corp. ......................................... 14,000 141,629
Sumitomo Electric Industries, Ltd. ..................... 7,000 97,724
Sumitomo Metal Industries, Ltd., Osaka ................. 30,000 98,027
Sumitomo Trust & Banking Co., Ltd. ..................... 12,000 154,173
Taisei Corp. ........................................... 10,000 60,698
Taisho Pharmaceutical Co., Ltd. ........................ 5,000 90,035
Takeda Chemical Industries, Ltd. ....................... 12,000 149,317
Tohuku Electric Power Co., Inc. ........................ 4,800 119,454
Tokai Bank, Ltd. ....................................... 20,000 252,908
Tokio Marine & Fire Insurance Co., Ltd. ................ 15,000 172,989
Tokyo Electric Power Co., Ltd .......................... 15,200 430,551
Tokyo Gas Co., Ltd. .................................... 27,000 116,085
Tokyu Corp. ............................................ 11,000 74,891
Tonen Corp. ............................................ 9,000 140,212
Toppan Printing Co., Ltd. .............................. 7,000 101,265
Toray Industries, Inc. ................................. 14,000 104,380
Toshiba Corp. .......................................... 37,000 259,767
Toyo Seikan Kaisha, Ltd ................................ 2,000 67,577
Toyo Trust & Banking Co., Ltd. ......................... 8,000 80,931
Toyota Motor Corp. ..................................... 42,000 896,510
Yamaichi Securities Co., Ltd. .......................... 12,000 88,134
Yamanouchi Pharmaceutical Co., Ltd. .................... 5,000 99,646
Yasuda Trust & Banking Co., Ltd. ....................... 11,000 89,024
------------------
TOTAL COMMON STOCKS
(Cost $15,255,332) ...................................... 20,188,588
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Japanese Yen (Cost $2,109) ............................. 2,106
------------------
TOTAL - JAPAN
(Cost $15,257,441) ...................................... 20,190,694
------------------
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
UNITED KINGDOM - (24.9%)
COMMON STOCKS - (24.8%)
Abbey National P.L.C. .................................. 35,900 $ 235,634
Allied Domecq P.L.C. ................................... 28,187 247,709
Argyll Group P.L.C. .................................... 24,613 98,318
BAT Industries P.L.C. .................................. 84,452 591,354
BOC Group P.L.C. ....................................... 13,261 149,568
BTR P.L.C. ............................................. 98,531 439,894
Barclays P.L.C. ........................................ 40,681 386,822
Bass P.L.C. ............................................ 18,400 152,765
Boots Co., P.L.C. ...................................... 27,298 213,170
British Gas P.L.C. ..................................... 102,200 493,097
British Petroleum Co. P.L.C. ........................... 182,609 1,212,882
British Telecommunications P.L.C. ...................... 151,400 897,681
Cable and Wireless P.L.C. .............................. 60,016 362,898
Cadbury Schweppes P.L.C. ............................... 18,004 121,556
Fisons P.L.C. .......................................... 23,000 43,956
General Electric Co. P.L.C. ............................ 67,781 293,054
Glaxo Holdings P.L.C. .................................. 83,591 806,623
Grand Metropolitan P.L.C. .............................. 49,183 294,313
Great Universal Stores P.L.C. .......................... 26,400 230,764
Guinness P.L.C. ........................................ 49,200 351,447
Hanson P.L.C. .......................................... 130,130 479,554
ICI (Imperial Chemical Industries P.L.C.) .............. 18,800 223,233
Lloyds Bank P.L.C. ..................................... 33,329 299,685
Marks & Spencer P.L.C. ................................. 67,661 431,913
National Power P.L.C. .................................. 34,100 264,417
National Westminster Bank P.L.C. ....................... 41,827 340,715
Prudential Corp. P.L.C. ................................ 51,468 257,999
RTZ Corp. P.L.C. ....................................... 29,264 387,365
Reuters Holdings P.L.C. ................................ 41,200 315,600
Rothmans International P.L.C. Units .................... 14,300 101,028
Sainsbury (J.) P.L.C. .................................. 47,394 305,138
Shell Transport & Trading Co. P.L.C. ................... 113,100 1,262,344
Smithkline Beecham P.L.C. Class A ...................... 27,148 179,892
Sun Alliance Group P.L.C. .............................. 20,422 103,011
Tesco P.L.C. ........................................... 56,791 217,070
Unilever P.L.C. ........................................ 22,300 391,598
Vendome Luxury Group P.L.C. Units ...................... 15,100 119,927
Wellcome P.L.C. ........................................ 18,400 193,406
Zeneca Group P.L.C. .................................... 15,200 200,963
------------------
TOTAL COMMON STOCKS
(Cost $12,337,538) ..................................... 13,698,363
------------------
INVESTMENT IN CURRENCY - (0.1%)
*British Pound Sterling (Cost $64,913) .................... 64,593
------------------
RIGHTS/WARRANTS - (0.0%)
*BTR P.L.C. Warrants 1992-97 .............................. 1,883 1,887
*BTR P.L.C. Warrants 1993-98 .............................. 3,960 2,094
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 3,981
------------------
TOTAL - UNITED KINGDOM
(Cost $12,402,451) ...................................... 13,766,937
------------------
FRANCE - (8.9%)
COMMON STOCKS - (8.9%)
Accor SA ............................................... 482 52,614
</TABLE>
139
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Air Liquide ............................................ 1,538 $ 211,359
Alcatel Alsthom Cie Generale d'Electricite SA .......... 3,490 295,295
Axa SA ................................................. 4,170 205,418
Canal Plus SA .......................................... 468 78,936
Carnaudmetalbox SA ..................................... 2,900 100,738
Carrefour Supermarche SA ............................... 650 271,362
Elf Aquitaine SA ....................................... 6,442 440,847
*Euro Disney SCA ........................................ 31,750 53,728
Financiere de Paribas SA Series A ...................... 2,939 209,105
Generale des Eaux ...................................... 2,438 233,939
Groupe Danone .......................................... 1,570 228,894
Havas SA ............................................... 1,436 116,936
L'Oreal ................................................ 1,250 271,037
LVMH (Louis Vuitton Moet Hennessy) ..................... 2,016 326,909
Lafarge Coppee SA ...................................... 2,028 154,999
Lyonnais des Eaux SA ................................... 1,444 130,101
Navigation Mixte SA .................................... 276 50,350
Pechiney International SA .............................. 1,600 48,201
Pernod-Ricard .......................................... 1,260 77,205
*Peugeot SA ............................................. 1,250 184,798
Saint-Gobain ........................................... 1,957 235,459
Sanofi SA .............................................. 1,808 89,736
Schneider SA ........................................... 1,240 89,815
Societe Generale Paris ................................. 1,941 220,539
Suez SA ................................................ 3,786 186,220
*Thomson CSF ............................................ 2,250 69,456
Total SA Series B ...................................... 4,939 309,336
------------------
TOTAL COMMON STOCKS
(Cost $4,561,046) ..................................... 4,943,332
------------------
INVESTMENT IN CURRENCY - (0.0%)
*French Francs (Cost $207) .............................. 215
------------------
RIGHTS/WARRANTS - (0.0%)
*Euro Disney SCA Warrants 07/11/04 ...................... 4,400 483
*Eurotunnel SA ESA EPLC Warrants 10/31/95 ............... 2,850 360
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 843
------------------
TOTAL - FRANCE
(Cost $4,561,253) ....................................... 4,944,390
------------------
GERMANY - (8.8%)
COMMON STOCKS - (8.8%) ..................................
BASF AG ................................................ 1,200 232,880
Bayer AG ............................................... 1,550 339,962
Bayerische Motorenwerke AG Bmw, Muenchen ............... 381 183,512
Commerzbank AG ......................................... 774 159,886
Daimler-Benz AG ........................................ 1,195 566,053
Deutsche Bank AG ....................................... 1,050 496,364
Dresdner Bank AG, Frankfurt ............................ 978 255,185
Hochtief AG ............................................ 151 89,107
Hoechst AG ............................................. 1,350 270,861
Mannesmann AG .......................................... 793 207,419
Muencher Rueckvericherungs Gesellschaft AG ............. 350 551,515
RWE AG ................................................. 975 281,148
Siemens AG ............................................. 1,250 486,842
*Thyssen AG ............................................. 650 115,901
Veba AG ................................................ 1,000 328,549
</TABLE>
140
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Viag AG ................................................ 475 $ 137,576
Volkswagen AG .......................................... 650 177,273
------------------
TOTAL COMMON STOCKS
(Cost $4,107,244) ....................................... 4,880,033
------------------
INVESTMENT IN CURRENCY - (0.0%)
*German Marks (Cost $533) ............................... 549
------------------
TOTAL - GERMANY
(Cost $4,107,777) ...................................... 4,880,582
------------------
SWITZERLAND - (6.6%)
COMMON STOCKS - (6.6%) ..................................
BBC Brown Boveri AG, Baden ............................. 186 156,240
CS Holding, Zuerich .................................... 675 286,302
Ciba-Geigy AG, Basel ................................... 623 362,515
Financiere Richemont AG
Units -A- ............................................ 86 82,106
Nestle SA, Cham et Vevey ............................... 858 797,778
Roche Holding AG, Basel ................................ 92 798,490
SBG (Schweizerische Bankgesellschaft) .................. 586 505,950
SBV (Schweizerischer Bankverein) ....................... 773 212,940
Sandoz AG, Basel ....................................... 825 424,642
------------------
TOTAL COMMON STOCKS (Cost $2,604,822) ..................... 3,626,963
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Swiss Francs (Cost $515) ............................... 596
------------------
RIGHTS/WARRANTS - (0.0%)
*Ciba-Geigy AG, Basel Warrants 06/06/95 (Cost $0) ....... 29 98
------------------
TOTAL - SWITZERLAND
(Cost $2,605,337) ....................................... 3,627,657
------------------
NETHERLANDS - (4.5%)
COMMON STOCKS - (4.4%) ..................................
Internationale Nederlanden Groep NV .................... 7,946 373,877
Royal Dutch Petroleum Co., Den Haag .................... 13,700 1,488,231
Unilever NV ............................................ 5,200 584,426
------------------
TOTAL COMMON STOCKS
(Cost $2,102,026) ...................................... 2,446,534
------------------
INVESTMENT IN CURRENCY - (0.1%)
*Netherlands Guilder
(Cost $27,970) ....................................... 27,964
------------------
TOTAL - NETHERLANDS (Cost $2,129,996) ..................... 2,474,498
------------------
AUSTRALIA - (3.9%)
COMMON STOCKS - (3.9%) ..................................
Amcor, Ltd. ............................................ 17,238 114,091
Australia & New Zealand Banking Group, Ltd ............. 25,438 77,526
BTR Nylex, Ltd. ........................................ 34,300 63,354
Boral, Ltd. ............................................ 30,800 79,408
Brambles Industries, Ltd. .............................. 3,919 37,641
Broken Hill Proprietary Co., Ltd. ...................... 47,048 676,371
</TABLE>
141
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
CRA, Ltd. .............................................. 14,000 $ 191,785
CSR, Ltd. .............................................. 15,722 53,844
Coles Myer, Ltd. ....................................... 38,478 122,893
Fosters Brewing Group, Ltd. ............................ 56,912 48,180
MIM Holdings, Ltd. ..................................... 45,554 85,192
National Australia Bank, Ltd ........................... 29,645 240,469
Pacific Dunlop, Ltd. ................................... 19,238 50,043
Western Mining Corp. Holdings, Ltd. .................... 29,047 165,425
Westpac Banking Corp. .................................. 44,844 144,951
------------------
TOTAL COMMON STOCKS (Cost $1,769,425) ..................... 2,151,173
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Australia Dollar (Cost $7,829) ......................... 8,176
------------------
TOTAL - AUSTRALIA (Cost $1,777,254) ....................... 2,159,349
------------------
ITALY - (2.5%)
COMMON STOCKS - (2.5%)
#Alleanza Assicurazioni SpA ............................. 8,750 83,317
Alleanza Assicurazioni SpA (Risp) ...................... 103 889
Assicurazioni Generali SpA, Trieste .................... 11,275 259,937
Banca Commerciale Italiana SpA ......................... 14,000 29,373
*Banca Nazionale dell'Agricoltura SpA ................... 3,000 5,041
Banca di Roma .......................................... 44,000 43,163
Banco Ambrosiano Veneto SpA ............................ 12,000 33,161
Credito Italiano ....................................... 39,000 38,451
*FERFIN (Ferruzzi Finanziaria SpA) ...................... 43,235 34,866
*Fiat SpA ............................................... 50,000 186,755
*Fondiaria SpA (Prima la Fondiara Cia di Assicurazionie e
Riassicurazioni SpA) ................................. 3,000 21,733
Gemina SpA, Milano ..................................... 20,000 16,711
Ifil Finanziaria Partecipazioni SpA, Torino ............ 8,000 28,668
Italcementi Fabbriche Riunite Cemento SpA, Bergamo ..... 1,500 9,544
*Montedison SpA ......................................... 99,000 71,137
RAS SpA (Riunione Adriatica di Sicurta) ................ 2,787 25,373
*RAS SpA (Riunione Adriatica di Sicurta) (Risp) ......... 338 1,730
SAI (Sta Assicuratrice Industriale SpA) ................ 2,000 22,392
Sirti SpA .............................................. 4,000 23,246
Stet SpA (Financiaria Telefonica Torino) ............... 58,000 168,535
Telecom Italia SpA ..................................... 96,740 250,868
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA ........................................... 1,000 14,451
------------------
TOTAL COMMON STOCKS (Cost $1,088,106) ..................... 1,369,341
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Italian Lira (Cost $3,088) ............................. 3,047
------------------
</TABLE>
142
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO --
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- -------------
<S> <C> <C>
RIGHTS/WARRANTS - (0.0%)
*RAS SpA (Riunione Adriatica di Sicurta) (Risp) Bonus Rights 12/16/94 ..... 338 $ 82
*RAS SpA (Riunione Adriatica di Sicurta) (Risp) Rights 12/16/94 ........... 2,787 1,656
*RAS SpA (Riunione Adriatica di Sicurta) Bonus Rights 12/16/94 ............ 338 208
*RAS SpA (Riunione Adriatica di Sicurta) Rights 12/16/94 .................. 2,787 3,683
-------------
TOTAL RIGHTS/WARRANTS (Cost $0) ............................................ 5,629
-------------
TOTAL - ITALY (Cost $1,091,194) ............................................. 1,378,017
-------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS - (3.4%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94 (Collateralized by
U.S. Treasury Bills 5.55%, 02/09/95) (Cost $1,909,000) .................... $1,909 1,909,000
-------------
TOTAL INVESTMENTS - (100.0%) (Cost $45,841,703) ............................. $55,331,124
=============
</TABLE>
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Securities on Loan
See accompanying Notes to Financial Statements
143
<PAGE>
SCHEDULES OF INVESTMENTS
THE DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
---------- --------------
<S> <C> <C>
Investment in The DFA International Value Series of The DFA
Investment Trust Company ................................. 11,224,186 $112,937,915
--------------
Total Investments (100%) (Cost $104,093,599) ............ $112,937,915
==============
</TABLE>
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
---------- --------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA
Investment Trust Company ............................................. 6,022,300 $592,285,633
--------------
Total Investments (100%) (Cost $598,923,407) ........................ $592,285,633
==============
</TABLE>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Face
Amount Value+
---------- ---------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - (97.2%)
U.S. Treasury Notes
8.875%, 11/15/97 ..................................................... $ 2,700 $ 2,787,328
6.000%, 11/30/97 ..................................................... 20,000 19,128,125
6.000%, 12/31/97 ..................................................... 2,000 1,910,313
5.625%, 01/31/98 ..................................................... 8,000 7,541,250
5.125%, 02/28/98 ..................................................... 9,000 8,344,688
5.125%, 03/31/98 ..................................................... 7,000 6,476,094
7.875%, 04/15/98 ..................................................... 5,000 5,025,781
5.125%, 04/30/98 ..................................................... 27,000 24,937,031
5.375%, 05/31/98 ..................................................... 37,000 34,369,531
5.125%, 06/30/98 ..................................................... 65,000 59,789,844
8.250%, 07/15/98 ..................................................... 25,000 25,394,531
5.250%, 07/31/98 ..................................................... 23,000 21,203,125
9.250%, 08/15/98 ..................................................... 11,000 11,524,218
4.750%, 08/31/98 ..................................................... 4,000 3,615,625
--------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $247,145,254) ................... 232,047,484
--------------
TEMPORARY CASH INVESTMENTS - (2.8%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94
(Collateralized by U.S. Treasury Bills 5.55%, 02/09/95)
(Cost $6,696,000) .................................................... 6,696 6,696,000
------------
TOTAL INVESTMENTS - (100.0%) (Cost $253,841,254) ...................... $238,743,484
============
</TABLE>
- ------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements
144
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA GLOBAL FIXED INCOME PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Face
Amount@
------------------
(000) Value+
------------------
<S> <C> <C>
CANADA - (18.9%)
BONDS - (18.9%)
Alberta Government Telephone Commission
9.600%, 07/07/98 ........................................ 4,000 $ 2,993,126
British Columbia (Province of)
7.000%, 03/02/98 ........................................ 5,000 3,475,382
Canada (Government of)
6.500%, 09/01/98 ........................................ 18,000 12,212,471
Export Development Corp.
6.625%, 08/12/98 ........................................ 9,000 6,073,559
------------------
TOTAL BONDS (Cost $25,484,092) ............................ 24,754,538
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Canadian Dollars (Cost $275) ............................ 271
------------------
TOTAL - CANADA (Cost $25,484,367) ......................... 24,754,809
------------------
UNITED KINGDOM - (18.5%)
BONDS - (18.5%)
Austria (Republic of) ...................................
10.375%, 03/29/99 ....................................... 2,000 3,305,315
British Gas P.L.C. ......................................
7.625%, 03/31/00 ........................................ 4,000 6,001,657
*British Telecommunications P.L.C. .......................
0.00%, 02/15/00 ......................................... 6,000 6,006,553
European Investment Bank ................................
7.000%, 12/22/98 ........................................ 3,000 4,454,247
Guaranteed Export Finance Corp. P.L.C. .................
7.250%, 12/15/98 ........................................ 3,000 4,480,682
------------------
TOTAL - UNITED KINGDOM (Cost $24,437,415) ................. 24,248,454
------------------
JAPAN - (17.4%)
BONDS - (17.4%)
Belgium (Kingdom of)
5.000%, 12/17/99 ........................................ 400,000 4,156,552
European Investment Bank
6.625%, 03/15/00 ........................................ 200,000 2,229,388
Inter-American Development Bank
7.250%, 05/15/00 ........................................ 400,000 4,582,701
SNCF (Societe Nationale des Chemins de Fer Francais)
6.750%, 03/01/00 ........................................ 500,000 5,590,860
World Bank (International Bank for Reconstruction and
Development)
4.500%, 06/20/00 ........................................ 600,000 6,115,326
------------------
TOTAL BONDS (Cost $21,688,174) ............................ 22,674,827
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Japanese Yen (Cost $322) ................................ 323
------------------
TOTAL - JAPAN (Cost $21,688,496) .......................... 22,675,150
------------------
GERMANY - (17.0%)
BONDS - (17.0%)
European Economic Community
6.500%, 03/10/00 ....................................... 9,000 5,610,649
</TABLE>
145
<PAGE>
THE DFA GLLOBAL FIXED INCOME PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
------------------ ------------------
(000)
<S> <C> <C>
Germany (Federal Republic of)
9.000%, 10/20/00 ....................................... 24,000 $ 16,622,025
------------------
TOTAL BONDS (Cost $22,142,755) ............................ 22,232,674
------------------
INVESTMENT IN CURRENCY - (0.0%)
*German Marks (Cost $2,350) .............................. 2,242
------------------
TOTAL - GERMANY (Cost $22,145,105) ........................ 22,234,916
------------------
AUSTRALIA - (9.8%)
BONDS - (9.8%)
New South Wales Treasury Corp.
12.500%, 04/01/97 ....................................... 2,000 1,615,860
11.500%, 07/01/99 ....................................... 6,000 4,789,583
Queensland Treasury Corp.
8.000%, 05/14/97 ........................................ 2,000 1,472,888
8.000%, 07/14/99 ........................................ 7,000 4,907,655
------------------
TOTAL - AUSTRALIA (Cost $13,119,421) ...................... 12,785,986
------------------
FRANCE - (9.7%)
BONDS - (9.7%)
Eurofima (Societe Europeene pour le Financement de
Materiel Fer roviaire)
9.875%, 08/21/00 ........................................ 32,000 6,504,887
France (Treasury of)
10.000%, 05/27/00 ....................................... 30,000 6,171,554
------------------
TOTAL BONDS (Cost $12,855,416) ............................ 12,676,441
------------------
INVESTMENT IN CURRENCY - (0.0%)
*French Francs (Cost $1,713) ............................. 1,704
------------------
TOTAL - FRANCE (Cost $12,857,129) ......................... 12,678,145
------------------
U.S. TREASURY OBLIGATIONS - (5.7%)
U.S. Treasury Notes
5.125%, 03/31/98 ........................................ 3,000 2,775,469
5.125%, 04/30/98 ........................................ 3,000 2,770,781
5.375%, 05/31/98 ........................................ 2,000 1,857,813
------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,718,417) ......... 7,404,063
------------------
TEMPORARY CASH INVESTMENTS - (3.0%)
Repurchase Agreement, PNC Securities Corp. 5.50%,
12/01/94 (Collateralized by U.S. Treasury Bills 5.55%,
02/09/95) (Cost $3,980,000) ............................. 3,980 3,980,000
------------------
TOTAL INVESTMENTS - (100.0%) (Cost $131,430,350) .......... $130,761,523
==================
</TABLE>
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
@ Denominated in Local Currency
See accompanying Notes to Financial Statements
146
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Face
Amount Value+
------ ------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - (57.9%)
U.S. Treasury Bonds
11.750%, 02/15/01 ........................................ $3,000 $ 3,576,564
13.125%, 05/15/01 ........................................ 4,500 5,691,798
13.375%, 08/15/01 ........................................ 2,000 2,568,126
15.750%, 11/15/01 ........................................ 3,500 4,961,796
14.250%, 02/15/02 ........................................ 750 1,009,805
11.625%, 11/15/02 ........................................ 2,500 3,048,438
10.750%, 08/15/05 ........................................ 4,000 4,791,252
U.S. Treasury Notes .......................................
8.500%, 02/15/00 ......................................... 5,000 5,150,000
5.500%, 04/15/00 ......................................... 2,000 1,799,376
8.875%, 05/15/00 ......................................... 1,000 1,048,125
6.250%, 02/15/03 ......................................... 1,000 902,500
------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $36,270,556) ........ 34,547,780
------------------
AGENCY OBLIGATIONS - (36.2%)
Farm Credit System Financial Assistance Corp.
9.375%, 07/21/03 ......................................... 2,000 2,161,250
8.800%, 06/10/05 ......................................... 1,000 1,037,188
Federal Home Loan Bank
8.600%, 01/25/00 ......................................... 3,800 3,955,564
5.440%, 10/15/03 ......................................... 2,000 1,660,626
Federal National Mortgage Association
8.350%, 11/10/99 ......................................... 7,500 7,589,062
8.900%, 06/12/00 ......................................... 4,000 4,190,000
8.250%, 12/18/00 ......................................... 1,000 1,012,813
------------------
TOTAL AGENCY OBLIGATIONS (Cost $22,389,135) ............... 21,606,503
------------------
TEMPORARY CASH INVESTMENTS - (4.2%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94
(Collateralized by U.S. Treasury Bills 5.55%, 02/09/95)
(Cost $2,513,000) ........................................ 2,513 2,513,000
------------------
SUPRANATIONAL OBLIGATIONS - (1.7%)
European Investment Bank
9.125%, 06/01/02 (Cost $1,142,418) ....................... 1,000 1,047,535
------------------
TOTAL INVESTMENTS - (100.0%) (Cost $62,315,109) ........... $59,714,818
==================
</TABLE>
- ------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements
147
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S.
9-10 Small 6-10 Small Large
Company Company Company
Portfolio Portfolio Portfolio
------------ ------------ -----------
(Amounts in thousands, except share
amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 665,723 $ 112,184 $ 48,657
Receivables
Dividends and Interest .................. 443 -- --
Investment Securities Sold .............. 389 -- --
Fund Shares Sold ........................ 256 -- 70
Prepaid Expenses and Other Assets ............ 24 4 3
------------ ------------ -----------
Total Assets ............................. 666,835 112,188 48,730
------------ ------------ -----------
LIABILITIES:
Payable for Investment Securities Purchased .. 2,258 -- 70
Payable for Fund Shares Redeemed ............. 4,840 -- --
Accrued Expenses and Other Liabilities ....... 516 51 22
------------ ------------ -----------
Total Liabilities ........................ 7,614 51 92
------------ ------------ -----------
NET ASSETS ................................... $ 659,221 $ 112,137 $ 48,638
============ ============ ===========
SHARES OUTSTANDING, $.01 PAR VALUE ........... 77,609,713 10,118,161 3,582,209
============ ============ ===========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 8.49 $ 11.08 $ 13.58
============ ============ ===========
PUBLIC OFFERING PRICE PER SHARE .............. $ 8.49 $ 11.08 $ 13.58
============ ============ ===========
Investments at Cost .......................... $ 604,661 $ 96,065 $ 42,599
============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
The U.S. The U.S. The DFA/AEW
Small Large Real Estate
Cap Value Cap Value Securities
Portfolio Portfolio Portfolio
------------ ------------ -------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 344,218 $ 197,564 $ 30,437
Receivables
Dividends and Interest .................. -- -- 78
Investment Securities Sold .............. 10 -- 5
Fund Shares Sold ........................ 700 946 10
Prepaid Expenses and Other Assets ............ 28 35 10
------------ ------------ -------------
Total Assets ............................. 344,956 198,545 30,540
------------ ------------ -------------
LIABILITIES:
Payable for Investment Securities Purchased .. 700 942 53
Payable for Fund Shares Redeemed ............. 10 4 --
Accrued Expenses and Other Liabilities ....... 98 33 31
------------ ------------ -------------
Total Liabilities ........................ 808 979 84
------------ ------------ -------------
NET ASSETS ................................... $ 344,148 $ 197,566 $ 30,456
============ ============ =============
SHARES OUTSTANDING, $.01 PAR VALUE ........... 30,925,489 19,931,728 3,283,355
============ ============ =============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 11.13 $ 9.91 $ 9.28
============ ============ =============
PUBLIC OFFERING PRICE PER SHARE .............. $ 11.13 $ 9.91 $ 9.28
============ ============ =============
Investments at Cost .......................... $ 345,657 $ 206,177 $ 33,517
============ ============ =============
</TABLE>
See accompanying Notes to Financial Statements
148
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The
The Japanese Pacific Rim The United
Small Small Kingdom
Company Company Small Company
Portfolio Portfolio Portfolio
-------------- ------------- ---------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 348,350 $ 212,682 $ 214,832
Cash ......................................... 157 27 18
Receivables
Dividends and Interest .................. 591 250 716
Investment Securities Sold .............. 548 825 304
Fund Shares Sold ........................ 606 107 128
Prepaid Expenses and Other Assets ............ 5 10 4
-------------- ------------- ---------------
Total Assets ............................. 350,257 213,901 216,002
-------------- ------------- ---------------
LIABILITIES:
Payable for Investment Securities Purchased .. 19,308 697 1,713
Payable for Fund Shares Redeemed ............. 13 15 1
Accrued Expenses and Other Liabilities ....... 262 236 175
-------------- ------------- ---------------
Total Liabilities ........................ 19,583 948 1,889
-------------- ------------- ---------------
NET ASSETS ................................... $ 330,674 $ 212,953 $ 214,113
============== ============= ===============
SHARES OUTSTANDING, $.01 PAR VALUE ........... 13,192,705 13,328,843 9,230,699
============== ============= ===============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 25.06 $ 15.98 $ 23.20
============== ============= ===============
PUBLIC OFFERING PRICE PER SHARE .............. $ 25.31 $ 16.22 $ 23.55
============== ============= ===============
Investments at Cost .......................... $ 321,589 $ 178,336 $ 207,832
============== ============= ===============
</TABLE>
<TABLE>
<CAPTION>
The
The Continental The
Emerging Small Large Cap
Markets Company International
Portfolio Portfolio Portfolio
----------- ------------- ---------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 15,696 $ 347,865 $ 55,331
Cash ......................................... -- 17 15
Receivables
Dividends and Interest .................. -- 2,652 262
Investment Securities Sold .............. -- 852 1
Fund Shares Sold ........................ 17 331 46
Prepaid Expenses and Other Assets ............ 30 15 24
----------- ------------- ---------------
Total Assets ............................. 15,743 351,732 55,679
----------- ------------- ---------------
LIABILITIES:
Payable for Investment Securities Purchased .. -- 10,454 --
Payable for Fund Shares Redeemed ............. -- 12 --
Accrued Expenses and Other Liabilities ....... 12 274 44
----------- ------------- ---------------
Total Liabilities ........................ 12 10,740 44
----------- ------------- ---------------
NET ASSETS ................................... $ 15,731 $ 340,992 $ 55,635
=========== ============= ===============
SHARES OUTSTANDING, $.01 PAR VALUE ........... 1,392,139 23,306,643 4,670,224
=========== ============= ===============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 11.30 $ 14.63 $ 11.91
=========== ============= ===============
PUBLIC OFFERING PRICE PER SHARE .............. $ 11.47 $ 14.85 $ 11.91
=========== ============= ===============
Investments at Cost .......................... $ 15,243 $ 311,122 $ 45,842
=========== ============= ===============
</TABLE>
See accompanying Notes to Financial Statements
149
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The DFA
International The DFA The DFA
High Book One-Year Five-Year
to Market Fixed Income Government
Portfolio Portfolio Portfolio
--------------- -------------- ------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 112,938 $ 592,286 $ 238,743
Receivables
Dividends and Interest .................. -- -- 3,491
Investment Securities Sold .............. -- 1,080 7,328
Fund Shares Sold ........................ 174 1,029 682
Prepaid Expenses and Other Assets ............ 43 3 34
--------------- -------------- ------------
Total Assets ............................. 113,155 594,398 250,278
--------------- -------------- ------------
LIABILITIES:
Payable for Investment Securities Purchased .. 149 -- --
Payable for Fund Shares Redeemed ............. 26 2,109 14,657
Accrued Expenses and Other Liabilities ....... 28 63 67
--------------- -------------- ------------
Total Liabilities ........................ 203 2,172 14,724
--------------- -------------- ------------
NET ASSETS ................................... $ 112,952 $ 592,226 $ 235,554
=============== ============== ============
SHARES OUTSTANDING, $.01 PAR VALUE ........... 9,869,671 5,891,439 2,416,877
=============== ============== ============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 11.44 $ 100.52 $ 97.46
=============== ============== ============
PUBLIC OFFERING PRICE PER SHARE .............. $ 11.44 $ 100.52 $ 97.46
=============== ============== ============
Investments at Cost .......................... $ 104,094 $ 598,924 $ 253,841
=============== ============== ============
</TABLE>
<TABLE>
<CAPTION>
The DFA
The DFA Intermediate
Global Government
Fixed Income Fixed Income
Portfolio Portfolio
-------------- --------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ................................ $ 130,761 $ 59,715
Cash ................................................ 3 --
Receivables
Dividends and Interest ......................... 3,858 1,089
Fund Shares Sold ............................... 471 53
Prepaid Expenses and Other Assets ................... 10 5
Unrealized Gain on Forward Foreign Currency Contracts 546 --
-------------- --------------
Total Assets .................................... 135,649 60,862
-------------- --------------
LIABILITIES:
Payable for Fund Shares Redeemed .................... 38 16
Accrued Expenses and Other Liabilities .............. 82 19
-------------- --------------
Total Liabilities ............................... 120 35
-------------- --------------
NET ASSETS .......................................... $ 135,529 $ 60,827
============== ==============
SHARES OUTSTANDING, $.01 PAR VALUE .................. 1,381,397 595,304
============== ==============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE ...... $ 98.11 $ 102.18
============== ==============
PUBLIC OFFERING PRICE PER SHARE ..................... $ 98.11 $ 102.18
============== ==============
Investments at Cost ................................. $ 131,430 $ 62,315
============== ==============
</TABLE>
See accompanying Notes to Financial Statements
150
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S.
9-10 Small 6-10 Small Large
Company Company Company
Portfolio Portfolio Portfolio
------------ ------------ -----------
(000) (000) (000)
<S> <C> <C> <C>
Investment Income
Dividends ....................................... $ 4,969 $ 3,124 $1,285
Interest ........................................ 469 -- --
------------ ------------ -----------
Total Investment Income ...................... 5,438 3,124 1,285
------------ ------------ -----------
Expenses
Investment Advisory Services .................... 3,337 -- --
Administrative Services ......................... -- 398 93
Accounting & Transfer Agent Fees ................ 580 19 19
Custodian's Fee ................................. 127 -- --
Legal Fees ...................................... 124 3 3
Audit Fees ...................................... 43 4 4
Filing Fees ..................................... 49 11 19
Shareholders' Reports ........................... 38 1 2
Directors' Fees and Expenses .................... 33 2 2
Other ........................................... 28 6 2
------------ ------------ -----------
Total Expenses ............................... 4,359 444 144
Less: Expenses Reimbursed ....................... -- -- (51)
------------ ------------ -----------
Net Expenses .................................... 4,359 444 93
------------ ------------ -----------
Net Investment Income ........................... 1,079 2,680 1,192
------------ ------------ -----------
Net Realized and Unrealized Gain (Loss) on
Investments
Net Realized Gain (Loss) on Investment
Securities ...................................... (5,176) 9,722 (79)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ........................... 36,497 (11,694) (712)
------------ ------------ -----------
Net Gain (Loss) on Investment Securities ........ 31,321 (1,972) (791)
------------ ------------ -----------
Net Increase in Net Assets Resulting from
Operations ...................................... $32,400 $ 708 $ 401
============ ============ ===========
</TABLE>
See accompanying Notes to Financial Statements
151
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The U.S. The U.S. The DFA/AEW
Small Cap Large Cap Real Estate
Value Value Securities
Portfolio Portfolio Portfolio
----------- ----------- -------------
(000) (000) (000)
<S> <C> <C> <C>
Investment Income
Dividends ....................................... $ 4,628 $ 5,288 $ 1,286
Interest ........................................ -- -- 37
----------- ----------- -------------
Total Investment Income ...................... 4,628 5,288 1,323
----------- ----------- -------------
Expenses
Investment Advisory Services .................... -- -- 138
Administrative Services ......................... 684 213 --
Accounting & Transfer Agent Fees ................ 19 19 66
Custodian's Fee ................................. -- -- 4
Legal Fees ...................................... 3 3 7
Audit Fees ...................................... 4 4 5
Filing Fees ..................................... 54 59 12
Shareholders' Reports ........................... 1 1 4
Directors' Fees and Expenses .................... 2 2 4
Other ........................................... 8 10 7
----------- ----------- -------------
Total Expenses ............................... 775 311 247
----------- ----------- -------------
Net Investment Income ........................... 3,853 4,977 1,076
----------- ----------- -------------
Net Realized and Unrealized Gain (Loss) on
Investments
Net Realized Loss on Investments Securities ....... (58) (287) (1,018)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ........................... (9,476) (10,672) (3,869)
----------- ----------- -------------
Net Loss on Investment Securities ............... (9,534) (10,959) (4,887)
----------- ----------- -------------
Net Decrease in Net Assets Resulting from
Operations ...................................... $(5,681) $ (5,982) $(3,811)
=========== =========== =============
</TABLE>
See accompanying Notes to Financial Statements
152
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The United
The Japanese The Pacific Kingdom
Small Rim Small Small
Company Company Company
Portfolio Portfolio Portfolio
-------------- ------------- ------------
(000) (000) (000)
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes Withheld of
$286,215, $191,389 and $921,146, respectively) $ 1,622 $ 4,487 $ 5,430
Interest ......................................... 155 140 180
Income from Securities Lending ................... 800 19 --
-------------- ------------- ------------
Total Investment Income ....................... 2,577 4,646 5,610
-------------- ------------- ------------
Expenses
Investment Advisory Services ..................... 1,500 962 1,044
Accounting & Transfer Agent Fees ................. 367 244 264
Custodian's Fee .................................. 225 477 99
Legal Fees ....................................... 31 23 25
Audit Fees ....................................... 22 17 18
Filing Fees ...................................... 58 13 23
Shareholders' Reports ............................ 22 15 16
Directors' Fees and Expenses ..................... 16 13 14
Other ............................................ 45 58 36
-------------- ------------- ------------
Total Expenses ................................ 2,286 1,822 1,539
-------------- ------------- ------------
Net Investment Income ............................ 291 2,824 4,071
-------------- ------------- ------------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Net Realized Gain on Investment Securities ......... 7,526 13,511 5,982
Net Realized Gain (Loss)on Foreign Currency
Transactions ..................................... 104 (29) 241
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ....... 53,458 (10,031) 10,476
Translation of Foreign Currency Denominated
Amounts ....................................... 29 (3) (9)
-------------- ------------- ------------
Net Gain on Investment Securities and Foreign
Currency ...................................... 61,117 3,448 16,690
-------------- ------------- ------------
Net Increase in Net Assets Resulting from Operations $61,408 $ 6,272 $20,761
============== ============= ============
</TABLE>
See accompanying Notes to Financial Statements
153
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR (OR PERIOD) ENDED NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The
The Continental The
Emerging Small Large Cap
Markets Company International
Portfolio(1) Portfolio Portfolio
------------ ------------- ---------------
(000) (000) (000)
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0,
$632,707 and $110,117, respectively) .......... $ -- $ 6,035 $ 989
Interest ......................................... -- 372 96
Income from Securities Lending ................... -- 61 3
Net Investment Income from the DFA Investment
Trust Company ................................. 32 -- --
------------ ------------- ---------------
Total Investment Income ....................... 32 6,468 1,088
------------ ------------- ---------------
Expenses
Investment Advisory Services ..................... -- 1,627 148
Administrative Services .......................... 23 -- --
Accounting & Transfer Agent Fees ................. 23 390 89
Custodian's Fee .................................. -- 312 63
Legal Fees ....................................... 3 36 11
Audit Fees ....................................... 2 27 8
Filing Fees ...................................... -- 45 43
Shareholders' Reports ............................ 1 23 7
Directors' Fees and Expenses ..................... 2 20 6
Other ............................................ 3 37 15
------------ ------------- ---------------
Total Expenses ................................ 57 2,517 390
------------ ------------- ---------------
Net Investment Income (Loss) ..................... (25) 3,951 698
------------ ------------- ---------------
Net Realized and Unrealized Gain (Loss) on
Investment and Foreign Currency
Net Realized Gain on Investment Securities ......... 20 373 2,920
Net Realized Gain (Loss) on Foreign Currency
Transactions ..................................... (7) 160 (253)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ....... 453 42,265 5,619
Translation of Foreign Currency Denominated
Amounts ....................................... 1 232 1
------------ ------------- ---------------
Net Gain on Investment Securities and Foreign
Currency ...................................... 467 43,030 8,287
------------ ------------- ---------------
Net Increase in Net Assets Resulting from Operations $442 $46,981 $8,985
============ ============= ===============
</TABLE>
(1) For the period April 25, (commencement of operations) to November 30, 1994.
See accompanying Notes to Financial Statements
154
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The DFA
International The DFA The DFA
High Book One-Year Five-Year
to Market Fixed Income Government
Portfolio Portfolio Portfolio
--------------- -------------- ------------
(000) (000) (000)
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes Withheld of
$20,180, $0 and $0, respectively) ............. $ 1,594 $ 28,487 $ --
Interest ......................................... 20 - 11,509
--------------- -------------- ------------
Total Investment Income ....................... 1,614 28,487 11,509
--------------- -------------- ------------
Expenses
Investment Advisory Services ..................... 156 -- 427
Administrative Services .......................... 63 621 --
Accounting & Transfer Agent Fees ................. 36 19 92
Custodian's Fee .................................. 14 -- 26
Legal Fees ....................................... 5 3 8
Audit Fees ....................................... 4 4 6
Filing Fees ...................................... 20 75 65
Shareholders' Reports ............................ 1 1 22
Directors' Fees and Expenses ..................... 1 1 4
Other ............................................ 19 3 3
--------------- -------------- ------------
Total Expenses ................................ 319 727 653
Less: Fees Waived ................................ (9) -- --
--------------- -------------- ------------
Net Expenses ..................................... 310 727 653
--------------- -------------- ------------
Net Investment Income ............................ 1,304 27,760 10,856
--------------- -------------- ------------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Net Realized Loss on Investment Securities ......... (87) (1,304) (2,385)
Net Realized Gain on Foreign Currency Transactions . 3 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ....... 9,498 (11,577) (15,321)
Translation of Foreign Currency Denominated
Amounts ....................................... 1 -- --
--------------- -------------- ------------
Net Gain (Loss) on Investment Securities and
Foreign Currency .............................. 9,415 (12,881) (17,706)
--------------- -------------- ------------
Net Increase (Decrease) in Net Assets Resulting from
Operations ....................................... $10,719 $ 14,879 $ (6,850)
=============== ============== ============
</TABLE>
See accompanying Notes to Financial Statements
155
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The DFA
The DFA Intermediate
Global Government
Fixed Income Fixed Income
Portfolio Portfolio
-------------- --------------
(000) (000)
<S> <C> <C>
Investment Income
Interest ......................................... $ 7,766 $ 3,958
-------------- --------------
Expenses
Investment Advisory Services ..................... 311 88
Accounting & Transfer Agent Fees ................. 160 37
Custodian's Fee .................................. 40 7
Legal Fees ....................................... 14 5
Audit Fees ....................................... 10 3
Filing Fees ...................................... 43 16
Shareholders' Reports ............................ 9 2
Directors' Fees and Expenses ..................... 8 2
Other ............................................ 11 8
-------------- --------------
Total Expenses ................................ 606 168
-------------- --------------
Net Investment Income ............................ 7,160 3,790
-------------- --------------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Net Realized Gain (Loss) on Investment Securities .. (5,468) 17
Net Realized Loss on Foreign Currency Transactions . (2,805) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ....... (2,230) (6,528)
Translation of Foreign Currency Denominated
Amounts ....................................... 138 --
-------------- --------------
Net Loss on Investment Securities and Foreign
Currency ...................................... (10,365) (6,511)
-------------- --------------
Net Decrease in Net Assets Resulting from Operations $ (3,205) $(2,721)
============== ==============
</TABLE>
See accompanying Notes to Financial Statements
156
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
The U.S. 9-10 The U.S. 6-10 The U.S.
Small Company Small Company Large Company
Portfolio Portfolio Portfolio
----------------------- ---------------------- ----------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1994 1993 1994 1993 1994 1993
---------- ----------- ---------- ---------- ---------- ----------
(000) (000) (000) (000) (000) (000)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ........... $ 1,079 $ 1,611 $ 2,680 $ 2,913 $ 1,192 $ 907
Net Realized Gain (Loss) on
Investment Securities .......... (5,176) 50,931 9,722 1,603 (79) 200
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities ..................... 36,497 82,770 (11,694) 15,277 (712) 1,960
---------- ----------- ---------- ---------- ---------- ----------
Net Increase in Net Assets
Resulting from Operations.... 32,400 135,312 708 19,793 401 3,067
---------- ----------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income ........... (2,008) (3,710) (2,732) (3,398) (1,195) (1,115)
Net Realized Gain ............... (42,251) (59,328) (1,158) (1,860) (302) -
---------- ----------- ---------- ---------- ---------- ----------
Total Distributions ............ (44,259) (63,038) (3,890) (5,258) (1,497) (1,115)
---------- ----------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued ................... 59,828 60,593 17,429 25,673 19,913 31,952
Shares Issued in Lieu of Cash
Distributions .................. 41,874 59,618 2,701 3,864 1,385 1,082
Shares Redeemed ................. (61,540) (212,880) (41,674) (41,627) (9,394) (32,064)
---------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) From
Capital Share Transactions... 40,162 (92,669) (21,544) (12,090) 11,904 970
---------- ----------- ---------- ---------- ---------- ----------
Total Increase (Decrease) ...... 28,303 (20,395) (24,726) 2,445 10,808 2,922
Net Assets ..........................
Beginning of Period ............. 630,918 651,313 136,863 134,418 37,830 34,908
---------- ----------- ---------- ---------- ---------- ----------
End of Period ................... $659,221 $ 630,918 $112,137 $136,863 $48,638 $ 37,830
========== =========== ========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued ..................... 7,035 7,631 1,488 2,511 1,439 2,378
Shares Issued in Lieu of Cash
Distributions ................... 5,184 8,223 243 198 101 80
Shares Redeemed ................... (7,182) (27,328) (3,586) (3,726) (677) (2,400)
---------- ----------- ---------- ---------- ---------- ----------
5,037 (11,474) (1,855) (1,017) 863 58
========== =========== ========== ========== ========== ==========
</TABLE>
See accompanying Notes to Financial Statements
157
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
The DFA/AEW
The U.S. Small The U.S. Large Real Estate
Cap Value Cap Value Securities
Portfolio Portfolio Portfolio
---------------------- ---------------------- ----------------------
Year March 2 Year Feb. 19 Year Jan. 5
Ended to Ended to Ended to
Nov.30, Nov.30, Nov.30, Nov.30, Nov.30, Nov.30,
1994 1993 1994 1993 1994 1993
---------- --------- ---------- --------- --------- ---------
(000) (000) (000) (000) (000) (000)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............ $ 3,853 $ 927 $ 4,977 $ 1,453 $ 1,076 $ 387
Net Realized Gain (Loss) on
Investment Securities ........... (58) 14 (287) (3) (1,018) (12)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities ...................... (9,476) 8,037 (10,672) 2,059 (3,869) 789
---------- --------- ---------- --------- --------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations .................. (5,681) 8,978 (5,982) 3,509 (3,811) 1,164
---------- --------- ---------- --------- --------- ---------
Distributions From:
Net Investment Income ............ (3,912) (848) (5,021) (1,393) (819) (373)
Net Realized Gain ................ (18) - - - - -
Tax Return of Capital ............ - - - - (223) -
---------- --------- ---------- --------- --------- ---------
Total Distributions ............. (3,930) (848) (5,021) (1,393) (1,042) (373)
---------- --------- ---------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued .................... 270,394 87,911 131,587 88,330 14,934 21,050
Shares Issued in Lieu of Cash
Distributions ................... 2,989 421 4,262 1,080 956 359
Shares Redeemed .................. (15,306) (780) (17,568) (1,238) (2,687) (94)
---------- --------- ---------- --------- --------- ---------
Net Increase From Capital Share
Transactions ................ 258,077 87,552 118,281 88,172 13,203 21,315
---------- --------- ---------- --------- --------- ---------
Total Increase .................. 248,466 95,682 107,278 90,288 8,350 22,106
---------- --------- ---------- --------- --------- ---------
Net Assets ...........................
Beginning of Period .............. 95,682 - 90,288 - 22,106 -
---------- --------- ---------- --------- --------- ---------
End of Period .................... $344,148 $95,682 $197,566 $90,288 $30,456 $22,106
========== ========= ========== ========= ========= =========
(1) Shares Issued and Redeemed:
Shares Issued ...................... 23,309 8,701 12,672 8,535 1,410 2,000
Shares Issued in Lieu of Cash
Distributions .................. 271 38 418 102 102 33
Shares Redeemed .................... (1,320) (73) (1,678) (117) (253) (9)
---------- --------- ---------- --------- --------- ---------
22,260 8,666 11,412 8,520 1,259 2,024
========== ========= ========== ========= ========= =========
</TABLE>
See accompanying Notes to Financial Statements
158
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
The Japanese The Pacific Rim The United Kingdom
Small Company Small Company Small Company
Portfolio Portfolio Portfolio
----------------------- ----------------------- -----------------------
Year Year Year Jan. 5 Year Year
Ended Ended Ended to Ended Ended
Nov.30, Nov.30, Nov.30, Nov.30, Nov.30, Nov.30,
1994 1993 1994 1993 1994 1993
---------- ---------- ---------- ---------- ---------- ----------
(000) (000) (000) (000) (000) (000)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ........... $ 291 $ 145 $ 2,824 $ 1,062 $ 4,071 $ 3,664
Net Realized Gain (Loss) on
Investment Securities .......... 7,526 6,962 13,511 885 5,982 (4,278)
Net Realized Gain (Loss) on
Foreign Currency Transactions .. 104 148 (29) (69) 241 (171)
Change in Unrealized Appreciation
(Depreciation) of: Investment
Securities and Foreign Currency 53,458 (2,725) (10,031) 44,377 10,476 45,602
Translation of Foreign Currency
Denominated Amounts ........ 29 (4) (3) - (9) 62
---------- ---------- ---------- ---------- ---------- ----------
Net Increase in Net Assets
Resulting from Operations .. 61,408 4,526 6,272 46,255 20,761 44,879
---------- ---------- ---------- ---------- ---------- ----------
Distributions From:
Net Investment Income ........... (476) (421) (2,873) (890) (4,712) (7,385)
Net Realized Gain ............... (7,597) (5,822) (11,598) (297) - -
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions ............ (8,073) (6,243) (14,471) (1,187) (4,712) (7,385)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued .................... 92,490 88,539 49,088 119,681 29,201 23,134
Shares Issued in Lieu of Cash
Distributions .................. 8,055 6,243 14,471 1,187 4,712 7,385
Shares Redeemed ................. (32,450) (23,713) (7,030) (1,313) (17,638) (7,310)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase From Capital Share
Transactions ............... 68,095 71,069 56,529 119,555 16,275 23,209
---------- ---------- ---------- ---------- ---------- ----------
Total Increase .................. 121,430 69,352 48,330 164,623 32,324 60,703
Net Assets ..........................
Beginning of Period ............. 209,244 139,892 164,623 - 181,789 121,086
---------- ---------- ---------- ---------- ---------- ----------
End of Period ................... $330,674 $209,244 $212,953 $164,623 $214,113 $181,789
========== ========== ========== ========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued ..................... 3,540 3,708 2,819 12,501 1,191 1,124
Shares Issued in Lieu of Cash
Distributions ................... 363 310 900 73 207 405
Shares Redeemed ................... (1,191) (930) (395) (2,569) (734) (355)
---------- ---------- ---------- ---------- ---------- ----------
2,712 3,088 3,324 10,005 664 1,174
========== ========== ========== ========== ========== ==========
</TABLE>
See accompanying Notes to Financial Statements
159
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
The
Emerging The Continental The Large Cap
Markets Small Company International
Portfolio Portfolio Portfolio
----------- ------------------------ -----------------------
April 25 Year Year Year Year
to Ended Ended Ended Ended
Nov.30, Nov.30, Nov.30, Nov.30, Nov.30,
1994 1994 1993 1994 1993
----------- ---------- ---------- ---------- ---------
(000) (000) (000) (000) (000)
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) ............. $ 25) $ 3,951 $ 3,710 $ 698 $ 1,023
Net Realized Gain (Loss) on Investment
Securities .............................. 20 373 1,879 2,920 (8)
Net Realized Gain (Loss) on Foreign
Currency Transactions .................... (7) 160 (735) (253) (39)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities
and Foreign Currency .................... 453 42,265 26,446 5,619 5,174
Translation of Foreign Currency
Denominated Amounts ................. 1 232 (134) 1 6
----------- ---------- ---------- ---------- ---------
Net Increase in Net Assets Resulting from
Operations .......................... 442 46,981 31,166 8,985 6,156
----------- ---------- ---------- ---------- ---------
Distributions From:
Net Investment Income .................... - (4,700) (8,025) (442) (1,216)
Net Realized Gain ........................ - (1,249) (415) (2,062) (13)
Tax Return of Capital .................... - (247) - - -
----------- ---------- ---------- ---------- ---------
Total Distributions ..................... - (6,196) (8,440) (2,504) (1,229)
----------- ---------- ---------- ---------- ---------
Capital Share Transactions (1):
Shares Issued ............................ 15,458 53,091 44,199 27,006 52,773
Shares Issued in Lieu of Cash Distributions - 6,196 8,440 2,504 1,229
Shares Redeemed .......................... (169) (25,255) (6,035) (58,828) (6,498)
----------- ---------- ---------- ---------- ---------
Net Increase (Decrease) From Capital
Share Transactions .................. 15,289 34,032 46,604 (29,318) 47,504
----------- ---------- ---------- ---------- ---------
Total Increase (Decrease) ............... 15,731 74,817 69,330 (22,837) 52,431
Net Assets
Beginning of Period ...................... - 266,175 196,845 78,472 26,041
----------- ---------- ---------- ---------- ---------
End of Period ............................ $15,731 $340,992 $266,175 $ 55,635 $78,472
=========== ========== ========== ========== =========
(1) Shares Issued and Redeemed:
Shares Issued .............................. 1,406 3,469 3,601 2,184 4,743
Shares Issued in Lieu of Cash Distributions - 436 731 213 109
Shares Redeemed ............................ (14) (1,696) (516) (4,696) (585)
----------- ---------- ---------- ---------- ---------
1,392 2,209 3,816 (2,299) 4,267
=========== ========== ========== ========== =========
</TABLE>
See accompanying Notes to Financial Statements
160
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
The DFA
International The DFA One-Year The DFA Five-Year
High Book to Market Fixed Income Government
Portfolio Portfolio Portfolio
---------------------- ------------------------ ----------------------
Year June 10 Year Year Year Year
Ended to Ended Ended Ended Ended
Nov.30, Nov. 30 Nov.30, Nov.30, Nov.30, Nov.30,
1994 1993 1994 1993 1994 1993
---------- --------- ----------- ----------- ---------- ----------
(000) (000) (000) (000) (000) (000)
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .......... $ 1,304 $ 362 $ 27,760 $ 19,593 $ 10,856 $ 6,069
Net Realized Gain (Loss) on
Investment Securities ......... (87) (29) (1,304) 916 (2,385) 2,550
Net Realized Gain (Loss) on
Foreign Currency Transactions . 3 (167) - - - -
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities .......... 9,498 (654) (11,577) 5,261 (15,321) 1,396
Translation of Foreign Currency
Denominated Amounts ........ 1 (1) - - - -
---------- --------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations ................ 10,719 (489) 14,879 25,770 (6,850) 10,015
---------- --------- ----------- ----------- ---------- ----------
Distributions From:
Net Investment Income .......... (1,291) (186) (27,753) (21,468) (10,710) (8,092)
Net Realized Gain .............. - (6) (1,035) (7,839) (18) (5,553)
---------- --------- ----------- ----------- ---------- ----------
Total Distributions ........... (1,291) (192) (28,788) (29,307) (10,728) (13,645)
---------- --------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued .................. 51,332 66,041 335,714 286,159 132,388 97,595
Shares Issued in Lieu of Cash
Distributions ................. 1,291 192 22,977 24,644 8,954 12,389
Shares Redeemed ................ (12,334) (2,317) (360,956) (260,745) (52,714) (25,393)
---------- --------- ----------- ----------- ---------- ----------
Net Increase (Decrease)From
Capital Share Transactions . 40,289 63,916 (2,265) 50,058 88,628 84,591
---------- --------- ----------- ----------- ---------- ----------
Total Increase (Decrease) ..... 49,717 63,235 (16,174) 46,521 71,050 80,961
Net Assets
Beginning of Period ............ 63,235 - 608,400 561,879 164,504 83,543
---------- --------- ----------- ----------- ---------- ----------
End of Period .................. $112,952 $63,235 $ 592,226 $ 608,400 $235,554 $164,504
========== ========= =========== =========== ========== ==========
(1) Shares Issued and Redeemed:
Shares Issued .................... 4,443 6,582 3,306 2,788 1,292 909
Shares Issued in Lieu of Cash
Distributions ................ 114 18 227 241 91 119
Shares Redeemed .................. (1,061) (226) (3,561) (2,538) (525) (236)
---------- --------- ----------- ----------- ---------- ----------
3,496 6,374 (28) 491 858 792
========== ========= =========== =========== ========== ==========
</TABLE>
See accompanying Notes to Financial Statements
161
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
The DFA Intermediate
The DFA Global Government Fixed
Fixed Income Income
Portfolio Portfolio
------------------------ ----------------------
Year Year Year Year
Ended Ended Ended Ended
Nov.30, Nov. 30, Nov.30, Nov.30,
1994 1993 1994 1993
---------- ---------- --------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............................ $ 7,160 $ 3,903 $ 3,790 $ 3,082
Net Realized Gain (Loss) on Investment Securities (5,468) 2,019 17 767
Net Realized Loss on Foreign Currency Transactions (2,805) (297) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency (2,230) 1,988 (6,528) 1,630
Translation of Foreign Currency Denominated
Amounts ..................................... 138 345 -- --
---------- ---------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting
from Operations ............................. (3,205) 7,958 (2,721) 5,479
---------- ---------- --------- ---------
Distributions From:
Net Investment Income ............................ (5,328) (3,296) (3,752) (3,737)
Net Realized Gain ................................ (97) (3,351) (739) (331)
---------- ---------- --------- ---------
Total Distributions ........................... (5,425) (6,647) (4,491) (4,068)
---------- ---------- --------- ---------
Capital Share Transactions (1):
Shares Issued .................................... 76,462 53,343 22,801 12,574
Shares Issued in Lieu of Cash Distributions ...... 3,622 4,127 1,851 1,104
Shares Redeemed .................................. (37,453) (11,860) (9,664) (2,198)
---------- ---------- --------- ---------
Net Increase From Capital Share Transactions .. 42,631 45,610 14,988 11,480
---------- ---------- --------- ---------
Total Increase ................................ 34,001 46,921 7,776 12,891
Net Assets
Beginning of Period .............................. 101,528 54,607 53,051 40,160
---------- ---------- --------- ---------
End of Period .................................... $135,529 $101,528 $60,827 $53,051
========== ========== ========= =========
(1) Shares Issued and Redeemed:
Shares Issued .................................... 760 508 210 108
Shares Issued in Lieu of Cash Distributions ...... 36 40 17 10
Shares Redeemed .................................. (376) (114) (90) (19)
---------- ---------- --------- ---------
420 434 137 99
========== ========== ========= =========
</TABLE>
See accompanying Notes to Financial Statements
162
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
The U.S. 9-10 Small Company Portfolio
---------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1994 1993 1992 1991 1990
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .. $ 8.69 $ 7.75 $ 6.33 $ 5.34 $ 7.74
---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income 0.01 0.03 0.04 0.04 0.07
Net Gains (Losses) on
Securities
(Realized and
Unrealized) ...... 0.40 1.67 1.53 1.64 (1.77)
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ....... 0.41 1.70 1.57 1.68 (1.70)
- ------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.03) (0.05) (0.05) (0.07) (0.08)
Net Realized Gains .. (0.58) (0.71) (0.10) (0.62) (0.62)
---------- ---------- ---------- ---------- ----------
Total Distributions . (0.61) (0.76) (0.15) (0.69) (0.70)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of
Period .............. $ 8.49 $ 8.69 $ 7.75 $ 6.33 $ 5.34
==========================================================================================
Total Return .......... 5.06% 23.91% 25.24% 39.08% (24.09)%
- ------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands) .. $659,221 $630,918 $651,313 $722,289 $561,102
Ratio of Expenses to
Average Net Assets .. 0.65% 0.70% 0.68% 0.64% 0.62%
Ratio of Net Investment
Income to Average Net
Assets .............. 0.16% 0.26% 0.53% 0.75% 0.99%
Portfolio Turnover Rate 16.56% 9.87% 9.72% 10.13% 3.79%
- ------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The U.S. 9-10 Small Company Portfolio
-----------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1989 1988 1987 1986 1985
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .. $ 7.66 $ 7.50 $ 8.94 $ 8.88 $ 7.69
---------- ---------- ---------- ------- ---------
Income From Investment
Operations
Net Investment Income 0.07 0.10 0.09 0.12 0.12
Net Gains (Losses) on
Securities
(Realized and
Unrealized) ...... 0.98 1.48 (1.53) 1.15 1.40
---------- ---------- ---------- ------- ---------
Total From Investment
Operations ....... 1.05 1.58 (1.44) 1.27 1.52
- -------------------------------------------------------------------------------------
Less Distributions
Net Investment Income (0.09) (0.11) - (0.23) (0.12)
Net Realized Gains .. (0.88) (1.31) - (0.98) (0.21)
---------- ---------- ---------- ------- ---------
Total Distributions . (0.97) (1.42) - (1.21) (0.33)
- -------------------------------------------------------------------------------------
Net Asset Value, End of
Period .............. $ 7.74 $ 7.66 $ 7.50 $ 8.94 $ 8.88
=====================================================================================
Total Return .......... 16.09% 24.36% (16.04)% 14.88% 20.85%
- -------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands) .. $949,291 $912,518 $788,821 $952,580 $768,863
Ratio of Expenses to
Average Net Assets .. 0.62% 0.62% 0.61% 0.62% 0.67%
Ratio of Net Investment
Income to Average Net
Assets .............. 0.86% 1.19% 0.92% 1.14% 1.53%
Portfolio Turnover Rate 7.86% 25.98% 23.05% 14.19% 9.64%
- -------------------------------------------------------------------------------------
</TABLE>
(Adjusted to reflect a 1,900% Stock Dividend as of November 28, 1986)
See accompanying Notes to Financial Statements
163
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
The U.S. 6-10 Small Company Portfolio The U.S. Large Company Portfolio
--------------------------------------- -----------------------------------------------------
Year Year March 20 Year Year Year Dec. 31,
Ended Ended to Nov. Ended Ended Ended 1990 to
Nov. 30 Nov. 30 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1994 1993 1992 1994 1993 1992 1991
----------- ----------- ---------- ---------- ------------ ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $ 11.43 $10.35 $10.00 $13.91 $13.12 $11.44 $10.00
---------- ----------- ---------- ---------- ------------ ---------- -----------
Income From Investment
Operations
Net Investment Income ....... 0.27 0.25 0.04 0.37 0.36 0.36 0.34
Net Gains (Losses) on
Securities (Realized and
Unrealized) .............. (0.25) 1.26 0.31 (0.22) 0.87 1.69 1.34
---------- ----------- ---------- ---------- ------------ ---------- -----------
Total From Investment
Operations ............. 0.02 1.51 0.35 0.15 1.23 2.05 1.68
- ----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ....... (0.27) (0.28) - (0.37) (0.44) (0.37) (0.24)
Net Realized Gains .......... (0.10) (0.15) - (0.11) - - -
---------- ----------- ---------- ---------- ------------ ---------- -----------
Total Distributions ...... (0.37) (0.43) - (0.48) (0.44) (0.37) (0.24)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.08 $11.43 $10.35 $13.58 $13.91 $13.12 $11.44
==================================================================================================================================
Total Return .................. 0.22% 14.72% 6.70%# 1.04% 9.48% 18.23% 16.80%#
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................. $112,137 $136,863 $134,418 $48,638 $37,830 $34,908 $22,279
Ratio of Expenses to Average
Net Assets** ................ 0.53% 0.58% 0.48%* 0.24%(a) 0.24%(a) 0.11%(a) 0.00%*(a)
Ratio of Net Investment Income
to Average Net Assets ....... 2.16% 2.07% 0.96%* 2.75%(a) 2.48%(a) 2.86%(a) 3.42%*(a)
Portfolio Turnover Rate ....... N/A*** 1.81%*(b) 3.41%* N/A*** 27.67%*(b) 3.56% 0.97%*
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
**Represents the combined ratio for the respective portfolio and its
respective pro-rata share of its Master Fund Series for the year ended
November 30, 1993 and subsequent periods.
***Refer to the respective Master Fund Series.
#Non-annualized
(a) Had certain waivers and reimbursements not been in effect, the ratios of
expenses to average net assets for the periods 1994, 1993,1992 and 1991
would have been 0.66%, 0.79%, 0.53% and 0.52%, respectively, and the
ratios of net investment income to average net assets for the periods
1994, 1993,1992, and 1991 would have been 2.64%, 2.28%, 2.44% and 2.90%,
respectively.
(b) Portfolio turnover calculated for the period December 1, 1992 to February
2, 1993 and December 1, 1992 to February 7, 1993, respectively (through
date of Exchange transaction, see respective Master Fund Series for rate
subsequent to Exchange transaction.).
See accompanying Notes to Financial Statements
164
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA/AEW Real
The U.S. Small Cap The U.S. Large Cap Estate Securities
Value Portfolio Value Portfolio Portfolio
----------------------- ----------------------- -----------------------
Year March 2 Year Feb. 19 Year Jan. 5
Ended to Ended to Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30 Nov. 30,
1994 1993 1994 1993 1994 1993
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 11.04 $ 10.00 $ 10.60 $ 10.00 $ 10.92 $10.00
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income ........... 0.14 0.11 0.32 0.18 0.37 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized) ...... 0.10 1.03 (0.68) 0.59 (1.65) 0.91
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations 0.24 1.14 (0.36) 0.77 (1.28) 1.11
- -----------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ........... (0.15) (0.10) (0.33) (0.17) (0.28) (0.19)
Tax Return of Capital ........... -- -- -- -- (0.08) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions ............. (0.15) (0.10) (0.33) (0.17) (0.36) (0.19)
- -----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ...... $ 11.13 $ 11.04 $ 9.91 $ 10.60 $ 9.28 $10.92
=================================================================================================================
Total Return ........................ 2.19% 11.39%# (3.27)% 7.59%# (11.76)% 11.08%#
- -----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ..................... $344,148 $95,682 $197,566 $90,288 $30,456 $22,106
Ratio of Expenses to Average Net
Assets** ........................ 0.66% 0.70%* 0.44% 0.47%* 0.90% 0.88%*
Ratio of Net Investment Income to
Average Net Assets .............. 1.69% 1.97%* 3.50% 3.38%* 3.90% 2.63%*
Portfolio Turnover Rate ............. N/A*** N/A*** N/A*** N/A*** 28.87% 0.55%*
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Represents the respective combined ratio for The U.S. Small Cap Value
Portfolio, The U.S. Large Cap Value Portfolio and the pro-rata shares of
their respective Master Fund Series.
*** Refer to the respective Master Fund Series.
# Non-annualized
See accompanying Notes to Financial Statements
165
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Japanese Small Company Portfolio
---------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1994 1993 1992 1991 1990
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $19.96 $18.92 $ 25.05 $26.27 $ 38.33
---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income (Loss) 0.05 0.04 0.04 (0.01) (0.03)
Net Gains (Losses) on
Securities (Realized and
Unrealized) .............. 5.76 1.75 (5.69) 0.51 (10.74)
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............... 5.81 1.79 (5.65) 0.50 (10.77)
- --------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ....... (0.04) (0.05) -- -- --
Net Realized Gains .......... (0.67) (0.70) (0.48) (1.72) (1.29)
---------- ---------- ---------- ---------- ----------
Total Distributions ...... (0.71) (0.75) (0.48) (1.72) (1.29)
- --------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $25.06 $19.96 $ 18.92 $25.05 $ 26.27
==================================================================================================
Total Return .................. 29.59% 9.52% (23.01)% 1.68% (29.12)%
- --------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................. $330,674 $209,244 $139,892 $159,475 $149,100
Ratio of Expenses to Average
Net Assets .................. 0.76% 0.82% 0.78% 0.78% 0.83%
Ratio of Net Investment Income
to Average Net Assets ....... 0.10% 0.06% 0.10% (0.11)% (0.22)%
Portfolio Turnover Rate ....... 10.51% 9.36% 5.00% 2.71% 10.26%
- --------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The Japanese Small Company Portfolio
-------------------------------------------------
Year Year Year Jan. 31
Ended Ended Ended to
Nov. 30 Nov. 30 Nov. 30 Nov. 30
1989 1988 1987 1986
--------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $31.03 $24.87 $14.39 $10.35
---------- ---------- --------- ---------
Income From Investment
Operations
Net Investment Income (Loss) (0.09) (0.05) (0.01) 0.01
Net Gains (Losses) on
Securities (Realized and
Unrealized) .............. 9.09 10.42 10.53 4.03
---------- ---------- --------- ---------
Total From Investment
Operations ............... 9.00 10.37 10.52 4.04
- ------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ....... -- -- -- --
Net Realized Gains .......... (1.70) (4.21) (0.04) --
---------- ---------- --------- ---------
Total Distributions ...... (1.70) (4.21) (0.04) --
- ------------------------------------------------------------------------------------
Net Asset Value, End of Period $38.33 $31.03 $24.87 $14.39
====================================================================================
Total Return .................. 30.63% 47.62% 73.09% 38.37%#
- ------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................. $168,820 $107,863 $60,450 $45,683
Ratio of Expenses to Average
Net Assets .................. 0.76% 0.76% 0.78% 0.79%*
Ratio of Net Investment Income
to Average Net Assets ....... (0.34)% (0.23)% (0.08)% 0.07%*
Portfolio Turnover Rate ....... 5.76% 9.14% 0.07% 0.00%*
- -------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
166
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Pacific
Rim Small
Company Portfolio The United Kingdom Small Company Portfolio
------------------------ -------------------------------------------------
Year Jan. 5 Year Year Year Year
Ended to Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30 Nov. 30 Nov. 30
1994 1993 1994 1993 1992 1991
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $16.45 $10.00 $21.22 $16.38 $ 21.37 $20.41
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income . 0.23 0.11 0.48 0.45 0.64 0.69
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... 0.47 6.46 2.03 5.34 (4.98) 1.71
---------- ---------- ---------- ---------- ---------- ----------
Total From
Investment
Operations ....... 0.70 6.57 2.51 5.79 (4.34) 2.40
- ---------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (0.23) (0.09) (0.53) (0.95) (0.65) (0.90)
Net Realized Gains .... (0.94) (0.03) - - (0.54)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions (1.17) (0.12) (0.53) (0.95) (0.65) (1.44)
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $15.98 $16.45 $23.20 $21.22 $ 16.38 $21.37
=========================================================================================================
Total Return ............ 4.26% 65.71%# 11.85% 36.42% (20.93)% 12.55%
- ---------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $212,953 $164,623 $214,113 $181,789 $121,086 $146,873
Ratio of Expenses to
Average Net Assets .... 0.95% 1.16%* 0.74% 0.78% 0.76% 0.84%
Ratio of Net Investment
Income to Average Net
Assets ................ 1.47% 1.27%* 1.95% 2.22% 3.19% 3.44%
Portfolio Turnover Rate . 26.05% 2.77%* 10.75% 8.21% 4.41% 4.50%
- ----------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The United Kingdom Small Company Portfolio
--------------------------------------------------------------
Year Year Year Year Jan. 31
Ended Ended Ended Ended to Nov.
Nov. 30 Nov. 30 Nov. 30 Nov. 30 30
1990 1989 1988 1987 1986
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $22.55 $ 28.29 $23.41 $16.29 $14.03
---------- ---------- ---------- --------- ---------
Income From Investment
Operations
Net Investment Income . 0.92 0.52 0.61 0.17 0.46
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... (1.34) (4.75) 5.18 7.35 1.80
---------- ---------- ---------- --------- ---------
Total From
Investment
Operations ....... (0.42) (4.23) 5.79 7.52 2.26
- -------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (0.75) (0.54) (0.28) (0.36) --
Net Realized Gains .... (0.97) (0.97) (0.63) (0.04) -
---------- ---------- ---------- --------- ---------
Total Distributions (1.72) (1.51) (0.91) (0.40) -
- -------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $20.41 $ 22.55 $28.29 $23.41 $16.29
===========================================================================================
Total Return ............ (2.22)% (15.40)% 23.66% 47.44% 13.19%#
- -------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $127,137 $119,385 $121,337 $82,197 $29,275
Ratio of Expenses to
Average Net Assets .... 0.83% 0.70% 0.71% 0.85% 0.76%*
Ratio of Net Investment
Income to Average Net
Assets ................ 4.34% 2.24% 2.58% 1.92% 3.99%*
Portfolio Turnover Rate . 10.86% 11.38% 12.55% 9.50% 11.81%*
- -------------------------------------------------------------------------------------------
</TABLE>
* Annualized
#Non-annualized
See accompanying Notes to Financial Statements
167
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The
Emerging Markets
Portfolio The Continental Small Company Portfolio
---------------- ------------------------------------------------------------------------------
April 25 Year Year Year Year Year Year April 15
to Ended Ended Ended Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1994 1994 1993 1992 1991 1990 1989 1988
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $ 10.00 $12.62 $11.39 $ 14.18 $16.24 $16.15 $12.02 $10.00
------- ------ ------ ------- ------ ------ ------ ------
Income From Investment
Operations
Net Investment Income (Loss) (0.02) 0.18 0.23 0.28 0.27 0.25 0.12 0.17
Net Gains (Losses) on
Securities
(Realized and Unrealized) .. 1.32 2.10 1.46 (2.11) (1.66) 0.31 4.10 1.85
------- ------ ------ ------- ------ ------ ------ ------
Total From Investment
Operations ............. 1.30 2.28 1.69 (1.83) (1.39) 0.56 4.22 2.02
- -----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ....... - (0.19) (0.44) (0.26) (0.29) (0.20) (0.09) -
Net Realized Gains .......... - (0.07) (0.02) (0.70) (0.38) (0.27) - -
Tax Return of Capital ....... - (0.01) - - - - - -
------- ------ ------ ------- ------ ------ ------ ------
Total Distributions ...... - (0.27) (0.46) (0.96) (0.67) (0.47) (0.09) -
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.30 $14.63 $12.62 $ 11.39 $14.18 $16.24 $16.15 $12.02
===================================================================================================================================
Total Return .................. 13.00%# 18.19% 15.27% (13.85)% (9.11)% 3.50% 35.62% 20.01%#
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) .................. $15,731 $340,992 $266,175 $196,845 $214,054 $245,465 $199,065 $78,689
Ratio of Expenses to Average
Net Assets .................. 2.43%*+(a) 0.77% 0.83% 0.90% 0.86% 0.89% 0.82% 1.05%*
Ratio of Net Investment Income
(Loss) to Average Net Assets (0.44)%*(a) 1.21% 1.61% 2.11% 1.68% 1.63% 1.41% 3.27%*
Portfolio Turnover Rate ....... N/A**% 10.22% 8.99% 6.35% 7.69% 6.24% 5.70% 0.26%*
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
+Reflects the Portfolio's proportionate share of expenses from its respective
Master Fund Series.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
**Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements
168
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA International
High Book to Market
The Large Cap International Portfolio Portfolio
----------------------------------------------- -------------------------
Year Year Year July 15, Year June 10
Ended Ended Ended 1991 to Ended to
Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30, Nov. 30
1994 1993 1992 1991 1994 1993
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ......................... $11.26 $ 9.63 $10.64 $10.00 $ 9.92 $10.00
--------- --------- --------- ----------- ----------- -----------
Income From Investment Operations
Net Investment Income ......... 0.09 0.15 0.11 0.06 0.14 0.06
Net Gains (Losses) on
Securities (Realized and
Unrealized) ................ 1.11 1.72 (1.04) 0.58 1.52 (0.11)
--------- --------- --------- ----------- ----------- -----------
Total From Investment
Operations ............... 1.20 1.87 (0.93) 0.64 1.66 (0.05)
- ---------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.09) (0.24) (0.07) -- (0.14) (0.03)
Net Realized Gains ............ (0.46) -- (0.01) -- -- --
--------- --------- --------- ----------- ----------- -----------
Total Distributions ........ (0.55) (0.24) (0.08) -- (0.14) (0.03)
- ----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $11.91 $11.26 $ 9.63 $10.64 $11.44 $ 9.92
================================================================================================================
Total Return .................... 10.74% 19.55% (9.00)% 2.88%# 16.71% (0.50)%#
- ----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $55,635 $78,472 $26,041 $4,360 $112,952 $63,235
Ratio of Expenses to Average Net
Assets** ...................... 0.66% 0.55%(a) 0.50%(a) 0.50%*(a) 0.69%(b) 0.65%*(b)
Ratio of Net Investment Income to
Average Net Assets ............ 1.18% 1.94%(a) 1.75%(a) 1.96%*(a) 1.39%(b) 1.40%*(b)
Portfolio Turnover Rate ......... 33.15% 0.28% 0.20% 2.38%* 0.15%*(c) 0.41%*
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
**Represents the combined ratio for The DFA International High Book to
Market Portfolio and its pro-rata share of its Master Fund Series for the
year ended November 30, 1994.
#Non-annualized
(a) Had certain fees and expenses not been waived or reimbursed, the
annualized ratios of expenses to average net assets for the periods 1993,
1992 and 1991 would have been 0.66%, 1.35% and 2.31%, respectively, and
the ratios of net investment income to average net assets for the periods
1993, 1992 and 1991 would have been 1.83%, 0.90% and 0.15%, respectively.
(b) Had certain waivers not been in effect, the annualized ratios of expenses
to average net assets for the periods, 1994 and 1993 would have been
0.73% and 0.82%, respectively, and the ratios of net investment income to
average net assets for the periods 1994 and 1993 would have been 1.38%
and 1.23%, respectively.
(c) Portfolio turnover calculated for the period December 1, 1993 to February
15, 1994 (through date of Exchange transaction, see respective Master
Fund Series for rate subsequent to Exchange transaction).
See accompanying Notes to Financial Statements
169
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA One-Year Fixed Income Portfolio
-----------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1994 1993 1992 1991 1990
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $102.77 $103.51 $103.26 $101.88 $101.61
---------- ------------ ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ....... 4.57 3.49 4.27 6.82 8.34
Net Gains (Losses) on
Securities (Realized and
Unrealized) .............. (2.07) 1.13 0.68 1.55 0.31
---------- ------------ ---------- ---------- ----------
Total From Investment
Operations ............. 2.50 4.62 4.95 8.37 8.65
- ----------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ....... (4.57) (3.84) (4.43) (6.99) (8.38)
Net Realized Gains .......... (0.18) (1.52) (0.27) -- --
---------- ------------ ---------- ---------- ----------
Total Distributions ...... (4.75) (5.36) (4.70) (6.99) (8.38)
- ----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period . $100.52 $102.77 $103.51 $103.26 $101.88
====================================================================================================
Total Return .................. 2.48% 4.62% 5.64% 8.61% 8.88%
- ----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................. $592,226 $608,400 $561,879 $469,276 $412,907
Ratio of Expenses to Average
Net Assets** ................ 0.21% 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment Income
to Average Net Assets ....... 4.47% 3.38% 4.81% 6.75% 8.27%
Portfolio Turnover Rate ....... N/A*** 61.95%*(a) 125.56% 82.26% 96.30%
- ----------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA One-Year Fixed Income Portfolio
------------------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30
1989 1988 1987 1986 1985
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $101.22 $101.16 $102.70 $101.76 $101.12
---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ....... 8.15 7.83 6.88 7.63 9.19
Net Gains (Losses) on
Securities (Realized and
Unrealized) .............. 0.36 (0.39) (0.86) 1.58 0.82
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............. 8.51 7.44 6.02 9.21 10.01
- ----------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ....... (8.12) (7.38) (6.77) (7.84) (9.37)
Net Realized Gains .......... -- -- (0.79) (0.43) --
---------- ---------- ---------- ---------- ----------
Total Distributions ...... (8.12) (7.38) (7.56) (8.27) (9.37)
- ----------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $101.61 $101.22 $101.16 $102.70 $101.76
====================================================================================================
Total Return .................. 9.53% 7.61% 6.14% 9.45% 10.36%
- ----------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................. $360,146 $341,551 $342,436 $332,018 $232,826
Ratio of Expenses to Average
Net Assets** ................ 0.22% 0.22% 0.22% 0.23% 0.33%
Ratio of Net Investment Income
to Average Net Assets ....... 8.77% 7.70% 6.82% 7.42% 9.04%
Portfolio Turnover Rate ....... 0.00% 80.74% 162.18% 138.50% 114.21%
- ----------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Represents the combined ratio for the portfolio and its pro-rata share of
its Master Fund Series for the periods ended 1993 and 1994.
*** Refer to the respective Master Fund Series.
(a) Portfolio turnover calculated for period December 1, 1992 to February 7,
1993 (through date of Exchange transaction, see respective Master Fund
Series for rate subsequent to Exchange transaction).
See accompanying Notes to Financial Statements
170
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA Five-Year Government Portfolio
----------------------------------------------------------------------------------
Year Year Year Year Year Year Year May 13
Ended Ended Ended Ended Ended Ended Ended to Nov.
Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 Nov. 30 30
1994 1993 1992 1991 1990 1989 1988 1987
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $105.50 $108.83 $112.53 $106.39 $104.62 $104.15 $103.28 $100.00
-------- -------- ------- ------- ------- ------- ------- --------
Income From Investment
Operations
Net Investment Income . 4.81 4.65 5.72 8.09 7.60 8.52 6.22 3.77
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... (8.08) 4.98 3.09 5.43 1.98 0.59 0.82 (0.49)
-------- -------- ------- ------- ------- ------- ------- --------
Total From Investment
Operations ......... (3.27) 9.63 8.81 13.52 9.58 9.11 7.04 3.28
- ----------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (4.76) (7.32) (7.58) (7.38) (7.81) (8.64) (5.78) -
Net Realized Gains .... (0.01) (5.64) (4.93) - - - (0.39) -
-------- -------- ------- ------- ------- ------- ------- --------
Total Distributions (4.77) (12.96) (12.51) (7.38) (7.81) (8.64) (6.17) -
- ----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 97.46 $105.50 $108.83 $112.53 $106.39 $104.62 $104.15 $103.28
================================================================================================================
Total Return ............ (3.13)% 9.46% 8.59% 13.44% 9.72% 9.33% 7.13% 3.26%#
- ----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $235,554 $164,504 $83,543 $56,971 $52,260 $53,039 $4,863 $4,258
Ratio of Expenses to
Average Net Assets .... 0.31% 0.31% 0.31% 0.30% 0.30% 0.30% 0.28% 0.27%*
Ratio of Net Investment
Income to Average Net
Assets ................ 5.08% 4.75% 5.82% 7.16% 7.91% 8.49% 7.97% 7.50%*
Portfolio Turnover Rate . 52.39% 152.10% 218.60% 223.18% 165.50% 312.59% 253.31% 100.85%*
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA Global Fixed Income Portfolio
--------------------------------------------------
Year Year Year Year Nov. 6
Ended Ended Ended Ended to
Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30
1994 1993 1992 1991 1990
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $105.63 $103.58 $104.72 $100.22 $100.00
-------- -------- ------- ------- -------
Income From Investment
Operations
Net Investment Income . 3.52 4.03 5.43 6.58 0.37
Net Gains (Losses) on
Securities (Realized
and Unrealized) .... (6.57) 7.28 2.47 2.57 (0.15)
-------- -------- ------- ------- -------
Total From Investment
Operations ......... (1.32) 11.31 7.90 9.15 0.22
- -------------------------------------------------------------------------------
Less Distributions
Net Investment Income . (4.37) (4.51) (6.35) (4.65) -
Net Realized Gains .... (0.10) (4.75) (2.69) - -
-------- -------- ------- ------- -------
Total Distributions (4.47) (9.26) (9.04) (4.65) -
- -------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 98.11 $105.63 $103.58 $104.72 $100.22
===============================================================================
Total Return ............ (2.91)% 11.42% 8.00% 11.00% 0.22%#
- -------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $135,529 $101,528 $54,607 $31,647 $8,474
Ratio of Expenses to
Average Net Assets .... 0.49% 0.52% 0.58% 0.67% 0.51%*
Ratio of Net Investment
Income to Average Net
Assets ................ 5.75% 5.09% 5.52% 6.74% 6.92%*
Portfolio Turnover Rate . 113.55% 139.57% 210.39% 194.25% 0.00%*
- -------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
171
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA Intermediate Government Fixed Income Portfolio
-----------------------------------------------------------
Year Year Year Year Oct. 22
Ended Ended Ended Ended to
Nov. 30, Nov. 30 Nov. 30 Nov. 30 Nov. 30
1994 1993 1992 1991 1990
---------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ... $115.87 $112.01 $110.17 $102.66 $100.00
---------- --------- --------- --------- ---------
Income From Investment Operations
Net Investment Income ................ 6.89 5.46 7.60 8.38 0.89
Net Gains (Losses) on Securities
(Realized and Unrealized) ......... (12.14) 6.60 2.58 6.32 1.77
---------- --------- --------- --------- ---------
Total From Investment Operations .. (5.25) 12.06 10.18 14.70 2.66
- -------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ................ (6.84) (7.30) (7.76) (7.19) --
Net Realized Gains ................... (1.60) (0.90) (0.58) -- --
---------- --------- --------- --------- ---------
Total Distributions ............... (8.44) (8.20) (8.34) (7.19) --
- -------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ......... $102.18 $115.87 $112.01 $110.17 $102.66
=======================================================================================================
Total Return ........................... (4.72)% 12.84% 9.70% 14.94% 2.63%#
- -------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) .. $60,827 $53,051 $40,160 $29,393 $25,567
Ratio of Expenses to Average Net Assets 0.29% 0.32% 0.29% 0.28% 0.23%*
Ratio of Net Investment Income to
Average Net Assets ................... 6.45% 6.41% 7.05% 7.86% 8.73%*
Portfolio Turnover Rate ................ 27.15% 16.91% 17.91% 19.72% 0.00%
- -------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-annualized
See accompanying Notes to Financial Statements
172
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION AND EXCHANGE:
At November 30, 1994, DFA Investment Dimensions Group Inc. (the "Fund")
consisted of nineteen portfolios: The U.S. 9-10 Small Company Portfolio, The
U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio, The U.S.
Small Cap Value Portfolio, The U.S. Large Cap Value Portfolio, The DFA/AEW
Real Estate Securities Portfolio, The Japanese Small Company Portfolio, The
Pacific Rim Small Company Portfolio, The United Kingdom Small Company
Portfolio, The Emerging Markets Portfolio, The Continental Small Company
Portfolio, The Large Cap International Portfolio, The DFA International High
Book to Market Portfolio, The DFA One-Year Fixed Income Portfolio, The DFA
Five-Year Government Portfolio, The DFA Global Fixed Income Portfolio, The
DFA Intermediate Government Fixed Income Portfolio, The DFA Global Bond
Portfolio and The DFA Global Value Portfolio ("the Portfolios"). At November
30, 1994, The DFA Global Bond Portfolio and The DFA Global Value Portfolio
had not yet commenced operations. In addition, these two portfolios will only
be available through a selected group of insurance products.
On February 3, 1993, February 8, 1993 and February 8, 1993, The U.S. 6-10
Small Company Portfolio, The U.S. Large Company Portfolio and The DFA
One-Year Fixed Income Portfolio, respectively, transferred their investable
assets for shares with equal values of corresponding series of The DFA
Investment Trust Company. On February 15, 1994, The DFA International High
Book to Market Portfolio transferred its investable assets for shares with an
equal value of a corresponding series of The DFA Investment Trust Company
("the Exchanges"). These portfolios, along with The U.S. Small Cap Value
Portfolio, The U.S. Large Cap Value Portfolio and The Emerging Markets
Portfolio (collectively "the Feeder Funds") invest solely in a corresponding
series in the DFA Investment Trust Company: The U.S. 6-10 Small Company
Series, The U.S. Large Company Series, The U.S. Small Cap Value Series, The
U.S. Large Cap Value Series, The DFA One-Year Fixed Income Series, The DFA
International Value Series, and The Emerging Markets Series ("the Master
Funds"). At November 30, 1994, The U.S. 6-10 Small Company Portfolio, The
U.S. Large Company Portfolio, The U.S. Small Cap Value Portfolio, The U.S.
Large Cap Value Portfolio, The DFA One-Year Fixed Income Portfolio, The DFA
International High Book to Market Portfolio and The Emerging Markets
Portfolio owned 78%, 100%, 98 %, 99%, 100%, 33% and 99% respectively, of the
outstanding shares or net assets of its corresponding Master Fund. The
financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
The Exchanges are not expected to have any adverse tax effects on the
Portfolios. The transfer of a Portfolio's assets to a Series in exchange for
shares of beneficial interest in the Series is, in the opinion of counsel to
the Fund, expected to be a tax-free event, and, therefore, will not result in
the recognition of any taxable gain (or loss) for each Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in preparation of its
financial statements.
1. Security Valuation: Securities held by The U.S. 9-10 Small Company
Portfolio and The DFA/AEW Real Estate Securities Portfolio ("the Domestic
Equity Portfolios") which are listed on a securities exchange and for which
market quotations are readily available are valued at the last quoted sale
price of the day, or if there is no such reported sale, at the mean between
the most recent bid and asked prices. Securities held by The Japanese Small
Company Portfolio, The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Continental Small Company Portfolio and
The Large Cap International Portfolio ("the International Equity Portfolios")
which are listed on a securities exchange are valued at the last quoted sale
price. Price information on listed securities is taken from the exchange
where the security is primarily traded.
173
<PAGE>
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. The value of
securities for which no quotations are readily available are determined in
good faith at fair value using methods determined by the Board of Directors.
Securities held by The DFA Five-Year Government Portfolio, The DFA Global
Fixed Income Portfolio and The DFA Intermediate Government Fixed Income
Portfolio ("the Fixed Income Portfolios"), are valued on the basis of prices
provided by a pricing service when such prices are believed to reflect the
fair market value of such securities. Securities for which quotations are not
readily available are valued in good faith at fair value using methods
determined by the Board of Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or, for The Emerging Markets Portfolio, its investment
reflects its proportionate interest in the net assets of the corresponding
Master Fund.
2. Foreign Currency Translation: Securities, other assets and liabilities
of The International Equity Portfolios and The DFA Global Fixed Income
Portfolio whose values are initially expressed in foreign currencies are
translated to U.S. dollars at the bid price of such currency against U.S.
dollars last quoted by a major bank. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The DFA Global Fixed Income Portfolio also enters into forward foreign
currency contracts solely for the purpose of hedging against fluctuations in
currency exchange rates. These contracts are also marked to market daily
based on daily exchange rates.
3. Federal Income Taxes: It is each Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for federal taxes is required in the
financial statements.
4. Reclassifications: As of December 1, 1993, the Portfolios implemented
AICPA Statement of Position 93-2 -- Determination, Disclosure and Financial
Statement Presentation of Income, Capital Gain, and Return of Capital
Distributions by Investment Companies. Adoption of this standard results in
the reclassification to paid-in capital of permanent differences between tax
and financial reporting of net investment income and net realized
gain/(loss). As a result, for the U.S. 9-10 Small Company Portfolio, amounts
as of December 1, 1993, have been restated to reflect an increase in paid in
capital of $24,485,645, an increase in undistributed net income of $5,568,206
and a decrease in accumulated net realized gain on investments of
$30,053,851. The change has had no material effect on paid in capital or
other components of net assets on the other Portfolios at December 1, 1993.
Distributions to shareholders and net asset values were not affected by this
change.
5. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income is recorded on an accrual
basis. Discount and premium on debt securities purchased are amortized over
the lives of the respective securities. Expenses directly attributable to a
Portfolio are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
The Emerging Markets Portfolio accrues its share of income, net of
expenses daily on its investment in its corresponding Master Fund, which is
treated as a partnership for federal income tax purposes. All of the net
investment income and realized and unrealized gains and losses from the
security transactions and foreign currency of the Master Fund are allocated
pro rata among its investors at the time of such determination.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("the Advisor") provides investment
advisory services to all Portfolios except the Feeder Funds. The Advisor
provides administrative services to the Feeder Funds, including supervision
of services provided by others, providing information to shareholders and the
Board of Directors, and other administrative services.
174
<PAGE>
For the period ended November 30, 1994, the Portfolios' advisory fees were
computed daily and paid monthly to the Advisor based on the following
effective annual rates:
The U.S. 9-10 Small Company Portfolio .................... .50 of 1%
The DFA/AEW Real Estate Securities Portfolio ............. .325 of 1%
The Japanese Small Company Portfolio ..................... .50 of 1%
The Pacific Rim Small Company Portfolio .................. .50 of 1%
The United Kingdom Small Company Portfolio ............... .50 of 1%
The Continental Small Company Portfolio .................. .50 of 1%
The Large Cap International Portfolio .................... .25 of 1%
The DFA International High Book to Market Portfolio ...... .40 of 1%
(advisory agreement terminated 2/15/94) ................
The DFA Five-Year Government Portfolio ................... .20 of 1%
The DFA Global Fixed Income Portfolio .................... .25 of 1%
The DFA Intermediate Government Fixed Income Portfolio ... .15 of 1%
In addition, pursuant to a Sub-Advisory agreement with Aldrich, Eastman &
Waltch L.P., ("the Sub-Advisor"), The DFA/AEW Real Estate Securities
Portfolio pays to the Sub-Advisor a fee at the effective annual rate of .175%
of the average net assets of the Portfolio.
The Advisor has agreed to bear all of the ordinary operating expenses of
The U.S. Large Company Portfolio except for the administrative services fee.
The Advisor agreed to reimburse The Large Cap International Portfolio through
July 18, 1993 to the extent necessary to keep the cumulative expenses of the
Portfolio to not more than 0.50% of average daily net assets of the Portfolio
on an annualized basis. With respect to The DFA International High Book to
Market Portfolio, the Advisor agreed to waive its advisory fees through
February 15, 1994 to the extent necessary to keep the cumulative annual
expenses to not more than 0.65% of average net assets of the Portfolio.
For the period ended November 30, 1994, the Feeder Funds computed daily
and paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
The U.S. 6-10 Small Company Portfolio ................. .32 of 1%
The U.S. Large Company Portfolio ...................... .215 of 1%
The U.S. Small Cap Value Portfolio .................... .30 of 1%
The U.S. Large Cap Value Portfolio .................... .15 of 1%
The DFA One-Year Fixed Income Portfolio ............... .10 of 1%
The DFA International High Book to Market Portfolio ... .20 of 1%
The Emerging Markets Portfolio ........................ .40 of 1%
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
175
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year (or period) ended November 30, 1994, the Portfolios made the
following purchases and sales of investment securities (amounts for The DFA
International High Book to Market Portfolio represent purchases and sales
prior to the Exchange):
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
------------------------- -------------------------
Purchases Sales Purchases Sales
(000) (000) (000) (000)
----------- ---------- ----------- ----------
<S> <C> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio ............. -- -- $137,644 $129,074
The DFA/AEW Real Estate Securities Portfolio ...... -- -- 20,745 7,737
The Japanese Small Company Portfolio .............. -- -- 90,106 30,975
The Pacific Rim Small Company Portfolio ........... -- -- 70,431 48,927
The United Kingdom Small Company Portfolio ........ -- -- 33,054 21,728
The Continental Small Company Portfolio ........... -- -- 61,092 32,234
The Large Cap International Portfolio ............. -- -- 19,102 52,468
The DFA International High Book to Market Portfolio -- -- 7,449 24
The DFA Five-Year Government Portfolio ............ $202,552 $106,994 -- --
The DFA Global Fixed Income Portfolio ............. 29,162 61,315 144,935 73,924
The DFA Intermediate Government Fixed Income
Portfolio ........................................ 29,488 13,158 -- 2,138
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1994, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
and foreign currencies for each Portfolio were as follows:
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio ................. $208,158 $(147,096) $ 61,062
The U.S. 6-10 Small Company Portfolio ................. 16,119 -- 16,119
The U.S. Large Company Portfolio ...................... 6,058 -- 6,058
The U.S. Small Cap Value Portfolio .................... -- (1,439) (1,439)
The U.S. Large Cap Value Portfolio .................... -- (8,613) (8,613)
The DFA/AEW Real Estate Securities Portfolio .......... 296 (3,376) (3,080)
The Japanese Small Company Portfolio .................. 42,341 (15,580) 26,761
The Pacific Rim Small Company Portfolio ............... 50,431 (16,085) 34,346
The United Kingdom Small Company Portfolio ............ 52,023 45,023 7,000
The Emerging Markets Portfolio ........................ 1,335 (882) 453
The Continental Small Company Portfolio ............... 77,343 (40,600) 36,743
The Large Cap International Portfolio ................. 10,073 (584) 9,489
The DFA International High Book to Market Portfolio ... 8,844 -- 8,844
The DFA One-Year Fixed Income Portfolio ............... -- (6,638) (6,638)
The DFA Five-Year Government Portfolio ................ -- (15,098) (15,098)
The DFA Global Fixed Income Portfolio ................. -- (669) (669)
The DFA Intermediate Government Fixed Income Portfolio 282 (2,882) (2,600)
</TABLE>
176
<PAGE>
At November 30, 1994, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
Expires on November 30
-----------------------------
(Amounts in thousands)
2001 2002 Total
------ -------- --------
<S> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio ............. -- $5,057 $5,057
The U.S. Large Cap Value Portfolio ................ -- 5 5
The DFA/AEW Real Estate Securities Portfolio ...... $12 1,018 1,030
The DFA International High Book to Market Portfolio 17 -- 17
The DFA Five Year Government Portfolio ............ -- 2,306 2,306
The DFA Global Fixed Income Portfolio ............. -- 5,469 5,469
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
At November 30, 1994 Net Assets Consist of:
----------------------------------------------------------------------------------------------------------
(Amounts in thousands)
Unrealized
Undistributed Appreciation Unrealized
Undis- Undis- Net Realized (Depreciation) Net
tributed Net tributed Foreign of Investment Foreign
Investment Net Exchange Securities Exchange Number of
Paid-In Income Realized Gain and Foreign Gain Total Net Shares
Capital (Loss) Gain (Loss) (Loss) Currency (Loss) Assets Authorized
---------- ------- ------------- ---------- --------------- ---------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
The U.S. 9-10 Small
Company Portfolio ...... $604,145 $4,770 $(10,756) -- $ 61,062 -- $ 659,221 300,000,000
The U.S. 6-10 Small
Company Portfolio ...... 86,777 (2) 9,243 -- 16,119 -- 112,137 100,000,000
The U.S. Large
Company Portfolio ...... 42,821 6 (247) -- 6,058 -- 48,638 200,000,000
The U.S. Small Cap
Value Portfolio ........ 345,629 20 (62) -- (1,439) -- 344,148 100,000,000
The U.S. Large Cap
Value Portfolio ........ 206,453 16 (290) -- (8,613) -- 197,566 100,000,000
The DFA/AEW Real
Estate Securities
Portfolio .............. 34,566 -- (1,030) -- (3,080) -- 30,456 100,000,000
The Japanese Small
Company Portfolio ...... 299,232 191 4,371 $ 104 26,761 $ 15 330,674 20,000,000
The Pacific Rim Small
Company Portfolio ...... 176,084 54 2,501 (29) 34,346 (3) 212,953 20,000,000
The United Kingdom
Small Company
Portfolio .............. 206,854 83 (50) 241 7,000 (15) 214,113 20,000,000
The Emerging Markets
Portfolio .............. 15,277 -- -- -- 453 1 15,731 100,000,000
The Continental Small
Company Portfolio ...... 304,354 661 (1,012) 160 36,743 86 340,992 50,000,000
The Large Cap
International
Portfolio .............. 45,284 273 838 (253) 9,489 4 55,635 150,000,000
The DFA International
High Book to Market
Portfolio .............. 104,204 22 (121) 3 8,844 -- 112,952 100,000,000
The DFA One-Year
Fixed Income
Portfolio .............. 600,278 17 (1,431) -- (6,638) -- 592,226 20,000,000
The DFA Five-Year
Government Portfolio ... 252,845 191 (2,384) -- (15,098) -- 235,554 20,000,000
The DFA Global Fixed
Income Portfolio ....... 141,644 2,306 (5,473) (2,805) (669) 526 135,529 10,000,000
The DFA Intermediate
Government Fixed
Income Portfolio ....... 63,351 61 15 -- (2,600) -- 60,827 10,000,000
</TABLE>
177
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest, either directly or through its investment in a
corresponding Master Portfolio, in certain financial instruments which have
off- balance sheet risk and concentrations of credit risk. These instruments
and their significant corresponding risks are described below:
1. Repurchase Agreements. The Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry
system or with the Fund's custodian or a third party sub-custodian. All
repurchase agreements were entered into on November 30, 1994.
2. Forward Foreign Currency Contracts: The DFA Global Fixed Income
Portfolio may enter into forward foreign currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies.
At November 30, 1994, the Portfolio had entered into the following contracts
and the related net unrealized gain is reflected in the accompanying
financial statements:
<TABLE>
<CAPTION>
Unrealized
Value at Foreign
Expiration Contract November 30, Exchange Gain
Date Currency Sold Amount 1994 (Loss)
-------------- ------------------------------------ -------------- -------------- ---------------
<S> <C> <C> <C> <C>
12/07/94 4,063,227 British Pound Sterling $ 6,529,589 $ 6,375,696 $153,893
12/14/94 203,564,657 Japanese Yen 2,087,843 2,062,591 25,252
12/14/94 26,025,600 German Marks 16,965,841 16,599,022 366,819
12/19/94 1,929,850 Australian Dollar 1,452,453 1,484,121 (31,668)
12/19/94 995,270 British Pound Sterling 1,577,234 1,560,734 16,500
12/21/94 2,137,160 Australian Dollar 1,607,679 1,642,688 (35,009)
12/27/94 70,177,924 French Francs 13,146,192 13,040,354 105,838
12/27/94 1,073,777,781 Japanese Yen 10,944,297 10,874,369 69,928
12/28/94 5,161,788 British Pound Sterling 8,112,008 8,084,149 27,859
12/29/94 34,869,639 Canadian Dollar 25,317,756 25,392,704 (74,948)
12/30/94 9,214,600 German Marks 5,892,366 5,882,559 9,807
12/30/94 1,041,908,334 Japanese Yen 10,585,272 10,551,977 33,295
12/30/94 13,200,430 Australian Dollar 10,053,976 10,147,592 (93,616)
12/30/94 6,983,022 British Pound Sterling 10,914,673 10,942,258 (27,585)
-------------- -------------- ---------------
Totals $125,187,179 $124,640,814 $546,365
============== ============== ===============
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The DFA Global Fixed Income Portfolio will enter into forward
contracts only for hedging purposes.
H. REIMBURSEMENT FEES:
Shares of The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The United Kingdom Small Company Portfolio, The Emerging
Markets Portfolio and The Continental Small Company Portfolio are sold at a
public offering price which is equal to the current net asset value of such
shares plus a reimbursement fee. Reimbursement fees are recorded as an
addition to paid in capital. The amount of reimbursement fee for The
178
<PAGE>
Japanese Small Company Portfolio is 1% of the net asset value of its
shares. The reimbursement fees for The Pacific Rim Small Company Portfolio,
The United Kingdom Small Company Portfolio, The Emerging Markets Portfolio
and The Continental Small Company Portfolio are 1.5% of the net asset value
of their respective shares.
I. SECURITIES LENDING:
Security loans are required at all times to be secured by collateral at
least equal to 105% of the market value of the securities on loan; however,
in the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral may be subject to legal
proceedings. The market value of securities on loan to brokers and the
related collateral cash and indemnification received by each Portfolio at
November 30, 1994, is as follows:
<TABLE>
<CAPTION>
Value of
Value of Securities Collateral and
on Loan Indemnification
------------------- ---------------
<S> <C> <C>
The Japanese Small Company Portfolio .. $58,051,484 $60,954,058
The Pacific Rim Small Company Portfolio 4,109,800 4,315,290
The Continental Small Company Portfolio 8,475,469 8,899,242
The Large Cap International Portfolio . 312,683 328,317
</TABLE>
179
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DFA INVESTMENT DIMENSIONS GROUP INC.:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of DFA Investment Dimensions Group
Inc. (comprising, respectively, The U.S. 9-10 Small Company, The U.S. 6-10
Small Company, The U.S. Large Company, The U.S. Small Cap Value, The U.S.
Large Cap Value, The DFA/AEW Real Estate Securities, The Japanese Small
Company, The Pacific Rim Small Company, The United Kingdom Small Company, The
Emerging Markets, The Continental Small Company, The Large Cap International,
The DFA International High Book To Market, The DFA One-Year Fixed Income, The
DFA Five-Year Government, The DFA Global Fixed Income and The DFA
Intermediate Government Fixed Income Portfolios) as of November 30, 1994, and
the related statements of operations for the year then ended and the
statements of changes in net assets and financial highlights for each of the
two years in the period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights of the DFA
Investment Dimensions Group Inc. for the year ended November 30, 1992 and
each of the prior periods presented were audited by other auditors, whose
report dated January 19, 1993 expressed an unqualified opinion thereon.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1994, by correspondence with the
custodians and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
each of the respective portfolios constituting the DFA Investment Dimensions
Group Inc. as of November 30, 1994, and the results of their operations for
the year then ended and the changes in their net assets and their financial
highlights for each of the two years in the period then ended, in conformity
with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 23, 1995
180
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
===============================================================================
The U.S. 6-10 Small Company Series
Vs. CRSP 6-10 Index
March 1993-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. 6-10 CRSP
Small Company 6-10
Series Index
------------- -----
$10000 $10000
Mar-93 10200 10300
Apr-93 9900 10000
May-93 10300 10500
Jun-93 10300 10500
Jul-93 10400 10600
Aug-93 10700 11100
Sep-93 11000 11400
Oct-93 11200 11800
Nov-93 11000 11400
Dec-93 11300 11800
Jan-94 11600 12200
Feb-94 11500 12100
Mar-94 11000 11400
Apr-94 11000 11400
May-94 11000 11300
Jun-94 10600 11000
Jul-94 10800 11200
Aug-94 11300 11800
Sep-94 11400 11900
Oct-94 11400 11900
Nov-94 11000 11400
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
0.59 5.81
* The portfolio seeks to capture
premium returns and
diversification benefits by
investing in a broad cross-section
of small companies on a market cap
weighted basis. The U.S. 6-10 Small
Company Series provides access to
publicly traded U.S. Small Companies
with market capitalization of approximately
$400 million or less.
* This portfolio's return in fiscal 1994
reflected the performance of decile 6-10
companies in the U.S.
Past performance is not predictive of
future performance.
CRSP 6-10 Index courtesy Center for
Research in Security Prices, University of Chicago.
- ------------------------------------------------------------------------------
181
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
===============================================================================
The U.S. Large Company Series
Vs. S&P 500 Index
March 1993-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. S&P
Large Company 500
Series Index
------------- -----
$10000 $10000
Mar-93 10200 10200
Apr-93 10000 10000
May-93 10200 10200
Jun-93 10200 10300
Jul-93 10200 10200
Aug-93 10600 10600
Sep-93 10500 10500
Oct-93 10700 10700
Nov-93 10600 10600
Dec-93 10800 10800
Jan-94 11100 11100
Feb-94 10800 10800
Mar-94 10300 10400
Apr-94 10500 10500
May-94 10700 10700
Jun-94 10400 10400
Jul-94 10700 10700
Aug-94 11200 11200
Sep-94 10900 10900
Oct-94 11200 11200
Nov-94 10800 10800
Annualized From
Total Return (%) One Year March 1993
- ----------------------------------------------------------------------------
1.30 4.27
* This portfolio provides access to U.S. large
companies in a portfolio structured to
approximate the performance of the S&P 500 Index.
* This portfolio's returns in fiscal 1994
reflected the performance of S&P 500 companies.
Past performance is not predictive of
future performance.
- -----------------------------------------------------------------------------
182
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
===============================================================================
The U.S. Small Cap Value Index
Vs. Fama-French Small Cap Value Index
March 1993-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. Fama-French
Small Cap Small Cap
Value Index Value Index
------------ ------------
$10000 $10000
Mar-93 9900 10300
Apr-93 9700 10000
May-93 10000 10400
Jun-93 10000 10400
Jul-93 10300 10600
Aug-93 10600 10900
Sep-93 11000 11200
Oct-93 11400 11500
Nov-93 11200 11300
Dec-93 11400 11500
Jan-94 12000 12100
Feb-94 12000 12100
Mar-94 11600 11500
Apr-94 11600 11500
May-94 11700 11500
Jun-94 11500 11200
Jul-94 11700 11400
Aug-94 12100 11900
Sep-94 12000 11900
Oct-94 11900 11700
Nov-94 11500 11300
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
2.52 8.06
* Dimensional's multifactor
portfolios attempt to capture return
premiums associated with high book-to-
market ratios and capitalization.
The small stock high book-to-market
portfolio deals with companies that are
approximately $500 million or less in
market cap and have book-to-market
ratios in the upper 30% of publicly
traded companies, and is invested on
a market cap weighted basis.
* This portfolio's returns in fiscal 1994
reflected the performance of small cap
high book-to-market U.S. companies.
Past performance is not predictive of
future performance.
Fama-French Small Cap Value Index courtesy
Fama-French and CRSP, University of Chicago.
- ------------------------------------------------------------------------------
183
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
===============================================================================
The U.S. Large Cap Value Series
Vs. Fama-French Large Cap Value Index
March 1993-November 1994
The following reflects the growth of a $10,000 investment.
The U.S. Fama-French
Large Cap Value Large Cap Value
Series Index
-------------- ---------------
$10000 $10000
Mar-93 10100 10300
Apr-93 10100 10200
May-93 10200 10300
Jun-93 10400 10500
Jul-93 10500 10700
Aug-93 10800 11000
Sep-93 10600 10900
Oct-93 10700 11000
Nov-93 10600 10900
Dec-93 10900 11200
Jan-94 11200 11400
Feb-94 10700 11000
Mar-94 10300 10500
Apr-94 10400 10600
May-94 10400 10500
Jun-94 10100 10300
Jul-94 10600 10800
Aug-94 10900 11100
Sep-94 10600 10700
Oct-94 10800 10900
Nov-94 10300 10600
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
-3.13 1.79
* Dimensional's multifactor
portfolios attempt to capture return
premiums associated with high book-to-market
ratios and capitalization. The Large Cap
Value series invests in companies
that are approximately $400 million or
larger in market cap and have book-to-market
ratios in the upper 30% of publicly traded
companies, and is invested on a market cap
weighted basis.
* This portfolio's returns in fiscal 1994
reflected the performance of large cap
high book-to-market U.S. companies.
Past performance is not predictive of
future performance.
Fama-French Large Cap Value Index courtesy
Fama-French and CRSP, University of Chicago.
- ------------------------------------------------------------------------------
184
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
===============================================================================
The DFA One-Year Fixed Income Series
Vs. One Month CD's
March 1993-November 1994
The following reflects the growth of a $10,000 investment.
The DFA
One-Year Fixed Income One Month
Series CD's
-------------------- ----------
Mar-93 $10000 $10000
Apr-93 10100 10000
May-93 10100 10100
Jun-93 10100 10100
Jul-93 10200 10100
Aug-93 10200 10100
Sep-93 10300 10200
Oct-93 10300 10200
Nov-93 10300 10200
Dec-93 10300 10200
Jan-94 10400 10300
Feb-94 10400 10300
Mar-94 10400 10300
Apr-94 10400 10300
May-94 10400 10400
Jun-94 10400 10400
Jul-94 10500 10400
Aug-94 10500 10500
Sep-94 10500 10500
Oct-94 10600 10600
Nov-94 10600 10600
Annualized From
Total Return (%) One Year March 1993
- ------------------------------------------------------------------------------
2.61 3.24
* Dimensional's Fixed Income
Strategy maximizes expected
returns by shifting maturities
based on changes in the yield curve.
Using current prices, the strategy
creates a matrix of expected
returns from different buy and sell
strategies and identifies the
optimal maturity range for the
highest expected returns. Issues
which meet maturity and quality
levels are further evaluated for
business risk. Maturities are shifted
if sufficient premiums can be
documented. Investments are made in
high quality obligations, including BAs,
CDs, corporate debt obligations and commercial
paper of U.S. as well as non-U.S. issuers
(Yankees). Average maturity is maintained
under one year with no individual issue longer
than two years.
* This portfolio's returns in fiscal 1994
reflected the performance of its strategy.
Past performance is not predictive of
future performance.
- ------------------------------------------------------------------------------
185
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
===============================================================================
The DFA International Value Series
Vs. EAFE Index
March 1994-November 1994
The following reflects the growth of a $10,000 investment.
The DFA
International Value EAFE
Series Index
------------------- -------
$10000 $10000
Mar-94 9700 9600
Apr-94 10100 10000
May-94 10100 9900
Jun-94 10200 10100
Jul-94 10400 10200
Aug-94 10600 10400
Sep-94 10200 10100
Oct-94 10600 10400
Nov-94 10100 9900
Total From
Return (%) March 1994
- -----------------------------------------------------------------------------
0.99
* This portfolio invests in large
non-U.S. high book-to-market
companies with market capitalization
greater than $500 million, and whose
book-to-market factor is in the upper
30% of such large publicly traded
companies. Country weightings are
designed to reflect each country's
market capitalization relative to our
country universe, adjusted to reflect
cross-ownership.
* This was a new portfolio in fiscal 1994.
Its returns reflected the performance of
large, high book-to-market companies.
Past performance is not predictive of
future performance.
EAFE Index courtesy Morgan Stanley
Capital International.
- ------------------------------------------------------------------------------
186
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
===============================================================================
The Emerging Market Series
Vs. MSCI Emerging Markets Free
Equal Weighted Index
May 1994-November 1994
The following reflects the growth of a $10,000 investment.
The Emerging Markets MSCI Emerging Markets
Series Free Equal Weighted Index
-------------------- -------------------------
$10000 $10000
May-94 10175 10320
Jun-94 10057 10018
Jul-94 10805 10635
Aug-94 11780 11942
Sep-94 11908 12066
Oct-94 11564 11832
Nov-94 11200 11200
Total From
Return (%) May 1994
- ------------------------------------------------------------------------------
11.99
* This portfolio provides access to
non-U.S. large companies in
"emerging market" countries,
including Argentina, Brazil,
Chile, Indonesia, Malaysia, Mexico,
Portugal, Thailand and Turkey.
Investment is based on market capitalization,
with investments attempting to capture between
40% and 75% of the largest companies in
each country. The portfolio attempts to
have equal country-weighting.
* This was a new portfolio in fiscal 1994.
Its returns reflected the performance of
an equally weighted emerging markets country
portfolio.
Past performance is not predictive of
future performance.
MSCI Emerging Markets Free Equal-Weighted
Index created by equal-weighting the MSCI
country returns for the nine countries
that Dimensional is currently invested in.
Courtesy of Morgan Stanley.
- ------------------------------------------------------------------------------
187
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
SCHEDULE OF INVESTMENTS
THE U.S. 6-10 SMALL COMPANY SERIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (95.2%)
*3D0 Co. ................................................ 4,600 $ 61,525
AAR Corp. .............................................. 11,300 148,313
ABM Industries, Inc. ................................... 3,500 72,625
ABS Industries, Inc. ................................... 1,400 19,075
ACC Corp. .............................................. 2,500 40,625
*ACS Enterprises, Inc. .................................. 1,000 7,125
*ACX Technologies, Inc. ................................. 2,500 90,938
ADAC Laboratories (New) ................................ 11,466 96,028
*AEL Industries, Inc. Class A ........................... 1,000 9,000
AEP Industries, Inc. ................................... 3,000 48,375
*AER Energy Resources, Inc. ............................. 5,000 25,938
AL Laboratories, Inc. Class A .......................... 8,800 151,800
*AMC Entertainment, Inc. ................................ 1,300 14,138
*ARI Holdings Corp. ..................................... 900 4,838
*ARI Network Services, Inc. ............................. 2,800 8,575
*ARK Restaurants Corp. .................................. 1,000 7,750
*AST Research, Inc. ..................................... 10,000 150,000
Aaron Rents, Inc. Class A .............................. 4,800 60,900
Aaron Rents, Inc. Class B .............................. 4,800 60,600
*Abaxis, Inc. ........................................... 2,000 7,875
*Abbey Healthcare Group, Inc. ........................... 2,853 67,046
*Abex, Inc. ............................................. 5,700 40,613
Abington Savings Bank MA ............................... 700 9,100
*Abiomed, Inc. .......................................... 2,600 16,575
*Accell International Corp. ............................. 2,700 6,919
*Acceptance Insurance Companies, Inc. ................... 5,025 72,234
*Access Health Marketing, Inc. .......................... 1,000 17,375
*Ackerley Communications, Inc. .......................... 600 3,975
*Acme Electric Corp. .................................... 3,000 40,125
*Acme Metals, Inc. ...................................... 2,100 33,338
*Acme United Corp. ...................................... 3,400 9,775
Acme-Cleveland Corp. ................................... 7,000 76,125
Actava Group, Inc. ..................................... 7,100 70,113
*Action Industries, Inc. ................................ 3,600 6,300
*Acuson Corp. ........................................... 20,000 335,000
*Acxiom Corp. ........................................... 7,600 204,250
*Adage, Inc. ............................................ 3,100 14,725
*Adams Resources & Energy, Inc. (New) ................... 1,000 9,000
*Addington Resources, Inc. .............................. 4,200 36,750
*Adelphia Communications Corp. Class A .................. 6,000 67,500
*Advance Circuits, Inc. ................................. 7,475 92,503
*Advance Ross Corp. (New) ............................... 5,000 103,750
*Advanced Logic Research, Inc. .......................... 5,200 24,375
*Advanced Magnetics, Inc. ............................... 6,000 83,250
*Advanced Marketing Services, Inc. ...................... 2,700 16,875
*Advanced Medical, Inc. ................................. 2,800 5,425
*Advanced NMR Systems, Inc. ............................. 4,700 11,163
*Advanced Polymer Systems, Inc. ......................... 5,400 24,469
*Advanced Technology Labs, Inc. ......................... 6,640 118,690
*Advanced Tissue Sciences, Inc. ......................... 22,900 198,944
*Advantage Bancorp, Inc. ................................ 1,000 28,375
*Advantage Health Corp. ................................. 1,000 29,250
*Advest Group, Inc. ..................................... 2,700 14,175
Advo, Inc. ............................................. 8,000 143,000
</TABLE>
188
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Aequitron Medical, Inc. ................................ 2,200 $ 8,663
*Aeroflex, Inc. ......................................... 2,500 9,688
*Aerosonic Corp. DE ..................................... 1,000 2,000
*Aerovox, Inc. .......................................... 1,000 7,000
*Agouron Pharmaceuticals, Inc. .......................... 3,300 37,538
*Aileen, Inc. ........................................... 7,800 13,650
*Air & Water Technologies Corp. Class A ................. 15,000 88,125
Air Express International Corp. ........................ 3,300 88,275
*Air Methods Corp. (New) ................................ 1,500 3,000
Airborne Freight Corp. ................................. 6,300 124,425
*Airsensors, Inc. ....................................... 2,500 23,750
Airtran Corp. .......................................... 1,900 14,963
*Akorn, Inc. ............................................ 5,100 16,097
*Alamco, Inc. (New) ..................................... 1,300 8,125
*Alantec Corp. .......................................... 5,000 103,750
*Alaska Air Group, Inc. ................................. 6,100 99,888
Alatenn Resources, Inc. ................................ 1,300 22,425
*Alba-Waldensian, Inc. .................................. 3,700 39,775
Albank Financial Corp. ................................. 3,700 78,856
Alex Brown, Inc. ....................................... 4,600 130,525
*Alexander Energy Co. ................................... 1,000 6,500
Alfa Corp. ............................................. 8,000 83,000
Alico, Inc. ............................................ 2,100 35,438
*Alkermes, Inc. ......................................... 8,200 27,675
*All American Semiconductor, Inc. ....................... 3,400 6,906
*Allegheny & Western Energy Corp. ....................... 4,800 51,900
*Allegiant Physician Services, Inc. ..................... 3,000 6,469
*Alliance Entertainment Corp. ........................... 6,300 32,288
*Alliance Pharmaceuticals Corp. ......................... 12,900 95,944
*Alliant Techsystems, Inc. .............................. 5,500 194,463
Allied Group, Inc. ..................................... 4,150 104,269
*Allied Holdings, Inc. .................................. 5,000 60,625
Allied Life Financial Corp. ............................ 2,000 28,500
*Allied Products Corp. .................................. 9,500 130,625
*Allied Research Corp. .................................. 1,400 7,700
*Allied Waste Industries, Inc. .......................... 5,200 23,400
*Allou Health & Beauty Care, Inc. Class A ............... 1,600 12,200
*Allstate Financial Corp. ............................... 1,000 6,156
*Alltrista Corp. ........................................ 653 12,815
*Allwaste, Inc. ......................................... 11,100 67,988
*Aloette Cosmetics, Inc. ................................ 1,000 2,250
*Alpha Beta Technology, Inc. ............................ 2,000 22,500
*Alpha Industries, Inc. ................................. 10,000 63,750
*Alpha Microsystems, Inc. ............................... 1,000 1,250
*Alpine Group, Inc. ..................................... 15,736 90,482
*Alpine Lace Brands, Inc. ............................... 1,700 6,481
*Alteon, Inc. ........................................... 8,300 50,838
*Altron, Inc. ........................................... 2,400 49,800
*Ambers Stores, Inc. .................................... 1,000 1,750
Amcast Industrial Corp. ................................ 5,800 117,450
Amcore Financial, Inc. ................................. 3,150 53,944
*Amdura Corp. (New) ..................................... 1,800 3,150
*America Online, Inc. ................................... 4,800 201,600
*America Services Group, Inc. ........................... 3,000 17,438
American Annuity Group, Inc. ........................... 13,000 118,625
</TABLE>
189
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
American Bankers Insurance Group, Inc. ................. 6,000 $118,500
American Biltrite, Inc. ................................ 4,800 121,500
*American Biogenetic Sciences, Inc. Class A ............. 3,700 6,706
*American Business Information, Inc. .................... 6,000 102,750
American Business Products, Inc. ....................... 3,300 66,413
*American City Business Journals, Inc. .................. 2,000 32,750
*American Claims Evaluation, Inc. ....................... 1,000 2,000
American Classic Voyages Co. ........................... 3,900 62,888
American Colloid Co. ................................... 6,200 108,888
*American Consumer Products, Inc. ....................... 1,500 4,688
American Ecology Corp. ................................. 5,250 38,719
*American Educational Products, Inc. .................... 1,900 4,513
American Federal Bank FSB Greenville, SC ............... 2,900 31,900
*American Healthcorp, Inc. .............................. 5,000 27,500
American Heritage Life Investment Corp. ................ 6,300 111,038
*American Homepatient, Inc. ............................. 3,000 61,125
American Indemnity Financial Corp. ..................... 800 8,400
*American International Petroleum Corp. ................. 30 33
American List Corp. .................................... 825 14,644
American Maize Products Co. Class A .................... 2,000 47,000
*American Management Systems, Inc. ...................... 11,250 187,734
*American Medical Electronics, Inc. ..................... 4,400 28,325
*American Medical Response, Inc. ........................ 7,700 196,350
*American Mobil Systems, Inc. ........................... 1,500 12,938
*American Mobile Satellite Corp. ........................ 8,000 104,000
*American Pacific Corp. ................................. 2,500 22,500
*American Physicians Services Group, Inc. ............... 1,000 2,531
American Precision Industries, Inc. .................... 15,200 108,300
American Recreation Centers, Inc. ...................... 1,000 6,000
*American Recreation Co. Holdings, Inc. ................. 5,000 38,750
*American Savings of Florida, FSB (New) ................. 6,900 111,263
*American Science & Engineering, Inc. ................... 7,800 43,875
*American Shared Hospital
Services ............................................. 600 263
American Software, Inc. Class A ........................ 3,100 11,431
American Studios, Inc. ................................. 12,500 46,094
*American Superconductor Corp. .......................... 1,500 34,500
*American Technical Ceramics Corp. ...................... 1,800 5,963
*American Travellers Corp. .............................. 2,600 43,225
*American United Global, Inc. ........................... 1,000 3,656
*American White Cross, Inc. ............................. 5,000 16,250
*American Woodmark Corp. ................................ 660 3,300
Americana Bancorp, Inc. ................................ 1,200 17,850
*Americredit Corp. ...................................... 13,300 79,800
*Ameridata Technologies, Inc. ........................... 3,000 39,375
Amerifed Financial Corp. ............................... 1,000 44,375
*Amerihost Properties, Inc. ............................. 4,000 16,250
*Ameriquest Technology, Inc. ............................ 1,000 3,000
</TABLE>
190
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Ameriwood Industries International Corp. ............... 3,200 $ 28,600
Ameron, Inc. ........................................... 1,100 35,750
*Amfed Financial, Inc. .................................. 456 9,006
Ampco-Pittsburgh Corp. ................................. 4,400 30,800
Amre, Inc. ............................................. 11,200 61,600
*Amrep Corp. (New) ...................................... 10,900 76,300
Amresco, Inc. .......................................... 8,600 62,350
*Amsco International, Inc. .............................. 8,000 76,000
Amtech Corp. ........................................... 4,375 39,102
Amvestors Financial Corp. (New) ........................ 6,220 52,870
Amwest Insurance Group, Inc. ........................... 3,900 45,825
*Amylin Pharmaceuticals, Inc. ........................... 2,500 15,313
*Anacomp, Inc. .......................................... 12,300 27,675
*Analogic Corp. ......................................... 3,800 72,675
Analysis & Technology, Inc. ............................ 800 12,200
Analysts International Corp. ........................... 3,700 70,300
*Anaren Microwave, Inc. ................................. 2,000 6,250
*Anchor Bancorp, Inc. ................................... 10,500 147,000
Andover Bancorp, Inc. DE ............................... 800 11,550
*Andrea Electronics Corp. ............................... 1,000 22,000
*Andros, Inc. ........................................... 5,000 80,625
*Anergen, Inc. .......................................... 1,000 3,000
Angelica Corp. ......................................... 4,600 116,725
*Anika Research, Inc. ................................... 2,280 4,133
Anthony Industries, Inc. ............................... 7,116 117,412
*Anuhco, Inc. ........................................... 2,200 23,925
*Apertus Technologies, Inc. ............................. 3,700 36,538
*Aphton Corp. ........................................... 2,500 31,875
Apogee Enterprises, Inc. ............................... 4,000 73,000
Apple South, Inc. ...................................... 6,750 85,219
Applebee's International, Inc. ......................... 4,400 65,450
*Appliance Recycling Centers of America, Inc. ........... 1,000 5,000
*Applied Bioscience International, Inc. ................. 12,800 60,800
*Applied Extrusion Technologies, Inc. ................... 2,700 28,350
*Applied Magnetics Corp. ................................ 6,000 17,250
*Applied Microbiology, Inc. ............................. 3,600 12,150
Applied Power, Inc. Class A ............................ 3,500 77,000
*Applied Signal Technologies, Inc. ...................... 5,000 20,938
Aptargroup, Inc. ....................................... 3,200 82,400
Aquarion Co. ........................................... 1,800 39,600
Arbor Drugs, Inc. ...................................... 9,000 191,250
*Arbor National Holdings, Inc. .......................... 5,000 72,188
*Arch Communications Group, Inc. ........................ 5,100 101,044
*Arch Petroleum, Inc. (New) ............................. 4,600 9,344
*Argosy Gaming Corp. .................................... 4,900 59,106
Arkansas Best Corp. .................................... 9,000 109,125
Armor All Products Corp. ............................... 9,700 204,913
*Arrhythmia Research Technology, Inc. ................... 1,100 3,025
*Arrow Automotive Industries, Inc. ...................... 4,800 35,400
*Arrow Electronics, Inc. ................................ 5,338 194,152
Arrow International, Inc. .............................. 1,000 28,250
*Artisoft, Inc. ......................................... 6,400 56,800
Artistic Greetings, Inc. ............................... 1,700 7,013
Ashland Coal, Inc. ..................................... 4,600 133,400
*Ashworth, Inc. ......................................... 8,400 70,875
*Aspect Telecommunications Corp. ........................ 4,600 144,325
Aspen Bancshares, Inc. ................................. 1,125 14,344
Associated Banc-Corp. .................................. 5,610 178,118
Associated Natural Gas Corp. ........................... 7,450 288,688
*Astec Industries, Inc. ................................. 10,400 136,500
</TABLE>
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Astro-Med, Inc. ........................................ 4,200 $ 44,363
Astronics Corp. ........................................ 1,200 2,550
*Astrosystems, Inc. ..................................... 3,400 13,600
*Astrotech International Corp. (New) .................... 1,800 4,725
*Atari Corp. ............................................ 35,300 185,325
*Athena Neurosciences, Inc. ............................. 14,400 103,500
*Athey Products Corp. ................................... 2,940 20,213
*Atkinson (Guy F.) of California ........................ 2,700 28,013
*Atlantic Coast Airlines, Inc. .......................... 5,000 9,375
*Atlantic Gulf Communities Corp. ........................ 2,600 24,700
*Atlantic Tele-Network, Inc. ............................ 5,600 47,250
Atlantis Plastics, Inc. ................................ 1,100 6,600
*Atlas Corp. ............................................ 6,400 15,200
Atmos Energy Corp. ..................................... 6,900 119,888
*Atrix Labs, Inc. ....................................... 2,300 12,650
*Atwood Oceanics, Inc. .................................. 4,800 62,700
*Au Bon Pain, Inc. Class A .............................. 2,600 41,925
Augat, Inc. ............................................ 11,100 191,475
*Aura Systems, Inc. ..................................... 8,700 38,334
*Aurora Electronics, Inc. ............................... 8,775 40,036
*Auspex Systems, Inc. ................................... 6,800 48,025
*Authentic Fitness Corp. ................................ 5,000 68,125
*Autocam Corp. .......................................... 3,575 47,816
Autoclave Engineers, Inc. .............................. 2,100 18,244
*Autofinance Group, Inc. ................................ 2,520 22,365
*Autoinfo, Inc. ......................................... 3,600 10,013
*Automotive Industries Holding, Inc. Class A ............ 3,400 61,200
*Autotote Corp. Class A ................................. 5,700 71,250
*Avatar Holdings, Inc. .................................. 4,300 147,813
Avemco Corp. ........................................... 4,100 57,400
Aviall, Inc. (New) ..................................... 14,000 127,750
*Avondale Industries, Inc. .............................. 6,600 47,438
*Aydin Corp. ............................................ 3,000 33,750
*Aztar Corp. ............................................ 17,000 102,000
Aztec Manufacturing Co. ................................ 10,300 44,419
*BE Aerospace, Inc. ..................................... 7,300 57,488
BEI Electronics, Inc. .................................. 2,000 10,375
BGS Systems, Inc. ...................................... 2,600 72,475
*BI, Inc. (New) ......................................... 3,800 18,288
*BISYS Group, Inc. ...................................... 1,900 41,088
BJ Services Co. ........................................ 4,200 77,700
BMC Industries, Inc. MN ................................ 11,600 174,000
*BMC West Corp. ......................................... 1,500 18,750
*BMJ Financial Corp. .................................... 5,000 55,000
BSB Bancorp, Inc. ...................................... 2,200 59,400
*BTU International, Inc. ................................ 2,000 9,375
BW/IP, Inc. Class A .................................... 10,000 176,250
*Babbages, Inc. ......................................... 2,700 39,825
*Bachman Information Systems, Inc. ...................... 4,000 14,750
*Back Bay Restaurant Group, Inc. ........................ 2,000 17,750
Bairnco Corp. .......................................... 4,800 21,000
Baker (J), Inc. ........................................ 6,700 110,550
*Baker (Michael) Corp. .................................. 6,000 24,000
Balchem Corp. .......................................... 1,350 7,931
Baldor Electric Co. .................................... 8,260 211,663
*Baldwin Piano & Organ Co. .............................. 2,000 26,000
*Baldwin Technology, Inc. Class A ....................... 9,400 45,238
Ballard Medical Products ............................... 15,900 160,988
*Bally Entertainment Corp. .............................. 8,000 47,000
*Bally Gaming International, Inc. ....................... 2,900 26,100
*Baltek Corp. ........................................... 1,500 11,063
BanCorp New Jersey, Inc. ............................... 1,000 31,000
</TABLE>
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*BancTec, Inc. .......................................... 7,250 $154,969
*Bancinsurance Corp. .................................... 1,000 3,250
Bancorp Connecticut, Inc. .............................. 1,000 13,250
BancorpSouth, Inc. ..................................... 1,150 36,656
Bangor Hydro-Electric Co. .............................. 6,000 61,500
Bank of New Hampshire Corp. ............................ 2,800 56,000
BankAtlantic Bancorp, Inc. ............................. 690 9,833
BankNorth Group, Inc. DE (New) ......................... 1,700 40,588
Bankers Corp. .......................................... 10,440 135,720
Bankers First Corp. .................................... 1,000 19,000
*Banner Aerospace, Inc. ................................. 12,200 48,800
*Banyan System, Inc. .................................... 7,900 153,063
Barefoot, Inc. ......................................... 5,000 64,375
Barnes Group, Inc. ..................................... 1,600 58,800
Barnwell Industries, Inc. .............................. 600 11,475
*Barr Laboratories, Inc. ................................ 3,900 100,425
*Barra, Inc. ............................................ 6,000 45,750
*Barrett Business Services, Inc. ........................ 2,400 37,200
*Barrett Resources Corp. ................................ 7,900 157,013
*Barry (R.G.) Corp. ..................................... 3,066 55,955
*Base Ten Systems, Inc. Class A ......................... 1,000 7,688
*Basin Exploration, Inc. ................................ 4,900 50,531
*Bassett Furniture Industries, Inc. ..................... 2,900 83,375
Bay State Gas Co. ...................................... 6,500 150,313
Bay View Capital Corp. ................................. 2,000 38,750
*Bayou Steel Corp. Class A .............................. 3,200 10,600
Bearings, Inc. ......................................... 2,200 73,150
Beauticontrol Cosmetics, Inc. .......................... 1,000 14,500
Beeba's Creations, Inc. ................................ 1,600 5,800
*Bel Fuse, Inc. ......................................... 3,000 22,875
Bell Bancorp, Inc. ..................................... 3,200 77,200
*Bell Industries, Inc. .................................. 7,862 172,964
*Bell Sports Corp. ...................................... 1,900 31,350
*Belmac Corp. ........................................... 603 377
*Ben & Jerry's Homemade, Inc. Class A ................... 2,100 26,775
*Ben Franklin Retail Stores, Inc. ....................... 2,200 8,938
*Benchmark Electronics, Inc. ............................ 800 21,600
*Benihana National Corp. ................................ 1,000 6,563
*Benson Eyecare Corp. ................................... 1,047 7,067
*Benton Oil & Gas Co. ................................... 5,300 40,081
*Berlitz International, Inc. (New) ...................... 4,610 57,913
Berry Petroleum Corp. Class A .......................... 13,400 149,075
*Bertuccis, Inc. ........................................ 1,600 20,200
*Bet Holdings, Inc. Class A ............................. 3,700 54,575
*Bettis Corp. ........................................... 6,200 18,213
Big B, Inc. ............................................ 7,100 89,638
*Big O Tires, Inc. ...................................... 2,000 32,125
Bindley Western Industries, Inc. ....................... 6,500 86,125
Binks Manufacturing Co. ................................ 1,598 30,961
*Bio-Logic Systems Corp. ................................ 1,400 3,588
*Bio-Rad Laboratories, Inc.
Class A .............................................. 1,000 27,750
*Biocircuits Corp. ...................................... 3,700 3,469
Biocraft Laboratories, Inc. ............................ 8,000 135,000
*Biomagnetic Technologies, Inc. ......................... 1,800 1,913
*Biomatrix, Inc. ........................................ 2,700 12,488
*Biospherics, Inc. ...................................... 700 4,200
*Biosurface Technology, Inc. ............................ 7,000 20,125
*Biosys, Inc. ........................................... 5,000 15,938
*Biowhittaker, Inc. ..................................... 2,700 19,575
*Bird Corp. ............................................. 2,500 21,094
*Bird Medical Technologies, Inc. ........................ 1,800 6,525
*Biscayne Apparel, Inc. ................................. 1,365 3,370
*Black Box Corp. ........................................ 7,000 101,500
</TABLE>
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Black Hills Corp. ...................................... 9,600 $187,200
Blair Corp. ............................................ 2,800 114,450
Blanch (E.W.) Holdings, Inc. ........................... 6,400 122,400
Blessings Corp. ........................................ 3,000 95,625
*Bloc Development Corp. ................................. 7,100 8,209
Blount, Inc. Class A ................................... 2,300 102,925
*Bolt Beranek & Newman, Inc. ............................ 7,800 155,025
*Bombay Co., Inc. ....................................... 7,000 74,375
*Bon-Ton Stores, Inc. ................................... 1,000 12,250
*Boole & Babbage, Inc. .................................. 3,000 75,375
*Boomtown, Inc. ......................................... 3,900 48,750
*Borg-Warner Security Corp. ............................. 13,700 128,438
*Borland International, Inc. ............................ 17,200 163,400
Boston Acoustics, Inc. ................................. 3,400 60,775
Boston Bancorp ......................................... 2,400 66,300
*Boston Technology, Inc. ................................ 17,000 287,938
*Bowmar Instrument Corp. ................................ 11,700 35,100
Bowne & Co., Inc. ...................................... 7,900 127,388
*Box Energy Corp. Class B ............................... 3,500 35,000
Bradlees, Inc. ......................................... 3,000 41,250
Braintree Savings Bank MA .............................. 600 7,050
Brandon Systems Corp. .................................. 1,200 20,550
*Brauns Fashions Corp. .................................. 1,000 3,188
Brenco, Inc. ........................................... 11,200 135,100
*Brendle's, Inc. ........................................ 4,100 3,331
Bridgford Foods Corp. .................................. 2,505 25,363
*Brite Voice Systems, Inc. .............................. 600 11,138
*Broadcast International, Inc. .......................... 3,200 17,600
*Broadway & Seymour, Inc. ............................... 1,000 19,875
*Broadway Stores, Inc. .................................. 8,000 82,000
*Brock Exploration Corp. ................................ 1,100 4,263
*Broderbund Software, Inc. .............................. 3,800 136,800
*Brooke Group, Ltd. ..................................... 4,700 13,513
*Brookstone, Inc. ....................................... 3,400 47,175
*Brooktree Corp. ........................................ 8,100 70,875
*Brooktrout Technology, Inc. ............................ 2,000 23,000
*Brown & Sharpe Manufacturing Co. Class A ............... 1,000 5,750
*Brown (Tom), Inc. (New) ................................ 3,900 38,756
Brush Wellman, Inc. .................................... 4,100 62,013
*Buckle, Inc. ........................................... 1,900 24,700
*Buffets, Inc. .......................................... 6,200 56,963
*Builders Transport, Inc. ............................... 1,800 20,250
*Bull Run Corp. GA ...................................... 21,300 35,278
*Burlington Coat Factory
Warehouse Corp. ...................................... 1,000 11,500
*Burr Brown Corp. ....................................... 8,300 119,313
*Business Records Corp. Holding Co. ..................... 3,500 119,875
*Butler International, Inc. ............................. 1,000 6,250
Butler Manufacturing Co. ............................... 1,400 47,250
*Buttrey Food & Drug Stores Co. ......................... 2,500 18,281
*C-COR Electronics, Inc. ................................ 5,200 262,600
*CCA Industries, Inc. ................................... 1,600 6,200
CCB Financial Corp. .................................... 4,300 165,550
CCP Insurance, Inc. .................................... 5,400 79,650
*CDI Corp. .............................................. 13,100 234,163
*CE Software Holdings, Inc. ............................. 600 1,388
*CEM Corp. .............................................. 3,800 45,600
CFSB Bancorp, Inc. ..................................... 1,000 18,500
CFX Corp. .............................................. 840 14,910
*CII Financial, Inc. .................................... 3,300 17,738
*CIS Technologies, Inc. DE .............................. 8,200 23,831
CKE Restaurants, Inc. .................................. 5,600 42,700
CMAC Investment Corp. .................................. 3,200 88,000
</TABLE>
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*CMI Corp. Class A ...................................... 18,100 $108,600
CNB Bancshares, Inc. ................................... 4,043 125,318
CPAC, Inc. ............................................. 525 6,891
CPB, Inc. .............................................. 1,300 29,900
CPI Corp. .............................................. 9,800 191,100
CRSS, Inc. ............................................. 8,200 90,200
*CSF Holdings, Inc. Class B ............................. 2,600 60,775
*CSP, Inc. .............................................. 2,800 23,800
*CSS Industries, Inc. ................................... 3,400 55,250
CTS Corp. .............................................. 1,500 43,500
*CU Bancorp ............................................. 600 4,350
CVB Financial Corp. .................................... 2,178 30,764
*CXR Corp. .............................................. 9,800 8,269
*Cablemaxx, Inc. ........................................ 5,000 25,938
*Cabot Medical Corp. .................................... 3,109 17,100
Cabot Oil & Gas Corp. Class A .......................... 4,100 68,675
*Cache, Inc. ............................................ 5,025 30,778
*Caci International, Inc. Class A ....................... 1,000 10,313
*Cade Industries, Inc. .................................. 1,500 1,102
*Cadiz Land, Inc. ....................................... 3,300 16,706
Cadmus Communications Corp. ............................ 6,500 103,188
*Caere Corp. ............................................ 3,300 51,975
Cagle's, Inc. Class A .................................. 1,125 36,984
*Caldor Corp. ........................................... 9,700 282,513
*Calgene, Inc. .......................................... 14,300 109,038
Calgon Carbon Corp. .................................... 4,100 46,125
*California Amplifier, Inc. ............................. 2,400 15,150
California Financial Holding Corp. ..................... 4,000 53,000
*California Micro Devices Corp. ......................... 3,400 21,250
*California Microwave, Inc. ............................. 5,500 173,938
California State Bank .................................. 1,900 19,000
California Water Service Co. ........................... 1,000 31,000
Calmat Co. ............................................. 5,000 95,000
*Calprop Corp. .......................................... 7,700 5,294
*Cambex Corp. ........................................... 5,200 21,125
Cambrex Corp. .......................................... 3,300 84,563
*Cambridge Neuroscience, Inc. ........................... 2,300 9,200
*Camco International, Inc. .............................. 4,800 91,200
*Candela Laser Corp. .................................... 1,000 2,125
*Candies, Inc. .......................................... 1,000 1,563
*Canonie Environmental Services Corp. ................... 2,900 15,225
*Cantel Industries, Inc. Class B ........................ 2,000 9,500
*Canterbury Educational Services, Inc. .................. 2,500 5,625
*Canyon Resources Corp. ................................. 11,800 19,544
Cape Cod Bank & Trust Co. .............................. 500 12,625
Capital Re Corp. ....................................... 8,100 182,250
Capitol American Financial Corp. ....................... 13,000 281,125
Capitol Transamerica Corp. ............................. 2,000 32,750
*Capsure Holdings Corp. ................................. 7,300 97,638
Caraustar Industries, Inc. ............................. 7,200 149,400
*Cardiovascular Imaging Systems ......................... 2,500 21,875
*Care Group, Inc. ....................................... 1,800 7,144
*CareNetwork, Inc. ...................................... 1,000 24,875
*Carlisle Plastics, Inc. Class A ........................ 5,100 21,038
*Carmike Cinemas, Inc. Class A .......................... 4,000 90,000
*Carolco Pictures, Inc. ................................. 2,800 168
Carolina First Corp. ................................... 1,050 14,175
*Carolina Freight Corp. ................................. 2,000 18,750
Carpenter Technology Corp. ............................. 2,100 112,875
*Carrington Laboratories, Inc. .......................... 3,400 29,325
Carter-Wallace, Inc. ................................... 6,700 89,613
*Carver Corp. WA ........................................ 3,800 11,638
Cascade Corp. .......................................... 2,700 58,388
</TABLE>
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Cascade Natural Gas Corp. .............................. 3,950 $ 55,794
Casey's General Stores, Inc. ........................... 11,800 160,038
Cash America International, Inc. ....................... 8,700 75,038
*Casino America, Inc. ................................... 3,000 25,688
*Casino Magic Corp. ..................................... 7,300 36,728
*Castle & Cooke Homes, Inc. ............................. 20,500 322,775
Castle (A.M.) & Co. .................................... 18,750 243,750
*Catalina Lighting, Inc. ................................ 5,000 38,125
*Catalyst Semiconductor, Inc. ........................... 4,000 11,500
*Catalytica, Inc. ....................................... 7,500 26,250
*Catellus Development Corp. ............................. 10,000 65,000
Cathay Bancorp, Inc. ................................... 1,100 14,713
*Catherines Stores Corp. ................................ 2,400 18,600
Cato Corp. Class A ..................................... 5,700 42,038
Cavalier Homes, Inc. ................................... 1,000 11,750
*Celgene Corp. .......................................... 4,800 33,750
*Cell Genesys, Inc. ..................................... 1,000 9,188
*Cellpro, Inc. .......................................... 2,700 50,625
*Celtrix Pharmaceuticals, Inc. .......................... 5,000 15,000
Cenfed Financial Corp. ................................. 1,200 19,950
*Centennial Bancorp ..................................... 1,155 11,983
*Centennial Cellular Corp. Class A ...................... 6,100 99,125
*Centerbank Waterbury, CT ............................... 6,200 62,000
*Centigram Communications Corp. ......................... 1,000 19,750
Central & Southern Holding Co. ......................... 1,500 9,563
*Central Co-Operative Bank
Somerville, MA ....................................... 900 9,338
Central Jersey Bancorp ................................. 2,600 86,450
Central Maine Power Co. ................................ 6,500 81,250
Central Reserve Life Corp. ............................. 1,800 14,625
*Central Sprinkler Corp. ................................ 2,500 25,000
Central Vermont Public Service Corp. ................... 5,250 68,250
Centura Banks, Inc. .................................... 9,500 204,250
Century Bancorp Income Class A ......................... 1,000 6,500
*Cephalon, Inc. ......................................... 10,300 86,263
*Ceradyne, Inc. ......................................... 11,800 33,188
*Cerner Corp. ........................................... 2,700 108,000
*Chambers Development Co., Inc. ......................... 4,800 18,000
*Chambers Development Co., Inc. Class A ................. 8,000 30,500
*Champion Enterprises, Inc. ............................. 5,200 147,550
*Champion Parts, Inc. ................................... 1,800 6,413
Chaparral Steel Co. .................................... 9,100 62,563
*Chart House Enterprises, Inc. .......................... 3,700 38,388
*Chart Industries, Inc. ................................. 5,000 18,750
Charter One Financial, Inc. ............................ 16,400 304,425
Charter Power Systems, Inc. ............................ 4,300 74,713
*Chattem, Inc. .......................................... 2,500 13,125
*Check Technology Corp. ................................. 1,000 5,250
*Checkers Drive-In Restaurant, Inc. ..................... 9,700 28,797
*Checkpoint System, Inc. ................................ 9,700 192,788
Chemed Corp. ........................................... 2,500 78,750
*Chemfab Corp. .......................................... 3,700 49,025
*Chempower, Inc. ........................................ 1,800 7,313
*Chemtrak, Inc. ......................................... 2,700 9,788
*Cherry Corp. Class A ................................... 3,600 51,300
*Cherry Corp. Class B ................................... 3,600 52,200
Chesapeake Utilities Corp. ............................. 1,000 12,625
*Cheyenne Software, Inc. ................................ 7,800 94,575
Chicago Rivet & Machine Co. ............................ 700 18,550
*Chicos Fas, Inc. ....................................... 4,000 26,250
*Chips & Technologies, Inc. ............................. 10,100 70,700
Chittenden Corp. ....................................... 625 12,734
*Chock Full O' Nuts Corp. ............................... 9,835 59,010
</TABLE>
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*Choice Drug System, Inc. ............................... 1,000 $ 4,031
*Cholestech Corp. ....................................... 4,500 8,719
*Christiana Companies, Inc. ............................. 12,300 392,001
*Chromcraft Revington, Inc. ............................. 1,000 20,875
*Chronimed, Inc. ........................................ 2,850 42,394
Church & Dwight Co., Inc. .............................. 9,100 186,550
*Cimco, Inc. ............................................ 700 3,588
*Cincinnati Microwave, Inc. ............................. 7,300 32,850
*Ciprico, Inc. .......................................... 600 2,888
*Circa Pharmaceuticals, Inc. ............................ 4,300 73,638
*Circon Corp. ........................................... 3,900 46,800
*Circuit Systems, Inc. .................................. 1,600 8,000
*Citation Computer System, Inc. ......................... 1,000 6,938
*Citation Insurance Group ............................... 1,000 3,938
Citfed Bancorp, Inc. ................................... 2,100 58,013
Citizens Bancorp MD .................................... 6,400 171,200
Citizens Banking Corp. ................................. 6,400 175,200
*Citizens, Inc. Class A ................................. 11,000 88,000
City National Corp. .................................... 20,200 191,900
*Civic Bancorp .......................................... 1,000 5,875
Claire's Stores, Inc. .................................. 11,100 140,138
Clarcor, Inc. .......................................... 8,500 164,688
*Clark (Dick) Productions, Inc. ......................... 1,000 9,000
*Clean Harbors, Inc. .................................... 6,900 41,831
Cleveland Cliffs, Inc. ................................. 3,400 119,425
*Cliffs Drilling Co. .................................... 2,500 29,688
*Clothestime, Inc. ...................................... 8,000 32,000
Co-Operative Bank of Concord, MA ....................... 3,000 40,875
Coachmen Industries, Inc. .............................. 7,400 107,300
*Coast Distribution System .............................. 4,700 37,600
*Coast Savings Financial, Inc. .......................... 5,400 74,925
Coastal Bancorp, Inc. .................................. 4,000 65,000
*Cobra Electronic Corp. ................................. 1,000 1,938
Coca Cola Bottling Co.
Consolidated ......................................... 1,000 24,375
*Coda Energy, Inc. ...................................... 15,200 101,650
*Code Alarm, Inc. ....................................... 1,500 15,938
Coeur d'Alene Mines Corp. ID ........................... 3,900 64,350
*Cognex Corp. ........................................... 5,200 118,300
*Cognitronics Corp. ..................................... 3,800 6,650
*Coherent Communications
Systems Corp. ........................................ 4,600 69,575
*Coherent, Inc. ......................................... 8,400 121,800
*Coho Energy, Inc. ...................................... 2,000 10,000
Cohu, Inc. ............................................. 4,100 81,488
Collagen Corp. ......................................... 5,600 116,200
Collective Bancorp, Inc. ............................... 9,149 160,679
*Collins Industries, Inc. ............................... 6,600 12,375
Colonial Bancgroup, Inc. Class A ....................... 1,000 20,750
Colonial Gas Co. ....................................... 8,050 154,963
Colonial Group, Inc. Class A ........................... 1,500 48,938
*Columbia First Bank, A Federal Savings Bank ............ 4,300 159,638
*Columbia Laboratories, Inc. ............................ 10,100 47,344
*Comarco, Inc. .......................................... 2,800 24,150
*Comcoa, Inc. ........................................... 1,000 15,125
*Comdata Holding Corp. .................................. 3,866 38,660
*Comdial Corp. .......................................... 4,200 12,075
Commerce Bancorp, Inc. ................................. 1,653 29,341
*Commercial Federal Corp. ............................... 5,800 113,100
Commercial Intertech Corp. ............................. 4,500 72,000
Commercial Metals Co. .................................. 3,600 90,000
*Commnet Cellular, Inc. ................................. 5,300 154,363
*Communication Cable, Inc. .............................. 1,080 13,365
</TABLE>
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Communications Systems, Inc. ........................... 9,000 $105,750
Community Bank System, Inc. ............................ 2,500 74,063
Community Bankshares, Inc. NH .......................... 800 10,700
*Community Health Systems, Inc. ......................... 3,300 80,850
*Community Psychiatric Centers .......................... 8,700 87,000
*CompUSA, Inc. .......................................... 5,300 72,875
*Compression Laboratories, Inc. ......................... 8,800 67,100
*Comptek Research, Inc. ................................. 7,900 112,575
*Compucom Systems, Inc. ................................. 3,000 10,875
Computer Data Systems, Inc. ............................ 5,700 57,713
*Computer Horizons Corp. ................................ 7,950 118,256
*Computer Identics Corp. ................................ 1,400 2,275
Computer Language Research, Inc. ....................... 9,600 85,200
*Computer Network Technology Corp. ...................... 5,100 35,063
*Computer Products, Inc. ................................ 12,200 36,600
Computer Task Group, Inc. .............................. 1,900 15,200
*Computervision Corp. (New) ............................. 13,900 46,913
*Computrac, Inc. ........................................ 2,400 3,000
*Comshare, Inc. ......................................... 4,000 48,500
*Comstock Resources, Inc. ............................... 2,300 7,116
*Comtech Telecommunications Corp. (New) ................. 1,000 3,313
*Comverse Tecnology, Inc. ............................... 5,300 66,581
*Concord EFS, Inc. ...................................... 12,300 292,125
*Condor Services, Inc. .................................. 1,000 2,500
*Cone Mills Corp. NC .................................... 5,000 60,000
*Confertech International, Inc. ......................... 7,000 32,813
*Conmed Corp. ........................................... 5,900 148,238
Connecticut Energy Corp. ............................... 3,800 74,100
Connecticut Natural Gas Corp. .......................... 2,900 65,613
Connecticut Water Services, Inc. ....................... 1,400 32,900
*Consilium, Inc. ........................................ 4,000 26,000
*Consolidated Products, Inc. ............................ 4,961 50,850
Consolidated Tokoma Land Co. ........................... 1,700 20,825
Consumers Water Co. .................................... 4,100 66,625
*Continental Can, Inc. DE ............................... 1,000 22,375
Continental Homes Holding Corp. ........................ 3,600 49,050
*Continental Medical Systems, Inc. ...................... 9,000 64,125
*Continuum Co., Inc. .................................... 5,100 143,438
*Control Data Systems, Inc. ............................. 8,300 49,800
*Convex Computer Corp. .................................. 11,600 71,050
Cooker Restaurant Corp. (New) .......................... 3,500 22,750
*Cooper Companies, Inc. ................................. 6,100 13,725
*Copley Pharmaceutical, Inc. ............................ 3,800 67,925
*Copytele, Inc. ......................................... 7,300 44,256
*Cor Therapeutics, Inc. ................................. 8,200 110,700
Core Industries, Inc. .................................. 5,200 53,300
*Corrections Corp. of America ........................... 7,900 116,525
*Cortech, Inc. .......................................... 3,500 10,719
*Corvel Corp. ........................................... 1,000 23,750
Craftmade International, Inc. .......................... 1,000 10,000
Craig (Jenny), Inc. .................................... 11,900 84,788
*Craig Corp. ............................................ 1,000 9,875
*Cray Research, Inc. .................................... 5,100 93,713
*Credence Systems Corp. ................................. 7,500 199,688
*Cree Research, Inc. .................................... 3,000 24,375
*Criticare Systems, Inc. ................................ 3,000 6,469
*Crop Genetics International Corp. ...................... 6,900 5,606
Cross (A.T.) Co. Class A ............................... 6,900 109,969
Cross Timbers Oil Co. .................................. 2,000 29,500
*Crosscomm Corp. ........................................ 2,300 21,706
*Crossman Communities, Inc. ............................. 4,000 26,500
*Crown Books Corp. ...................................... 2,700 45,225
</TABLE>
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*Crown Central Petroleum Corp. Class A .................. 1,400 $ 21,000
*Crown Central Petroleum Corp. Class B .................. 1,500 20,625
Crown Crafts, Inc. ..................................... 5,100 82,238
*Crown Resources Corp. .................................. 2,300 10,063
*Crown-Andersen, Inc. ................................... 1,000 7,000
*Cruise America, Inc. ................................... 2,600 7,963
*Cryenco Sciences, Inc. Class A ......................... 2,400 9,900
*Cryomedical Sciences, Inc. ............................. 7,000 23,625
*Crystal Brands, Inc. ................................... 2,300 503
*Crystal Oil Co. (New) .................................. 1,200 33,750
Cubic Corp. ............................................ 1,600 28,000
*Culbro Corp. ........................................... 2,200 30,525
Cullen Frost Bankers, Inc. ............................. 5,030 157,816
Culp, Inc. ............................................. 16,818 166,078
*Curative Technologies, Inc. ............................ 7,000 27,125
Curtiss-Wright Corp. ................................... 1,300 45,175
*Custom Chrome, Inc. .................................... 1,000 18,063
*Customedix Corp. (New) ................................. 1,100 3,025
*Cyberonics, Inc. ....................................... 4,100 13,838
*Cyberoptics Corp. ...................................... 1,900 16,031
*Cycare Systems, Inc. ................................... 3,400 39,950
*Cygnus Therapeutic System .............................. 4,100 25,625
*Cytec Industries, Inc. ................................. 2,600 98,150
*Cytel Corp. ............................................ 4,400 12,375
*Cytocare, Inc. ......................................... 600 3,263
*Cytogen Corp. .......................................... 10,200 31,238
*Cytotherapeutics, Inc. ................................. 7,400 36,075
*Cytrx Corp. ............................................ 19,000 36,813
*DBA Systems, Inc. ...................................... 1,700 13,175
*DEP Corp. Class A ...................................... 1,900 5,581
*DEP Corp. Class B ...................................... 6,200 19,375
*DH Technology, Inc. .................................... 2,500 57,188
*DIY Home Warehouse, Inc. ............................... 5,000 32,500
*DNA Plant Technology Corp. ............................. 17,300 54,603
*DNX Corp. .............................................. 3,800 18,050
*DR Horton, Inc. ........................................ 3,000 32,625
*DRCA Medical Corp. ..................................... 600 1,538
*DS Bancor, Inc. ........................................ 694 16,049
*DSP Technology, Inc. ................................... 1,000 4,875
*DVI, Inc. .............................................. 5,500 56,375
*Dairy Mart Convenience Stores, Inc. Class A ............ 1,600 6,100
*Daka International, Inc. ............................... 1,100 16,156
*Dallas Semiconductor Corp. ............................. 18,700 264,138
*Damark International, Inc. Class A ..................... 1,000 10,875
Dames & Moore, Inc. .................................... 10,300 139,050
Daniel Industries, Inc. ................................ 5,200 65,650
*Danielson Holding Corp. ................................ 3,000 21,000
*Danskin, Inc. .......................................... 1,700 6,375
Dart Group Corp. Class A ............................... 700 58,450
*Data General Corp. ..................................... 10,200 109,650
*Data I/O Corp. ......................................... 3,700 15,956
*Data Race, Inc. ........................................ 1,200 5,250
*Data Research Association, Inc. ........................ 1,000 10,000
*Data Switch Corp. ...................................... 9,300 21,506
*Data Systems & Software, Inc. .......................... 1,800 9,788
*Data Translation, Inc. ................................. 4,200 64,575
*Dataflex Corp. ......................................... 3,400 31,238
*Datakey, Inc. .......................................... 1,000 3,625
*Datametrics Corp. ...................................... 4,100 24,088
*Datapoint Corp. ........................................ 4,200 8,925
*Dataram Corp. .......................................... 1,100 7,563
*Datascope Corp. ........................................ 10,800 201,150
</TABLE>
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*Dataware Technologies, Inc. ............................ 4,000 $ 47,500
*Datron Systems, Inc. ................................... 1,800 20,475
*Datum, Inc. ............................................ 1,000 8,875
*Davis Water & Waste Industries, Inc. ................... 5,500 46,063
*Davox Corp. ............................................ 5,000 24,375
*Dawson Geophysical Co. ................................. 4,100 45,100
*Daxor Corp. ............................................ 4,400 25,850
DeKalb Genetics Corp. Class B .......................... 2,000 57,250
Deb Shops, Inc. ........................................ 4,800 25,500
Decorator Industries, Inc. ............................. 900 7,088
*Defiance, Inc. ......................................... 7,600 53,675
*Del Electronics Corp. .................................. 1,060 5,433
Del Laboratories, Inc. ................................. 4,533 159,788
Delchamps, Inc. ........................................ 1,000 16,250
*Delphi Financial Group, Inc.
Class A .............................................. 1,300 24,863
*Delphi Information Systems, Inc. ....................... 5,000 3,438
Delta Natural Gas Co., Inc. ............................ 1,400 23,625
Delta Woodside Industries, Inc. (New) .................. 11,000 107,250
Deposit Guaranty Corp. ................................. 3,500 93,188
*Designatronics, Inc. ................................... 1,000 4,625
*Designs, Inc. .......................................... 12,450 108,938
*Detection Systems, Inc. ................................ 2,800 22,750
*Detrex Corp. ........................................... 500 6,094
*Devcon International Corp. ............................. 2,000 16,750
Devon Energy Corp. ..................................... 14,700 282,975
*Devon Group, Inc. (New) ................................ 1,400 35,350
*Devry, Inc. ............................................ 5,600 158,900
Dexter Corp. CT ........................................ 4,900 101,063
*Diagnostek, Inc. ....................................... 6,300 93,713
Diagnostic Products Corp. .............................. 3,300 71,775
*Dial Page, Inc. ........................................ 2,600 40,950
*Diana Corp. ............................................ 1,050 7,088
*Dianon Systems, Inc. ................................... 3,300 12,994
*Digi International, Inc. ............................... 4,100 69,700
*Digital Biometrics, Inc. ............................... 3,000 23,625
*Digital Microwave Corp. ................................ 3,100 53,088
*Digital Sound Corp. .................................... 1,800 4,950
*Digital Systems International, Inc. .................... 1,700 20,506
*Dimark, Inc. ........................................... 2,000 30,000
*Dime Bancorp, Inc. ..................................... 15,600 126,750
*Dime Financial Corp. ................................... 2,300 18,400
*Diodes, Inc. ........................................... 1,200 6,300
*Dionex Corp. ........................................... 2,400 88,800
*Discount Auto Parts, Inc. .............................. 10,300 173,813
*Diversified Communications
Industries, Ltd. ..................................... 1,000 1,063
Dixie Yarns, Inc. ...................................... 4,381 30,941
*Dixon Ticonderoga Co. .................................. 1,700 14,663
Donegal Group, Inc. .................................... 1,800 21,825
Donnelly Corp. Class A ................................. 3,000 46,500
*Doskocil Companies, Inc. ............................... 2,100 14,700
Douglas & Lomason Co. .................................. 2,600 39,650
Downey Savings & Loan
Association .......................................... 7,400 114,700
*Dravo Corp. ............................................ 3,800 39,900
*Dress Barn, Inc. ....................................... 13,400 136,513
*Drew Industries, Inc. (New) ............................ 3,200 28,000
*Drexler Technology Corp. ............................... 1,300 7,963
Dreyer's Grand Ice Cream, Inc. ......................... 8,300 211,650
*Drug Emporium, Inc. .................................... 4,000 19,500
*Dual Drilling Co. ...................................... 5,000 46,563
*Ducommun, Inc. ......................................... 4,800 21,750
</TABLE>
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Duff & Phelps Corp. .................................... 7,700 $ 85,663
*Duff & Phelps Credit Rating Co. ........................ 2,566 23,094
*Duplex Products, Inc. .................................. 2,000 17,500
*Dura Pharmaceuticals, Inc. ............................. 1,400 17,850
*Durakon Industries, Inc. ............................... 5,200 91,000
Duriron Co., Inc. ...................................... 8,600 145,125
Duty Free International, Inc. .......................... 10,000 121,250
Dyersburg Corp. ........................................ 4,100 24,600
Dynamics Corp. of America .............................. 7,500 136,875
*Dynamics Research Corp. ................................ 4,471 13,134
*Dynasty Classics Corp. ................................. 3,000 150
*Dynatech Corp. ......................................... 4,200 114,450
E'town Corp. ........................................... 1,200 30,450
*E-Z-Em, Inc. Class A ................................... 2,450 11,944
*E-Z-Em, Inc. Class B ................................... 5,633 24,644
*EA Engineering Science &
Technology, Inc. ..................................... 5,625 42,188
*ECC International Corp. ................................ 8,500 86,063
*EFI Electronics Corp. .................................. 800 1,300
*ELXSI Corp. ............................................ 1,000 5,375
EMC Insurance Group, Inc. .............................. 6,300 63,000
*EP Technologies, Inc. .................................. 5,000 46,875
*ERO, Inc. .............................................. 3,000 26,625
*ESCO Electronics Corp. Trust Receipts .................. 3,200 25,200
*ESSEF Corp. ............................................ 1,500 21,938
*EZ Serve Corp. ......................................... 17,000 24,969
Eagle Financial Corp. .................................. 2,000 39,000
*Eagle Food Centers, Inc. ............................... 8,100 16,200
*Eagle Hardware & Garden, Inc. .......................... 6,600 61,463
*Earth Technology Corp. ................................. 1,000 9,313
*Easel Corp. ............................................ 3,000 9,000
Eastern Bancorp, Inc. .................................. 1,100 19,113
Eastern Co. ............................................ 5,600 74,200
*Eastern Environment Services, Inc. ..................... 1,000 1,125
Eastern Utilities Associates ........................... 2,100 46,200
*Eastex Energy, Inc. .................................... 1,100 2,475
*Ecogen, Inc. ........................................... 21,700 63,744
*Ecoscience Corp. ....................................... 6,000 15,375
Edison Brothers Stores, Inc. ........................... 4,400 84,150
*Edison Control Corp. ................................... 1,000 4,125
*Edisto Resources Corp. (New) ........................... 2,600 18,850
*Editek, Inc. ........................................... 1,700 6,694
Edo Corp. .............................................. 3,400 11,475
*Education Alternatives, Inc. ........................... 5,000 97,500
*Egghead, Inc. .......................................... 7,800 80,925
*Ekco Group, Inc. ....................................... 8,800 58,300
*El Chico Restaurants, Inc. ............................. 2,900 28,275
Elco Industries, Inc. .................................. 4,300 73,100
*Elcor Corp. ............................................ 6,000 90,000
Eldorado Bancorp CA .................................... 700 7,000
*Electric & Gas Technology, Inc. ........................ 4,900 9,647
*Electro Rent Corp. ..................................... 4,000 67,500
*Electro Scientific Industries, Inc. .................... 4,500 87,750
*Electromagnetic Sciences, Inc. ......................... 11,500 132,969
Electronic Tele Communications, Inc. Class A ........... 1,000 4,500
*Electronics for Imaging, Inc. .......................... 7,600 178,600
*Elek-Tek, Inc. ......................................... 4,000 36,500
*Eljer Industries, Inc. ................................. 2,100 13,913
*Embrex, Inc. ........................................... 1,000 6,250
*Emcon .................................................. 3,200 14,400
*Emisphere Technologies, Inc. ........................... 2,200 6,325
*Empi, Inc. ............................................. 2,000 18,750
</TABLE>
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Empire District Electric Co. ........................... 6,800 $106,250
*Employee Benefit Plans, Inc. ........................... 2,500 25,000
*Emulex Corp. ........................................... 4,450 50,063
*Encore Computer Corp. .................................. 3,100 11,577
Energen Corp. .......................................... 6,600 132,000
*Energy Biosystems Corp. ................................ 6,000 40,500
*Energy Ventures, Inc. .................................. 2,200 29,425
Energynorth, Inc. ...................................... 2,400 39,600
*Engineering Measurements Co. CO ........................ 1,000 3,375
Engle Homes, Inc. ...................................... 2,000 15,250
Enhance Financial Services Group, Inc. ................. 1,000 17,000
Ennis Business Forms, Inc. ............................. 4,600 60,950
*Ensys Environmental Products, Inc. ..................... 1,000 3,750
*Enterra Corp. DE ....................................... 7,500 148,125
*Environmental Elements Corp. ........................... 6,400 22,400
*Enviroq Corp. .......................................... 1,400 4,288
*Envirotest Systems Corp. Class A ....................... 7,200 49,500
*Envoy Corp. ............................................ 2,000 39,250
*Enzo Biochem, Inc. ..................................... 5,600 67,200
*Enzon, Inc. ............................................ 6,300 13,584
*Epitope, Inc. .......................................... 2,200 45,100
*Equinox Systems, Inc. .................................. 2,000 12,500
*Equitex, Inc. .......................................... 1,000 2,094
*Equity Oil Co. ......................................... 14,200 67,450
*Escagenetics Corp. ..................................... 3,500 4,813
*Escalade, Inc. ......................................... 3,335 15,841
Eskimo Pie Corp. ....................................... 1,600 27,600
Espey Manufacturing & Electronics Corp. ................ 1,700 22,313
*Essex Corp. ............................................ 1,000 2,000
*Esterline Technologies Corp. ........................... 3,000 34,875
*Evans & Sutherland Computer Corp. ...................... 3,800 53,675
*Evans, Inc. ............................................ 1,000 2,750
*Evergreen Media Corp. Class A .......................... 2,800 49,700
*Evergreen Resources, Inc. .............................. 1,500 9,938
*Exabyte Corp. .......................................... 6,400 136,400
*Exar Corp. ............................................. 8,100 173,138
*Excalibur Technologies Corp. ........................... 4,600 31,050
Excel Industries, Inc. ................................. 7,600 108,300
*Excel Technology, Inc. ................................. 1,700 8,181
*Executive Telecard, Ltd. ............................... 2,795 13,276
*Executone Information Systems, Inc. .................... 1,000 3,281
*Exide Electronics Group, Inc. .......................... 700 11,550
Expeditors International of
Washington ........................................... 2,000 43,750
*Express America Holdings Corp. ......................... 2,400 9,750
*Ezcorp, Inc. Class A Non-Voting ........................ 4,900 56,350
*F & M Distributors, Inc. ............................... 3,000 5,063
F & M National Corp. ................................... 3,177 50,832
*FDP Corp. .............................................. 3,500 22,750
FMC Gold Co. ........................................... 33,400 104,375
*FPA Corp. .............................................. 2,000 2,500
*FRP Properties, Inc. ................................... 2,500 43,125
*FSI International, Inc. ................................ 2,700 76,275
Fab Industries, Inc. ................................... 5,600 174,300
*Fabri-Centers of America, Inc. ......................... 9,200 134,550
*Failure Group, Inc. .................................... 4,300 19,350
*Fairchild Corp. Class A ................................ 6,000 19,500
*Falcon Oil & Gas Co., Inc. ............................. 1,000 719
Falcon Products, Inc. .................................. 5,500 61,875
</TABLE>
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<TABLE>
<CAPTION>
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Fansteel, Inc. ......................................... 4,000 $ 26,000
*Farah, Inc. ............................................ 8,000 65,000
*Farr Co. ............................................... 2,300 15,381
Farrel Corp. (New) ..................................... 1,800 10,125
*Fastcomm Communications Corp. .......................... 5,700 18,881
Fay's, Inc. ............................................ 5,075 31,719
*Fedders Corp. .......................................... 10,000 63,750
*Fedders Corp. Class A .................................. 5,000 27,188
Federal Screw Works .................................... 1,800 35,550
*Ferrofluidics Corp. .................................... 1,600 7,800
*Fibreboard Corp. ....................................... 1,200 34,350
Fidelity National Financial, Inc. ...................... 6,950 75,581
*Fieldcrest Cannon, Inc. ................................ 1,000 25,000
*Fifty-Off Stores, Inc. ................................. 5,600 24,500
Figgie International, Inc. Class A ..................... 4,000 27,000
Figgie International, Inc. Class B ..................... 1,000 6,375
*Filenes Basement Corp. ................................. 9,200 55,200
*Filenet Corp. .......................................... 3,200 81,600
*Financial Benefit Group, Inc.
Class A .............................................. 4,000 10,500
*Financial Federal Corp. ................................ 2,700 47,925
*Finish Line, Inc. Class A .............................. 2,700 20,250
First American Financial Corp. ......................... 5,000 93,750
First Central Financial Corp. .......................... 9,300 60,450
*First Citizens Financial Corp. ......................... 1,050 14,700
First Colonial Bankshares Corp. Class A ................ 2,300 46,288
*First Commercial Bancorp, Inc. ......................... 2,100 1,969
First Commercial Corp. ................................. 8,150 182,866
First Essex Bancorp .................................... 2,300 16,963
First Federal Capital Corp. ............................ 1,100 16,225
First Federal Savings & Loan Association of East
Hartford, CT ......................................... 1,500 22,875
First Federal Savings Bank of Colorado (Lakewood) ...... 1,800 39,150
First Financial Corp. WI ............................... 16,100 237,475
First Financial Holdings, Inc. ......................... 3,000 42,000
First Indiana Corp. .................................... 5,366 79,819
First Liberty Financial Corp. .......................... 600 7,875
First Michigan Bank Corp. .............................. 7,072 155,584
First Midwest Bancorp, Inc. ............................ 5,500 131,313
First Mississippi Corp. ................................ 13,600 300,900
First National Bancorp GA .............................. 4,700 80,194
*First Pacific Networks, Inc. ........................... 9,700 50,925
*First Republic Bancorp, Inc. ........................... 4,682 49,161
First Source Corp. ..................................... 2,310 54,863
First State Financial Services, Inc. ................... 1,000 7,000
*First Team Sports, Inc. ................................ 1,100 17,600
First Western Bancorp, Inc. ............................ 1,300 34,613
*FirstFed Financial Corp. DE ............................ 6,400 80,000
FirstFed Michigan Corp. ................................ 1,100 22,138
Firstbank of Illinois Co. .............................. 1,400 52,850
*Firstmiss Gold, Inc. ................................... 5,500 50,188
*Fischer Imaging Corp. .................................. 1,000 6,000
*Fisher Scientific International, Inc. .................. 3,200 82,000
*Flagstar Companies, Inc. ............................... 8,000 58,500
Flexsteel Industries, Inc. ............................. 6,200 70,525
Florida Public Utilities Co. ........................... 500 8,125
Florida Rock Industries, Inc. .......................... 4,300 109,113
*Flow International Corp. ............................... 14,400 92,700
Fluke Corp. ............................................ 2,100 59,063
*Foodarama Supermarkets, Inc. ........................... 1,500 17,063
*Foodmaker, Inc. ........................................ 28,000 147,000
Foote, Cone & Belding
Communications, Inc. ................................. 6,300 260,663
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Foothill Group, Inc. Class A ........................... 10,700 $163,175
Foothill Independent Bancorp ........................... 1,050 8,925
Foremost Corp. of America .............................. 4,800 158,400
*Forest City Enterprises, Inc.
Class A .............................................. 2,300 67,850
*Forest City Enterprises, Inc.
Class B .............................................. 1,700 53,125
*Forest Oil Corp. ....................................... 17,700 44,250
*Forschner Group, Inc. .................................. 4,800 57,900
*Forstmann & Co., Inc. .................................. 1,000 5,625
Fort Wayne National Corp. .............................. 5,100 132,600
*Foster (L.B.) Co. Class A .............................. 20,900 70,538
*Foxmeyer Health Corp. .................................. 13,584 208,854
*Frame Technology Corp. ................................. 6,300 93,713
*Framingham Savings Bank MA ............................. 700 2,100
Franklin Electric Co., Inc. ............................ 3,300 104,775
*Franklin Electric Publishers, Inc. ..................... 4,700 90,475
Frederick's of Hollywood, Inc. Class A ................. 3,966 16,360
Frederick's of Hollywood, Inc. Class B ................. 7,933 33,715
Freds, Inc. Class A .................................... 1,000 9,375
Fremont General Corp. .................................. 3,750 86,719
*Fresenius USA, Inc. .................................... 9,200 74,750
*Fretter, Inc. (New) .................................... 4,284 12,584
*Freymiller Trucking, Inc. .............................. 1,500 3,656
Friedman Industries, Inc. .............................. 11,790 44,213
Frisch's Restaurants, Inc. ............................. 26,679 270,126
Frontier Adjusters of America, Inc. .................... 1,000 2,750
Frontier Insurance Group, Inc. ......................... 5,835 112,324
Frozen Food Express Industries, Inc. ................... 5,766 90,815
*Fruehauf Trailer Corp. ................................. 5,800 26,825
Fuller (H.B.) Co. ...................................... 2,800 91,000
Fulton Financial Corp. ................................. 8,237 141,059
*Funco, Inc. ............................................ 1,700 24,650
Furon Co. .............................................. 3,900 76,050
*Future Now, Inc. ....................................... 2,000 16,000
G & K Services, Inc. Class A ........................... 13,000 206,375
*G-III Apparel Group, Ltd. .............................. 3,685 5,988
GBC Bancorp ............................................ 1,000 12,250
*GBC Technologies, Inc. ................................. 3,000 22,688
*GMIS, Inc. ............................................. 2,300 44,275
*GNI Group, Inc. ........................................ 1,000 4,500
*GRC International, Inc. ................................ 9,100 133,088
*GTI Corp. .............................................. 5,600 85,400
*GZA Geoenvironmental
Technologies, Inc. ................................... 1,700 7,225
Gainsco, Inc. .......................................... 9,119 76,372
*Galey & Lord, Inc. ..................................... 1,000 16,125
*Galileo Electro-Optics Corp. ........................... 3,900 15,600
Gallagher (Arthur J.) & Co. ............................ 3,000 93,750
*Galoob (Lewis) Toys, Inc. DE ........................... 9,600 60,000
Galveston-Houston Co. .................................. 12,400 20,150
Gamma Biologicals, Inc. ................................ 5,500 23,719
*Gander Mountain, Inc. .................................. 4,300 76,325
*Gantos, Inc. ........................................... 3,300 6,497
Garan, Inc. ............................................ 7,400 124,875
*Garnet Resources Corp. ................................. 2,800 10,500
Gateway Bancorp, Inc. .................................. 1,260 13,703
*Gaylord Container Corp. Class A ........................ 21,600 191,700
*Gehl Co. ............................................... 1,800 11,700
*Gelman Sciences, Inc. .................................. 11,475 160,650
*Gencare Health Systems, Inc. ........................... 2,800 130,550
Gencorp, Inc. .......................................... 6,000 62,250
</TABLE>
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<TABLE>
<CAPTION>
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*Genelabs Technologies, Inc. ............................ 9,800 $ 19,600
General Binding Corp. .................................. 7,200 141,300
*General Computer Corp. ................................. 500 3,313
*General Datacomm Industries, Inc. ...................... 7,700 212,713
General Host Corp. ..................................... 9,590 49,149
General Housewares Corp. ............................... 3,100 49,600
*General Kinetics, Inc. ................................. 5,000 2,813
General Parametrics Corp. .............................. 5,121 8,322
General Physics Corp. .................................. 3,200 8,800
*Genesco, Inc. .......................................... 11,035 20,691
*Genesis Health Ventures, Inc. .......................... 2,700 76,275
*Genetic Therapy, Inc. .................................. 6,800 50,150
*Genicom Corp. .......................................... 3,200 6,400
*Genlyte Group, Inc. .................................... 8,900 36,156
*Genome Therapeutics Corp. .............................. 6,300 13,584
Genovese Drug Stores, Inc.
Class A .............................................. 1,100 11,138
*Genrad, Inc. ........................................... 12,000 52,500
*Gensia, Inc. ........................................... 2,500 12,344
*Genta, Inc. ............................................ 4,500 32,063
*Gentex Corp. ........................................... 24,300 525,488
*Genus, Inc. ............................................ 5,600 36,750
*Genzyme Transgenics Corp. .............................. 320 840
Geodynamics Corp. ...................................... 4,100 31,263
*Geotek Communications, Inc. ............................ 2,900 25,375
Gerber Scientific, Inc. ................................ 7,300 96,725
*Geriatric & Medical Companies, Inc. .................... 4,400 12,513
Germantown Savings Bank Bala Cynwyd, PA ................ 2,300 140,731
*Gerrity Oil and Gas Corp. .............................. 7,200 37,800
*Getty Petroleum Corp. .................................. 3,200 36,400
*Giant Group, Ltd. ...................................... 5,300 39,750
*Giant Industries, Inc. ................................. 7,900 65,175
*Gibraltar Packaging Group, Inc. ........................ 1,000 7,250
Gibson (C.R.) Co. ...................................... 4,300 31,175
Gibson Greetings, Inc. ................................. 9,700 128,525
Giddings & Lewis, Inc. ................................. 6,900 100,050
*Giga-Tronics, Inc. ..................................... 1,600 9,400
*Gilead Sciences, Inc. .................................. 10,000 102,500
*Gish Biomedical, Inc. .................................. 1,900 11,400
Gleason Corp. .......................................... 1,000 14,625
*Global Natural Resources, Inc. ......................... 19,000 163,875
*Glycomed, Inc. ......................................... 5,700 20,663
*Go Video, Inc. ......................................... 3,100 8,331
Golden Enterprises, Inc. ............................... 5,000 34,375
Golden Poultry Co., Inc. ............................... 2,783 17,220
*Goldwyn (Samuel) Co. (New) ............................. 3,300 21,450
*Good Guys, Inc. ........................................ 6,800 82,450
GoodMark Foods, Inc. ................................... 7,800 118,950
*Goodys Family Clothing, Inc. ........................... 9,700 81,238
Gorman-Rupp Co. ........................................ 11,575 202,563
*Gottschalks, Inc. ...................................... 5,800 47,850
Goulds Pumps, Inc. ..................................... 9,600 195,600
*Government Technology Services, Inc. ................... 2,000 25,750
Graco, Inc. ............................................ 5,300 100,038
*Gradco Systems, Inc. ................................... 4,700 17,331
*Graham-Field Health Products, Inc. ..................... 6,500 21,125
*Grancare, Inc. ......................................... 8,800 154,000
*Grand Casinos, Inc. .................................... 4,500 63,000
Granite Construction, Inc. ............................. 6,400 135,200
Granite State Bankshares, Inc. ......................... 800 9,250
</TABLE>
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<CAPTION>
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------------------ ------------------
<S> <C> <C>
*Grant Geophysical, Inc. ................................ 3,100 $ 7,847
Graphic Industries, Inc. ............................... 2,900 29,000
Great Bay Bankshares, Inc. ............................. 1,000 18,875
*Great Country Bank of
Ansonia, CT .......................................... 1,000 2,438
*Great Lakes Bancorp, A Federal Savings Bank ............ 3,131 76,905
*Greater New York Savings Bank NY ....................... 6,500 54,438
Green (A.P.) Industries, Inc. .......................... 5,550 106,144
Green Mountain Power Corp. ............................. 19,300 513,863
Greenfield Industries, Inc. DE ......................... 3,000 60,000
*Greenman Brothers, Inc. ................................ 7,900 47,400
Greiner Engineering, Inc. .............................. 4,900 61,250
*Greyhound Lines, Inc. .................................. 3,000 6,563
*Grist Mill & Co. ....................................... 5,900 65,269
*Grossmans, Inc. ........................................ 7,900 20,984
*Ground Round Restaurants, Inc. ......................... 5,500 37,125
*Groundwater Technology, Inc. ........................... 2,400 32,400
*Group 1 Software, Inc. ................................. 3,000 29,250
Grow Group, Inc. ....................................... 7,300 101,288
Guaranty National Corp. (New) .......................... 5,500 85,938
*Guardian Bancorp Los Angeles, CA ....................... 2,500 1,406
Guardsman Products, Inc. ............................... 12,000 139,500
*Guest Supply, Inc. ..................................... 4,000 64,750
Guilford Mills, Inc. ................................... 6,700 134,838
*Gulfmark International, Inc. ........................... 1,700 29,113
*Gull Laboratories, Inc. (New) .......................... 3,000 13,125
*Gundle Environmental Systems, Inc. ..................... 7,200 37,800
*HPSC, Inc. ............................................. 2,600 9,263
HUBCO, Inc. ............................................ 3,020 57,380
Hach Co. ............................................... 2,125 29,219
*Hadco Corp. ............................................ 6,100 53,375
*Hallwood Group, Inc. ................................... 3,800 8,075
*Halsey Drug Co., Inc. .................................. 4,400 9,900
*Hamburger Hamlet Restaurants, Inc. ..................... 2,300 11,788
*Hampton Industries, Inc. ............................... 2,846 15,297
Hancock Fabrics, Inc. .................................. 12,900 96,750
Hancock Holding Co. .................................... 3,200 93,600
*Handex Environmental Recovery, Inc. .................... 3,100 22,669
Handleman Co. .......................................... 15,200 174,800
Handy & Harman ......................................... 9,100 127,400
*Hanger Orthopedic Group, Inc. .......................... 4,100 12,300
*Hanover Direct, Inc. ................................... 4,100 15,375
*Harding Associates, Inc. ............................... 5,000 34,375
*Harken Energy Corp. .................................... 5,100 9,881
Harleysville Group, Inc. ............................... 9,000 205,875
*Harlyn Products, Inc. .................................. 2,900 12,144
Harman International Industries, Inc. (New) ............ 3,300 113,850
Harmon Industries, Inc. (New) .......................... 5,100 90,206
*Harnischfeger Industries, Inc. ......................... 2,826 75,242
*Harolds Stores, Inc. ................................... 1,815 19,965
Harper Group, Inc. ..................................... 5,100 75,225
*Harris & Harris Group, Inc. ............................ 4,800 26,100
*Harry's Farmers Market, Inc.
Class A .............................................. 1,100 11,550
*Hartmarx Corp. ......................................... 14,700 79,013
Hastings Manufacturing Co. ............................. 350 7,875
Hathaway Corp. ......................................... 2,700 8,606
*Hauser Chemical Research, Inc. ......................... 3,200 19,400
</TABLE>
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<TABLE>
<CAPTION>
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Haverty Furniture Company, Inc. ........................ 5,300 $ 71,550
Hawkeye Bancorp ........................................ 8,000 143,000
Hawkins Chemical, Inc. ................................. 2,535 17,111
*Hawthorne Financial Corp. .............................. 700 3,806
Hayes Wheels International, Inc. ....................... 3,500 71,313
*He-Ro Group, Ltd. ...................................... 2,000 2,750
Health Images, Inc. .................................... 2,100 13,125
*Health Professionals, Inc. ............................. 12,500 7,031
*Health Risk Management, Inc. ........................... 1,000 6,750
*Health-Chem Corp. ...................................... 15,400 40,425
Health-Mor, Inc. ....................................... 5,400 85,050
*Healthcare Imaging Services, Inc. ...................... 1,200 2,175
*Healthcare Services Group, Inc. ........................ 9,200 106,375
*Healthdyne, Inc. ....................................... 10,100 87,113
*Heart Technology, Inc. ................................. 4,600 91,425
*Heartland Express, Inc. ................................ 6,875 198,516
Hechinger Co. Class A .................................. 6,000 60,750
Hechinger Co. Class B .................................. 1,500 15,188
*Hecla Mining Co. ....................................... 9,900 96,525
*Hector Communications Corp. ............................ 1,200 8,100
Heico Corp. ............................................ 1,100 10,588
*Hein-Werner Corp. ...................................... 2,776 13,880
*Heist (C.H.) Corp. ..................................... 2,100 14,963
Helene Curtis Industries, Inc. ......................... 3,000 95,250
*Helian Health Group, Inc. .............................. 1,500 8,719
*Helionetics, Inc. (New) ................................ 4,200 6,825
Helix Technology Corp. ................................. 14,800 223,850
Henry Jack & Associates, Inc. .......................... 1,000 10,000
Herbalife International, Inc. .......................... 5,900 93,663
Heritage Financial Services, Inc. ...................... 1,000 16,375
*Heritage Media Corp. Class A ........................... 3,300 79,200
*Hexcel Corp. ........................................... 5,000 21,250
*Hi-Lo Automotive, Inc. ................................. 3,300 33,825
*Hi-Shear Industries, Inc. .............................. 5,500 26,813
*Hi-Tech Pharmacal, Inc. ................................ 1,500 8,156
*High Plains Corp. ...................................... 2,160 24,165
Hilb Rogal Hamilton Co. ................................ 6,500 73,125
*Hillhaven Corp. (New) .................................. 6,100 129,625
*Hitox Corp. ............................................ 2,500 5,938
Hogan Systems, Inc. .................................... 12,000 73,500
Holly Corp. ............................................ 2,100 54,075
*Hollywood Casino Corp. Class A ......................... 15,000 78,750
*Hollywood Entertainment Corp. .......................... 2,800 93,100
*Hologic, Inc. .......................................... 1,000 13,313
*Holopak Technologies, Inc. ............................. 3,500 32,375
*Holson Burnes Group, Inc. .............................. 1,600 10,500
Home Port Bancorp, Inc. ................................ 900 11,700
*Home State Holdings, Inc. .............................. 5,000 63,750
*Homedco Group, Inc. .................................... 3,800 137,275
*Homeowners Group, Inc. ................................. 1,700 956
*Hondo Oil and Gas Co. .................................. 3,300 43,313
Hooper Holmes, Inc. .................................... 3,400 21,250
Horizon Bank Bellingham, WA ............................ 3,938 46,764
*Horizon Healthcare Corp. ............................... 12,050 320,831
*Hornbeck Offshore Services, Inc. ....................... 5,800 74,313
Horsehead Resource Development Co., Inc. ............... 16,500 80,438
*Hospital Staffing Services, Inc. ....................... 1,200 1,950
*House of Fabrics, Inc. ................................. 2,200 2,200
*Hovnanian Enterprises, Inc.
Class A .............................................. 6,050 34,031
*Hovnanian Enterprises, Inc.
Class B .............................................. 1,150 6,469
Howell Corp. ........................................... 4,700 61,100
Howell Industries, Inc. ................................ 1,600 43,800
</TABLE>
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<CAPTION>
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*Howtek, Inc. ........................................... 3,600 $ 35,100
Hudson Foods, Inc. Class A ............................. 1,000 22,625
*Hudson General Corp. ................................... 1,700 29,644
*Huffman Koos, Inc. ..................................... 1,000 8,500
Huffy Corp. ............................................ 6,700 95,475
Hughes Supply, Inc. .................................... 5,100 90,525
Hunt Manufacturing Co. ................................. 7,600 109,250
Huntco, Inc. Class A ................................... 1,500 33,000
*Hurco Companies, Inc. .................................. 3,300 13,200
*Hutchinson Technology, Inc. ............................ 2,400 62,400
*Hycor Biomedical, Inc. ................................. 5,600 23,450
*Hyde Athletic Industries, Inc.
Class B .............................................. 100 531
*Hydron Technologies, Inc. .............................. 9,800 49,919
*ICF Kaiser International, Inc. ......................... 6,000 21,750
*ICN Pharmaceuticals, Inc. .............................. 13,621 304,770
*ICO, Inc. .............................................. 1,000 4,938
*ICOS Corp. ............................................. 2,100 8,531
*ICU Medical, Inc. ...................................... 2,000 28,500
*IFR Systems, Inc. ...................................... 3,700 35,150
*IG Laboratories, Inc. .................................. 2,900 10,150
*IGI, Inc. .............................................. 8,700 117,450
*IHOP Corp. ............................................. 4,100 100,450
*ILC Technology, Inc. ................................... 2,900 26,825
*IMCO Recycling, Inc. ................................... 7,700 108,763
*IMRS, Inc. ............................................. 2,000 66,000
*IPL Systems, Inc. Class A .............................. 1,000 2,813
IWC Resources Corp. .................................... 1,200 23,400
*Ibah, Inc. ............................................. 1,000 2,813
*Icot Corp. ............................................. 11,800 11,800
*Identix, Inc. .......................................... 8,400 24,150
*Idex Corp. ............................................. 3,900 160,388
*Idexx Laboratories Corp. ............................... 3,100 106,950
*Ikos Systems, Inc. ..................................... 3,000 7,031
*Image Entertainment, Inc. (New) ........................ 6,200 44,563
*Image Industries, Inc. ................................. 4,000 46,250
*Imclone Systems, Inc. .................................. 2,800 4,113
*Imclone Systems, Inc. (Private Placement) .............. 7,000 9,253
*Immucor, Inc. .......................................... 2,000 12,000
*Immulogic Pharmaceutical Corp. ......................... 4,300 32,788
*Immune Response Corp. DE ............................... 4,700 34,663
*Immunogen, Inc. ........................................ 5,700 22,800
*Immunomedics, Inc. ..................................... 13,700 59,081
*Imo Industries, Inc. ................................... 7,700 76,038
*Imperial Bancorp ....................................... 2,262 31,385
*Imperial Credit Industries, Inc. ....................... 2,530 21,505
Imperial Holly Corp. ................................... 5,100 44,625
*In Focus Systems, Inc. ................................. 8,000 215,000
*In Home Health, Inc. ................................... 4,700 10,869
*Inacom Corp. ........................................... 3,700 36,075
*Incstar Corp. .......................................... 4,100 8,713
Independence Holding Co. (New) ......................... 1,000 3,063
Independent Bank Corp. MA .............................. 1,000 5,313
Independent Bank East .................................. 1,000 24,125
Independent Insurance Group, Inc. ...................... 3,400 35,700
Indiana Energy, Inc. ................................... 4,500 79,875
Indiana Federal Corp. .................................. 1,500 23,063
*Indresco, Inc. ......................................... 5,000 63,125
*Industrial Funding Corp. Class A ....................... 1,000 1,719
*Industrial Training Corp. .............................. 1,000 7,813
*Information Resources, Inc. ............................ 10,000 147,500
*Infrasonics, Inc. ...................................... 7,100 25,738
Ingles Market, Inc. Class A ............................ 400 4,050
</TABLE>
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<TABLE>
<CAPTION>
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------------------ ------------------
<S> <C> <C>
*Inmac Corp. ............................................ 5,000 $ 25,313
*Innerdyne, Inc. ........................................ 3,200 11,400
Innovex, Inc. .......................................... 7,200 102,600
*Input/Output, Inc. ..................................... 6,000 116,250
*Insituform Technologies, Inc.
Class A .............................................. 2,900 32,625
Insteel Industries, Inc. ............................... 3,770 27,804
Instron Corp. .......................................... 11,200 130,200
*Instrument Systems Corp. ............................... 51,500 431,313
*Insurance Auto Auctions, Inc. .......................... 4,300 125,238
Integon Corp. .......................................... 4,700 64,038
*Integrated Circuit Systems, Inc. ....................... 2,600 21,775
*Integrated Systems, Inc. ............................... 6,000 95,250
*Integrated Waste Services, Inc. ........................ 2,400 6,600
*Intellicall, Inc. ...................................... 2,200 8,525
Intelligent Electronics, Inc. .......................... 6,900 89,269
*Intelogic Trace, Inc. .................................. 3,200 800
Inter-Regional Financial Group, Inc. ................... 2,400 56,100
*Inter-Tel, Inc. ........................................ 4,400 30,525
*Interactive Network, Inc. .............................. 3,400 10,094
Intercargo Corp. ....................................... 1,600 13,800
Intercontinental Bank .................................. 1,000 19,000
*Interdigital Communications Corp. ...................... 9,500 29,094
Interface Systems, Inc. ................................ 3,400 29,113
Interface, Inc. Class A ................................ 13,000 144,625
*Interferon Sciences, Inc. .............................. 8,900 13,350
*Interferon Sciences, Inc. (Private Placement) .......... 7,000 9,450
*Intergraph Corp. ....................................... 20,000 160,000
*Interlake Corp. ........................................ 17,000 27,625
*Interleaf, Inc. ........................................ 9,000 37,125
*Intermagnetics General Corp. ........................... 10,382 151,837
*Intermedia Communications of Florida, Inc. ............. 2,600 31,200
*Intermet Corp. ......................................... 14,800 85,100
Intermetrics, Inc. ..................................... 3,400 17,000
International Aluminum Corp. ........................... 900 27,113
*International Cablecasting
Technologies, Inc. ................................... 13,000 21,938
*International Dairy Queen, Inc. Class A ................ 7,100 120,700
*International Jensen, Inc. ............................. 1,700 15,725
International Multifoods Corp. ......................... 5,000 80,000
*International Power Machines Corp. ..................... 3,100 8,913
International Recovery Co. ............................. 3,000 46,875
*International Rectifier Corp. .......................... 9,300 202,275
*International Remote Imaging
Systems, Inc. ........................................ 2,800 15,400
International Research & Development Corp. ............. 4,600 9,631
International Shipholding Corp. ........................ 2,700 56,700
*International Technology Corp. ......................... 15,300 47,813
*International Thoroughbred
Breeders, Inc. ....................................... 1,200 3,900
*International Totalizator Systems ...................... 6,900 24,150
*Interneuron Pharmaceuticals, Inc. ...................... 2,500 10,156
*Interphase Corp. ....................................... 2,200 25,988
*Interpoint Corp. WA .................................... 3,000 26,438
*Interpool, Inc. ........................................ 5,000 68,750
*Interpore International ................................ 1,000 7,375
*Intersolv, Inc. ........................................ 5,700 94,763
Interstate Bakeries Corp. DE (New) ..................... 8,100 103,275
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Interstate Power Co. ................................... 2,400 $ 52,200
*Intertan, Inc. ......................................... 2,300 18,113
Intertrans Corp. ....................................... 82,800 1,086,750
*Intervisual Books, Inc. Class A ........................ 1,000 2,500
*Intervoice, Inc. ....................................... 9,300 120,900
Invacare Corp. ......................................... 2,000 65,000
Investors Bank Corp. (Minnetonka, MN) .................. 1,333 29,826
*Iomega Corp. ........................................... 16,000 53,500
*Ionics, Inc. ........................................... 4,300 231,663
Irwin Financial Corp. .................................. 1,000 27,125
Isco, Inc. ............................................. 43,935 395,415
*Isis Pharmaceuticals, Inc. ............................. 11,900 58,013
*Isomedix, Inc. ......................................... 4,900 80,238
*Ithaca Bancorp, Inc. ................................... 1,000 19,000
*Iwerks Entertainment, Inc. ............................. 424 2,544
*J & J Snack Foods Corp. ................................ 4,600 55,488
*JB's Restaurants, Inc. ................................. 2,900 12,688
JLG Industries, Inc. ................................... 2,600 104,975
*Jabil Circuit, Inc. .................................... 5,000 23,750
Jackpot Enterprises, Inc. .............................. 4,654 37,814
Jaclyn, Inc. ........................................... 1,700 10,200
*Jaco Electronics, Inc. ................................. 800 5,400
Jacobson Stores, Inc. .................................. 2,900 36,431
*Jacor Communications, Inc. ............................. 3,900 43,875
*Jamesway Corp. ......................................... 10,800 4,050
*Jan Bell Marketing, Inc. ............................... 18,800 92,825
*Jason, Inc. ............................................ 7,187 62,886
*Jean Philippe Fragrances, Inc. ......................... 2,250 16,453
Jefferson Bankshares, Inc. ............................. 5,800 104,038
*Jefferson Savings Bancorp, Inc. ........................ 3,000 47,250
*Jennifer Convertibles, Inc. ............................ 1,300 9,750
Johnston Industries, Inc. .............................. 10,800 110,700
*Jones Intercable, Inc. ................................. 1,000 14,563
*Jones Intercable, Inc. Class A ......................... 3,500 47,688
Jones Medical Industries, Inc. ......................... 8,000 64,000
*Jones Plumbing System, Inc. ............................ 1,500 2,250
Joslyn Manufacturing Co. ............................... 2,100 55,125
Juno Lighting, Inc. .................................... 5,600 100,800
*Just Toys, Inc. ........................................ 2,100 7,088
Justin Industries, Inc. ................................ 7,900 98,750
*K-Tron International, Inc. ............................. 6,200 69,750
*K-V Pharmaceutical Co. Class A ......................... 1,800 12,375
KCS Energy, Inc. ....................................... 3,200 46,400
*KLLM Transport Services, Inc. .......................... 2,766 43,219
Kahler Realty Corp. .................................... 1,000 9,500
*Kaiser Resources, Inc. ................................. 9,700 72,750
Kaman Corp. Class A .................................... 9,400 96,350
*Kaneb Services, Inc. ................................... 9,800 22,050
Kasler Holding Co. ..................................... 17,700 77,438
*Kaufman (H.W.) Financial Group, Inc. ................... 2,200 9,625
Kaydon Corp. ........................................... 2,700 61,425
*Keane, Inc. ............................................ 5,500 123,750
*Kelley Oil Corp. ....................................... 10,600 47,700
Kellwood Co. ........................................... 4,200 86,100
*Kemet Corp. ............................................ 5,000 108,750
*Kent Electronics Corp. ................................. 5,300 198,088
*Kenwin Shops, Inc. ..................................... 400 1,363
*Keptel, Inc. ........................................... 4,300 75,250
*Kerr Group, Inc. ....................................... 6,300 52,763
*Ketema, Inc. ........................................... 800 11,800
*Kewaunee Scientific Corp. .............................. 1,500 4,031
*Key Energy Group, Inc. ................................. 1,000 5,000
*Key Production Co., Inc. ............................... 3,000 14,813
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Key Technology, Inc. ................................... 3,000 $ 19,125
*Key Tronic Corp. ....................................... 13,000 138,125
*Keystone Consolidated Industries, Inc. ................. 5,600 81,900
*Kimball International, Inc. Class B .................... 500 11,938
*Kinark Corp. ........................................... 300 1,013
*Kinder-Care Learning Centers, Inc. (New) ............... 15,000 195,938
Kinetic Concepts, Inc. ................................. 22,000 129,250
*Kirschner Medical Corp. ................................ 6,100 63,669
*Kit Manufacturing Co. .................................. 2,700 30,713
*Kleinert's, Inc. ....................................... 2,000 34,250
*Knogo Corp. ............................................ 5,400 101,250
*Knowledgeware, Inc. .................................... 6,600 26,400
*Komag, Inc. ............................................ 5,600 136,500
*Kopin Corp. ............................................ 2,200 24,200
*Kronos, Inc. ........................................... 1,400 32,725
*Krug International Corp. ............................... 848 4,187
*Krystal Co. ............................................ 4,900 51,450
Kuhlman Corp. .......................................... 4,200 50,925
*Kulicke & Soffa Industries, Inc. ....................... 2,700 54,675
Kysor Industrial Corp. ................................. 1,700 37,188
*L.A. Gear, Inc. ........................................ 6,600 35,475
LCS Industries, Inc. ................................... 800 6,300
LDI Corp. .............................................. 3,100 14,725
LSB Industries, Inc. ................................... 9,100 53,463
LSI Industries, Inc. ................................... 7,245 77,884
*LTX Corp. .............................................. 9,600 42,000
*LVI Group, Inc. (New) .................................. 1,100 756
*LXE, Inc. .............................................. 2,400 34,800
*LaBarge, Inc. .......................................... 11,600 15,950
*LaCrosse Footwear, Inc. ................................ 3,000 34,125
Labone, Inc. ........................................... 3,300 54,038
Laclede Gas Co. ........................................ 4,800 100,200
*Laclede Steel Co. ...................................... 2,700 27,338
Ladd Furniture, Inc. ................................... 8,000 47,500
*Lakeland Industries, Inc. .............................. 1,000 3,875
*Lamson & Sessions Co. .................................. 11,100 62,438
*Lancer Corp. ........................................... 2,600 46,800
*Lancit Media Productions, Ltd. ......................... 4,300 61,006
Landauer, Inc. ......................................... 56,900 967,300
*Landmark Graphics Corp. ................................ 3,800 72,200
*Larizza Industries, Inc. ............................... 4,200 19,425
*Laser Precision Corp. .................................. 2,400 19,125
*Lasermaster Technologies, Inc. ......................... 3,000 41,063
*Laserscope ............................................. 2,000 9,000
*Lattice Semiconductor Corp. ............................ 4,350 74,494
Lawson Products, Inc. .................................. 3,500 88,375
Lawyers Title Corp. .................................... 3,800 42,750
*Layne, Inc. ............................................ 1,000 6,938
*Lazare Kaplan International, Inc. ...................... 7,700 74,113
*Learning Co. ........................................... 4,700 106,925
Learonal, Inc. ......................................... 2,500 44,688
*Lechters, Inc. ......................................... 5,100 85,425
*Lectec Corp. ........................................... 1,102 10,331
*Lee Pharmaceuticals, Inc. .............................. 1,200 825
Legg Mason, Inc. ....................................... 3,400 73,525
Lennar Corp. ........................................... 3,200 50,000
Lesco, Inc. ............................................ 6,225 90,263
*Leslie Building Products, Inc. ......................... 3,200 5,440
*Leslie Fay Companies, Inc. ............................. 7,000 8,750
*Leslie's Poolmart ...................................... 1,785 23,205
*Levitz Furniture, Inc. ................................. 10,000 80,000
Lexington Savings Bank MA .............................. 1,000 15,250
Liberty Bancorp, Inc. .................................. 4,300 128,463
</TABLE>
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<TABLE>
<CAPTION>
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Liberty Corp. .......................................... 4,000 $102,000
*Life Quest Medical, Inc. ............................... 1,000 2,688
Life Re Corp. .......................................... 4,500 77,625
Life Technologies, Inc. ................................ 1,000 17,250
*Life USA Holdings, Inc. ................................ 5,600 44,100
*Lifecore Biomedical, Inc. .............................. 4,800 19,800
*Lifeline Systems, Inc. ................................. 2,500 14,688
Lillian Vernon Corp. ................................... 4,300 70,950
Lilly Industry, Inc. Class A ........................... 1,500 20,250
Lincoln Telecommunications Co. ......................... 4,800 69,600
*Lindal Cedar Homes, Inc. ............................... 4,482 15,687
Lindberg Corp. ......................................... 8,200 55,350
*Lindsay Manufacturer Co. ............................... 2,100 62,213
*Liposome Co., Inc. ..................................... 7,200 65,700
*Liposome Technology, Inc. .............................. 11,400 77,663
Liqui Box Corp. ........................................ 1,000 33,375
*Littlefuse, Inc. ....................................... 6,000 153,000
*Liuski International, Inc. ............................. 1,300 6,256
*Living Centers of America, Inc. ........................ 2,658 85,721
*Lodgenet Entertainment Corp. ........................... 3,000 24,375
*Logic Devices, Inc. .................................... 3,600 10,013
Logicon, Inc. .......................................... 1,900 56,525
*Lojack Corp. ........................................... 4,200 25,200
*Lomas Financial Corp. .................................. 4,000 14,500
*Lone Star Technologies, Inc. ........................... 9,300 70,331
*Longhorn Steaks, Inc. .................................. 3,300 28,875
*Louis Dreyfus Natural Gas Corp. ........................ 16,000 196,000
Loyola Capital Corp. ................................... 5,200 93,600
Lufkin Industries, Inc. ................................ 1,200 19,650
Lukens, Inc. DE ........................................ 2,900 80,475
*Lumex, Inc. ............................................ 4,300 54,825
*Lunar Corp. ............................................ 1,500 28,500
*Lund International Holdings, Inc. ...................... 1,300 22,750
*Lydall, Inc. DE ........................................ 6,900 231,150
*Lynch Corp. ............................................ 2,500 73,750
*M-Wave, Inc. ........................................... 1,000 14,875
*M.S. Carriers, Inc. .................................... 9,300 204,600
*M/A-COM, Inc. .......................................... 7,400 46,250
*M/A/R/C, Inc. .......................................... 1,018 12,089
MAF Bancorp, Inc. ...................................... 1,000 18,625
MDC Holdings, Inc. ..................................... 6,200 31,775
*MDT Corp. .............................................. 7,100 44,819
MDU Resources Group, Inc. .............................. 3,800 97,850
*MFRI, Inc. ............................................. 1,000 5,750
*MGI Pharma, Inc. ....................................... 11,400 84,075
*MRS Technology, Inc. ................................... 2,000 9,500
MTS Systems Corp. ...................................... 2,400 53,700
*MacFrugals Bargain Close-outs, Inc. .................... 10,000 195,000
MacNeal-Schwendler Corp. ............................... 3,000 32,625
*Macromedia, Inc. ....................................... 3,000 59,250
Madison Gas & Electric Co. ............................. 2,700 87,413
Magna Bancorp .......................................... 2,000 39,250
Magna Group, Inc. ...................................... 4,400 80,300
*Magnetek, Inc. ......................................... 7,000 94,500
*Mail Boxes, Etc. ....................................... 3,800 40,613
*Main Street & Main, Inc. ............................... 2,600 7,638
Maine Public Service Co. ............................... 2,700 60,413
*Mallon Resources Corp. ................................. 1,400 3,938
*Manatron, Inc. ......................................... 1,102 3,857
Manitowoc Co., Inc. .................................... 2,900 69,238
Marble Financial Corp. ................................. 1,000 10,813
*Marcam Corp. ........................................... 6,200 61,225
Marcus Corp. ........................................... 7,900 203,425
*Marine Drilling Companies, Inc. ........................ 23,000 79,063
</TABLE>
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<TABLE>
<CAPTION>
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*Maritrans, Inc. ........................................ 3,300 $ 18,563
Mark Twain Bancshares, Inc. ............................ 5,450 148,513
*Mark VII, Inc. ......................................... 3,400 35,275
*Markel Corp. ........................................... 2,200 91,025
*Marsam Pharmaceuticals, Inc. ........................... 5,000 58,750
Marsh Supermarkets, Inc. Class A ....................... 1,800 19,350
Marsh Supermarkets, Inc. Class B ....................... 1,300 13,000
*Marshall Industries .................................... 7,800 195,975
*Marten Transport, Ltd. ................................. 2,800 53,900
*Martin Lawrence Limited Editions, Inc. ................. 1,700 850
Maryland Federal Bancorp ............................... 1,000 23,500
Massbank Corp. Reading, MA ............................. 1,350 29,363
*Mastec, Inc. ........................................... 5,000 39,375
*Matec Corp. DE ......................................... 3,000 12,000
*Material Sciences Corp. ................................ 8,850 126,113
*Mathsoft, Inc. ......................................... 2,000 5,875
*Matlack Systems, Inc. .................................. 7,500 71,250
*Matrix Service Co. ..................................... 1,700 11,794
*Matthews Studio Equipment Group ........................ 2,500 6,406
*Maverick Tube Corp. .................................... 1,400 12,863
*Max & Ermas Restaurants, Inc. .......................... 1,125 7,734
*Maxco, Inc. ............................................ 1,900 16,031
*Maxicare Health Plans, Inc. (New) ...................... 2,600 40,788
*Maxtor Corp. ........................................... 8,400 33,600
*Maxwell Laboratories, Inc. ............................. 1,746 13,750
*Maxxam, Inc. ........................................... 4,000 132,500
*Maxxim Medical, Inc. ................................... 5,500 65,313
*Maynard Oil Co. ........................................ 2,400 12,150
*McAfee Associates, Inc. ................................ 3,300 48,056
*McFarland Energy, Inc. ................................. 6,100 38,888
McGrath Rent Corp. ..................................... 4,150 66,919
Measurex Corp. ......................................... 8,200 175,275
*Medalist Industries, Inc. .............................. 1,900 10,688
*Medalliance, Inc. ...................................... 2,800 5,338
*Medaphis Corp. ......................................... 3,800 150,100
*Medar, Inc. ............................................ 4,900 65,538
*Medarex, Inc. .......................................... 1,000 3,125
*Medchem Products, Inc. ................................. 4,600 25,300
*Medco Research, Inc. ................................... 2,800 30,800
Medex, Inc. ............................................ 3,000 47,625
Medford Savings Bank MA (New) .......................... 2,800 39,200
*Media Logic, Inc. ...................................... 1,000 2,375
*Medical Action Industries, Inc. ........................ 2,100 2,559
*Medical Graphics Corp. ................................. 1,000 5,750
*Medical Resource Companies America ..................... 800 800
*Medical Technology System, Inc. ........................ 800 5,350
Medicine Shoppe International, Inc. .................... 1,200 27,750
Medicus Systems Corp. .................................. 1,800 25,650
*Medimmune, Inc. ........................................ 8,000 36,000
*Medstat Group, Inc. .................................... 3,100 83,119
Medusa Corp. ........................................... 1,600 32,000
*Megacards, Inc. ........................................ 333 624
*Melamine Chemicals, Inc. ............................... 3,300 33,825
*Mem Co., Inc. .......................................... 2,700 11,813
*Mens Warehouse, Inc. ................................... 2,500 63,750
Mentor Corp. MN ........................................ 3,200 51,200
Merchants Group, Inc. .................................. 600 8,475
Meridian Diagnostics, Inc. ............................. 5,290 37,692
Meridian Insurance Group, Inc. ......................... 1,000 10,500
*Merisel, Inc. .......................................... 5,900 50,150
*Merit Medical Systems, Inc. ............................ 1,100 5,500
</TABLE>
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<TABLE>
<CAPTION>
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Merrill Corp. .......................................... 3,650 $ 51,100
Merrimac Industries, Inc. .............................. 700 5,644
*Merry-Go-Round Enterprises, Inc. ....................... 11,000 13,750
*Mesa Airlines, Inc. .................................... 7,100 65,231
*Mesa, Inc. ............................................. 11,300 49,438
*Mestek, Inc. ........................................... 5,500 53,281
*Met-Coil Systems Corp. ................................. 1,000 3,125
Met-Pro Corp. .......................................... 6,300 104,738
Methode Electronics, Inc. Class A ...................... 3,300 46,613
*Metricom, Inc. ......................................... 2,300 36,800
Metro Bancshares, Inc. ................................. 1,500 34,313
*Metrocall, Inc. ........................................ 3,000 54,375
*Miami Subs Corp. ....................................... 6,200 13,756
*Michael Anthony Jewelers, Inc. ......................... 2,500 16,563
Michael Foods, Inc. .................................... 6,000 62,250
Mickelberry Communications, Inc. ....................... 5,600 17,850
*Micom Communications Corp. ............................. 3,333 47,495
*Micro Bio-Medics, Inc. ................................. 1,000 9,688
*Micro Healthsystems, Inc. .............................. 1,000 3,563
*Microage, Inc. ......................................... 5,450 64,378
*Microcom, Inc. ......................................... 9,100 91,000
*Microdyne Corp. ........................................ 5,600 46,550
*Micrografx, Inc. ....................................... 2,600 14,950
*Microlog Corp. ......................................... 1,500 1,031
*Micronics Computers, Inc. .............................. 3,300 15,675
*Micropolis Corp. ....................................... 8,400 74,550
*Micros Systems, Inc. ................................... 2,300 84,525
*Microsemi Corp. ........................................ 5,200 24,700
*Microtouch Systems, Inc. ............................... 2,000 80,500
Mid Am, Inc. ........................................... 3,410 44,969
Mid America Banccorp ................................... 2,113 37,770
Mid-Atlantic Realty Trust .............................. 666 5,162
*MidAmerican Waste System, Inc. ......................... 7,900 53,325
MidSouth Insurance Co. ................................. 4,320 39,420
Midconn Bank Kensington, CT ............................ 900 12,038
*Middleby Corp. ......................................... 1,100 5,088
Middlesex Water Co. .................................... 1,000 18,000
Midland Co. ............................................ 24,600 962,475
Midwest Grain Products, Inc. ........................... 2,500 67,500
*Miller Building Systems, Inc. .......................... 1,400 4,900
Millicom, Inc. (Escrow) ................................ 10,100 0
*Miltope Group, Inc. .................................... 11,000 50,188
*Milwaukee Insurance Group, Inc. ........................ 800 7,400
Mine Safety Appliances Co. ............................. 1,600 70,400
*Mission West Properties, Inc. .......................... 1,600 10,600
*Mitek Surgical Products, Inc. .......................... 2,600 54,600
Mobile Gas Service Corp. ............................... 2,000 41,500
*Mobley Environmental Services, Inc. Class A ............ 1,000 1,750
Modern Controls, Inc. .................................. 4,700 34,956
*Molecular Biosystems, Inc. ............................. 3,000 32,625
Monarch Machine Tool Co. ............................... 2,300 20,988
Money Store, Inc. ...................................... 3,600 63,000
Monk-Austin, Inc. ...................................... 2,100 28,350
*Monro Muffler Brake, Inc. .............................. 1,050 19,425
Moorco International, Inc. ............................. 3,100 43,400
*Moore Products Co. ..................................... 1,600 25,800
Morgan Keegan, Inc. .................................... 4,200 54,075
*Morgan Products, Ltd. .................................. 6,400 39,200
*Morgan's Foods, Inc. ................................... 5,200 7,475
*Morningstar Group, Inc. ................................ 1,200 8,400
*Morrison Knudsen Corp. ................................. 6,400 94,400
Moscom Corp. ........................................... 2,000 16,750
Mosinee Paper Corp. .................................... 4,700 122,788
*Motor Club of America .................................. 2,500 7,188
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
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<S> <C> <C>
*Motts Holdings, Inc. ................................... 4,000 $ 16,500
*Movie Star, Inc. ....................................... 13,800 16,388
Mueller (Paul) Co. ..................................... 2,200 69,025
*Mueller Industries, Inc. ............................... 2,900 86,638
*Multi Color Corp. ...................................... 1,000 7,375
*Mutual Assurance, Inc. ................................. 2,310 65,258
*Mycogen Corp. .......................................... 7,700 75,075
Myers (L.E.) Co. Group ................................. 1,700 19,763
Myers Industries, Inc. ................................. 6,987 102,185
*Mylex Corp. ............................................ 3,100 27,125
NAC RE Corp. ........................................... 3,500 89,250
*NAI Technologies, Inc. ................................. 4,087 11,750
NBB Bancorp, Inc. ...................................... 5,200 248,300
NBSC Corp. ............................................. 1,400 40,775
NBT Bancorp ............................................ 1,103 17,089
*NCI Building Systems, Inc. ............................. 1,000 17,750
NFS Financial Corp. .................................... 1,000 21,000
*NMR of America, Inc. ................................... 1,700 7,650
NS Bancorp, Inc. ....................................... 2,200 57,338
*NS Group, Inc. ......................................... 6,300 30,713
NSC Corp. .............................................. 3,700 12,025
*NTN Communications, Inc. ............................... 5,000 28,750
NUI Corp. .............................................. 4,700 67,563
NYMAGIC, Inc. .......................................... 5,100 83,513
*Nabors Industries, Inc. DE ............................. 10,360 75,110
Nacco Industries, Inc. Class A ......................... 1,100 57,338
*Nahama Weagant Energy Co. (New) ........................ 4,000 625
*Namic USA Corp. ........................................ 2,400 44,400
*Nantucket Industries, Inc. ............................. 1,500 8,625
*Napco Security Systems, Inc. ........................... 4,850 14,550
Nash Finch Co. ......................................... 3,300 53,213
Nashua Corp. ........................................... 1,000 21,000
*Natec Resources, Inc. .................................. 5,300 828
*National Auto Credit, Inc. ............................. 11,600 121,800
National Bancorp of Alaska, Inc. ....................... 2,200 112,750
*National City Bancorp .................................. 1,210 18,150
National Computer Systems, Inc. ........................ 4,000 62,000
*National Convenience Stores, Inc. ...................... 1,700 12,113
National Data Corp. .................................... 3,100 66,650
*National Education Corp. ............................... 9,200 37,950
National Gas & Oil Co. ................................. 6,576 102,750
*National Home Health Care Corp. ........................ 900 2,081
*National Media Corp. ................................... 2,800 16,100
National Presto Industries, Inc. ....................... 3,000 123,750
*National Re Corp. ...................................... 1,800 42,525
*National Standard Co. .................................. 11,000 112,750
*National Techteam, Inc. ................................ 4,900 25,113
*National Vision Association, Ltd. ...................... 5,600 25,200
*National Western Life Insurance Co. Class A ............ 1,000 34,500
*Nationwide Cellular Service, Inc. ...................... 1,900 31,825
*Natural Alternatives International, Inc. ............... 3,400 17,000
*Natural Wonders, Inc. .................................. 2,200 10,450
*Nature's Bounty, Inc. .................................. 4,800 27,000
Natures Sunshine Products, Inc. ........................ 11,733 165,729
*Nautica Enterprises, Inc. .............................. 3,150 88,988
*Navigators Group, Inc. ................................. 1,600 24,000
*Nellcor, Inc. .......................................... 4,900 165,375
Nelson (Thomas), Inc. .................................. 3,000 64,125
*Neoprobe Corp. ......................................... 5,900 11,616
*Neorx Corp. ............................................ 4,525 26,584
*Netframe Systems, Inc. ................................. 2,700 21,769
*Network Computing Devices, Inc. ........................ 6,500 28,844
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Network Equipment Technologies, Inc. ................... 10,100 $209,575
*Network General Corp. .................................. 4,800 109,200
*Network Imaging Corp. .................................. 2,700 12,150
*Network Systems Corp. .................................. 9,300 70,913
*Neurogen Corp. ......................................... 2,000 13,250
*New Brunswick Scientific Co., Inc. ..................... 2,200 11,963
New England Business Services, Inc. .................... 7,000 127,750
*New Image Industries, Inc. ............................. 3,300 16,913
New Jersey Resources Corp. ............................. 4,600 105,225
*New Jersey Steel Corp. ................................. 1,700 27,094
*New Mexico & Arizona Land Co. .......................... 1,500 13,688
*New World Power Corp. .................................. 2,000 14,000
New York Bancorp, Inc. ................................. 1,485 27,844
Newcor, Inc. ........................................... 4,750 38,891
Newmil Bancorp, Inc. ................................... 3,500 15,313
*Newpark Resources, Inc. ................................ 5,000 113,750
Newport Corp. .......................................... 10,200 72,675
*Nichols Research Corp. ................................. 3,100 37,975
*Noble Drilling Corp. ................................... 23,575 147,344
*Noel Group, Inc. ....................................... 1,000 6,375
*Nord Resources Corp. ................................... 3,900 21,938
*Norstan, Inc. .......................................... 3,000 56,625
*Nortek, Inc. ........................................... 3,500 37,625
*North American Biologicals, Inc. ....................... 5,800 40,600
North American Mortgage Co. ............................ 4,500 74,250
*North American Recycling System, Inc. .................. 2,000 3,500
North Carolina Natural Gas Corp. ....................... 1,900 40,850
North Fork Bancorporation, Inc. ........................ 13,800 193,200
North Side Savings Bank NY ............................. 551 10,262
*North Star Universal, Inc. ............................. 4,300 23,113
*Northeast Federal Corp. ................................ 4,000 33,000
Northland Cranberries, Inc.
Class A .............................................. 1,000 12,563
Northwest Natural Gas Co. .............................. 2,700 78,638
Northwestern Public Service Co. ........................ 2,300 59,513
*Northwestern Steel & Wire Co. .......................... 10,300 60,513
Norwich Financial Corp. ................................ 2,400 24,000
*Novametrix Medical Systems, Inc. ....................... 7,600 37,525
*Noven Pharmaceuticals, Inc. ............................ 4,000 60,000
*Novitron Internarional, Inc. ........................... 3,900 23,400
*Nu Horizons Electronics Corp. .......................... 6,118 50,856
*Nuclear Metals, Inc. ................................... 6,500 94,250
*Nuclear Support Services, Inc. ......................... 500 1,906
*Nuevo Energy Co. ....................................... 4,900 96,163
*Nutramax Products, Inc. ................................ 3,600 34,200
*Nuvision, Inc. ......................................... 1,800 6,750
*Nview Corp. ............................................ 1,000 8,125
*Nycor, Inc. (New) ...................................... 1,000 2,406
*Nycor, Inc. Class A (New) .............................. 1,000 2,375
*O Charleys, Inc. ....................................... 750 8,156
*O'Brien Environmental Energy, Inc. Class A ............. 3,600 1,125
O'Sullivan Corp. ....................................... 5,100 46,538
*O.I. Corp. ............................................. 500 2,313
*OEC Medical Systems, Inc. .............................. 3,700 23,125
*OESI Power Corp. ....................................... 1,000 1,000
*OHM Corp. .............................................. 4,400 30,250
*OMI Corp. .............................................. 14,000 85,750
*Oak Hill Sportswear Corp. .............................. 800 3,700
*Oak Industries, Inc. ................................... 4,700 131,013
Oakwood Homes Corp. .................................... 4,200 88,200
*Oceaneering International, Inc. ........................ 6,700 78,725
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Octel Communications Corp. ............................. 1,620 $ 35,033
*Odetics, Inc. Class A .................................. 300 1,913
*Offshore Logistics, Inc. ............................... 4,500 60,750
*Offshore Pipelines, Inc. ............................... 4,300 88,688
Oglebay Norton Co. ..................................... 2,200 66,550
Oil-Dri Corp. of America ............................... 1,000 19,000
*Old Dominion Freight Lines, Inc. ....................... 3,800 60,325
*Olympus Capital Corp. .................................. 1,000 14,625
*Omega Environmental, Inc. .............................. 8,000 45,500
Omnicare, Inc. ......................................... 4,200 174,825
*Oncogene Science, Inc. ................................. 4,600 12,363
*Oncor, Inc. ............................................ 4,100 18,450
*One Price Clothing Stores, Inc. ........................ 3,000 27,000
One Valley Bancorp of West
Virginia ............................................. 3,800 108,300
Oneida, Ltd. ........................................... 2,700 35,100
*Oneita Industries, Inc. ................................ 4,220 43,255
Oneok, Inc. ............................................ 5,300 91,425
*Opta Food Ingredients, Inc. ............................ 1,000 5,313
Optical Coating Laboratory, Inc. ....................... 1,000 6,125
*Optical Data Systems, Inc. ............................. 1,000 24,875
*Option Care, Inc. ...................................... 2,900 7,794
Orange & Rockland Utilities, Inc. ...................... 2,700 79,313
*Orbit International Corp. .............................. 4,000 10,750
*Orbital Sciences Corp. ................................. 3,000 59,625
*Orchard Supply Hardware Stores Corp. ................... 2,000 19,000
*Oregon Metallurgical Corp. ............................. 3,200 20,800
Oregon Steel Mills, Inc. ............................... 3,900 56,550
*Organogenesis, Inc. .................................... 2,300 34,500
Orion Capital Corp. .................................... 4,400 140,800
*Ornda Healthcorp ....................................... 8,395 107,561
*Orphan Medical, Inc. ................................... 285 1,176
*Orthomet, Inc. ......................................... 700 7,569
*Osborn Communications Corp. ............................ 8,100 52,144
Oshkosh B'Gosh, Inc. Class A ........................... 2,400 32,400
Oshkosh B'Gosh, Inc. Class B ........................... 600 8,325
Oshkosh Truck Corp. Class B ............................ 2,300 24,869
*Oshman's Sporting Goods, Inc. .......................... 2,900 22,475
*Osmonics, Inc. ......................................... 8,250 113,438
*Osteotech, Inc. ........................................ 3,000 12,563
Otter Tail Power Co. ................................... 3,400 107,950
Outboard Marine Corp. .................................. 6,000 111,750
*Outlook Group Corp. .................................... 1,300 15,925
Owens & Minor, Inc. .................................... 9,075 137,259
Oxford Industries, Inc. ................................ 5,600 159,600
*Oxis International, Inc. ............................... 8,400 21,525
PCA International, Inc. ................................ 2,300 26,163
*PHP Healthcare Corp. ................................... 1,500 17,438
*PLM International, Inc. ................................ 2,500 6,875
*PSC, Inc. .............................................. 3,300 31,350
PXRE Corp. ............................................. 1,000 26,250
*Pacific Crest Capital, Inc. ............................ 1,060 4,770
*Pacific Physician Services, Inc. ....................... 3,200 51,200
*Pacific Rim Holding Corp. .............................. 2,700 6,581
Pacific Scientific Co. ................................. 8,000 309,000
Paco Pharmaceutical Services, Inc. ..................... 1,000 9,000
*Page America Group, Inc. ............................... 1,200 3,975
*Pages, Inc. ............................................ 1,000 4,688
*Palfed, Inc. ........................................... 2,000 15,125
*Pamida Holdings Corp. .................................. 1,000 6,125
Pancho's Mexican Buffet, Inc. .......................... 5,000 40,000
*Par Technology Corp. ................................... 6,000 39,000
*Parallan Computer, Inc. ................................ 4,200 20,869
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Parallel Petroleum Corp. ............................... 2,800 $ 8,400
*Park Communications, Inc. .............................. 100 2,800
Park Electrochemical Corp. ............................. 4,100 127,100
*Parker Drilling Co. .................................... 31,700 158,500
Parkvale Financial Corp. ............................... 1,250 27,500
*Patrick Industries, Inc. ............................... 2,000 17,250
*Patrick Petroleum Co. .................................. 8,400 10,500
*Patten Corp. ........................................... 5,624 19,684
*Paxar Corp. ............................................ 19,157 196,359
*Payco American Corp. ................................... 3,000 23,625
*Peer Review Analysis, Inc. ............................. 1,000 2,781
Penn Engineering & Manufacturing Corp. ................. 2,500 103,438
*Penn Traffic Co. (New) ................................. 3,400 134,300
*Penn Treaty American Corp. ............................. 2,400 36,600
Penn Virginia Corp. .................................... 1,100 37,125
Penncorp Financial Group, Inc. ......................... 5,400 71,550
Pennsylvania Enterprises, Inc. ......................... 1,200 33,750
Penril Datacomm Networks, Inc. ......................... 3,700 8,325
*Pentech International, Inc. ............................ 5,300 24,181
Penwest, Ltd. .......................................... 2,100 46,988
Peoples Bank of Connecticut ............................ 8,000 102,000
Peoples Heritage Financial Group, Inc. ................. 6,680 80,995
*Peoples Savings Bank of Brockton, MA ................... 1,000 5,438
Peoples Savings Financial Corp. ........................ 900 15,525
*Peoples Telephone Co., Inc. ............................ 3,650 14,828
*Perfumania, Inc. ....................................... 3,200 10,600
*Perini Corp. ........................................... 2,700 27,338
*Perry Drug Stores, Inc. ................................ 7,300 54,750
Petrolite Corp. ........................................ 3,400 92,225
*Pharmaceutical Marketing Services, Inc. ................ 5,800 55,825
*Pharmaceutical Resources, Inc. ......................... 5,800 63,075
*Pharmacy Management Services, Inc. ..................... 3,900 66,300
*Pharmchem Laboratories, Inc. ........................... 2,800 7,525
*Pharmos Corp. (Private
Placement) ........................................... 9,000 10,378
Philadelphia Suburban Corp. ............................ 5,200 93,600
*Phoenix Laser Systems, Inc. (New) ...................... 2,000 2,000
Phoenix Resource Companies, Inc. ....................... 800 32,100
*Phoenix Technologies, Ltd. ............................. 3,100 22,088
*Photo Control Corp. .................................... 1,000 6,500
*Photronics, Inc. ....................................... 1,400 37,275
*Physician Computer Network, Inc. ....................... 6,700 39,781
*Physicians Insurance Co. of Ohio Class A ............... 1,000 5,313
Piccadilly Cafeterias, Inc. ............................ 2,900 23,200
*Picturetel Corp. ....................................... 3,800 84,788
Piedmont Natural Gas Co. ............................... 4,800 94,200
Pier 1 Imports, Inc. DE ................................ 11,500 90,563
Pilgrim Pride Corp. .................................... 12,600 126,000
*Pinkertons, Inc. ....................................... 2,000 36,000
Pioneer Financial Services, Inc. ....................... 3,700 36,075
Pioneer Standard Electronics, Inc. ..................... 10,875 178,078
Piper Jaffray Companies, Inc. .......................... 2,800 28,350
Pitt-Des Moines, Inc. .................................. 2,400 81,600
Plains Petroleum Co. ................................... 3,000 76,875
*Plains Resources, Inc. ................................. 5,900 32,450
*Platinum Technology, Inc. .............................. 10,600 208,688
*Playboy Enterprises, Inc. Class B ...................... 4,600 34,500
</TABLE>
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*Players International, Inc. ............................ 3,500 $ 71,531
Plenum Publishing Corp. ................................ 1,200 35,100
*Plexus Corp. ........................................... 4,400 43,450
Ply-Gem Industries, Inc. DE ............................ 2,700 50,963
*Polk Audio, Inc. ....................................... 500 5,188
*Polymedica Industries, Inc. ............................ 2,100 9,056
*Pool Energy Services Co. ............................... 8,700 62,531
Pope & Talbot, Inc. .................................... 3,500 56,438
*Porta Systems Corp. .................................... 4,400 25,300
*Portec, Inc. ........................................... 7,611 96,088
Portsmouth Bank Shares, Inc. ........................... 1,530 18,360
*Possis Medical, Inc. ................................... 5,800 34,438
*Poughkeepsie Savings Bank FSB NY ....................... 2,500 10,781
*Powell Industries, Inc. ................................ 2,700 15,188
Pratt & Lambert United, Inc. ........................... 3,400 66,725
*Pratt Hotel Corp. ...................................... 1,300 5,769
Precision Castparts Corp. .............................. 6,450 129,806
*Precision Standard, Inc. ............................... 3,800 7,600
Presidential Life Corp. ................................ 6,800 33,150
*Presidio Oil Co. Class A ............................... 3,200 1,200
*Presley Companies Class A .............................. 5,600 14,000
*Presstek, Inc. ......................................... 1,875 79,570
*Price Communications Corp. ............................. 3,400 23,375
*Pride Petroleum Services, Inc. ......................... 14,700 75,338
*Primark Corp. .......................................... 8,400 105,000
Prime Bancorp, Inc. .................................... 605 9,907
*Prime Hospitality Corp. ................................ 7,700 57,750
Primesource Corp. ...................................... 4,581 48,101
*Printronix, Inc. ....................................... 2,500 71,875
*Procyte Corp. .......................................... 8,000 23,375
Production Operators Corp. ............................. 2,600 56,225
*Proffitts, Inc. ........................................ 4,250 100,938
*Progress Financial Corp. ............................... 1,000 4,250
*Progress Software Corp. ................................ 1,000 36,250
Progressive Bank, Inc. ................................. 1,000 20,875
*Proler International Corp. ............................. 8,500 59,500
*Pronet, Inc. ........................................... 1,500 21,000
*Protein Design Labs, Inc. .............................. 3,600 56,250
*Proteon, Inc. .......................................... 4,400 26,400
*Protocol Systems, Inc. ................................. 5,100 45,900
Providence Energy Corp. ................................ 5,300 81,488
Provident Bankshares Corp. ............................. 5,300 110,638
*Proxima Corp. .......................................... 1,700 62,263
*Psicor, Inc. ........................................... 2,200 20,075
*Public Service Co. of New Mexico ....................... 3,000 38,625
Public Service Co. of North
Carolina ............................................. 4,900 71,050
Pulaski Furniture Corp. ................................ 1,300 24,050
*Pulse Engineering, Inc. ................................ 1,700 9,563
*Pure Tech International, Inc.
(Private Placement) .................................. 10,000 50,063
*Purepac, Inc. .......................................... 3,000 43,500
Puritan Bennett Corp. .................................. 8,000 172,000
Putnam Trust Co. Greenwich, CT ......................... 1,000 26,250
*Pyramid Technology Corp. ............................... 3,800 39,900
*Q Logic Corp. .......................................... 4,450 29,759
*QMS, Inc. .............................................. 6,500 57,688
Quaker Chemical Corp. .................................. 2,800 51,100
Quaker State Corp. ..................................... 14,900 204,875
Quality Food Centers, Inc. ............................. 3,900 84,338
Quanex Corp. ........................................... 3,300 74,250
*Quantum Restaurant Group, Inc. ......................... 3,000 31,125
*Quarterdeck Office Systems, Inc. ....................... 6,100 13,344
*Quest Medical, Inc. .................................... 8,109 36,491
</TABLE>
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Quick & Reilly Group, Inc. DE .......................... 3,300 $ 81,675
*Quickresponse Services, Inc. ........................... 2,200 31,625
*Quidel Corp. ........................................... 4,000 11,250
*Quiksilver, Inc. ....................................... 2,900 46,944
Quixote Corp. .......................................... 7,700 120,313
*R & B, Inc. ............................................ 3,500 23,188
*RB & W Corp. ........................................... 1,600 12,200
RLI Corp. .............................................. 4,000 81,500
*RPC Energy Services, Inc. .............................. 22,800 159,600
RS Financial Corp. ..................................... 1,400 30,100
*Radius, Inc. ........................................... 5,819 54,553
*Rag Shops, Inc. ........................................ 2,300 5,463
*Ragan (Brad), Inc. ..................................... 3,800 125,400
*Railroad Financial Corp. ............................... 1,000 9,250
*Rainbow Technologies, Inc. ............................. 2,800 33,950
*Rally's Hamburgers, Inc. ............................... 3,100 10,850
*Ralston-Continental Baking Group ....................... 4,100 17,425
*Ramsay Health Care, Inc. (New) ......................... 3,500 25,813
*Ramtron International Corp. ............................ 3,500 18,156
Rauch Industries, Inc. ................................. 500 4,500
Raven Industries, Inc. ................................. 9,150 174,994
*Raymond Corp. .......................................... 5,565 97,388
Raymond James Financial, Inc. .......................... 4,000 57,500
Re Capital Corp. ....................................... 4,300 53,750
*Readicare, Inc. ........................................ 11,400 15,675
*Reading & Bates Corp. .................................. 6,000 35,250
*Reading Co. Class A .................................... 1,000 11,313
*Recognition International, Inc. ........................ 6,800 50,150
*Recoton Corp. .......................................... 9,066 160,922
Refac Technology Development Corp. ..................... 7,000 49,875
*Reflectone, Inc. ....................................... 1,000 8,000
Regal Beloit Corp. ..................................... 3,800 47,975
*Regency Health Services, Inc. .......................... 2,000 23,250
*Regeneron Pharmaceuticals, Inc. ........................ 3,200 13,200
*Regis Corp. ............................................ 1,000 14,625
*Rehabilicare, Inc. ..................................... 1,000 2,563
*Rehability Corp. ....................................... 1,000 7,313
*Reliability, Inc. ...................................... 1,000 2,250
*Relife, Inc. Class A ................................... 4,500 104,063
*Ren Corp.- USA ......................................... 4,900 67,069
*Rentrak Corp. .......................................... 2,300 17,106
*Repligen Corp. ......................................... 3,000 9,000
*Republic Automotive Parts, Inc. ........................ 4,100 58,425
Republic Bancorp, Inc. ................................. 1,997 21,962
Republic Gypsum Co. .................................... 13,300 121,363
*Republic Waste Industries, Inc. ........................ 2,200 8,388
*Research Industries Corp. .............................. 5,000 65,938
*Respironics, Inc. ...................................... 5,300 119,913
*Response Technologies, Inc. ............................ 11,900 23,056
*Retix, Inc. ............................................ 4,800 22,800
*Revell Monogram, Inc. .................................. 3,500 21,438
*Rex Stores Corp. ....................................... 5,600 94,500
*Rexhall Industries, Inc. ............................... 1,000 6,375
*Rexon, Inc. ............................................ 5,600 28,350
*Rexworks, Inc. ......................................... 1,000 4,375
*Rhodes, Inc. ........................................... 3,200 31,600
*Ribi Immunichem Research, Inc. ......................... 19,400 80,025
Richfood Holdings, Inc. ................................ 11,200 169,400
*Riddell Sports, Inc. ................................... 655 1,556
*Riggs National Corp. ................................... 13,800 118,163
*Right Management Consultants, Inc. ..................... 1,200 27,600
*Right Start, Inc. ...................................... 1,900 7,363
*Ringer Corp. ........................................... 6,500 10,359
</TABLE>
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<TABLE>
<CAPTION>
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*Rio Hotel & Casino, Inc. ............................... 5,700 $ 73,388
Rival Co. .............................................. 2,600 62,075
River Forest Bancorp ................................... 3,400 111,350
*River Oaks Furniture, Inc. ............................. 2,400 33,900
*Riverside Group, Inc. .................................. 1,000 6,375
*Riverside National Bank CA ............................. 1,000 7,375
*Roadmaster Industries, Inc. ............................ 7,500 30,469
Roanoke Electric Steel Corp. ........................... 800 12,600
Robbins & Myers, Inc. .................................. 3,900 68,250
*Robec, Inc. ............................................ 4,700 8,078
*Robert Half International, Inc. ........................ 5,400 134,325
*Roberts Pharmaceutical Corp. ........................... 1,000 30,625
*Robertson-Ceco Corp. ................................... 1,218 4,415
Robinson Nugent, Inc. .................................. 4,000 33,750
Rochester Community Savings Bank of New York ........... 4,100 68,163
*Rogers Corp. ........................................... 5,000 209,375
*Rohr, Inc. ............................................. 13,000 118,625
*Rollins Environmental Services, Inc. ................... 16,100 76,475
Roosevelt Financial Group, Inc. ........................ 17,345 252,587
*Ropak Corp. ............................................ 900 9,225
Roper Industries, Inc. ................................. 3,000 75,750
Ross Stores, Inc. ...................................... 7,000 95,375
*Ross Systems, Inc. ..................................... 3,800 20,425
*Rotech Medical Corp. ................................... 6,700 190,950
Roto-Rooter, Inc. ...................................... 3,600 83,700
*Rottlund, Inc. ......................................... 1,000 6,250
Rowe Furniture Corp. ................................... 2,475 22,275
*Royal Appliance Manufacturing Co. ...................... 7,200 27,900
Ruddick Corp. .......................................... 4,600 82,225
*Rule Industries, Inc. .................................. 2,700 37,294
Russ Berrie & Co., Inc. ................................ 9,800 138,425
*Ryans Family Steak Houses, Inc. ........................ 7,500 52,969
*Rykoff-Sexton, Inc. .................................... 3,000 61,875
Ryland Group, Inc. ..................................... 7,800 108,225
*Rymer Foods, Inc. ...................................... 5,400 18,900
S I Handling, Inc. ..................................... 700 5,950
*S&K Famous Brands, Inc. ................................ 1,000 8,125
*SBE, Inc. .............................................. 900 9,113
*SCI Systems, Inc. ...................................... 5,500 101,406
SCOR U.S. Corp. ........................................ 8,200 72,775
*SCS/COMPUTE, Inc. ...................................... 2,700 6,413
SEI Corp. .............................................. 1,000 18,875
SFFED Corp. ............................................ 3,500 46,813
SJW Corp. .............................................. 600 21,000
SKI, Ltd. .............................................. 1,000 16,000
SL Industries, Inc. .................................... 9,200 41,400
*SLM International, Inc. ................................ 5,200 20,150
*SPS Technologies, Inc. ................................. 2,600 59,150
SPX Corp. .............................................. 6,300 97,650
Safecard Services, Inc. ................................ 6,900 108,675
*Safeguard Health Enterprises, Inc. ..................... 6,900 64,256
*Safeguard Scientifics, Inc. ............................ 13,800 236,325
*Safetytek Corp. ........................................ 1,000 8,500
*Saga Communications, Inc.
Class A .............................................. 1,300 19,500
Saint Ives Laboratories Corp. .......................... 3,500 29,969
Saint Joseph Light & Power Co. ......................... 27,200 724,200
Saint Paul Bancorp, Inc. ............................... 7,350 131,381
Salem Corp. ............................................ 2,950 45,356
*Salick Health Care, Inc. ............................... 5,700 142,500
San Filippo (John B.) & Son, Inc. ...................... 3,000 21,375
*San Francisco Co. Class A .............................. 400 2,900
</TABLE>
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<CAPTION>
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Sanderson Farms, Inc. .................................. 2,800 $ 55,300
Sands Regent Casino Hotel .............................. 2,000 14,250
Sandy Corp. ............................................ 1,000 6,125
*Sanifill, Inc. ......................................... 7,100 164,188
*Santa Cruz Operation, Inc. ............................. 2,000 18,625
*Santa Monica Bank CA ................................... 1,000 8,250
*Sarnia Corp. ........................................... 600 204
*Satellite Technology Management, Inc. .................. 1,300 13,650
Savannah Foods & Industries, Inc. ...................... 7,300 85,775
*Savoy Pictures Entertainment, Inc. ..................... 9,800 66,150
*Scan-Optics, Inc. ...................................... 14,900 96,850
*Schieb (Earl), Inc. .................................... 7,900 45,425
*Schuler Homes, Inc. .................................... 1,000 14,750
Schult Homes Corp. ..................................... 1,100 11,963
Schultz Sav-O Stores, Inc. ............................. 1,500 29,813
*Schwitzer, Inc. ........................................ 7,800 63,375
*Sciclone Pharmaceuticals, Inc. ......................... 4,400 28,050
*Science Dynamics Corp. ................................. 1,700 1,966
*Scientific Software-Intercomp, Inc. .................... 3,500 19,688
Scientific Technologies, Inc. .......................... 1,300 16,250
*Scios-Nova, Inc. ....................................... 10,687 64,790
Scope Industries, Inc. ................................. 3,500 84,438
*Score Board, Inc. ...................................... 3,200 13,400
Scotsman Industries, Inc. .............................. 3,000 51,750
*Scotts Co. Class A ..................................... 11,300 168,088
*Seacor Holdings, Inc. .................................. 1,200 25,650
Seafield Capital Corp. ................................. 1,700 58,438
Sealright Co., Inc. .................................... 2,800 48,650
*Seitel, Inc. ........................................... 6,767 156,487
Selas Corp. of America ................................. 700 6,825
Selective Insurance Group, Inc. ........................ 6,000 145,500
*Selfix, Inc. ........................................... 1,000 4,875
*Sepracor, Inc. ......................................... 5,300 21,531
*Sequent Computer Systems, Inc. ......................... 3,400 63,538
*Seragen, Inc. .......................................... 4,200 24,150
*Serv-Tech, Inc. ........................................ 2,600 17,550
*Servotronics, Inc. ..................................... 900 3,938
*Sharper Image Corp. .................................... 5,900 39,825
Shelby Williams Industries, Inc. ....................... 3,300 28,463
*Sheldahl, Inc. ......................................... 10,300 141,625
Shelter Components, Inc. ............................... 1,125 12,375
*Shiloh Industries, Inc. ................................ 1,000 7,250
*Shoe Carnival, Inc. .................................... 3,000 15,750
Shopko Stores, Inc. .................................... 14,400 144,000
*Shorewood Packaging Corp. .............................. 5,800 111,650
*Show Biz Pizza Time, Inc. .............................. 5,900 44,619
Showboat, Inc. ......................................... 6,800 83,300
*Showscan Corp. ......................................... 4,000 24,500
*Sierra Health Services, Inc. ........................... 3,000 92,250
*Sierra On-Line, Inc. ................................... 1,300 37,375
*Sierra Semiconductor Corp. ............................. 6,800 100,725
*Sierra Tucson Companies, Inc. .......................... 1,000 3,000
*Sifco Industries, Inc. ................................. 8,800 28,600
*Sigma Designs, Inc. .................................... 8,700 59,269
*Signal Apparel Co., Inc. Class A ....................... 2,700 15,525
*Silicon Valley Bancshares .............................. 4,200 51,450
*Silicon Valley Group, Inc. ............................. 15,200 304,000
*Siliconix, Inc. (New) .................................. 1,000 11,500
Simpson Industries, Inc. ............................... 7,650 77,456
Sizzler International, Inc. ............................ 13,200 74,250
*Skybox International, Inc. ............................. 4,700 55,519
Skyline Corp. .......................................... 3,400 62,900
Skywest, Inc. .......................................... 5,100 72,038
Smart & Final Food, Inc. ............................... 12,150 176,175
</TABLE>
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<TABLE>
<CAPTION>
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------------------ ------------------
<S> <C> <C>
*Smithfield Foods, Inc. ................................. 5,000 $141,250
Snyder Oil Corp. ....................................... 7,000 108,500
*Sodak Gaming, Inc. ..................................... 3,000 41,250
*Sofamor/Danek Group, Inc. .............................. 4,900 79,013
*Softech, Inc. .......................................... 1,000 6,500
*Softkey International, Inc. ............................ 2,843 57,215
*Softnet Systems, Inc. (Private Placement) .............. 2,400 15,660
*Software Publishing Corp. .............................. 3,700 20,350
*Software Spectrum, Inc. ................................ 1,900 31,113
*Somatix Therapies Corp. ................................ 4,100 14,350
*Somatogen, Inc. ........................................ 4,300 31,444
*Sonic Corp. ............................................ 4,000 86,500
*Sound Advice, Inc. ..................................... 1,900 11,281
South Jersey Industries, Inc. .......................... 2,448 41,310
*Southdown, Inc. ........................................ 12,400 212,350
Southeastern Michigan Gas
Enterprises, Inc. .................................... 735 13,414
Southern California Water Co. .......................... 3,900 61,913
*Southern Electronics Corp. ............................. 1,650 9,900
*Southern Energy Homes, Inc. ............................ 3,000 36,750
Southern Indiana Gas & Electric Co. .................... 2,100 54,075
*Southern Union Co. ..................................... 5,705 101,977
*Southwall Technologies, Inc. ........................... 3,500 10,281
Southwest Gas Corp. .................................... 6,300 96,075
Southwest Water Co. .................................... 1,000 9,375
Southwestern Energy Co. ................................ 6,600 104,775
*Southwestern Life Corp. ................................ 19,200 44,400
Sovereign Bancorp, Inc. ................................ 14,488 135,825
*Spacelabs Medical, Inc. ................................ 3,000 67,500
*Spaghetti Warehouse, Inc. .............................. 3,400 19,125
Span-American Medical System, Inc. ..................... 1,700 8,500
Spartan Motors, Inc. ................................... 3,900 55,088
*Spartech Corp. (New) ................................... 2,400 13,200
*Sparton Corp. .......................................... 7,700 38,500
*Spec's Music, Inc. ..................................... 5,300 29,813
*Special Devices, Inc. .................................. 2,900 49,663
*Specialty Chemical Resources, Inc. ..................... 2,600 8,450
*Spectran Corp. ......................................... 3,200 17,400
*Spectranetics Corp. .................................... 802 1,103
*Spectrum Control, Inc. ................................. 3,000 6,375
*Spectrum Holobyte, Inc. ................................ 1,000 13,250
*Speizman Industries, Inc. .............................. 800 3,300
*Spire Corp. ............................................ 3,200 8,600
Sport Supply Group, Inc. ............................... 1,250 12,969
*Sports & Recreation, Inc. .............................. 2,400 54,600
*Staar Surgical Co. (New) ............................... 3,700 38,850
*Stac Electronics ....................................... 3,000 16,125
*Stacey's Buffet, Inc. .................................. 3,700 4,625
*Staff Builders, Inc. ................................... 6,300 20,377
Stage II Apparel Corp. ................................. 500 2,000
Standard Commercial Corp. .............................. 2,222 31,941
*Standard Microsystems Corp. ............................ 8,800 210,100
Standard Motor Products, Inc. Class A .................. 3,900 71,175
Standard Pacific Corp. DE .............................. 8,600 51,600
Standard Products Co. .................................. 300 6,675
Standex International Corp. ............................ 4,400 139,150
*Stanford Telecommunications, Inc. ...................... 6,900 122,475
Stant Corp. ............................................ 5,000 70,000
Starret Housing Corp. .................................. 3,900 27,056
Starrett (L.S.) Co. Class A ............................ 1,400 29,225
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*State of the Art, Inc. ................................. 5,200 $ 36,075
Statesman Group, Inc. (Escrow) ......................... 9,765 0
Steel Technologies, Inc. ............................... 3,100 34,100
*Steel of West Virginia, Inc. ........................... 4,400 41,800
*Stein Mart, Inc. ....................................... 6,200 99,975
Stepan Co. ............................................. 3,200 100,800
Sterling Bancorp ....................................... 3,900 26,325
*Sterling Electronics Corp. ............................. 4,800 54,600
*Stevens Graphics Corp. Class A ......................... 4,000 27,000
Stewart Information Services Corp. ..................... 1,500 22,125
*Stokely USA, Inc. ...................................... 10,100 90,900
Stone & Webster, Inc. .................................. 7,200 239,400
*Stratacom, Inc. ........................................ 7,100 398,488
*Structural Dynamics Research Corp. ..................... 3,300 19,181
*Struthers Industries, Inc. ............................. 2,100 3,806
*Stuart Entertainment, Inc. ............................. 1,000 4,563
Student Loan Corp. ..................................... 5,600 109,200
Sturm Ruger & Co., Inc. ................................ 8,500 231,625
*Suave Shoe Corp. ....................................... 2,500 6,406
Suffolk Bancorp ........................................ 1,000 27,750
*Sulcus Computer Corp. .................................. 4,100 10,763
*Sullivan Dental Products, Inc. ......................... 2,800 36,400
Sumitomo Bank of California ............................ 3,900 90,188
*Summagraphics Corp. .................................... 1,500 12,750
Summit Bancorp, Inc. WA ................................ 3,378 65,028
*Summit Technology, Inc. ................................ 6,400 193,600
*Sun Coast Plastics, Inc. (New) ......................... 1,000 15,500
*Sun Sportswear, Inc. ................................... 1,700 7,650
Sun Television and Appliances, Inc. .................... 8,600 76,863
*Sunair Electronics, Inc. ............................... 3,000 5,813
*Sunbelt Nursery Group, Inc. ............................ 2,600 6,013
*Sundance Homes, Inc. ................................... 4,300 10,750
*Sunrise Bancorp CA ..................................... 1,300 2,113
*Sunrise Technologies, Inc. ............................. 2,700 5,569
*Sunshine Mining Co. .................................... 3,000 5,250
Super Food Services, Inc. .............................. 7,300 81,213
*Super Rite Corp. ....................................... 2,700 30,375
*Supercuts, Inc. ........................................ 2,800 26,600
Superior Surgical Manufacturing Co., Inc. .............. 39,800 537,300
*Supertex, Inc. ......................................... 31,300 195,625
*Suprema Specialties, Inc. .............................. 1,000 3,188
*Surgical Laser Technologies, Inc. ...................... 2,500 7,188
*Surgical Technologies, Inc. ............................ 1,000 4,031
*Survival Technology, Inc. .............................. 700 6,213
Susquehanna Bancshares, Inc. ........................... 1,875 41,250
*Swift Energy Corp. ..................................... 6,820 68,200
*Swift Transportation, Inc. ............................. 7,200 130,500
*Swing-n-Slide Corp. .................................... 4,800 40,800
*Sylvan Foods Holdings, Inc. ............................ 69 750
*Symix Systems, Inc. .................................... 1,000 8,000
*Symmetricom, Inc. ...................................... 9,800 123,113
Syms Corp. ............................................. 9,900 68,063
Synalloy Corp. DE ...................................... 9,600 171,600
*Syncor International Corp. DE .......................... 1,000 8,438
*Synercom Technology, Inc. .............................. 7,500 38,438
*Synergen, Inc. ......................................... 7,600 68,994
*Synetic, Inc. .......................................... 3,600 56,700
*Syntellect, Inc. ....................................... 3,000 19,500
*Syntro Corp. ........................................... 2,900 5,981
*Syquest Technology, Inc. ............................... 3,100 49,600
System Software Associates, Inc. ....................... 8,100 117,956
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Systemed, Inc. ......................................... 17,976 $120,215
*Systemix, Inc. ......................................... 2,800 44,450
*Systems & Computer Technology Corp. .................... 16,700 319,388
*T Cell Sciences, Inc. .................................. 6,900 17,250
*TBC Corp. .............................................. 8,950 82,228
TCBY Enterprises, Inc. ................................. 7,900 45,425
*TCC Industries, Inc. ................................... 1,100 2,200
TCF Financial Corp. .................................... 5,625 207,422
*TCI International, Inc. ................................ 1,600 6,600
*TIE/Communications, Inc. (New) ......................... 1,100 6,188
*TII Industries, Inc. ................................... 160 940
TJ International, Inc. ................................. 1,000 16,625
TNP Enterprises, Inc. .................................. 3,200 45,200
*TPI Enterprises, Inc. .................................. 6,100 25,544
*TRC Companies, Inc. .................................... 4,600 40,825
*TRM Copy Centers Corp. ................................. 4,000 19,250
*TSF Communications Corp. ............................... 2,400 13,800
TSI, Inc. MN ........................................... 1,500 11,250
Tab Products Co. DE .................................... 2,400 19,800
*Taco Cabana Inc. ....................................... 3,100 26,738
*Talley Industries, Inc. ................................ 2,800 24,150
*Tandy Brand Accessories, Inc. .......................... 1,000 14,250
*Tandy Crafts, Inc. ..................................... 5,600 67,200
*Tanknology Environmental, Inc. ......................... 4,400 11,413
Tasty Baking Co. ....................................... 3,700 49,488
*Team, Inc. ............................................. 2,300 6,613
*Tech-Sym Corp. ......................................... 2,700 59,063
Tech/Ops Sevcon, Inc. .................................. 1,400 19,425
Technalysis Corp. ...................................... 500 5,375
*Techne Corp. ........................................... 2,700 29,025
*Technical Communications Corp. ......................... 1,000 7,500
Technitrol, Inc. ....................................... 4,200 61,425
*Technol Medical Products, Inc. ......................... 6,000 98,250
*Technology Solutions Corp. ............................. 1,000 7,875
*Tejas Power Corp. ...................................... 5,200 44,200
Tejon Ranch Co. ........................................ 9,100 110,338
*Tekelec ................................................ 2,100 50,925
*Teknekron Communication System, Inc. ................... 3,800 36,575
*Telco Systems, Inc. .................................... 5,800 97,150
*Telebit Corp. .......................................... 3,200 15,200
Telxon Corp. ........................................... 4,700 56,988
Tennant Co. ............................................ 1,100 48,813
*Terex Corp. (New) ...................................... 4,500 32,625
*Tesoro Petroleum Corp. ................................. 3,900 35,588
*Tetra Technologies, Inc. ............................... 12,200 115,138
Texas Industries, Inc. ................................. 2,800 92,750
*Texfi Industries, Inc. ................................. 3,800 9,975
*Thackeray Corp. ........................................ 3,600 14,400
*Theragenics Corp. ...................................... 2,800 7,175
*Theratech, Inc. UT ..................................... 3,000 33,750
*Thermedics, Inc. ....................................... 6,600 85,800
*Thermo Cardiosystems, Inc. ............................. 5,600 86,800
*Thermo Fibertek, Inc. .................................. 19,700 307,813
*Thermo Power Corp. ..................................... 5,600 49,700
*Thermo Process Systems, Inc. ........................... 4,300 33,325
*Thermo Voltek Corp. .................................... 1,100 8,388
*Thermotrex Corp. ....................................... 1,000 13,875
Thiokol Corp. .......................................... 3,700 98,513
Thomas Industries, Inc. ................................ 1,900 25,413
Thomaston Mills, Inc. .................................. 1,000 14,375
Thor Industries, Inc. .................................. 4,000 79,500
Thorn Apple Valley, Inc. ............................... 4,000 113,000
*Tipperary Corp. ........................................ 2,700 7,425
</TABLE>
225
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Titan Corp. ............................................ 7,500 $ 41,250
Toastmaster, Inc. ...................................... 2,300 16,100
*Todays Man, Inc. ....................................... 4,900 76,563
*Todd Shipyards Corp. ................................... 3,100 14,338
*Todhunter International, Inc.
(Private Placement) .................................. 3,600 49,613
*Tokheim Corp. .......................................... 2,200 18,425
*Tokos Medical Corp. .................................... 5,300 35,113
*Toll Brothers, Inc. .................................... 6,700 63,650
*Top Source Technologies, Inc. .......................... 6,600 46,200
Topps, Inc. ............................................ 20,000 121,250
*Tops Appliance City, Inc. .............................. 2,200 15,125
*Toreador Royalty Corp. ................................. 500 1,625
Toro Co. ............................................... 3,700 103,600
Tower Air, Inc. ........................................ 7,000 59,500
*Town & Country Corp. Class A ........................... 6,100 5,719
*Tracor, Inc. ........................................... 2,000 25,000
*Trak Auto Corp. ........................................ 3,000 48,375
*Trans World Entertainment Corp. ........................ 3,000 32,625
*Transmation, Inc. ...................................... 1,000 4,375
Transmedia Network, Inc. (New) ......................... 1,650 16,706
Transport Financial Bancorp, Inc. ...................... 1,000 13,625
*Transport Leasing International, Inc. .................. 1,200 4,163
Transtechnology Corp. .................................. 3,000 34,500
*Travel Ports of America, Inc. .......................... 1,500 3,469
Treadco, Inc. .......................................... 3,000 47,625
Tredegar Industries, Inc. .............................. 3,600 64,800
*Tremont Corp. DE ....................................... 4,700 51,113
Trenwick Group, Inc. ................................... 3,000 111,000
*Tri-Lite, Inc. ......................................... 29 65
*Triad Systems Corp. .................................... 4,500 22,781
*Trico Products Corp. ................................... 900 75,600
*Triconex Corp. ......................................... 2,500 43,906
*Tricord Systems, Inc. .................................. 1,500 9,094
*Tridex Corp. ........................................... 500 2,813
*Trimark Holdings, Inc. ................................. 1,000 7,500
*Trimble Navigation, Ltd. ............................... 5,200 70,525
*Trimedyne, Inc. ........................................ 2,300 9,631
*Trinzic Corp. .......................................... 12,300 63,806
*Trion, Inc. ............................................ 2,300 12,794
*Tripos, Inc. ........................................... 2,000 9,125
*Tristar Corp. .......................................... 1,000 5,500
Trust Company of New Jersey ............................ 4,500 54,281
Trustco Bank Corp. NY .................................. 6,820 130,859
Tseng Laboratories, Inc. ............................... 5,900 40,563
*Tuboscope Vetco International, Inc. .................... 8,400 60,375
*Tucker Drilling Co., Inc. .............................. 500 3,000
*Tuesday Morning Corp. .................................. 3,600 24,750
Tultex Corp. ........................................... 14,900 81,950
*Turner Corp. ........................................... 2,600 20,800
Tuscarora Plastics, Inc. ............................... 3,500 60,813
Twin Disc, Inc. ........................................ 1,400 28,350
*Tyco Toys, Inc. ........................................ 15,800 94,800
*Tyler Corp. ............................................ 5,800 21,025
U.S. Bancorp, Inc. ..................................... 1,000 21,500
*UDC Homes, Inc. ........................................ 2,600 4,550
*UNC, Inc. .............................................. 12,600 63,000
UNR Industries, Inc. ................................... 14,300 87,588
*URS Corp. (New) ........................................ 5,000 25,625
*US Can Corp. ........................................... 8,800 156,200
*USA Waste Services, Inc. ............................... 3,200 38,400
*USAir Group, Inc. ...................................... 10,000 48,750
USILICO Corp. .......................................... 4,900 98,000
</TABLE>
226
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*USMX, Inc. ............................................. 4,600 $ 11,213
*UST Corp. .............................................. 7,900 83,444
*Ultra Pacific, Inc. .................................... 1,700 11,156
Unico American Corp. ................................... 3,000 12,563
Unifirst Corp. ......................................... 6,200 76,338
Uniforce Temporary Personnel, Inc. ..................... 2,700 31,388
*Unigene Laboratories, Inc. ............................. 5,100 14,184
*Unilab Corp. ........................................... 11,900 54,294
*Unimed, Inc. ........................................... 2,800 8,575
*Union Corp. DE ......................................... 3,900 54,600
Union Planters Corp. ................................... 14,117 291,163
*Union Switch & Signal, Inc. ............................ 4,000 62,000
*Uniphase Corp. ......................................... 3,000 43,500
*Unique Mobility, Inc. .................................. 2,400 12,300
*Unit Corp. ............................................. 5,400 16,875
*United American Healthcare Corp. ....................... 2,000 49,000
United Bankshares, Inc. WV ............................. 1,000 23,375
United Carolina Bancshares Corp. ....................... 6,300 151,200
United Cities Gas Co. .................................. 4,950 77,963
United Companies Financial Corp. ....................... 2,400 73,500
United Financial Corp. ................................. 2,000 26,000
*United Foods, Inc. Class A ............................. 1,000 2,125
*United Gaming, Inc. .................................... 3,700 19,888
*United Guardian, Inc. .................................. 1,000 1,750
United Illuminating Co. ................................ 1,300 39,000
United Industrial Corp. ................................ 5,300 25,838
*United Insurance Companies, Inc. ....................... 3,500 107,844
*United Retail Group, Inc. .............................. 5,500 37,813
*United States Alcohol Testing America, Inc. ............ 4,600 19,838
*United States Banknote Corp. ........................... 5,300 11,925
*United States Bioscience, Inc. ......................... 9,800 79,625
*United States Energy Corp. ............................. 1,000 4,063
*United States Facilities Corp. ......................... 5,700 57,000
*United States Filter Corp. (New) ....................... 1,000 20,000
*United States Home Corp. ............................... 2,600 40,950
*United States Homecare Corp. ........................... 3,800 8,550
*United States Intec, Inc. .............................. 2,500 14,063
*United States Long Distance Corp. (New) ................ 3,300 39,188
*United States Paging Corp. ............................. 1,000 7,125
*United States Robotics, Inc. ........................... 2,900 112,375
United Stationers, Inc. ................................ 3,500 35,875
*United Television, Inc. ................................ 200 10,600
United Water Resources, Inc. ........................... 13,300 172,900
United Wisconsin Services, Inc. ........................ 3,100 113,150
*Unitel Video, Inc. ..................................... 600 3,525
Unitog Co. ............................................. 1,500 27,188
*Unitrode Corp. ......................................... 3,800 71,250
Univar Corp. ........................................... 5,000 61,875
*Universal Health Services, Inc. Class B ................ 5,500 137,500
*Universal International, Inc. .......................... 1,500 3,375
*University Patents, Inc. ............................... 1,400 9,800
*Uno Restaurant Corp. ................................... 5,600 70,700
Upper Peninsula Energy Corp. ........................... 1,000 15,500
*Uranuim Resources, Inc. (New) .......................... 2,000 10,875
*Uromed Corp. ........................................... 10,000 48,125
*Utah Medical, Inc. ..................................... 3,000 24,750
*Utilx Corp. ............................................ 1,500 5,344
*V Band Systems, Inc. ................................... 1,000 4,125
*VLSI Technology, Inc. .................................. 9,700 113,369
*VTEL Corp. ............................................. 2,100 14,963
VWR Corp. .............................................. 3,300 25,163
</TABLE>
227
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Valence Technology, Inc. ............................... 12,100 $ 33,653
*Vallen Corp. ........................................... 4,200 49,088
Valley Resources, Inc. ................................. 1,000 12,625
Vallicorp Holdings, Inc. ............................... 1,000 14,000
Valmont Industries, Inc. ............................... 3,200 54,000
*Value City Department Stores, Inc. ..................... 1,900 22,088
*Value-Added Communications, Inc. ....................... 2,400 3,900
*Valuevision International, Inc. Class A ................ 1,000 4,750
*Vans, Inc. ............................................. 5,000 30,313
*Varco International, Inc. .............................. 8,500 54,188
Varlen Corp. ........................................... 1,000 23,875
*Vectra Technologies, Inc. .............................. 2,700 8,438
*Ventritex, Inc. ........................................ 5,000 128,750
Venture Stores, Inc. ................................... 4,400 55,550
*Verifone, Inc. ......................................... 5,000 105,000
Vermont Financial Services Corp. ....................... 2,000 40,500
Versa Technologies, Inc. ............................... 1,100 14,575
*Versar, Inc. ........................................... 600 1,763
*Vertex Communications Corp. ............................ 1,000 13,500
*Vestar, Inc. ........................................... 1,700 7,756
*Vicorp Restaurants, Inc. ............................... 3,100 52,700
Victoria Bankshares, Inc. .............................. 2,000 46,750
*Video Display Corp. .................................... 700 1,838
*Video Lottery Technologies, Inc. ....................... 1,400 13,125
*Vie de France Corp. .................................... 4,200 15,488
*Viewlogic Systems, Inc. ................................ 3,900 82,875
Vintage Petroleum, Inc. ................................ 6,200 101,525
Virco Manufacturing Corp. .............................. 1,331 12,478
Virginia Beach Federal Financial Corp. ................. 1,200 7,650
*Vista Resources, Inc. .................................. 3,600 76,050
*Visx, Inc. DE .......................................... 2,500 28,125
Vital Signs, Inc. ...................................... 4,000 44,000
*Vitalink Pharmacy Services, Inc. ....................... 1,000 11,250
*Vitesse Semiconductor, Inc. ............................ 3,800 17,813
*Vivra, Inc. ............................................ 5,850 167,456
*Volt Information Sciences, Inc. ........................ 1,000 27,625
*Volunteer Capital Corp. (New) .......................... 1,800 12,600
WD-40 Co. .............................................. 2,000 84,000
*WHX Corp. .............................................. 20,300 289,275
WICOR, Inc. ............................................ 2,300 64,113
WLR Foods, Inc. ........................................ 1,200 30,600
*WMS Industries, Inc. ................................... 4,600 79,925
Wackenhut Corp. Class A ................................ 1,100 14,713
Wackenhut Corp. Class B
Non-Voting ........................................... 600 6,900
*Wahlco Environmental System, Inc. ...................... 5,400 12,150
*Wainoco Oil Corp. ...................................... 8,100 39,488
Walbro Corp. ........................................... 2,600 44,200
*Walker Interactive Systems, Inc. ....................... 3,300 20,625
*Wall Street Deli, Inc. ................................. 1,500 15,938
Walshire Assurance Co. ................................. 1,050 10,566
Warner Insurance Services, Inc. ........................ 5,300 14,575
*Warrantech Corp. ....................................... 3,900 22,303
*Warren Bancorp, Inc. ................................... 1,000 8,000
Washington Energy Co. .................................. 2,000 26,750
Washington Homes, Inc. (New) ........................... 2,400 9,300
Washington Mutual Savings Bank of Seattle .............. 581 9,986
Washington National Corp. .............................. 7,300 146,000
Washington Savings Bank FSB Waldorf, MD ................ 1,100 4,228
</TABLE>
228
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Washington Scientific Industries, Inc. ................. 1,000 $ 3,750
Waterhouse Investor Services, Inc. ..................... 2,600 37,050
Watkins-Johnson Co. .................................... 4,900 161,700
*Watson Pharmaceuticals, Inc. ........................... 4,600 117,875
Watts Industries, Inc. Class A ......................... 3,600 73,350
*Waxman Industries, Inc. ................................ 1,800 2,475
*Weatherford International, Inc. ........................ 394 3,645
Webb (Del) Corp. ....................................... 6,700 110,550
Webster Financial Corp. ................................ 1,000 18,750
*Wedco Technology, Inc. ................................. 1,155 11,622
*Weirton Steel Corp. .................................... 13,000 108,875
*Weitek Corp. ........................................... 6,000 19,125
*Wells-Gardner Electronics Corp. ........................ 800 2,400
*Wendt-Bristol Health Services Corp. .................... 1,000 500
Wesbanco, Inc. ......................................... 1,000 23,625
West, Inc. ............................................. 4,800 125,400
Westamerica Bancorporation ............................. 4,800 145,800
*Westbridge Capital Corp. ............................... 1,100 8,663
Westcorp DE ............................................ 6,405 55,243
*Westcott Communications, Inc. .......................... 5,800 70,325
Western Bank Coos Bay, OR .............................. 1,177 14,713
*Western Beef, Inc. ..................................... 1,000 7,313
*Western Co. North America (New) ........................ 5,100 86,700
*Western Micro Technology, Inc. ......................... 1,000 8,125
*Western Publishing Group, Inc. ......................... 6,400 72,400
*Western Waste Industries ............................... 10,400 158,600
*Westmoreland Coal Co. .................................. 3,800 19,950
*Weston (Roy F.), Inc. Class A .......................... 1,000 5,688
*Westwood One, Inc. ..................................... 13,800 125,063
*Wet Seal, Inc. Class A ................................. 1,200 5,850
Whitney Holdings Corp. ................................. 6,600 147,675
*Whittaker Corp. ........................................ 1,200 19,500
*Whole Foods Market, Inc. ............................... 3,800 57,000
*Wholesome & Hearty Foods, Inc. ......................... 2,100 26,513
*Willcox & Gibbs, Inc. .................................. 17,900 114,113
*Williams-Sonoma, Inc. .................................. 2,025 61,256
Wilshire Oil Co. of Texas .............................. 2,575 17,703
*Wilshire Technologies, Inc. ............................ 1,000 1,750
Windmere Corp. ......................................... 4,400 42,900
*Winnebago Industries, Inc. ............................. 8,300 75,738
Wiser Oil Co. .......................................... 2,300 33,350
Wolohan Lumber Co. ..................................... 2,200 33,550
*Wolverine Tube, Inc. ................................... 3,600 86,400
Wolverine World Wide, Inc. ............................. 2,250 50,063
*Wonderware Corp. ....................................... 3,000 89,625
Woodhead Industries, Inc. .............................. 1,000 14,750
*World Acceptance Corp. ................................. 4,100 90,200
*Worldcorp, Inc. ........................................ 12,200 97,600
*Worldtex, Inc. ......................................... 8,800 38,500
Worthen Banking Corp. .................................. 9,000 243,000
Worthington Foods, Inc. ................................ 1,500 13,031
Wyle Laboratories, Inc. ................................ 3,200 59,600
*Wyman-Gordon Co. ....................................... 5,500 30,938
Wynns International, Inc. .............................. 1,950 46,313
X-Rite, Inc. ........................................... 3,200 123,200
*Xicor, Inc. ............................................ 2,000 4,813
*Xircom, Inc. ........................................... 4,700 86,363
*Xoma Corp. ............................................. 6,600 22,275
*Xylogics, Inc. ......................................... 1,000 39,500
*Xytronyx, Inc. ......................................... 1,100 4,125
Yankee Energy Systems, Inc. ............................ 4,700 101,638
*Yes Clothing Co. ....................................... 1,000 1,813
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*York Research Corp. .................................... 3,700 $ 16,650
*Younkers, Inc. ......................................... 2,500 43,438
*Zale Corp. ............................................. 7,000 90,125
*Zenith Electronics Corp. ............................... 10,200 124,950
*Zenith Laboratories, Inc. .............................. 4,200 99,750
Zenith National Insurance Corp. ........................ 8,500 183,813
*Zeos International, Ltd. ............................... 2,600 18,525
Zero Corp. ............................................. 4,800 63,000
*Zilog, Inc. ............................................ 3,700 103,600
*Zitel Corp. ............................................ 3,000 23,625
*Zoll Medical Corp. ..................................... 1,800 24,975
Zurn Industries, Inc. .................................. 3,800 66,500
------------------
TOTAL COMMON STOCKS (Cost $129,626,934) ................... 139,064,179
------------------
PREFERRED STOCKS -- (0.0%)
*Alfin, Inc. ............................................ 1,200 1,050
*Comptronix Corp. 6% Convertible Series A ............... 629 0
------------------
TOTAL PREFERRED STOCKS (Cost $1,950) ...................... 1,050
------------------
RIGHTS/WARRANTS -- (0.0%)
*Alta Energy Corp. Contingent Payment Rights ............ 10,000 0
*American Satellite Network, Inc. Warrants 06/30/99 ..... 2,525 0
*Patlex Corp. Contingent Payment Rights ................. 1,800 0
*SPS Technologies, Inc. Rights 12/16/94 ................. 260 14
------------------
TOTAL RIGHTS/WARRANTS (Cost $0) ........................... 14
------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
------------------
(000)
<S> <C> <C>
BONDS -- (0.0%)
MacNeal Schwendler Corp. 7.875%, 08/18/04 (Cost $910) ... $ 1 796
------------------
TEMPORARY CASH INVESTMENTS -- (4.8%)
Repurchase Agreement, PNC Securities Corp. 5.50%,
12/01/94 (Collateralized by U.S. Treasury Bills 5.55%,
02/09/95) (Cost $7,006,000) .......................... 7,006 7,006,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost $136,635,794) ......... $146,072,039
==================
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
230
<PAGE>
SCHEDULE OF INVESTMENTS
THE U.S LARGE COMPANY SERIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (98.0%)
AMP, Inc. .............................................. 1,600 $ 115,600
*AMR Corp. .............................................. 1,200 60,900
AT&T Corp. ............................................. 23,119 1,135,721
Abbott Laboratories, Inc. .............................. 12,000 382,500
*Advanced Micro Devices, Inc. ........................... 1,400 35,350
Aetna Life & Casualty Co. .............................. 1,700 76,075
Ahmanson (H.F.) & Co. .................................. 1,800 29,925
Air Products & Chemicals, Inc. ......................... 1,700 75,438
*Airtouch Communications ................................ 7,200 195,300
Alberto-Culver Co. Class B ............................. 200 5,125
Albertson's, Inc. ...................................... 3,800 109,250
Alcan Aluminium, Ltd. .................................. 3,400 84,150
Alco Standard Corp. .................................... 900 50,400
Alexander & Alexander Services, Inc. ................... 600 11,325
Allergan, Inc. ......................................... 1,000 30,125
Allied Signal, Inc. .................................... 4,200 137,025
Aluminium Co. of America (ALCOA) ....................... 1,400 114,275
*Alza Corp. ............................................. 1,300 25,025
*Amdahl Corp. ........................................... 1,700 16,575
Amerada Hess Corp. ..................................... 1,400 63,700
American Barrick Resources Corp. ....................... 5,200 108,550
American Brands, Inc. .................................. 2,900 102,588
American Electric Power Co., Inc. ...................... 2,700 89,100
American Express Co. ................................... 7,200 213,300
American General Corp. ................................. 3,000 78,750
American Greetings Corp. Class A ....................... 1,100 30,663
American Home Products Corp. ........................... 4,400 286,550
American International Group, Inc. ..................... 4,600 421,475
American Stores Co. (New) .............................. 2,100 55,388
Ameritech Corp. ........................................ 8,100 319,950
*Amgen, Inc. ............................................ 2,000 116,875
Amoco Corp. ............................................ 7,400 449,502
*Andrew Corp. ........................................... 300 14,550
Anheuser-Busch Companies, Inc. ......................... 3,900 191,588
Apple Computer, Inc. ................................... 1,800 66,825
Archer-Daniels Midland Co. ............................. 4,967 137,213
*Armco, Inc. ............................................ 1,600 9,800
Armstrong World Industries, Inc. ....................... 500 20,000
Asarco, Inc. ........................................... 600 16,425
Ashland Oil, Inc. ...................................... 1,000 34,000
Atlantic Richfield Co. ................................. 2,300 238,050
Autodesk, Inc. ......................................... 800 30,100
Automatic Data Processing, Inc. ........................ 2,100 117,338
Avery Dennison Corp. ................................... 900 29,025
Avon Products, Inc. .................................... 1,000 61,875
Baker Hughes, Inc. ..................................... 2,100 37,800
Ball Corp. ............................................. 400 11,250
*Bally Entertainment Corp. .............................. 600 3,525
Baltimore Gas & Electric Co. ........................... 2,150 48,644
Banc One Corp. ......................................... 5,902 158,616
Bank of Boston Corp. ................................... 1,600 42,800
BankAmerica Corp. ...................................... 5,556 227,796
Bankers Trust New York Corp. ........................... 1,100 65,175
Bard (C.R.), Inc. ...................................... 700 18,200
Barnett Banks, Inc. .................................... 1,500 59,063
Bassett Furniture Industries, Inc. ..................... 187 5,376
Bausch & Lomb, Inc. .................................... 800 26,700
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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------------------ ------------------
<S> <C> <C>
Baxter International, Inc. ............................. 4,100 $105,575
Becton, Dickinson & Co. ................................ 1,000 47,250
Bell Atlantic Corp. .................................... 6,400 320,800
BellSouth Corp. ........................................ 7,400 383,875
Bemis Co., Inc. ........................................ 700 15,488
Beneficial Corp. ....................................... 700 25,550
*Bethlehem Steel Corp. .................................. 1,600 28,400
*Beverly Enterprises, Inc. .............................. 1,300 18,363
*Biomet, Inc. ........................................... 1,700 21,038
Black & Decker Corp. ................................... 1,300 31,200
Block (H.& R.), Inc. ................................... 1,600 55,400
Boatmen's Bancshares, Inc. ............................. 1,600 44,500
Boeing Co. ............................................. 5,000 223,750
Boise Cascade Corp. .................................... 500 12,125
Borden, Inc. ........................................... 2,100 29,400
Briggs & Stratton Corp. ................................ 400 13,400
Bristol-Myers Squibb Co. ............................... 7,400 427,350
Brown Group, Inc. ...................................... 200 6,350
Brown-Forman Corp. Class B ............................. 600 17,925
Browning-Ferris Industries, Inc. ....................... 2,800 75,600
Bruno's, Inc. .......................................... 1,200 10,650
Brunswick Corp. ........................................ 1,500 25,875
Burlington Northern, Inc. .............................. 1,400 68,250
Burlington Resources, Inc. ............................. 1,900 67,925
CBS, Inc. .............................................. 1,260 69,930
CIGNA Corp. ............................................ 1,000 63,375
CPC International, Inc. ................................ 2,200 112,750
CSX Corp. .............................................. 1,600 111,200
Campbell Soup Co. ...................................... 3,600 154,800
Capital Cities ABC, Inc. ............................... 2,000 163,500
Carolina Power & Light Co. ............................. 2,400 64,200
Caterpillar, Inc. ...................................... 3,000 162,000
Centex Corp. ........................................... 400 8,150
Central & South West Corp. ............................. 2,700 57,375
*Ceridian Corp. ......................................... 600 15,000
Champion International Corp. ........................... 1,400 48,650
Charming Shoppes, Inc. ................................. 1,600 10,600
Chase Manhattan Corp. .................................. 2,700 96,525
Chemical Banking Corp. ................................. 3,798 138,152
Chevron Corp. .......................................... 9,500 414,438
Chrysler Corp. ......................................... 5,300 256,388
Chubb Corp. ............................................ 1,200 84,300
Cincinnati Milacron, Inc. .............................. 600 14,325
Cinergy Corp. .......................................... 818 18,201
Circuit City Stores, Inc. .............................. 1,500 36,938
*Cisco Sytems, Inc. ..................................... 3,800 122,788
Citicorp ............................................... 5,700 237,263
*Clark Equipment Co. .................................... 200 11,025
Clorox Co. ............................................. 700 40,775
Coastal Corp. .......................................... 1,600 41,200
Coca-Cola Co. .......................................... 19,000 971,375
Colgate-Palmolive Co. .................................. 2,200 132,000
*Columbia Gas System, Inc. .............................. 700 17,238
Columbia/HCA Healthcare Corp. .......................... 5,255 199,033
Comcast Corp. Class A Special .......................... 2,800 44,100
Community Psychiatric Centers .......................... 600 6,000
*Compaq Computer Corp. .................................. 3,800 148,675
Computer Associates International, Inc. ................ 2,400 109,200
*Computer Sciences Corp. ................................ 700 32,288
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
ConAgra, Inc. .......................................... 3,750 $ 115,781
Conrail, Inc. .......................................... 1,100 57,200
Consolidated Edison Co. of New York, Inc. .............. 3,500 90,563
*Consolidated Freightways, Inc. ......................... 500 9,688
Consolidated Natural Gas Co. ........................... 1,400 49,000
Continental Corp. ...................................... 900 13,050
Cooper Industries, Inc. ................................ 1,700 59,075
Cooper Tire & Rubber Co. ............................... 1,300 30,388
Coors (Adolph) Co. Class B ............................. 500 7,969
CoreStates Financial Corp. ............................. 2,000 49,500
Corning, Inc. .......................................... 3,200 96,000
Crane Co. .............................................. 400 10,400
*Cray Research, Inc. .................................... 300 5,513
*Crown Cork & Seal Co., Inc. ............................ 1,400 52,850
Cummins Engine Co., Inc. ............................... 600 26,100
Cyprus Amax Minerals Co., Inc. ......................... 1,400 35,000
*DSC Communications Corp. ............................... 1,700 53,019
Dana Corp. ............................................. 1,500 32,438
*Data General Corp. ..................................... 500 5,375
Dayton-Hudson Corp. .................................... 1,000 81,625
Dean Witter, Discover & Co. ............................ 2,466 86,310
Deere & Co. ............................................ 1,300 83,525
Delta Air Lines, Inc. .................................. 700 35,088
Deluxe Corp. ........................................... 1,300 36,075
Detroit Edison Co. ..................................... 2,200 58,850
Dial Corp. ............................................. 1,400 28,000
*Digital Equipment Corp. ................................ 2,000 68,000
Dillard Department Stores, Inc. Class A ................ 1,700 47,813
Disney (Walt) Co. ...................................... 7,800 340,275
Dominion Resources, Inc. VA ............................ 2,450 90,956
Donnelley (R.R.) & Sons Co. ............................ 2,300 65,838
Dover Corp. ............................................ 800 40,900
Dow Chemical Co. ....................................... 4,100 262,400
Dow Jones & Co., Inc. .................................. 1,500 43,500
Dresser Industries, Inc. ............................... 2,700 54,000
DuPont (EI) de Nemours & Co. ........................... 10,100 544,138
Duke Power Co. ......................................... 3,100 126,325
Dun & Bradstreet Corp. ................................. 2,500 132,188
E-Systems, Inc. ........................................ 600 21,975
EG & G, Inc. ........................................... 900 13,275
Eastern Enterprises .................................... 300 7,650
Eastman Chemical Co. ................................... 1,125 53,016
Eastman Kodak Co. ...................................... 5,000 228,125
Eaton Corp. ............................................ 1,200 57,150
Echlin, Inc. ........................................... 800 24,200
Echo Bay Mines, Ltd. ................................... 1,700 17,638
Ecolab, Inc. ........................................... 1,000 20,375
Emerson Electric Co. ................................... 3,200 188,800
Engelhard Corp. ........................................ 1,325 29,150
Enron Corp. ............................................ 3,700 99,900
Enserch Corp. .......................................... 900 11,363
Entergy Corp. .......................................... 3,300 74,250
Exxon Corp. ............................................ 18,200 1,098,825
*FMC Corp. .............................................. 500 29,125
FPL Group, Inc. ........................................ 2,700 95,513
*Federal Express Corp. .................................. 900 51,188
Federal Home Loan Mortgage Corp. ....................... 2,600 129,675
Federal National Mortgage Association .................. 4,100 291,613
Federal Paper Board Co., Inc. .......................... 600 16,275
First Chicago Corp. .................................... 1,300 60,450
First Data Corp. ....................................... 1,600 76,800
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
First Fidelity Bancorp ................................. 1,300 $ 58,500
First Interstate Bancorp ............................... 1,100 77,550
First Mississippi Corp. ................................ 300 6,638
First Union Corp. ...................................... 2,500 99,688
Fleet Financial Group, Inc. ............................ 2,000 62,250
Fleetwood Enterprises, Inc. ............................ 600 11,775
Fleming Companies, Inc. ................................ 500 11,500
Fluor Corp. ............................................ 1,300 55,738
Ford Motor Co. ......................................... 13,600 368,900
Foster Wheeler Corp. ................................... 500 14,313
GTE Corp. .............................................. 14,200 434,875
Gannett Co., Inc. ...................................... 2,200 104,225
Gap, Inc. .............................................. 2,100 74,025
General Dynamics Corp. ................................. 1,000 40,250
General Electric Corp. ................................. 25,300 1,163,800
General Mills, Inc. .................................... 2,300 123,625
General Motors Corp. ................................... 11,100 423,188
General Re Corp. ....................................... 1,300 152,588
General Signal Corp. ................................... 800 25,800
Genuine Parts Co. ...................................... 1,850 64,519
Georgia-Pacific Corp. .................................. 1,400 100,100
Giant Food, Inc. Class A ............................... 800 17,900
Giddings & Lewis, Inc. ................................. 500 7,250
Gillette Co. ........................................... 3,300 242,550
Golden West Financial Corp. ............................ 900 31,500
Goodrich (B.F.) Co. .................................... 300 13,350
Goodyear Tire & Rubber Co. ............................. 2,200 74,525
Grace (W.R.) & Co. ..................................... 1,400 51,800
Grainger (W.W.), Inc. .................................. 700 36,313
Great Atlantic & Pacific Tea Co., Inc. ................. 500 11,125
Great Lakes Chemical Corp. ............................. 1,100 58,300
Great Western Financial Corp. .......................... 2,000 34,000
Halliburton Co. ........................................ 1,700 59,288
Handleman Co. .......................................... 600 6,900
Harcourt General, Inc. ................................. 1,223 43,875
Harland (John H.) Co., Inc. ............................ 400 7,900
Harnischfeger Industries, Inc. ......................... 500 13,313
Harris Corp. ........................................... 500 20,500
*Hartmarx Corp. ......................................... 400 2,150
Hasbro, Inc. ........................................... 1,350 39,825
Heinz (H.J.) Co. ....................................... 3,700 134,588
Helmerich & Payne, Inc. ................................ 300 8,400
Hercules, Inc. ......................................... 500 57,188
Hershey Foods Corp. .................................... 1,000 46,750
Hewlett-Packard Co. .................................... 3,800 372,400
Hilton Hotels Corp. .................................... 800 55,600
Home Depot, Inc. ....................................... 6,566 303,678
Homestake Mining Co. ................................... 2,000 33,750
Honeywell, Inc. ........................................ 1,900 55,575
Household International, Inc. .......................... 1,500 57,750
Houston Industries, Inc. ............................... 1,900 64,600
ITT Corp. .............................................. 1,800 143,325
Illinois Tool Works, Inc. .............................. 1,700 68,850
Inco, Ltd. ............................................. 1,800 49,500
Ingersoll-Rand Co. ..................................... 1,600 51,600
*Inland Steel Industries, Inc. .......................... 700 22,925
Intel Corp. ............................................ 6,000 378,000
*Intergraph Corp. ....................................... 600 4,800
International Business Machines Corp. .................. 8,600 608,450
International Flavors & Fragrances, Inc. ............... 1,700 74,800
International Paper Co. ................................ 1,800 128,700
</TABLE>
234
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Interpublic Group of Companies, Inc. ................... 1,200 $ 37,950
James River Corp. of Virginia .......................... 1,300 27,463
Jefferson-Pilot Corp. .................................. 650 32,906
Johnson & Johnson, Inc. ................................ 9,400 501,725
Johnson Controls, Inc. ................................. 700 33,950
Jostens, Inc. .......................................... 600 10,350
K Mart Corp. ........................................... 6,700 97,150
Kaufman & Broad Home Corp. ............................. 400 5,100
Kellogg Co. ............................................ 3,200 182,000
Kerr-McGee Corp. ....................................... 700 33,075
Keycorp ................................................ 3,600 87,750
Kimberly-Clark Corp. ................................... 2,400 120,300
*King World Productions, Inc.. .......................... 500 17,438
Knight Ridder, Inc. .................................... 700 33,688
*Kroger Co. ............................................. 1,600 38,600
Lilly (Eli) & Co. ...................................... 4,300 269,288
Limited, Inc. .......................................... 5,300 102,688
Lincoln National Corp. ................................. 1,300 50,538
Liz Claiborne, Inc. .................................... 1,200 27,150
Lockheed Corp. ......................................... 800 55,000
Longs Drug Stores Corp. ................................ 300 9,413
Loral Corp. ............................................ 1,300 51,513
*Lotus Development Corp. ................................ 800 35,900
Louisiana Land & Exploration Co. ....................... 400 16,400
Louisiana-Pacific Corp. ................................ 1,700 47,600
Lowe's Companies, Inc. ................................. 2,400 89,700
Luby's Cafeterias, Inc. ................................ 300 6,600
*M/A-COM, Inc. .......................................... 300 1,875
MBNA Corp. ............................................. 2,200 51,975
MCI Communications Corp. ............................... 9,500 186,438
MMM (Minnesota Mining & Manufacturing Co.) ............. 6,300 322,875
Mallinckrodt Group, Inc. ............................... 1,200 36,000
Manor Care, Inc. ....................................... 850 24,119
Marriott International, Inc. ........................... 1,900 49,875
Marsh & McLennan Companies, Inc. ....................... 1,000 72,125
Martin Marietta Corp. .................................. 1,300 56,388
Masco Corp. ............................................ 2,300 51,175
Mattel, Inc. ........................................... 2,600 69,550
*Maxus Energy Corp. ..................................... 2,000 7,500
May Department Stores Co. .............................. 3,700 134,125
Maytag Corp. ........................................... 1,600 23,800
McDermott International, Inc. .......................... 700 16,625
McDonald's Corp. ....................................... 10,400 295,100
McDonnell Douglas Corp. ................................ 500 69,750
McGraw-Hill, Inc. ...................................... 700 47,513
Mead Corp. ............................................. 800 36,600
Medtronic, Inc. ........................................ 1,600 84,800
Mellon Bank Corp. ...................................... 2,100 69,563
Melville Corp. ......................................... 1,600 50,400
Mercantile Stores Co., Inc. ............................ 500 20,250
Merck & Co., Inc. ...................................... 18,600 692,850
Meredith Corp. ......................................... 200 9,625
Merrill Lynch & Co., Inc. .............................. 2,900 110,200
*Micron Technology, Inc. ................................ 1,400 58,100
*Microsoft Corp. ........................................ 8,500 533,906
Millipore Corp. ........................................ 400 19,150
Mobil Corp. ............................................ 5,900 502,975
Monsanto Co. ........................................... 1,800 129,600
Moore Corp., Ltd. ...................................... 1,500 25,688
Morgan (J.P.) & Co., Inc. .............................. 2,800 164,500
Morrison Knudsen Corp. ................................. 400 5,900
Morton International, Inc. ............................. 2,100 57,750
</TABLE>
235
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Motorola, Inc. ......................................... 8,300 $467,913
NBD Bancorp, Inc. ...................................... 2,250 61,031
Nacco Industries, Inc. Class A ......................... 100 5,213
Nalco Chemical Co. ..................................... 1,100 35,750
National City Corp. .................................... 2,200 55,275
*National Education Corp. ............................... 400 1,650
*National Medical Enterprises, Inc. ..................... 2,400 33,900
*National Semiconductor Corp. ........................... 1,800 33,075
National Service Industries, Inc. ...................... 700 17,850
NationsBank Corp. ...................................... 4,024 180,577
*Navistar International Corp. ........................... 1,150 15,094
New York Times Class A ................................. 1,600 38,000
Newell Co. ............................................. 2,400 51,600
Newmont Mining Corp. ................................... 1,323 48,455
Niagra Mohawk Power Corp. .............................. 2,100 29,138
Nicor, Inc. ............................................ 700 15,750
Nike, Inc. Class B ..................................... 700 44,713
Noram Energy Corp. ..................................... 1,800 10,125
Nordstrom, Inc. ........................................ 1,300 62,400
Norfolk Southern Corp. ................................. 2,100 127,050
Northern States Power Co. MN ........................... 900 40,613
Northern Telecom, Ltd. ................................. 3,800 121,600
Northrop Grumman Corp. ................................. 700 28,438
Norwest Corp. .......................................... 4,600 100,050
*Novell, Inc. ........................................... 5,500 109,656
Nucor Corp. ............................................ 1,200 65,400
Nynex Corp. ............................................ 6,100 229,513
Occidental Petroleum Corp. ............................. 4,500 88,313
Ogden Corp. ............................................ 600 11,850
Ohio Edison Co. ........................................ 2,200 40,700
Oneok, Inc. ............................................ 400 6,900
*Oracle Systems Corp. ................................... 4,300 177,644
Oryx Energy Co. ........................................ 1,500 18,188
Oshkosh B'Gosh, Inc. Class A ........................... 200 2,700
Outboard Marine Corp. .................................. 300 5,588
*Owens-Corning Fiberglass Corp. ......................... 600 17,400
PECO Energy Co. ........................................ 3,300 79,613
PNC Bank Corp. ......................................... 3,500 72,625
PPG Industries, Inc. ................................... 3,200 115,200
Paccar, Inc. ........................................... 560 23,030
PacifiCorp ............................................. 4,200 77,700
Pacific Enterprises .................................... 1,300 27,788
Pacific Gas & Electric Co. ............................. 6,300 150,413
Pacific Telesis Group .................................. 6,200 179,800
Pall Corp. ............................................. 1,700 30,175
Panhandle Eastern Corp. ................................ 1,800 38,025
Parker-Hannifin Corp. .................................. 700 30,713
Penney (J.C.) Co., Inc. ................................ 3,500 161,000
Pennzoil Co. ........................................... 600 29,025
Peoples Energy Corp. ................................... 500 12,250
Pep Boys (Manny, Moe & Jack) ........................... 1,000 32,375
PepsiCo, Inc. .......................................... 11,700 413,888
Perkin Elmer Corp. ..................................... 600 16,575
Pet, Inc. .............................................. 1,600 27,000
Pfizer, Inc. ........................................... 4,700 363,663
Phelps Dodge Corp. ..................................... 1,100 62,975
Philip Morris Companies, Inc. .......................... 12,700 758,825
Phillips Petroleum Co. ................................. 3,900 128,700
Pioneer Hi-Bred International, Inc. .................... 1,400 47,425
Pitney Bowes, Inc. ..................................... 2,300 76,475
Pittston Co. ........................................... 700 16,625
Placer Dome, Inc. ...................................... 3,600 67,500
Polaroid Corp. ......................................... 600 18,825
Potlatch Corp. ......................................... 400 15,000
Praxair, Inc. .......................................... 2,000 40,500
</TABLE>
236
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THE U.S LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Premark International, Inc. ............................ 1,000 $ 45,500
*Price/Costco, Inc. ..................................... 3,265 49,995
Procter & Gamble Co. ................................... 10,100 631,250
*Promus Companies, Inc. ................................. 1,600 44,400
Providian Corp. ........................................ 1,500 45,375
Public Service Enterprise Group, Inc. .................. 3,700 98,513
Pulte Corp. ............................................ 400 8,050
Quaker Oats Co. ........................................ 900 54,788
Ralston Purina Group ................................... 1,500 64,313
Raychem Corp. DE ....................................... 600 20,775
Raytheon Co. ........................................... 2,000 125,750
Reebok International, Ltd. ............................. 1,100 42,213
Reynolds Metals Co. .................................... 1,000 47,125
Rite Aid Corp. ......................................... 1,200 27,150
Roadway Services, Inc. ................................. 500 25,188
Rockwell International Corp. ........................... 3,200 108,400
Rohm & Haas Co. ........................................ 900 50,175
*Rollins Environmental Services, Inc. ................... 800 3,800
*Rowan Companies, Inc. .................................. 1,300 8,613
Royal Dutch Petroleum Co. .............................. 7,800 847,275
Rubbermaid, Inc. ....................................... 2,300 62,100
Russell Corp. .......................................... 500 15,188
*Ryans Family Steak Houses, Inc. ........................ 700 4,944
Ryder System, Inc. ..................................... 1,200 25,950
SCE Corp. .............................................. 6,600 92,400
SP Ventures, Inc. ...................................... 500 15,688
SPX Corp. .............................................. 200 3,100
Safeco Corp. ........................................... 1,000 49,125
Safety-Kleen Corp. ..................................... 800 11,600
Saint Jude Medical, Inc. ............................... 600 23,850
Saint Paul Companies, Inc. ............................. 1,300 53,625
Salomon, Inc.. ......................................... 1,500 54,375
*Santa Fe Energy Resources, Inc. ........................ 1,400 11,725
*Santa Fe Pacific Gold Corp. ............................ 1,903 24,025
*Santa Fe Southern Pacific Corp. ........................ 2,706 45,326
Sara Lee Corp. ......................................... 7,000 170,625
Schering-Plough Corp. .................................. 2,800 209,650
Schlumberger, Ltd. ..................................... 3,600 191,250
Scientific-Atlanta, Inc. ............................... 1,100 21,725
Scott Paper Co. ........................................ 1,000 65,250
Seagram Company, Ltd. .................................. 5,400 157,275
Sears, Roebuck & Co. ................................... 5,100 240,975
Service Corp. International ............................ 1,350 34,594
Shared Medical Systems Corp. ........................... 300 9,056
Shawmut National Corp. ................................. 1,800 31,950
Sherwin-Williams Co. ................................... 1,200 36,900
*Shoney's, Inc. ......................................... 700 9,625
Sigma-Aldrich Corp. .................................... 800 27,600
Skyline Corp. .......................................... 100 1,850
Snap-On Tools Corp. .................................... 600 18,900
Sonat, Inc. ............................................ 1,200 33,750
Southern Co. ........................................... 9,500 197,125
Southwest Airlines Co. ................................. 2,200 46,475
Southwestern Bell Corp. ................................ 8,800 364,100
Springs Industries, Inc. Class A ....................... 200 7,425
Sprint Corp. ........................................... 5,000 149,375
Stanley Works, Inc. .................................... 600 21,450
*Stone Container Corp. .................................. 1,414 23,154
Stride Rite Corp. ...................................... 700 8,663
Sun Company, Inc. ...................................... 1,600 46,600
*Sun Microsystems, Inc. ................................. 1,300 43,469
SunTrust Banks, Inc. ................................... 1,800 84,825
Super Valu Stores, Inc. ................................ 1,000 24,500
</TABLE>
237
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Sysco Corp. ............................................ 2,700 $ 69,525
TJX Companies, Inc. .................................... 1,000 15,125
TRW, Inc. .............................................. 900 57,150
*Tandem Computers, Inc. ................................. 1,700 28,900
Tandy Corp. ............................................ 1,015 46,817
Tektronix, Inc. ........................................ 400 14,950
*Tele-Communications, Inc. Class A ...................... 6,000 142,125
*Teledyne, Inc. ......................................... 900 15,525
Temple-Inland, Inc. .................................... 900 40,388
Tenneco, Inc. .......................................... 2,500 97,188
Texaco, Inc. ........................................... 3,800 236,075
Texas Instruments, Inc. ................................ 1,400 105,700
Texas Utilities Co. .................................... 3,400 110,925
Textron, Inc. .......................................... 1,400 65,800
Thomas & Betts Corp. ................................... 200 13,250
Time Warner, Inc. Class A .............................. 5,660 191,025
Times-Mirror, Inc. ..................................... 1,900 58,663
Timken Co. ............................................. 400 12,900
Torchmark Corp. ........................................ 1,150 38,094
*Toys "R" Us, Inc. ...................................... 4,100 150,163
Transamerica Corp. ..................................... 1,000 47,375
Transco Energy Co. ..................................... 700 8,750
Travelers, Inc. ........................................ 4,752 156,222
Tribune Co. ............................................ 900 45,113
Trinova Corp. .......................................... 400 11,850
Tyco Laboratories, Inc. ................................ 1,200 55,200
UNUM Corp. ............................................. 1,200 43,800
US West, Inc. .......................................... 6,700 236,175
US Bancorp Oregon ...................................... 1,550 35,456
US Healthcare, Inc. .................................... 2,400 107,100
*USAir Group, Inc. ...................................... 800 3,900
USF&G Corp. ............................................ 1,300 17,713
USLIFE Corp. ........................................... 300 9,675
UST, Inc. .............................................. 2,900 80,113
USX-Marathon Group, Inc. ............................... 4,200 75,600
USX-US Steel Group ..................................... 1,220 41,938
Unicom Corp., Inc. ..................................... 3,100 72,463
Unilever N.V. .......................................... 2,300 256,738
Union Camp Corp. ....................................... 1,100 51,013
Union Carbide Corp. .................................... 2,200 62,975
Union Electric Co. ..................................... 1,600 57,400
Union Pacific Corp. .................................... 3,100 144,150
*Unisys Corp. ........................................... 2,600 24,375
*United Healthcare Corp. ................................ 2,700 128,250
United States Surgical Corp. ........................... 900 19,575
United Technologies Corp. .............................. 1,900 111,150
Unocal Corp. ........................................... 3,600 95,850
Upjohn Co. ............................................. 2,500 80,313
V.F. Corp. ............................................. 900 43,650
*Varity Corp. ........................................... 600 22,350
*Viacom, Inc. Class B ................................... 4,321 166,359
WMX Technologies, Inc. ................................. 7,200 185,400
Wachovia Corp. ......................................... 2,500 81,562
Wal-Mart Stores, Inc. .................................. 33,800 781,625
Walgreen Co. ........................................... 1,800 74,700
Warner-Lambert Co. ..................................... 2,000 154,750
Wells Fargo & Co. ...................................... 700 101,063
Wendy's International, Inc. ............................ 1,400 19,600
*Western Atlas, Inc. .................................... 800 34,900
Westinghouse Electric Corp. ............................ 5,300 67,575
Westvaco Corp. ......................................... 900 30,938
Weyerhaeuser Co. ....................................... 3,100 118,963
Whirlpool Corp. ........................................ 1,000 49,875
Whitman Corp. .......................................... 1,600 25,400
</TABLE>
238
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CONTINUED
<TABLE>
<CAPTION>
Shares Value+
-------- ------------
<S> <C> <C>
Williams Companies, Inc. .. 1,600 $ 45,200
Winn-Dixie Stores, Inc. ... 1,000 50,375
Woolworth (F.W.) Corp. .... 2,000 28,250
Worthington Industries,
Inc. ...................... 1,375 27,156
Wrigley, Jr. (Wm.) Co. .... 1,700 79,475
Xerox Corp. ............... 1,600 157,200
Yellow Corp. .............. 400 7,875
*Zenith Electronics Corp. .. 600 7,350
Zurn Industries, Inc. ..... 200 3,500
------------
TOTAL COMMON STOCKS (Cost
$41,206,959) .............. 48,374,627
------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
------------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (2.0%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94
(Collateralized by U.S. Treasury Bills 5.55%, 02/09/95)
(Cost $973,000) .......................................... $973 973,000
------------------
TOTAL INVESTMENTS - (100.0%) (Cost $42,179,959) ........... $49,347,627
==================
</TABLE>
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
See accompanying Notes to Financial Statements
239
<PAGE>
SCHEDULE OF INVESTMENTS
THE U.S. SMALL CAP VALUE SERIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (95.9%)
AAR Corp. .............................................. 57,600 $ 756,000
*ACX Technologies, Inc. ................................. 32,700 1,189,463
*AEL Industries, Inc. Class A ........................... 11,400 102,600
AEP Industries, Inc. ................................... 13,050 210,431
*AG Services America, Inc. .............................. 2,900 20,663
*ARI Holdings Corp. ..................................... 7,700 41,380
*AST Research, Inc. ..................................... 73,500 1,102,500
*Accell International Corp. ............................. 8,000 20,500
*Acceptance Insurance Companies, Inc. ................... 23,000 330,625
Aceto Corp. ............................................ 11,500 166,750
*Acme Metals, Inc. ...................................... 19,000 301,625
*Acme United Corp. ...................................... 7,100 20,413
Acme-Cleveland Corp. ................................... 15,300 166,380
Actava Group, Inc. ..................................... 60,000 592,500
*Action Industries, Inc. ................................ 18,600 32,550
*Adage, Inc. ............................................ 18,400 87,400
*Addington Resources, Inc. .............................. 3,000 26,250
Adia Services, Inc. .................................... 6,700 242,038
*Advance Ross Corp. (New) ............................... 1,600 33,200
*Advanced Logic Research, Inc. .......................... 41,400 194,063
*Advanced Marketing Services, Inc. ...................... 19,300 120,625
*Advanced Technology Labs, Inc. ......................... 41,627 744,083
*Advantage Bancorp, Inc. ................................ 9,400 266,725
*Advest Group, Inc. ..................................... 31,300 164,325
*Aequitron Medical, Inc. ................................ 15,400 60,638
*Aeroflex, Inc. ......................................... 43,000 166,625
*Aerosonic Corp. DE ..................................... 3,200 6,400
*Aerovox, Inc. .......................................... 29,100 203,700
*Aileen, Inc. ........................................... 9,600 16,800
*Air & Water Technologies Corp. Class A ................. 100,000 587,500
*Air Methods Corp. (New) ................................ 21,400 42,800
Airborne Freight Corp. ................................. 18,000 355,500
Airtran Corp. .......................................... 3,000 23,625
*Alamco, Inc. (New) ..................................... 25,900 161,875
*Alaska Air Group, Inc. ................................. 48,300 790,913
*Alba-Waldensian, Inc. .................................. 3,800 40,850
*Alkermes, Inc. ......................................... 3,000 10,125
*Allegheny & Western Energy Corp. ....................... 26,300 284,369
*Allegiant Physician Services, Inc. ..................... 32,800 70,725
Allied Group, Inc. ..................................... 14,000 351,750
Allied Life Financial Corp. ............................ 20,000 285,000
*Allied Products Corp. .................................. 18,400 253,000
*Allied Research Corp. .................................. 20,000 110,000
*Allied Waste Industries, Inc. .......................... 42,900 193,050
*Allstate Financial Corp. ............................... 10,900 67,103
*Aloette Cosmetics, Inc. ................................ 5,300 11,925
*Alpha Industries, Inc. ................................. 24,200 154,275
*Alpha Microsystems, Inc. ............................... 19,400 24,250
*Ambar, Inc. ............................................ 20,000 125,000
*Ambers Stores, Inc. .................................... 8,400 14,700
Amcore Financial, Inc. ................................. 14,200 243,175
*Amdura Corp. (New) ..................................... 5,200 9,100
*America Services Group, Inc. ........................... 18,000 104,625
American Bankers Insurance Group, Inc. ................. 68,700 1,356,825
American Biltrite, Inc. ................................ 6,600 167,063
</TABLE>
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*American Consumer Products, Inc. ....................... 9,500 $ 29,688
American Ecology Corp. ................................. 32,900 242,638
American Heritage Life Investment Corp. ................ 47,200 831,900
American Indemnity Financial Corp. ..................... 6,800 71,400
American Maize Products Co. Class A .................... 45,000 1,057,500
American Maize Products Co. Class B .................... 1,100 25,850
American Media, Inc. Class A ........................... 6,500 96,688
*American Medical Electronics, Inc. ..................... 15,100 97,206
*American Mobile Satellite Corp. ........................ 140,000 1,820,000
*American Pacific Corp. ................................. 29,100 261,900
American Recreation Centers, Inc. ...................... 17,100 102,600
*American Savings of Florida, FSB (New) ................. 44,300 714,338
*American Travellers Corp. .............................. 37,600 625,100
*American Vanguard Corp. ................................ 1,800 12,825
*American Waste Services, Inc. Class A .................. 84,700 158,813
*American White Cross, Inc. ............................. 55,200 179,400
*American Woodmark Corp. ................................ 10,010 50,050
Americana Bancorp, Inc. ................................ 8,850 131,644
*Americredit Corp. ...................................... 36,000 216,000
Amerifed Financial Corp. ............................... 10,000 443,750
*Ameriwood Industries International Corp. ............... 12,000 107,250
Ameron, Inc. ........................................... 14,100 458,250
Amfed Financial, Inc. .................................. 20,278 400,491
*Ampal-American Israel Corp.
Class A .............................................. 15,400 111,650
Ampco-Pittsburgh Corp. ................................. 34,500 241,500
*Amrep Corp. (New) ...................................... 29,192 204,344
*Amsco International, Inc. .............................. 102,700 975,650
Amvestors Financial Corp. (New) ........................ 36,400 309,400
Amwest Insurance Group, Inc. ........................... 5,400 63,450
*Analogic Corp. ......................................... 43,200 826,200
Analysis & Technology, Inc. ............................ 7,200 109,800
*Anaren Microwave, Inc. ................................. 15,600 48,750
Anchor Bancorp Wisconsin, Inc. ......................... 11,200 319,200
*Anchor Bancorp, Inc. ................................... 61,400 859,600
Andover Bancorp, Inc. DE ............................... 15,100 218,006
*Andover Togs, Inc. ..................................... 3,600 9,450
Angelica Corp. ......................................... 31,500 799,313
*Apertus Technologies, Inc. ............................. 17,700 174,788
*Applied Extrusion Technologies, Inc. ................... 22,800 239,400
*Applied Immune Sciences, Inc. .......................... 9,200 50,600
*Applied Magnetics Corp. ................................ 111,300 319,988
*Applied Signal Technologies, Inc. ...................... 45,000 188,438
Aquarion Co. ........................................... 23,300 512,600
Arkansas Best Corp. .................................... 56,000 679,000
*Arrow Automotive Industries, Inc. ...................... 10,100 74,488
*Arrow Electronics, Inc. ................................ 22,050 802,069
Arrow Financial Corp. .................................. 4,576 67,496
Artistic Greetings, Inc. ............................... 6,500 26,813
Ashland Coal, Inc. ..................................... 48,900 1,418,100
*Astrosystems, Inc. ..................................... 27,100 108,400
</TABLE>
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*Astrotech International Corp. (New) .................... 35,100 $ 92,138
*Athey Products Corp. ................................... 7,140 49,088
*Atkinson (Guy F.) of California ........................ 53,200 551,950
Atlanfed Bancorp, Inc. ................................. 5,000 74,375
*Atlantic Tele-Network, Inc. ............................ 43,500 367,031
Atlantis Plastics, Inc. ................................ 22,800 136,800
*Atlas Corp. ............................................ 11,600 27,550
*Atwood Oceanics, Inc. .................................. 38,800 506,825
*Audiovox Corp. Class A ................................. 32,500 231,563
Augat, Inc. ............................................ 4,100 70,725
*Aurora Electronics, Inc. ............................... 24,000 109,500
Autoclave Engineers, Inc. .............................. 14,300 124,231
*Autoinfo, Inc. ......................................... 26,000 72,313
*Avatar Holdings, Inc. .................................. 22,400 770,000
Aviall, Inc. (New) ..................................... 115,000 1,049,375
*Avondale Industries, Inc. .............................. 84,100 604,469
*Aydin Corp. ............................................ 17,200 193,500
*Aztar Corp. ............................................ 134,700 808,200
Aztec Manufacturing Co. ................................ 14,900 64,256
*BE Aerospace, Inc. ..................................... 26,300 207,113
BEI Electronics, Inc. .................................. 22,600 117,238
*BF Enterprises, Inc. ................................... 2,300 10,494
*BI, Inc. (New) ......................................... 25,400 122,238
*BMJ Financial Corp. .................................... 6,900 75,900
BSB Bancorp, Inc. ...................................... 14,700 396,900
BT Financial Corp. ..................................... 8,500 242,250
*Bachman Information Systems, Inc. ...................... 52,100 192,119
*Back Bay Restaurant Group, Inc. ........................ 5,700 50,588
Badger Meter, Inc. ..................................... 3,800 91,675
*Badger Paper Mills, Inc. ............................... 6,600 68,475
Bairnco Corp. .......................................... 54,000 236,250
Baker (J), Inc. ........................................ 45,200 745,800
*Baker (Michael) Corp. .................................. 50,000 200,000
*Baldwin Piano & Organ Co. .............................. 20,000 260,000
*Baldwin Technology, Inc. Class A ....................... 70,900 341,206
*Bally Entertainment Corp. .............................. 140,700 826,613
*Baltek Corp. ........................................... 4,500 33,188
Bangor Hydro-Electric Co. .............................. 18,100 185,525
Bank of New Hampshire Corp. ............................ 12,200 244,000
BankNorth Group, Inc. DE (New) ......................... 21,300 508,538
Bankers Corp. .......................................... 37,060 481,780
Bankers First Corp. .................................... 15,200 288,800
*Banner Aerospace, Inc. ................................. 87,500 350,000
*Barry (R.G.) Corp. ..................................... 10,800 197,100
Bassett Furniture Industries, Inc. ..................... 1,000 28,750
Bay State Gas Co. ...................................... 21,100 487,938
Bay View Capital Corp. ................................. 25,100 486,313
*Bayou Steel Corp. Class A .............................. 36,700 121,569
Bearings, Inc. ......................................... 11,400 379,050
Beeba's Creations, Inc. ................................ 7,500 27,188
*Bel Fuse, Inc. ......................................... 16,700 127,338
*Belden & Blake Corp. ................................... 8,200 115,825
Bell Bancorp, Inc. ..................................... 34,200 825,075
*Bell Industries, Inc. .................................. 23,209 510,598
*Ben Franklin Retail Stores, Inc. ....................... 17,300 70,281
*Benson Eyecare Corp. ................................... 16,761 113,137
Berkshire Gas Co. ...................................... 6,100 90,738
*Berlitz International, Inc. (New) ...................... 36,300 456,019
*Bettis Corp. ........................................... 18,000 52,875
Bindley Western Industries, Inc. ....................... 39,500 523,375
Binks Manufacturing Co. ................................ 11,118 215,411
*Bird Corp. ............................................. 12,300 103,781
*Bird Medical Technologies, Inc. ........................ 20,600 74,675
</TABLE>
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*Birtcher Medical Systems, Inc. ......................... 7,700 $ 8,903
*Biscayne Apparel, Inc. ................................. 30,505 75,309
*Bon-Ton Stores, Inc. ................................... 38,800 475,300
*Boomtown, Inc. ......................................... 25,000 312,500
Bowne & Co., Inc. ...................................... 36,000 580,500
Bradlees, Inc. ......................................... 40,700 559,625
*Brauns Fashions Corp. .................................. 22,200 70,763
*Brite Voice Systems, Inc. .............................. 2,000 37,125
*Broadcast International, Inc. .......................... 33,400 183,700
*Brooktree Corp. ........................................ 49,000 428,750
*Brothers Gourmet Coffees, Inc. ......................... 5,000 63,125
*Brown & Sharpe Manufacturing Co. Class A ............... 16,000 92,000
Brush Wellman, Inc. .................................... 69,900 1,057,238
*Buffton Corp. .......................................... 7,200 11,700
*Builders Transport, Inc. ............................... 10,600 119,250
*Bull Run Corp. GA ...................................... 35,400 58,631
*Burlington Coat Factory
Warehouse Corp. ...................................... 83,200 956,800
*Burr Brown Corp. ....................................... 30,800 442,750
*Butler International, Inc. ............................. 23,200 145,000
*Buttrey Food & Drug Stores Co. ......................... 26,900 196,706
*CBL Medical, Inc. ...................................... 1,100 275
CCP Insurance, Inc. .................................... 24,000 354,000
CFX Corp. .............................................. 12,970 230,218
CPB, Inc. .............................................. 16,700 384,100
CPI Corp. .............................................. 88,100 1,717,950
CRSS, Inc. ............................................. 47,900 526,900
*CSF Holdings, Inc. Class B ............................. 31,600 738,650
*CSP, Inc. .............................................. 9,300 79,050
*CSS Industries, Inc. ................................... 4,900 79,625
*CTL Credit, Inc. ....................................... 11,300 103,113
CTS Corp. .............................................. 18,500 536,500
*CU Bancorp ............................................. 16,300 118,175
*Cablemaxx, Inc. ........................................ 30,000 155,625
Cadmus Communications Corp. ............................ 10,700 169,863
California Financial Holding Corp. ..................... 16,330 216,373
California Water Service Co. ........................... 4,800 148,800
Calmat Co. ............................................. 80,300 1,525,700
*Canonie Environmental Services Corp. ................... 18,300 96,075
Cape Cod Bank & Trust Co. .............................. 3,600 90,900
Capital Re Corp. ....................................... 89,000 2,002,500
Capitol Bancorp, Ltd. .................................. 800 7,100
*Capsure Holdings Corp. ................................. 54,500 728,938
*Care Group, Inc. ....................................... 28,200 111,919
*Carlisle Plastics, Inc. Class A ........................ 60,400 245,375
*Carmike Cinemas, Inc. Class A .......................... 18,000 405,000
Carolina First Corp. ................................... 21,050 284,175
*Carolina Freight Corp. ................................. 23,500 220,313
Carpenter Technology Corp. ............................. 16,500 886,875
*Carr-Gottstein Foods Co. ............................... 84,500 623,188
*Carver Corp. WA ........................................ 12,900 39,506
Cash America International, Inc. ....................... 15,000 129,375
*Castle & Cooke Homes, Inc. ............................. 102,000 1,606,500
Castle (A.M.) & Co. .................................... 19,650 255,450
*Catherines Stores Corp. ................................ 26,000 201,500
*Cell Genesys, Inc. ..................................... 24,000 220,500
Cenfed Financial Corp. ................................. 14,400 239,400
Cenit Bancorp, Inc. .................................... 3,900 88,725
*Centigram Communications Corp. ......................... 15,500 306,125
Central & Southern Holding Co. ......................... 14,700 93,713
Central Hudson Gas & Electric Corp. .................... 6,200 150,350
Central Reserve Life Corp. ............................. 14,300 116,188
</TABLE>
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*Central Sprinkler Corp. ................................ 17,200 $ 172,000
Centura Banks, Inc. .................................... 25,000 537,500
*Cephalon, Inc. ......................................... 26,200 219,425
*Ceradyne, Inc. ......................................... 11,100 31,219
*Champion Parts, Inc. ................................... 12,100 43,106
Chaparral Steel Co. .................................... 149,500 1,027,813
*Chart House Enterprises, Inc. .......................... 42,300 438,863
Charter One Financial, Inc. ............................ 73,700 1,368,056
Charter Power Systems, Inc. ............................ 12,000 208,500
*Check Technology Corp. ................................. 7,600 39,900
*Checkers Drive-In Restaurant, Inc. ..................... 20,600 61,156
*Chemfab Corp. .......................................... 10,700 141,775
*Chempower, Inc. ........................................ 7,300 29,656
*Cherry Corp. Class A ................................... 10,000 142,500
*Cherry Corp. Class B ................................... 10,000 145,000
Chesapeake Utilities Corp. ............................. 10,800 136,350
Chester Valley Bancorp ................................. 551 11,158
Chicago Rivet & Machine Co. ............................ 1,100 29,150
*Chips & Technologies, Inc. ............................. 5,700 39,900
Chittenden Corp. ....................................... 19,725 401,897
*Chock Full O' Nuts Corp. ............................... 36,404 218,424
*Cimco, Inc. ............................................ 10,100 51,763
*Cincinnati Microwave, Inc. ............................. 22,000 99,000
*Circon Corp. ........................................... 26,500 318,000
*Citation Insurance Group ............................... 21,500 84,656
Citfed Bancorp, Inc. ................................... 3,900 107,738
Citizens Bancorp MD .................................... 15,100 403,925
Citizens Banking Corp. ................................. 3,000 82,125
City National Corp. .................................... 98,500 935,750
*Civic Bancorp .......................................... 14,900 87,538
*Clean Harbors, Inc. .................................... 32,100 194,606
*Cliffs Drilling Co. .................................... 14,700 174,563
*Clothestime, Inc. ...................................... 88,000 352,000
Co-Operative Bank of Concord, MA ....................... 20,400 277,950
*Coast Distribution System .............................. 17,600 140,800
*Coast Savings Financial, Inc. .......................... 66,900 928,238
*Cobra Electronic Corp. ................................. 21,400 41,463
Coca Cola Bottling Co. Consolidated .................... 9,700 236,438
*Code Alarm, Inc. ....................................... 4,500 47,813
Coeur d'Alene Mines Corp. ID ........................... 4,200 69,300
*Coherent Communications Systems Corp. .................. 7,734 116,977
*Coherent, Inc. ......................................... 36,800 533,600
*Coho Energy, Inc. ...................................... 37,500 187,500
Collective Bancorp, Inc. ............................... 16,600 291,538
*Collins Industries, Inc. ............................... 12,500 23,438
Colonial Gas Co. ....................................... 24,400 469,700
*Columbia First Bank, A Federal Savings Bank ............ 9,900 367,538
Commerce Bancorp, Inc. ................................. 12,000 213,000
*Commercial Federal Corp. ............................... 43,800 854,100
Commercial Metals Co. .................................. 17,200 430,000
Commonwealth Energy System ............................. 30,500 1,090,375
*Communication Cable, Inc. .............................. 14,000 173,250
Community Bankshares, Inc. NH .......................... 5,900 78,913
Community First Bankshares, Inc. ....................... 13,000 178,750
*Community Psychiatric Centers .......................... 12,000 120,000
*CompUSA, Inc. .......................................... 34,000 467,500
*Computer Horizons Corp. ................................ 1,500 22,313
Computer Task Group, Inc. .............................. 21,900 175,200
*Comshare, Inc. ......................................... 9,500 115,188
*Comstock Resources, Inc. ............................... 14,000 43,313
</TABLE>
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<TABLE>
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*Comtech Telecommunications Corp. (New) ................. 8,700 $ 28,819
*Concord Fabrics, Inc. Class A .......................... 7,400 61,975
*Condor Services, Inc. .................................. 4,500 11,250
Connecticut Energy Corp. ............................... 9,800 191,100
Connecticut Natural Gas Corp. .......................... 18,600 420,825
Connecticut Water Services, Inc. ....................... 9,700 227,950
Consumers Water Co. .................................... 27,600 448,500
*Continental Can, Inc. DE ............................... 10,400 232,700
Continental Homes Holding Corp. ........................ 27,848 379,429
*Continental Medical Systems, Inc. ...................... 131,600 937,650
*Control Data Systems, Inc. ............................. 81,800 490,800
*Convex Computer Corp. .................................. 74,300 455,088
Core Industries, Inc. .................................. 15,400 157,850
*Cornerstone Financial Corp. ............................ 7,000 43,750
*Cortech, Inc. .......................................... 18,900 57,881
Courier Corp. .......................................... 6,800 120,700
*Craig Corp. ............................................ 15,900 157,013
*Cray Computer Corp. .................................... 11,400 15,675
*Cray Research, Inc. .................................... 12,000 220,500
*Criticare Systems, Inc. ................................ 23,200 50,025
*Crosscomm Corp. ........................................ 29,200 275,575
*Crown Books Corp. ...................................... 18,200 304,850
*Crown Central Petroleum Corp. Class A .................. 14,600 219,000
*Crown Central Petroleum Corp. Class B .................. 25,700 353,375
*Crown-Andersen, Inc. ................................... 4,300 30,100
*Cruise America, Inc. ................................... 29,100 89,119
*Crystal Brands, Inc. ................................... 19,500 4,266
Cubic Corp. ............................................ 30,600 535,500
*Culbro Corp. ........................................... 15,400 213,675
Cullen Frost Bankers, Inc. ............................. 12,300 385,913
Curtiss-Wright Corp. ................................... 18,000 625,500
*Customedix Corp. (New) ................................. 11,300 31,075
*Cycare Systems, Inc. ................................... 14,800 173,900
*Cytocare, Inc. ......................................... 14,500 78,844
*DBA Systems, Inc. ...................................... 14,400 111,600
*DS Bancor, Inc. ........................................ 9,500 219,688
*DVI, Inc. .............................................. 11,800 120,950
*Dairy Mart Convenience Stores, Inc. Class A ............ 9,000 34,313
Daniel Industries, Inc. ................................ 43,500 549,188
*Danskin, Inc. .......................................... 29,600 111,000
Dart Group Corp. Class A ............................... 4,800 400,800
*Data General Corp. ..................................... 129,200 1,388,900
*Data I/O Corp. ......................................... 25,900 111,694
*Data Race, Inc. ........................................ 16,100 70,438
*Data Switch Corp. ...................................... 27,500 63,594
*Data Systems & Software, Inc. .......................... 15,300 83,194
*Data Translation, Inc. ................................. 4,500 69,188
*Dataflex Corp. ......................................... 19,800 181,913
*Datakey, Inc. .......................................... 800 2,900
*Dataram Corp. .......................................... 13,100 90,063
*Datron Systems, Inc. ................................... 9,200 104,650
*Datum, Inc. ............................................ 8,800 78,100
*Davis Water & Waste Industries, Inc. ................... 11,700 97,988
*Daxor Corp. ............................................ 17,100 100,463
*De Soto, Inc. .......................................... 16,800 65,100
DeKalb Genetics Corp. Class B .......................... 25,000 715,625
Deb Shops, Inc. ........................................ 75,300 400,031
*Defiance, Inc. ......................................... 15,600 110,175
Del Laboratories, Inc. ................................. 4,000 141,000
*Delaware Ostego Corp. .................................. 1,050 11,025
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Delchamps, Inc. ........................................ 42,300 $ 687,375
Delta Woodside Industries, Inc. (New) .................. 132,200 1,288,950
Deposit Guaranty Corp. ................................. 1,000 26,625
*Designatronics, Inc. ................................... 7,300 33,763
*Detection Systems, Inc. ................................ 9,400 76,375
*Detrex Corp. ........................................... 2,800 34,125
*Devcon International Corp. ............................. 15,300 128,138
Dexter Corp. CT ........................................ 12,000 247,500
*Dianon Systems, Inc. ................................... 12,400 48,825
*Digital Systems International, Inc. .................... 31,100 375,144
*Dime Bancorp, Inc. ..................................... 92,300 749,938
*Dime Financial Corp. ................................... 16,700 133,600
Dixie Yarns, Inc. ...................................... 42,000 296,625
Donegal Group, Inc. .................................... 19,400 235,225
*Doskocil Companies, Inc. ............................... 63,200 442,400
*Dotronix, Inc. ......................................... 1,000 1,313
Douglas & Lomason Co. .................................. 14,400 219,600
Downey Savings & Loan Association ...................... 57,700 894,350
*Drug Emporium, Inc. .................................... 46,400 226,200
*Dual Drilling Co. ...................................... 54,900 511,256
*Duplex Products, Inc. .................................. 26,900 235,375
Dyersburg Corp. ........................................ 19,800 118,800
Dynamics Corp. of America .............................. 13,900 253,675
*Dynamics Research Corp. ................................ 19,740 57,986
*Dynasty Classics Corp. ................................. 2,300 115
*Dynatech Corp. ......................................... 28,900 787,525
*E for M Corp. .......................................... 17,300 80,013
E'town Corp. ........................................... 21,600 548,100
*E-Z-Em, Inc. Class A ................................... 20,500 99,938
*E-Z-Em, Inc. Class B ................................... 156 683
*EA Engineering Science &
Technology, Inc. ..................................... 10,125 75,938
*ECC International Corp. ................................ 13,200 133,650
EMC Insurance Group, Inc. .............................. 33,600 336,000
*ESCO Electronics Corp. Trust Receipts .................. 63,400 499,275
Eagle Bancshares, Inc. ................................. 4,000 80,500
Eagle Financial Corp. .................................. 9,670 188,565
*Eagle Food Centers, Inc. ............................... 62,100 124,200
Eastern Bancorp, Inc. .................................. 8,300 144,213
Eastern Co. ............................................ 9,700 128,525
*Eastex Energy, Inc. .................................... 22,500 50,625
*Ecoscience Corp. ....................................... 29,000 74,313
*Edisto Resources Corp. (New) ........................... 100,200 726,450
Edo Corp. .............................................. 18,600 62,775
*Egghead, Inc. .......................................... 87,100 903,663
*Ekco Group, Inc. ....................................... 65,300 432,613
Elco Industries, Inc. .................................. 17,100 290,700
Eldorado Bancorp CA .................................... 9,400 94,000
*Electric & Gas Technology, Inc. ........................ 3,000 5,906
*Electro Rent Corp. ..................................... 26,000 438,750
*Electro Scientific Industries, Inc. .................... 20,600 401,700
*Electromagnetic Sciences, Inc. ......................... 24,300 280,969
*Emcon .................................................. 38,000 171,000
*Emisphere Technologies, Inc. ........................... 17,000 48,875
Empire District Electric Co. ........................... 42,200 659,375
*Employee Benefit Plans, Inc. ........................... 23,000 230,000
*Emulex Corp. ........................................... 11,750 132,188
Energen Corp. .......................................... 14,700 294,000
Energynorth, Inc. ...................................... 10,400 171,600
Engle Homes, Inc. ...................................... 18,600 141,825
Enhance Financial Services Group, Inc. ................. 64,500 1,096,500
</TABLE>
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<TABLE>
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<S> <C> <C>
*Environmental Elements Corp. ........................... 17,200 $ 60,200
*Enviroq Corp. .......................................... 12,100 37,056
*Equinox Systems, Inc. .................................. 10,000 62,500
*Equitrac Corp. ......................................... 5,800 26,463
*Equity Oil Co. ......................................... 44,200 209,950
Espey Manufacturing & Electronics Corp. ................ 2,900 38,063
Essex County Gas Co. ................................... 5,300 131,175
*Esterline Technologies Corp. ........................... 23,100 268,538
*Evans & Sutherland Computer Corp. ...................... 51,000 720,375
*Evans, Inc. ............................................ 17,100 47,025
Evergreen Bancorp, Inc. DE ............................. 15,700 223,725
*Evergreen Resources, Inc. .............................. 8,900 58,963
Excel Industries, Inc. ................................. 16,200 230,850
*Executone Information Systems, Inc. .................... 78,600 257,906
*Express America Holdings Corp. ......................... 19,400 78,813
*F & M Distributors, Inc. ............................... 19,700 33,244
*FDP Corp. .............................................. 7,000 45,500
*FPA Corp. .............................................. 20,100 25,125
*Fabri-Centers of America, Inc. ......................... 32,800 479,700
*Failure Group, Inc. .................................... 23,200 104,400
*Fairchild Corp. Class A ................................ 72,200 234,650
Family Bancorp ......................................... 9,300 159,263
Fansteel, Inc. ......................................... 29,200 189,800
*Farr Co. ............................................... 13,000 86,938
Fay's, Inc. ............................................ 18,000 112,500
Federal Screw Works .................................... 2,000 39,500
*Fieldcrest Cannon, Inc. ................................ 12,600 315,000
*Fifty-Off Stores, Inc. ................................. 7,000 30,625
Figgie International, Inc. Class A ..................... 59,800 403,650
Figgie International, Inc. Class B ..................... 17,700 112,838
*Financial Benefit Group, Inc. Class A .................. 37,000 97,125
First American Financial Corp. ......................... 66,400 1,245,000
*First Cash, Inc. ....................................... 13,700 53,088
First Citizens Bancshares, Inc. NC ..................... 16,300 717,200
*First Citizens Financial Corp. ......................... 7,849 109,886
*First Commercial Bancorp, Inc. ......................... 15,100 14,156
First Essex Bancorp .................................... 21,600 159,300
*First Federal Alabama FSB Jasper ....................... 2,500 35,156
First Federal Capital Corp. ............................ 18,280 269,630
First Financial Corp. of Western Maryland .............. 6,700 136,513
First Financial Holdings, Inc. ......................... 18,900 264,600
First Indiana Corp. .................................... 25,833 384,266
First Liberty Financial Corp. .......................... 10,300 135,188
First Mississippi Corp. ................................ 40,100 887,213
First Northern Savings Bank S.A. Green Bay, WI ......... 10,800 141,750
*First Republic Bancorp, Inc. ........................... 27,953 293,507
First State Financial Services, Inc. ................... 10,300 72,100
*FirstFed Financial Corp. DE ............................ 38,200 477,500
FirstFed Michigan Corp. ................................ 67,150 1,351,394
Firstfed Bancshares, Inc. .............................. 15,000 260,625
*Fischer Imaging Corp. .................................. 17,300 103,800
Flexsteel Industries, Inc. ............................. 16,500 187,688
Florida Public Utilities Co. ........................... 5,100 82,875
Florida Rock Industries, Inc. .......................... 49,800 1,263,675
*Foodarama Supermarkets, Inc. ........................... 2,400 27,300
Foothill Group, Inc. Class A ........................... 44,500 678,625
Foothill Independent Bancorp ........................... 11,000 93,500
*Forschner Group, Inc. .................................. 11,700 141,131
*Forstmann & Co., Inc. .................................. 26,400 148,500
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*Foster (L.B.) Co. Class A .............................. 35,400 $ 119,475
*Foxmeyer Health Corp. .................................. 106,987 1,644,925
Freds, Inc. Class A .................................... 63,500 595,313
Fremont General Corp. .................................. 83,200 1,924,000
*Fretter, Inc. (New) .................................... 19,500 57,281
*Freymiller Trucking, Inc. .............................. 4,500 10,969
Friedman Industries, Inc. .............................. 19,672 73,770
Frisch's Restaurants, Inc. ............................. 21,112 213,759
Furon Co. .............................................. 9,900 193,050
*Future Now, Inc. ....................................... 16,700 133,600
*G-III Apparel Group, Ltd. .............................. 23,000 37,375
GBC Bancorp ............................................ 22,600 276,850
*GBC Technologies, Inc. ................................. 30,000 226,875
*GNI Group, Inc. ........................................ 19,800 89,100
*GZA Geoenvironmental
Technologies, Inc. ................................... 12,700 53,975
*Galileo Electro-Optics Corp. ........................... 23,200 92,800
Galveston-Houston Co. .................................. 43,000 69,875
Gamma Biologicals, Inc. ................................ 13,800 59,513
*Gantos, Inc. ........................................... 8,500 16,734
Garan, Inc. ............................................ 18,200 307,125
*Garnet Resources Corp. ................................. 50,000 187,500
*Gehl Co. ............................................... 22,100 143,650
General Host Corp. ..................................... 76,310 391,089
General Housewares Corp. ............................... 11,600 185,600
General Microwave Corp. ................................ 400 3,250
General Parametrics Corp. .............................. 12,200 19,825
General Physics Corp. .................................. 22,900 62,975
*Genesco, Inc. .......................................... 138,000 258,750
*Genetic Therapy, Inc. .................................. 15,300 112,838
*Genicom Corp. .......................................... 35,000 70,000
*Genlyte Group, Inc. .................................... 75,700 307,531
*Genus, Inc. ............................................ 25,800 169,313
Geodynamics Corp. ...................................... 7,900 60,238
*Gerrity Oil and Gas Corp. .............................. 49,800 261,450
*Giant Group, Ltd. ...................................... 18,600 139,500
*Giant Industries, Inc. ................................. 42,300 348,975
*Gibraltar Packaging Group, Inc. ........................ 28,400 205,900
Gibson Greetings, Inc. ................................. 56,500 748,625
*Giga-Tronics, Inc. ..................................... 5,300 31,138
Gilbert Associates, Inc. Class A ....................... 29,100 405,581
*Gish Biomedical, Inc. .................................. 17,500 105,000
Gleason Corp. .......................................... 17,700 258,863
*Glycomed, Inc. ......................................... 48,100 174,363
Golden Poultry Co., Inc. ............................... 69,150 427,866
*Good Guys, Inc. ........................................ 24,000 291,000
*Gottschalks, Inc. ...................................... 46,100 380,325
*Government Technology Services, Inc. ................... 500 6,438
*Gradco Systems, Inc. ................................... 60,000 221,250
*Graham Corp. ........................................... 2,300 24,869
*Graham-Field Health Products, Inc. ..................... 46,500 151,125
*Grand Casinos, Inc. .................................... 18,000 252,000
Granite Construction, Inc. ............................. 22,400 473,200
Granite State Bankshares, Inc. ......................... 7,300 84,406
*Grant Geophysical, Inc. ................................ 21,600 54,675
Graphic Industries, Inc. ............................... 34,200 342,000
Great Bay Bankshares, Inc. ............................. 8,100 152,888
*Great Country Bank of Ansonia, CT ...................... 16,900 41,194
*Great Lakes Bancorp, A Federal Savings Bank ............ 21,200 520,725
*Greater New York Savings Bank NY ....................... 46,900 392,788
</TABLE>
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Green (A.P.) Industries, Inc. .......................... 13,700 $ 262,013
*Greenman Brothers, Inc. ................................ 18,700 112,200
Greiner Engineering, Inc. .............................. 25,000 312,500
Grenada Sunburst Systems Corp. ......................... 20,600 594,825
*Greyhound Lines, Inc. .................................. 53,200 116,375
*Grossmans, Inc. ........................................ 92,300 245,172
*Ground Round Restaurants, Inc. ......................... 62,400 421,200
*Groundwater Technology, Inc. ........................... 24,600 332,100
Grovebank for Savings .................................. 4,400 96,250
Guaranty National Corp. (New) .......................... 37,200 581,250
*Guardian Bancorp Los Angeles, CA ....................... 11,100 6,244
Guilford Mills, Inc. ................................... 78,100 1,571,763
*Gulfmark International, Inc. ........................... 11,100 190,088
*Gundle Environmental Systems, Inc. ..................... 56,700 297,675
HF Financial Corp. ..................................... 5,100 127,500
*HPSC, Inc. ............................................. 18,500 65,906
*Hadco Corp. ............................................ 43,900 384,125
*Hallwood Group, Inc. ................................... 8,300 17,638
*Hamburger Hamlet Restaurants, Inc. ..................... 14,800 75,850
*Hampshire Group, Ltd. .................................. 5,800 39,150
*Hampton Industries, Inc. ............................... 9,790 52,621
*Handex Environmental Recovery, Inc. .................... 23,800 174,038
Handleman Co. .......................................... 193,300 2,222,950
*Hanger Orthopedic Group, Inc. .......................... 27,900 83,700
*Harding Associates, Inc. ............................... 15,500 106,563
Harleysville Group, Inc. ............................... 45,300 1,036,238
*Harlyn Products, Inc. .................................. 22,200 92,963
Hastings Manufacturing Co. ............................. 850 19,125
Hathaway Corp. ......................................... 15,200 48,450
*Hauser Chemical Research, Inc. ......................... 37,700 228,556
Haverty Furniture Company, Inc. ........................ 50,000 675,000
Hawkeye Bancorp ........................................ 12,000 214,500
*Hawthorne Financial Corp. .............................. 8,700 47,306
Health Images, Inc. .................................... 41,500 259,375
*Health O Meter Products, Inc. .......................... 19,600 75,950
*Health Risk Management, Inc. ........................... 13,600 91,800
Health-Mor, Inc. ....................................... 9,000 141,750
Heico Corp. ............................................ 8,100 77,963
*Hein-Werner Corp. ...................................... 8,135 40,675
*Heist (C.H.) Corp. ..................................... 16,800 119,700
*Herley Industries, Inc. ................................ 15,400 54,863
*Hexcel Corp. ........................................... 11,100 47,175
*Hi-Lo Automotive, Inc. ................................. 69,300 710,325
*Hi-Shear Industries, Inc. .............................. 20,100 97,988
*Hitox Corp. ............................................ 9,100 21,613
*Holiday RV Superstores, Inc. ........................... 3,600 5,738
*Hologic, Inc. .......................................... 9,800 130,463
*Holson Burnes Group, Inc. .............................. 17,000 111,563
Home Federal Bancorp ................................... 7,100 154,425
Home Federal Financial Corp. ........................... 5,566 84,882
Home Port Bancorp, Inc. ................................ 6,500 84,500
*Homecorp, Inc. ......................................... 1,900 21,138
*Homeowners Group, Inc. ................................. 19,700 11,081
*Hometown Bancorp., Inc. ................................ 800 8,200
Hooper Holmes, Inc. .................................... 35,400 221,250
*Hospital Staffing Services, Inc. ....................... 20,200 32,825
*Hosposable Products, Inc. .............................. 600 4,800
*Hovnanian Enterprises, Inc. Class A .................... 53,284 299,723
Howell Corp. ........................................... 17,400 226,200
Howell Industries, Inc. ................................ 1,600 43,800
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Hudson Foods, Inc. Class A ............................. 25,000 $ 565,625
*Hudson General Corp. ................................... 2,500 43,594
Hughes Supply, Inc. .................................... 38,200 678,050
*Hurco Companies, Inc. .................................. 9,700 38,800
*Hyde Athletic Industries, Inc. Class A ................. 9,700 50,319
*Hyde Athletic Industries, Inc. Class B ................. 13,300 68,163
ICN Pharmaceuticals, Inc. .............................. 8,077 180,723
*ICO, Inc. .............................................. 37,300 184,169
*IFR Systems, Inc. ...................................... 17,000 161,500
IWC Resources Corp. .................................... 5,400 105,300
*Immulogic Pharmaceutical Corp. ......................... 44,500 339,313
*Imo Industries, Inc. ................................... 20,900 206,388
*Imperial Bancorp ....................................... 43,115 598,221
Imperial Holly Corp. ................................... 37,200 325,500
*In Home Health, Inc. ................................... 17,200 39,775
*Inacom Corp. ........................................... 32,500 316,875
*Inco Homes Corp. ....................................... 14,140 17,675
*Incstar Corp. .......................................... 17,200 36,550
Independence Holding Co. (New) ......................... 56,200 172,113
Independent Bank Corp. MA .............................. 61,200 325,125
Independent Bank East .................................. 8,000 193,000
Independent Insurance Group, Inc. ...................... 25,000 262,500
Indiana Federal Corp. .................................. 14,650 225,244
*Indresco, Inc. ......................................... 88,100 1,112,263
Industrial Acoustics Co., Inc. ......................... 700 11,113
*Information Resources, Inc. ............................ 4,500 66,375
*Infrasonics, Inc. ...................................... 90,000 326,250
Ingles Market, Inc. Class A ............................ 15,200 153,900
*Inmac Corp. ............................................ 32,000 162,000
Insituform East, Inc. .................................. 15,000 42,188
Insteel Industries, Inc. ............................... 29,800 219,775
*Integrated Waste Services, Inc. ........................ 29,700 81,675
*Intellicall, Inc. ...................................... 26,900 104,238
Inter-Regional Financial Group, Inc. ................... 27,500 642,813
Interface Systems, Inc. ................................ 14,900 127,581
Interface, Inc. Class A ................................ 84,300 937,838
*Intergraph Corp. ....................................... 161,100 1,288,800
Intermetrics, Inc. ..................................... 14,100 70,500
International Aluminum Corp. ........................... 8,000 241,000
*International Jensen, Inc. ............................. 18,000 166,500
International Multifoods Corp. ......................... 66,900 1,070,400
*International Rectifier Corp. .......................... 25,600 556,800
International Research &
Development Corp. .................................... 18,600 38,944
International Shipholding Corp. ........................ 19,000 399,000
*International Technology Corp. ......................... 120,800 377,500
*International Thoroughbred
Breeders, Inc. ....................................... 10,400 33,800
*International Totalizator Systems ...................... 14,800 51,800
*Interphase Corp. ....................................... 15,200 179,550
Interstate Bakeries Corp. DE (New) ..................... 114,500 1,459,875
Interstate Power Co. ................................... 15,900 345,825
*Intertan, Inc. ......................................... 34,700 273,263
Investors Title Co. .................................... 8,700 64,163
*Iomega Corp. ........................................... 64,875 216,926
*Ithaca Bancorp, Inc. ................................... 6,800 129,200
*J & J Snack Foods Corp. ................................ 49,700 599,506
*JB's Restaurants, Inc. ................................. 16,800 73,500
JSB Financial, Inc. .................................... 34,900 807,063
Jackpot Enterprises, Inc. .............................. 29,500 239,688
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Jaclyn, Inc. ........................................... 8,800 $ 52,800
*Jaco Electronics, Inc. ................................. 6,100 41,175
*Jacobs Jay, Inc. ....................................... 31,300 55,753
Jacobson Stores, Inc. .................................. 20,700 260,044
*Jamesway Corp. ......................................... 19,500 7,313
*Jan Bell Marketing, Inc. ............................... 149,900 740,131
*Jefferson Savings Bancorp, Inc. ........................ 20,000 315,000
Johnston Industries, Inc. .............................. 5,100 52,275
*Just Toys, Inc. ........................................ 14,000 47,250
*K-Tron International, Inc. ............................. 6,300 70,875
*KLLM Transport Services, Inc. .......................... 15,200 237,500
*Kaiser Resources, Inc. ................................. 31,100 233,250
Kaman Corp. Class A .................................... 60,700 622,175
Keithley Instruments, Inc. ............................. 500 4,938
Kenan Transport Co. .................................... 200 3,650
*Kentucky Medical Insurance Co. Class A ................. 6,500 39,813
*Kerr Group, Inc. ....................................... 7,900 66,163
*Ketema, Inc. ........................................... 7,900 116,525
*Kevlin Corp. ........................................... 700 1,641
*Kewaunee Scientific Corp. .............................. 700 1,881
*Key Production Co., Inc. ............................... 36,800 181,700
*Key Tronic Corp. ....................................... 26,500 281,563
*Kinder-Care Learning Centers, Inc. (New) ............... 28,200 368,363
Kinetic Concepts, Inc. ................................. 3,900 22,913
*Kirschner Medical Corp. ................................ 9,500 99,156
*Kit Manufacturing Co. .................................. 2,600 29,575
*Knogo Corp. ............................................ 17,300 324,375
*Krystal Co. ............................................ 2,000 21,000
LCS Industries, Inc. ................................... 6,000 47,250
LDI Corp. .............................................. 24,100 114,475
LSI Industries, Inc. ................................... 8,820 94,815
*LTX Corp. .............................................. 30,700 134,313
*Laclede Steel Co. ...................................... 8,700 88,088
Ladd Furniture, Inc. ................................... 79,400 471,438
*Lafayette American Bank & Trust Co. .................... 1,050 6,169
Lakeland First Financial Corp. ......................... 7,249 134,107
*Lamson & Sessions Co. .................................. 28,300 159,188
*Lancer Corp. ........................................... 4,800 86,400
*Laser Precision Corp. .................................. 15,500 123,516
*Laserscope ............................................. 40,000 180,000
Lawyers Title Corp. .................................... 30,300 340,875
*Layne, Inc. ............................................ 26,300 182,456
*Lazare Kaplan International, Inc. ...................... 11,300 108,763
*Leisure Concepts, Inc. ................................. 17,000 68,000
Lennar Corp. ........................................... 73,100 1,142,188
Lexington Savings Bank MA .............................. 6,400 97,600
Liberty Bancorp, Inc. .................................. 50,100 1,496,738
*Lifeline Systems, Inc. ................................. 19,500 114,563
*Lindal Cedar Homes, Inc. ............................... 8,000 28,000
Lindberg Corp. ......................................... 13,600 91,800
*Liposome Co., Inc. ..................................... 77,700 709,013
*Littlefield, Adams & Co. ............................... 12,000 73,500
*Liuski International, Inc. ............................. 10,900 52,456
*Live Entertainment, Inc. ............................... 33,700 23,085
*Lomas Financial Corp. .................................. 29,500 106,938
*Longhorn Steaks, Inc. .................................. 19,500 170,625
Loyola Capital Corp. ................................... 45,700 822,600
Lufkin Industries, Inc. ................................ 23,900 391,363
*Lumex, Inc. ............................................ 14,800 188,700
*Luria & Son, Inc. ...................................... 18,700 135,575
*Lynch Corp. ............................................ 2,300 67,850
*M/A-COM, Inc. .......................................... 46,800 292,500
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*M/A/R/C, Inc. .......................................... 3,335 $ 39,603
MAF Bancorp, Inc. ...................................... 17,600 327,800
MDC Holdings, Inc. ..................................... 75,788 388,414
*MDT Corp. .............................................. 23,300 147,081
*MHI Group, Inc. (New) .................................. 12,500 92,188
*MI Schottenstein Homes, Inc. ........................... 26,100 202,275
MMI Medical, Inc. ...................................... 12,200 48,800
MTS Systems Corp. ...................................... 13,200 295,350
Madison Gas & Electric Co. ............................. 6,600 213,675
Magna Group, Inc. ...................................... 18,700 341,275
Maine Public Service Co. ............................... 5,500 123,063
Marble Financial Corp. ................................. 11,100 120,019
*Marietta Corp. ......................................... 12,300 102,244
*Maritrans, Inc. ........................................ 43,300 243,563
*Mark VII, Inc. ......................................... 9,900 102,713
Marsh Supermarkets, Inc. Class A ....................... 14,100 151,575
Marsh Supermarkets, Inc. Class B ....................... 16,000 160,000
Maryland Federal Bancorp ............................... 10,700 251,450
Massbank Corp. Reading, MA ............................. 9,600 208,800
*Mastec, Inc. ........................................... 12,700 100,013
*Matec Corp. DE ......................................... 5,200 20,800
*Matlack Systems, Inc. .................................. 18,000 171,000
*Matrix Service Co. ..................................... 33,500 232,406
*Maverick Tube Corp. .................................... 22,000 202,125
*Maxtor Corp. ........................................... 38,600 154,400
*Maxwell Laboratories, Inc. ............................. 8,730 68,749
*Maxxam, Inc. ........................................... 31,200 1,033,500
*Maxxim Medical, Inc. ................................... 48,100 571,188
*Maynard Oil Co. ........................................ 17,400 88,088
McGrath Rent Corp. ..................................... 27,300 440,213
McRae Industries, Inc. Class A ......................... 1,000 7,375
*Medalist Industries, Inc. .............................. 13,700 77,063
*Medalliance, Inc. ...................................... 30,900 58,903
*Medchem Products, Inc. ................................. 47,800 262,900
Medex, Inc. ............................................ 27,500 436,563
*Media Logic, Inc. ...................................... 17,600 41,800
*Medical Diagnostics, Inc. .............................. 11,900 52,063
*Medical Graphics Corp. ................................. 3,200 18,400
Mediq, Inc. ............................................ 5,700 20,663
*Melamine Chemicals, Inc. ............................... 17,100 175,275
*Mem Co., Inc. .......................................... 5,300 23,188
*Mental Health Management, Inc. ......................... 712 2,314
Merchants Group, Inc. .................................. 11,400 161,025
Meridian Insurance Group, Inc. ......................... 24,100 253,050
*Merisel, Inc. .......................................... 23,600 200,600
Merrimac Industries, Inc. .............................. 5,700 45,956
*Mesa Airlines, Inc. .................................... 45,300 416,194
*Mestek, Inc. ........................................... 13,500 130,781
Metro Bancshares, Inc. ................................. 15,100 345,413
Metrobank .............................................. 6,600 115,500
*Michael Anthony Jewelers, Inc. ......................... 32,800 217,300
Michael Foods, Inc. .................................... 65,900 683,713
Mickelberry Communications, Inc. ....................... 20,100 64,069
*Micro Healthsystems, Inc. .............................. 17,900 63,769
*Microcom, Inc. ......................................... 13,800 138,000
*Micronics Computers, Inc. .............................. 44,200 209,950
*Micropolis Corp. ....................................... 51,300 455,288
Mid America Banccorp ................................... 22,373 399,917
*MidAmerican Waste System, Inc. ......................... 89,500 604,125
MidSouth Insurance Co. ................................. 3,000 27,375
Midconn Bank Kensington, CT ............................ 6,200 82,925
Middlesex Water Co. .................................... 13,100 235,800
Midland Co. ............................................ 5,400 211,275
*Miller Building Systems, Inc. .......................... 7,400 25,900
*Miltope Group, Inc. .................................... 20,800 94,900
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*Milwaukee Insurance Group, Inc. ........................ 13,200 $ 122,100
Mine Safety Appliances Co. ............................. 21,200 932,800
*Mobley Environmental Services, Inc. Class A ............ 10,500 18,375
Monarch Machine Tool Co. ............................... 13,400 122,275
Money Store, Inc. ...................................... 18,750 328,125
*Moog, Inc. Class A ..................................... 14,000 119,000
*Moog, Inc. Class B ..................................... 1,800 24,975
*Moore Products Co. ..................................... 3,700 59,663
*Morgan Products, Ltd. .................................. 29,800 182,525
*Motts Holdings, Inc. ................................... 4,600 18,975
Mueller (Paul) Co. ..................................... 2,100 65,888
*Mueller Industries, Inc. ............................... 28,300 845,463
*Multi Color Corp. ...................................... 6,100 44,988
*Munsingwear, Inc. (New) ................................ 7,200 49,500
Myers (L.E.) Co. Group ................................. 7,600 88,350
NAC RE Corp. ........................................... 17,200 438,600
*NAI Technologies, Inc. ................................. 22,600 64,975
NBB Bancorp, Inc. ...................................... 18,200 869,050
NBT Bancorp ............................................ 5,460 84,630
NFS Financial Corp. .................................... 9,800 205,800
NS Bancorp, Inc. ....................................... 25,400 661,988
*NS Group, Inc. ......................................... 49,600 241,800
*NSA International, Inc. ................................ 5,600 28,000
NSC Corp. .............................................. 11,200 36,400
NUI Corp. .............................................. 24,600 353,625
NYMAGIC, Inc. .......................................... 56,300 921,913
*Nahama Weagant Energy Co. (New) ........................ 8,000 1,250
*Namic USA Corp. ........................................ 29,000 536,500
*Nantucket Industries, Inc. ............................. 6,500 37,375
*Napco Security Systems, Inc. ........................... 14,800 44,400
Nash Finch Co. ......................................... 38,200 615,975
Nashua Corp. ........................................... 5,300 111,300
*Nathans Famous, Inc. ................................... 17,400 85,913
*National City Bancorp .................................. 20,005 300,075
*National Convenience Stores, Inc. ...................... 36,000 256,500
*National Education Corp. ............................... 36,000 148,500
*National Home Centers, Inc. ............................ 17,700 71,906
*National Home Health Care Corp. ........................ 8,600 19,888
*National Mercantile Bancorp. ........................... 2,400 7,950
*National Patent Development Corp. ...................... 5,700 11,044
National Presto Industries, Inc. ....................... 20,000 825,000
*National Standard Co. .................................. 8,100 83,025
*National Western Life Insurance Co. Class A ............ 11,500 396,750
*Natural Wonders, Inc. .................................. 16,500 78,375
*Navigators Group, Inc. ................................. 2,100 31,500
*Netrix Corp. ........................................... 7,800 52,650
*Network Computing Devices, Inc. ........................ 62,400 276,900
*Network Systems Corp. .................................. 101,400 773,175
*New Brunswick Scientific Co., Inc. ..................... 12,700 69,056
New Jersey Resources Corp. ............................. 60,900 1,393,088
*New Jersey Steel Corp. ................................. 17,800 283,688
*New Mexico & Arizona Land Co. .......................... 7,200 65,700
Newcor, Inc. ........................................... 3,500 28,656
Newmil Bancorp, Inc. ................................... 28,000 122,500
Newport Corp. .......................................... 24,900 177,413
*Nichols Research Corp. ................................. 6,800 83,300
*Noble Drilling Corp. ................................... 9,675 60,469
Noland Co. ............................................. 2,000 41,250
*Nord Resources Corp. ................................... 64,100 360,563
*Nortek, Inc. ........................................... 47,200 507,400
North Fork Bancorporation, Inc. ........................ 46,500 651,000
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North Side Savings Bank NY ............................. 16,145 $ 300,701
*North Star Universal, Inc. ............................. 33,800 181,675
Northbay Financial Corp. ............................... 9,432 141,480
*Northeast Federal Corp. ................................ 40,100 330,825
Northwestern Public Service Co. ........................ 20,900 540,788
Norwich Financial Corp. ................................ 18,600 186,000
*Nuclear Support Services, Inc. ......................... 5,700 21,731
*Nview Corp. ............................................ 16,200 131,625
*Nycor, Inc. (New) ...................................... 9,500 22,859
*Nycor, Inc. Class A (New) .............................. 24,000 57,000
O'Sullivan Corp. ....................................... 11,900 108,588
*OEC Medical Systems, Inc. .............................. 37,000 231,250
*OMI Corp. .............................................. 155,700 953,663
Oglebay Norton Co. ..................................... 7,500 226,875
*Olympus Capital Corp. .................................. 7,600 111,150
OnbanCorp, Inc. ........................................ 47,900 1,221,450
*Oncogene Science, Inc. ................................. 53,900 144,856
Oneida, Ltd. ........................................... 35,600 462,800
*Oneita Industries, Inc. ................................ 25,000 256,250
Optical Coating Laboratory, Inc. ....................... 31,900 195,388
*Option Care, Inc. ...................................... 9,000 24,188
*Orange Co., Inc. (New) FL .............................. 35,300 185,325
*Orbit International Corp. .............................. 20,300 54,556
*Orchard Supply Hardware Stores Corp. ................... 40,000 380,000
*Oregon Metallurgical Corp. ............................. 39,500 256,750
Oregon Steel Mills, Inc. ............................... 70,800 1,026,600
Oriole Homes Corp. Class B ............................. 7,300 48,363
Orion Capital Corp. .................................... 43,200 1,382,400
*Osborn Communications Corp. ............................ 6,300 40,556
Oshkosh B'Gosh, Inc. Class A ........................... 44,600 602,100
*Oshman's Sporting Goods, Inc. .......................... 20,700 160,425
Outboard Marine Corp. .................................. 53,600 998,300
*Outlook Group Corp. .................................... 10,200 124,950
*PCI Services, Inc. ..................................... 23,100 154,481
PXRE Corp. ............................................. 21,500 564,375
*Pacific Rim Holding Corp. .............................. 32,500 79,219
Pacific Scientific Co. ................................. 9,600 370,800
Paco Pharmaceutical Services, Inc. ..................... 24,100 216,900
*Palfed, Inc. ........................................... 600 4,538
Pancho's Mexican Buffet, Inc. .......................... 14,600 116,800
*Par Technology Corp. ................................... 26,700 173,550
*Parallan Computer, Inc. ................................ 20,000 99,375
Park Electrochemical Corp. ............................. 9,700 300,700
Parkvale Financial Corp. ............................... 8,862 194,964
*Patrick Industries, Inc. ............................... 36,800 317,400
*Patrick Petroleum Co. .................................. 26,800 33,500
*Patten Corp. ........................................... 74,028 259,098
*Peer Review Analysis, Inc. ............................. 7,400 20,581
*Penn Treaty American Corp. ............................. 11,200 170,800
Pennsylvania Enterprises, Inc. ......................... 11,400 320,625
Penril Datacomm Networks, Inc. ......................... 25,500 57,375
Peoples Heritage Financial Group, Inc. ................. 56,300 682,638
Peoples Savings Financial Corp. ........................ 7,200 124,200
*Peoples Telephone Co., Inc. ............................ 52,400 212,875
*Perfumania, Inc. ....................................... 33,800 111,963
*Perini Corp. ........................................... 25,800 261,225
*Perry Drug Stores, Inc. ................................ 40,600 304,500
*Pharmchem Laboratories, Inc. ........................... 18,900 50,794
Philadelphia Suburban Corp. ............................ 45,000 810,000
*Photo Control Corp. .................................... 4,200 27,300
*Photronics, Inc. ....................................... 3,700 98,513
Piccadilly Cafeterias, Inc. ............................ 36,700 293,600
</TABLE>
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Pilgrim Pride Corp. .................................... 87,700 $877,000
Pioneer Financial Services, Inc. ....................... 24,300 236,925
Piper Jaffray Companies, Inc. .......................... 12,900 130,613
Pitt-Des Moines, Inc. .................................. 8,300 282,200
Pittway Corp. DE Class A ............................... 16,900 652,763
*Plains Resources, Inc. ................................. 31,300 172,150
Ply-Gem Industries, Inc. DE ............................ 16,100 303,888
*Polk Audio, Inc. ....................................... 4,900 50,838
*Polymedica Industries, Inc. ............................ 41,840 180,435
*Pool Energy Services Co. ............................... 49,100 352,906
Pope & Talbot, Inc. .................................... 47,900 772,388
*Porta Systems Corp. .................................... 11,300 64,975
Portsmouth Bank Shares, Inc. ........................... 19,721 236,652
*Powell Industries, Inc. ................................ 27,200 153,000
*Pre-Paid Legal Services, Inc. .......................... 8,900 17,800
Premier Financial Services, Inc. ....................... 14,800 101,750
Presidential Life Corp. ................................ 168,600 821,925
*Presley Companies Class A .............................. 74,000 185,000
*Pride Petroleum Services, Inc. ......................... 67,800 347,475
*Primark Corp. .......................................... 66,100 826,250
Prime Bancorp, Inc. .................................... 11,770 192,734
Primesource Corp. ...................................... 5,254 55,167
*Printronix, Inc. ....................................... 10,000 287,500
*Procyte Corp. .......................................... 64,000 187,000
*Progress Financial Corp. ............................... 9,800 41,650
Progressive Bank, Inc. ................................. 10,400 217,100
*Progroup, Inc. ......................................... 8,500 53,125
*Proler International Corp. ............................. 16,900 118,300
Providence Energy Corp. ................................ 16,700 256,763
Provident Bankshares Corp. ............................. 22,400 467,600
*Psicor, Inc. ........................................... 14,700 134,138
Pulaski Furniture Corp. ................................ 10,100 186,850
Pulse Bancorp, Inc. .................................... 10,700 141,775
*Pulse Engineering, Inc. ................................ 32,800 184,500
*Pyramid Technology Corp. ............................... 51,900 544,950
*QMS, Inc. .............................................. 62,600 555,575
Quaker State Corp. ..................................... 43,400 596,750
*Quality Products, Inc. ................................. 25,100 69,025
Quanex Corp. ........................................... 20,500 461,250
*Quarterdeck Office Systems, Inc. ....................... 71,900 157,281
*Quest Medical, Inc. .................................... 12,360 55,620
Quick & Reilly Group, Inc. DE .......................... 6,400 158,400
*Quiksilver, Inc. ....................................... 1,800 29,138
*R & B, Inc. ............................................ 27,000 178,875
RLI Corp. .............................................. 21,500 438,063
RS Financial Corp. ..................................... 10,500 225,750
*Radius, Inc. ........................................... 20,950 196,406
*Rag Shops, Inc. ........................................ 15,700 37,288
*Railroad Financial Corp. ............................... 7,300 67,525
*Rally's Hamburgers, Inc. ............................... 28,200 98,700
*Ramsay Health Care, Inc. (New) ......................... 28,000 206,500
*Random Access, Inc. .................................... 23,100 85,903
Raritan Bancorp, Inc. DE ............................... 1,050 18,375
*Rasterops .............................................. 31,700 95,100
Rauch Industries, Inc. ................................. 6,000 54,000
*Raymond Corp. .......................................... 3,780 66,150
Re Capital Corp. ....................................... 25,100 313,750
*Readicare, Inc. ........................................ 14,000 19,250
*Reading Co. Class A .................................... 19,836 224,395
*Recognition International, Inc. ........................ 47,700 351,788
Redwood Empire Bancorp ................................. 8,900 71,200
*Regeneron Pharmaceuticals, Inc. ........................ 47,000 193,875
*Rehability Corp. ....................................... 13,400 97,988
*Repligen Corp. ......................................... 23,200 69,600
*Republic Automotive Parts, Inc. ........................ 10,600 151,050
</TABLE>
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Republic Bancorp, Inc. ................................. 23,760 $ 261,360
*Republic Waste Industries, Inc. ........................ 94,900 361,806
*Resource Recycling Technologies, Inc. .................. 7,000 35,000
*Revell Monogram, Inc. .................................. 27,100 165,988
*Rexene Corp. (New) ..................................... 21,600 243,000
*Rexon, Inc. ............................................ 34,400 174,150
Richardson Electronics, Ltd. ........................... 41,400 279,450
*Riddell Sports, Inc. ................................... 28,200 66,975
*Riggs National Corp. ................................... 167,600 1,435,075
*Riser Foods, Inc. Class A .............................. 24,800 173,600
*Riverside Group, Inc. .................................. 3,200 20,400
Roanoke Electric Steel Corp. ........................... 9,200 144,900
*Robec, Inc. ............................................ 11,400 19,594
Robinson Nugent, Inc. .................................. 18,900 159,469
Rochester Community Savings Bank of New York ........... 44,500 739,813
*Rohr, Inc. ............................................. 108,000 985,500
Roosevelt Financial Group, Inc. ........................ 20,200 294,163
*Ropak Corp. ............................................ 8,800 90,200
Russ Berrie & Co., Inc. ................................ 60,600 855,975
*Ryans Family Steak Houses, Inc. ........................ 18,700 132,069
*Rykoff-Sexton, Inc. .................................... 35,400 730,125
Ryland Group, Inc. ..................................... 61,664 855,588
*Rymer Foods, Inc. ...................................... 10,000 35,000
*S&K Famous Brands, Inc. ................................ 14,300 116,188
*SBE, Inc. .............................................. 6,900 69,863
SCOR U.S. Corp. ........................................ 64,500 572,438
SFFED Corp. ............................................ 28,200 377,175
SKI, Ltd. .............................................. 16,700 267,200
*SLM International, Inc. ................................ 36,000 139,500
*SPS Technologies, Inc. ................................. 18,300 416,325
SPX Corp. .............................................. 45,600 706,800
*Safeguard Scientifics, Inc. ............................ 27,000 462,375
Saint Ives Laboratories Corp. .......................... 12,500 107,031
Saint Joseph Light & Power Co. ......................... 11,700 311,513
Saint Paul Bancorp, Inc. ............................... 69,900 1,249,463
Salem Corp. ............................................ 6,600 101,475
*Salick Health Care, Inc. ............................... 15,000 375,000
Sands Regent Casino Hotel .............................. 16,000 114,000
*Santa Monica Bank CA ................................... 25,500 210,375
*Sarnia Corp. ........................................... 1,300 442
*Schieb (Earl), Inc. .................................... 15,400 88,550
Schultz Sav-O Stores, Inc. ............................. 5,100 101,363
*Scientific Software-Intercomp, Inc. .................... 22,200 124,875
*Scios-Nova, Inc. ....................................... 10,000 60,625
Scope Industries, Inc. ................................. 2,400 57,900
*Score Board, Inc. ...................................... 30,400 127,300
*Seacor Holdings, Inc. .................................. 35,000 748,125
Seafield Capital Corp. ................................. 8,100 278,438
*Secom General Corp. .................................... 5,800 16,675
Selas Corp. of America ................................. 12,300 119,925
Selective Insurance Group, Inc. ........................ 74,900 1,816,325
*Selfix, Inc. ........................................... 4,900 23,888
*Sequa Corp. Class A .................................... 18,500 393,125
*Serv-Tech, Inc. ........................................ 34,400 232,200
*Sharper Image Corp. .................................... 21,500 145,125
*Shiloh Industries, Inc. ................................ 11,400 82,650
*Shoe Carnival, Inc. .................................... 30,000 157,500
Shopko Stores, Inc. .................................... 191,600 1,916,000
*Show Biz Pizza Time, Inc. .............................. 29,400 222,338
Showboat, Inc. ......................................... 31,900 390,775
*Sierra Tucson Companies, Inc. .......................... 29,400 88,200
*Sifco Industries, Inc. ................................. 17,800 57,850
*Sigma Designs, Inc. .................................... 11,300 76,981
</TABLE>
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*Signal Technology Corp. ................................ 24,800 $ 80,600
*Silicon Valley Bancshares .............................. 26,700 327,075
*Silicon Valley Group, Inc. ............................. 30,700 614,000
Sizzler International, Inc. ............................ 148,700 836,438
Skyline Corp. .......................................... 37,000 684,500
*Softech, Inc. .......................................... 12,600 81,900
*Software Publishing Corp. .............................. 56,000 308,000
*Software Spectrum, Inc. ................................ 15,100 247,263
*Solo Serve Corp. ....................................... 9,200 9,200
*Sound Advice, Inc. ..................................... 13,100 77,781
South Jersey Industries, Inc. .......................... 37,500 632,813
*Southdown, Inc. ........................................ 100,000 1,712,500
Southern California Water Co. .......................... 26,200 415,925
*Southern Union Co. ..................................... 26,897 480,784
*Southwall Technologies, Inc. ........................... 20,700 60,806
Southwest Bancshares, Inc. DE .......................... 7,700 163,625
Southwest Gas Corp. .................................... 106,000 1,616,500
Southwest Water Co. .................................... 8,200 76,875
*Spacelabs Medical, Inc. ................................ 5,000 112,500
*Spaghetti Warehouse, Inc. .............................. 19,800 111,375
Span-American Medical System, Inc. ..................... 11,100 55,500
*Sparton Corp. .......................................... 27,600 138,000
*Spec's Music, Inc. ..................................... 18,000 101,250
*Specialty Chemical Resources, Inc. ..................... 23,000 74,750
*Spectran Corp. ......................................... 30,000 163,125
*Sport Chalet, Inc. ..................................... 9,100 35,263
*Sportstown, Inc. ....................................... 8,100 9,619
*Stacey's Buffet, Inc. .................................. 10,700 13,375
Stage II Apparel Corp. ................................. 14,800 59,200
Standard Commercial Corp. .............................. 31,108 447,178
Standard Motor Products, Inc. Class A .................. 42,700 779,275
Standard Pacific Corp. DE .............................. 122,472 734,832
*Stanford Telecommunications, Inc. ...................... 8,700 154,425
*Stanley Furniture, Inc. ................................ 18,100 183,263
Stant Corp. ............................................ 80,000 1,120,000
*Staodyn, Inc. .......................................... 2,100 3,150
Starret Housing Corp. .................................. 17,900 124,181
Starrett (L.S.) Co. Class A ............................ 23,700 494,738
Statesman Group, Inc. (Escrow) ......................... 37,500 0
Stepan Co. ............................................. 15,400 485,100
Sterling Bancorp ....................................... 22,800 153,900
*Sterling Financial Corp. WA ............................ 10,100 106,050
*Stevens Graphics Corp. Class A ......................... 8,000 54,000
Stewart Information Services Corp. ..................... 21,650 319,338
*Stokely USA, Inc. ...................................... 14,900 134,100
Stone & Webster, Inc. .................................. 42,300 1,406,475
Strawbridge & Clothier Class A ......................... 33,381 755,245
*Stuart Entertainment, Inc. ............................. 11,300 51,556
*Sulcus Computer Corp. .................................. 45,400 119,175
*Summagraphics Corp. .................................... 11,500 97,750
Summit Bancorp, Inc. WA ................................ 11,183 215,265
*Sun Sportswear, Inc. ................................... 20,400 91,800
Sun Television and Appliances, Inc. .................... 53,800 480,838
*Sunbelt Nursery Group, Inc. ............................ 22,700 52,494
*Suncoast Savings & Loan
Association FSA ...................................... 1,200 6,900
*Sunrise Bancorp CA ..................................... 23,980 38,968
*Sunrise Leasing Corp. .................................. 13,900 66,025
Super Food Services, Inc. .............................. 58,600 651,925
Susquehanna Bancshares, Inc. ........................... 6,500 143,000
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*Swift Energy Corp. ..................................... 23,470 $ 234,700
*Symix Systems, Inc. .................................... 4,300 34,400
Syms Corp. ............................................. 62,900 432,438
*Syncor International Corp. DE .......................... 32,200 271,688
*Synercom Technology, Inc. .............................. 3,200 16,400
*Synergen, Inc. ......................................... 151,800 1,378,059
*Syntellect, Inc. ....................................... 49,700 323,050
*Syquest Technology, Inc. ............................... 34,800 556,800
TCBY Enterprises, Inc. ................................. 54,800 315,100
*TCC Industries, Inc. ................................... 6,500 13,000
TCF Financial Corp. .................................... 30,600 1,128,375
*TCI International, Inc. ................................ 11,700 48,263
*TIE/Communications, Inc. (New) ......................... 9,500 53,438
TJ International, Inc. ................................. 11,300 187,863
*TPI Enterprises, Inc. .................................. 79,400 332,488
*TRM Copy Centers Corp. ................................. 38,000 182,875
*TSF Communications Corp. ............................... 2,000 11,500
Tab Products Co. DE .................................... 17,300 142,725
*Tanknology Environmental, Inc. ......................... 50,100 129,947
*Team, Inc. ............................................. 17,800 51,175
*Tech-Sym Corp. ......................................... 20,800 455,000
Technitrol, Inc. ....................................... 3,000 43,875
*Technology Solutions Corp. ............................. 34,400 270,900
*Tekelec ................................................ 8,800 213,400
*Telco Systems, Inc. .................................... 16,700 279,725
Telxon Corp. ........................................... 22,500 272,813
*Tetra Technologies, Inc. ............................... 37,900 357,681
Texas Industries, Inc. ................................. 38,400 1,272,000
*Texfi Industries, Inc. ................................. 28,500 74,813
Thiokol Corp. .......................................... 61,800 1,645,425
Thomas Industries, Inc. ................................ 69,200 925,550
Thorn Apple Valley, Inc. ............................... 13,000 367,250
*Tipperary Corp. ........................................ 39,900 109,725
Titan Holdings, Inc. ................................... 19,600 188,650
Toastmaster, Inc. ...................................... 25,100 175,700
*Todd Shipyards Corp. ................................... 38,200 176,675
Todd-AO Corp. Class A .................................. 3,400 17,425
*Tokos Medical Corp. .................................... 22,800 151,050
*Town & Country Corp. Class A ........................... 50,000 46,875
*Tracor, Inc. ........................................... 25,800 322,500
*Trak Auto Corp. ........................................ 18,200 293,475
*Transport Leasing International, Inc. .................. 15,700 54,459
Transtechnology Corp. .................................. 18,700 215,050
Treadco, Inc. .......................................... 10,000 158,750
Tredegar Industries, Inc. .............................. 36,200 651,600
*Tremont Corp. DE ....................................... 25,600 278,400
Trenwick Group, Inc. ................................... 19,400 717,800
*Tricare, Inc. .......................................... 20,100 40,200
*Trico Products Corp. ................................... 2,000 168,000
*Tricord Systems, Inc. .................................. 34,100 206,731
*Trimark Holdings, Inc. ................................. 13,900 104,250
*Tripos, Inc. ........................................... 16,166 73,757
*Tuboscope Vetco International, Inc. .................... 109,900 789,906
*Tucker Drilling Co., Inc. .............................. 6,200 37,200
*Tuesday Morning Corp. .................................. 47,500 326,563
Tultex Corp. ........................................... 106,200 584,100
*Turner Corp. ........................................... 20,532 164,256
Twin Disc, Inc. ........................................ 10,000 202,500
*Tyco Toys, Inc. ........................................ 155,500 933,000
*Tyler Corp. ............................................ 72,500 262,813
U.S. Bancorp, Inc. ..................................... 16,600 356,900
*UNC, Inc. .............................................. 106,400 532,000
UNR Industries, Inc. ................................... 83,800 513,275
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*URS Corp. (New) ........................................ 13,800 $ 70,725
USILICO Corp. .......................................... 35,800 716,000
*UST Corp. .............................................. 25,500 269,344
Uni-Marts, Inc. ........................................ 24,300 130,613
Unico American Corp. ................................... 20,200 84,588
*Union Corp. DE ......................................... 35,200 492,800
Union Planters Corp. ................................... 34,900 719,813
*Unit Corp. ............................................. 65,800 205,625
United Carolina Bancshares Corp. ....................... 34,600 830,400
United Financial Corp. ................................. 11,800 153,400
United Industrial Corp. ................................ 42,900 209,138
*United Inns, Inc. ...................................... 4,800 117,000
*United Retail Group, Inc. .............................. 14,000 96,250
*United States Banknote Corp. ........................... 68,700 154,575
*United States Energy Corp. ............................. 15,700 63,781
*United States Facilities Corp. ......................... 14,500 145,000
*United States Home Corp. ............................... 40,800 642,600
*United States Homecare Corp. ........................... 29,400 66,150
*United States Intec, Inc. .............................. 6,100 34,313
United Stationers, Inc. ................................ 73,400 752,350
United Water Resources, Inc. ........................... 71,184 925,392
*Unitel Video, Inc. ..................................... 9,100 53,463
Unitil Corp. ........................................... 5,500 99,000
*Universal Health Services, Inc. Class B ................ 31,000 775,000
*Universal International, Inc. .......................... 13,000 29,250
Upper Peninsula Energy Corp. ........................... 8,100 125,550
*Uranuim Resources, Inc. (New) .......................... 21,300 115,819
*Utilx Corp. ............................................ 24,500 87,281
*V Band Systems, Inc. ................................... 18,400 75,900
*Valence Technology, Inc. ............................... 120,000 333,750
*Vallen Corp. ........................................... 47,800 558,663
Valley Forge Corp. ..................................... 5,800 103,675
Vallicorp Holdings, Inc. ............................... 7,200 100,800
*Vans, Inc. ............................................. 35,900 217,644
*Varco International, Inc. .............................. 91,800 585,225
*Varitronic Systems, Inc. ............................... 8,600 76,325
Varlen Corp. ........................................... 1,800 42,975
*Ventura County National Bancorp ........................ 21,900 49,275
Venture Stores, Inc. ................................... 103,400 1,305,425
Vermont Financial Services Corp. ....................... 7,300 147,825
*Versar, Inc. ........................................... 1,300 3,819
*Vertex Communications Corp. ............................ 25,000 337,500
*Vestar, Inc. ........................................... 46,100 210,331
*Vicorp Restaurants, Inc. ............................... 7,700 130,900
Victoria Bankshares, Inc. .............................. 18,200 425,425
*Victoria Financial Corp. ............................... 10,200 72,675
*Video Display Corp. .................................... 14,100 37,013
*Video Lottery Technologies, Inc. ....................... 33,400 313,125
Virco Manufacturing Corp. .............................. 10,406 97,556
Virginia Beach Federal Financial Corp. ................. 17,500 111,563
*Vista Resources, Inc. .................................. 5,900 124,638
*Volt Information Sciences, Inc. ........................ 6,300 174,038
*WHX Corp. .............................................. 59,700 850,725
WICOR, Inc. ............................................ 21,700 604,888
*WSMP, Inc. ............................................. 1,600 11,000
Walbro Corp. ........................................... 8,900 151,300
*Walker Interactive Systems, Inc. ....................... 41,300 258,125
Walshire Assurance Co. ................................. 10,395 104,600
Warner Insurance Services, Inc. ........................ 50,000 137,500
*Warren Bancorp, Inc. ................................... 11,800 94,400
Washington Homes, Inc. (New) ........................... 41,800 161,975
Washington National Corp. .............................. 73,400 1,468,000
</TABLE>
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Washington Savings Bank FSB Waldorf, MD .................. 14,100 $ 54,638
Watkins-Johnson Co. ...................................... 11,900 392,700
Watsco, Inc. Class A ..................................... 2,300 37,375
Watts Industries, Inc. Class A ........................... 18,600 378,975
Webb (Del) Corp. ......................................... 58,788 970,002
Webster Financial Corp. .................................. 12,880 241,500
*Weirton Steel Corp. ...................................... 39,800 333,325
*Weitek Corp. ............................................. 12,000 38,250
Wellco Enterprises, Inc. ................................. 1,600 26,900
*Wells-Gardner Electronics Corp. .......................... 13,800 41,400
Westco Bancorp, Inc. ..................................... 6,100 107,513
Westcorp DE .............................................. 40,500 349,313
*Western Beef, Inc. ....................................... 9,200 67,275
*Western Co. North America (New) .......................... 9,000 153,000
*Western Micro Technology, Inc. ........................... 6,600 53,625
*Western Waste Industries ................................. 21,000 320,250
*Westmoreland Coal Co. .................................... 20,600 108,150
*Weston (Roy F.), Inc. Class A ............................ 26,400 150,150
Weyco Group, Inc. ........................................ 800 28,600
*Whitehall Corp. .......................................... 700 13,125
Whitney Holdings Corp. ................................... 41,000 917,375
*Whittaker Corp. .......................................... 17,800 289,250
*Willcox & Gibbs, Inc. .................................... 60,600 386,325
Wilshire Oil Co. of Texas ................................ 400 2,750
Windmere Corp. ........................................... 57,000 555,750
Wolohan Lumber Co. ....................................... 24,600 375,150
Wolverine World Wide, Inc. ............................... 15,300 340,425
*Worldtex, Inc. ........................................... 91,100 398,563
*Worthington Foods, Inc. .................................. 7,900 68,631
Wyle Laboratories, Inc. .................................. 33,200 618,350
*Wyman-Gordon Co. ......................................... 50,800 285,750
Wynns International, Inc. ................................ 18,100 429,875
*Xicor, Inc. .............................................. 54,800 131,863
Yankee Energy Systems, Inc. .............................. 37,100 802,288
*Yes Clothing Co. ......................................... 3,400 6,163
*Younkers, Inc. ........................................... 52,900 919,030
*Zaring Homes, Inc. ....................................... 13,000 74,750
*Zenith Electronics Corp. ................................. 29,900 366,275
Zenith National Insurance Corp. .......................... 39,900 862,830
*Zeos International, Ltd. ................................. 28,600 203,775
Ziegler Co., Inc. ........................................ 1,700 27,413
*Zitel Corp. .............................................. 37,000 291,375
Zurn Industries, Inc. .................................... 27,200 476,000
*Zygo Corp. ............................................... 8,400 63,000
*Zynaxis, Inc. ............................................ 31,000 38,750
------------------
TOTAL COMMON STOCKS (Cost $346,312,288) ................... 343,511,190
------------------
RIGHTS/WARRANTS - (0.0%)
*SPS Technologies, Inc. Rights 12/16/94 (Cost $0) ......... 1,830 100
------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
------------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS - (4.1%)
Repurchase Agreement, PNC Securities Corp. 5.50%, 12/01/94
(Collateralized by U.S. Treasury Bills 5.55%, 02/09/95)
(Cost $14,792,000) ....................................... $14,792 14,792,000
------------------
TOTAL INVESTMENTS - (100.0%) (Cost $361,104,288) .......... $358,303,290
==================
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
260
<PAGE>
SCHEDULE OF INVESTMENTS
THE U.S. LARGE CAP VALUE SERIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - (95.1%)
AFLAC, Inc. ............................................ 15,700 $ 531,838
*AMR Corp. .............................................. 30,900 1,568,175
Aetna Life & Casualty Co. .............................. 45,926 2,055,189
Ahmanson (H.F.) & Co. .................................. 47,700 793,013
Alexander & Baldwin, Inc. .............................. 18,800 446,500
*Alleghany Corp. (DE) ................................... 2,632 389,536
Allstate Corp. ......................................... 183,500 4,335,188
Aluminium Co. of America (ALCOA) ....................... 22,840 1,864,315
Ambac, Inc. ............................................ 15,000 519,375
*Amdahl Corp. ........................................... 47,233 460,522
Amerada Hess Corp. ..................................... 37,900 1,724,450
American General Corp. ................................. 85,300 2,239,125
American National Insurance Co. ........................ 10,800 511,650
American Premier Underwriters, Inc. .................... 18,800 430,050
American President Companies, Ltd. ..................... 10,700 238,075
American Water Works Co., Inc. ......................... 13,100 343,875
Apple Computer, Inc. ................................... 35,500 1,317,938
Argonaut Group, Inc. ................................... 10,500 294,000
Arvin Industries, Inc. ................................. 9,100 219,538
Asarco, Inc. ........................................... 17,100 468,113
Atlanta Gas Light Co. .................................. 10,300 305,138
Avnet, Inc. ............................................ 12,200 437,675
*BHC Communications, Inc.
Class A .............................................. 3,100 227,075
Ball Corp. ............................................. 7,900 222,188
Bancorp Hawaii, Inc. ................................... 2,400 60,300
Bank of Boston Corp. ................................... 43,600 1,166,300
BankAmerica Corp. ...................................... 151,575 6,214,575
Bankers Trust New York Corp. ........................... 32,200 1,907,850
Berkley (W.R.) Corp. ................................... 7,100 236,075
Black & Decker Corp. ................................... 25,200 604,800
Block Drug Co., Inc. Class A ........................... 4,738 160,500
Boatmen's Bancshares, Inc. ............................. 40,000 1,112,500
Boise Cascade Corp. .................................... 15,500 375,875
Bowater, Inc. .......................................... 14,900 378,088
*Broadway Stores, Inc. .................................. 18,598 190,630
Bruno's, Inc. .......................................... 23,400 207,675
CCP Insurance, Inc. .................................... 11,000 162,250
CIGNA Corp. ............................................ 29,508 1,870,070
*CNA Financial Corp. .................................... 25,200 1,565,550
CSX Corp. .............................................. 41,000 2,849,500
Centerior Energy Corp. ................................. 16,900 147,875
Centex Corp. ........................................... 12,400 252,650
Champion International Corp. ........................... 37,900 1,317,025
Chase Manhattan Corp. .................................. 75,500 2,699,125
Chemical Banking Corp. ................................. 103,400 3,761,175
Chesapeake Corp. ....................................... 5,900 193,225
Chiquita Brands International, Inc. .................... 19,900 258,700
*Chris-Craft Industries, Inc. ........................... 8,499 290,028
*Chrysler Corp. ......................................... 128,800 6,230,700
Cincinnati Financial Corp. ............................. 20,300 974,400
Cinergy Corp. .......................................... 12,071 268,580
Citicorp ............................................... 56,400 2,347,650
Coca-Cola Enterprises, Inc. ............................ 51,000 949,875
Comdicso, Inc. ......................................... 15,200 324,900
Comerica, Inc. ......................................... 15,000 395,625
</TABLE>
261
<PAGE>
THE U.S LARGE CAP VALUE SERIES --
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Commerce Bancshares, Inc. .............................. 1,800 $ 52,538
Comsat Corp. Series 1 .................................. 6,400 124,000
Conrail, Inc. .......................................... 32,100 1,669,200
Consolidated Natural Gas Co. ........................... 37,900 1,326,500
Continental Corp. ...................................... 22,658 328,541
Coors (Adolph) Co. Class B ............................. 14,500 231,094
Countrywide Credit Industries, Inc. .................... 5,200 73,450
*Cray Research, Inc. .................................... 10,500 192,938
Cyprus Amax Minerals Co., Inc. ......................... 35,000 875,000
Delta Air Lines, Inc. .................................. 8,300 416,038
Diamond Shamrock, Inc. ................................. 11,600 298,700
*Digital Equipment Corp. ................................ 56,200 1,910,800
Dillard Department Stores, Inc. Class A ................ 40,000 1,125,000
Dole Food, Inc. ........................................ 24,300 571,050
Eastern Enterprises .................................... 8,400 214,200
Eastern Utilities Associates ........................... 3,900 85,800
Enserch Corp. .......................................... 27,300 344,663
Equitable Companies, Inc. .............................. 33,100 579,250
Equitable Resources, Inc. .............................. 11,700 315,900
Federal Paper Board Co., Inc. .......................... 17,200 466,550
*Federated Department Stores, Inc. ...................... 51,300 1,051,650
Fina, Inc. Class A ..................................... 5,700 374,775
First Chicago Corp. .................................... 37,800 1,757,700
First Colony Corp. ..................................... 20,100 386,925
First Union Corp. ...................................... 9,800 390,775
First of America Bank Corp. ............................ 3,300 103,950
Fleming Companies, Inc. ................................ 15,197 349,531
Florida East Coast Industries, Inc. .................... 3,500 250,250
Ford Motor Co. ......................................... 379,500 10,293,938
Fourth Financial Corp. ................................. 5,100 153,638
*Fund American Enterprises Holdings, Inc. ............... 3,400 249,050
GATX Corp. ............................................. 8,100 324,000
GFC Financial Corp. .................................... 6,700 197,650
General Motors Corp. ................................... 300,000 11,437,500
General Motors Corp. Class H ........................... 37,646 1,256,435
Glatfelter (P.H.) Co. .................................. 16,300 252,650
Golden West Financial Corp. ............................ 25,200 882,000
Goodrich (B.F.) Co. .................................... 10,100 449,450
*Goodyear Tire & Rubber Co. ............................. 30,000 1,016,250
Great Atlantic & Pacific Tea Co., Inc. ................. 15,600 347,100
Great Western Financial Corp. .......................... 54,200 921,400
Harnischfeger Industries, Inc. ......................... 8,400 223,650
Hawaiian Electric Industries, Inc. ..................... 11,500 365,125
Helmerich & Payne, Inc. ................................ 10,100 282,800
Houston Industries, Inc. ............................... 53,600 1,822,400
IES Industries, Inc. ................................... 11,700 305,663
*IMC Fertilizer Group, Inc. ............................. 3,400 128,350
ITT Corp. .............................................. 25,900 2,062,288
*Intergraph Corp. ....................................... 9,000 72,000
International Business Machines Corp. .................. 89,800 6,353,350
International Paper Co. ................................ 50,900 3,639,350
International Speciality Products, Inc. ................ 40,700 274,725
James River Corp. of Virginia .......................... 33,300 703,463
*Jefferson-Pilot Corp. .................................. 2,800 141,750
K Mart Corp. ........................................... 179,600 2,604,200
</TABLE>
262
<PAGE>
THE U.S LARGE CAP VALUE SERIES --
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Kaiser Aluminum Corp. .................................. 23,700 $ 251,813
*Kerr-McGee Corp. ....................................... 15,000 708,750
Lafarge Corp. .......................................... 20,600 365,650
Lennar Corp. ........................................... 9,550 149,219
Liberty Corp. .......................................... 8,100 206,550
Lincoln National Corp. ................................. 38,750 1,506,406
Loews Corp. ............................................ 24,500 2,116,188
Longs Drug Stores Corp. ................................ 4,800 150,600
*MBIA, Inc. ............................................. 15,000 787,500
*Magma Copper Co. ....................................... 17,300 278,963
McDonnell Douglas Corp. ................................ 16,140 2,251,530
Mellon Bank Corp. ...................................... 22,500 745,313
Mercantile Stores Co., Inc. ............................ 15,012 607,986
Metropolitan Financial Corp. ........................... 8,500 191,250
Michigan National Corp. ................................ 3,500 265,563
Midlantic Corp. ........................................ 3,000 79,875
Midwest Resources, Inc. ................................ 22,416 291,408
Mitchell Energy & Development Corp. Class A ............ 6,100 99,125
Mitchell Energy & Development Corp. Class B ............ 7,800 125,775
Montana Power Co. ...................................... 21,700 512,663
*Morgan (J.P.) & Co., Inc. .............................. 85,800 5,040,750
Murphy Oil Corp. ....................................... 7,000 313,250
NWNL Companies, Inc. ................................... 12,100 334,263
National Fuel Gas Co. .................................. 14,500 377,000
NationsBank Corp. ...................................... 75,700 3,397,038
Noram Energy Corp. ..................................... 31,700 178,313
*Norfolk Southern Corp. ................................. 24,500 1,482,250
Northrop Grumman Corp. ................................. 12,700 515,938
Nynex Corp. ............................................ 159,700 6,008,713
Occidental Petroleum Corp. ............................. 122,600 2,406,025
Ogden Corp. ............................................ 2,500 49,375
*Ogden Projects, Inc. ................................... 14,400 237,600
Ohio Casualty Corp. .................................... 14,700 422,625
Old Republic International Corp. ....................... 21,200 405,450
Oneok, Inc. ............................................ 1,300 22,425
Oryx Energy Co. ........................................ 39,500 478,938
Overseas Shipholding Group, Inc. ....................... 14,800 312,650
PHH Corp. .............................................. 7,000 245,875
PNC Bank Corp. ......................................... 50,000 1,037,500
Pacific Telecom, Inc. .................................. 15,600 475,800
Panhandle Eastern Corp. ................................ 49,064 1,036,477
Pennzoil Co. ........................................... 18,800 909,450
Peoples Energy Corp. ................................... 14,200 347,900
*Petrie Stores Corp. .................................... 20,000 527,500
Pinnacle West Capital Corp. ............................ 3,100 60,063
Pittway Corp. DE Class A ............................... 800 30,900
Potlatch Corp. ......................................... 11,900 446,250
Providian Corp. ........................................ 36,600 1,107,150
Pulte Corp. ............................................ 10,800 217,350
*RJR Nabisco Holdings Corp. ............................. 435,400 2,721,250
Republic New York Corp. ................................ 21,400 914,850
Reynolds Metals Co. .................................... 16,200 763,425
*Rust International, Inc. ............................... 4,700 50,525
Ryder System, Inc. ..................................... 21,400 462,775
Safeco Corp. ........................................... 25,700 1,262,513
Saint Paul Companies, Inc. ............................. 33,000 1,361,250
Scana Corp. ............................................ 19,300 837,138
</TABLE>
263
<PAGE>
THE U.S LARGE CAP VALUE SERIES --
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Seagate Technology, Inc. ............................... 29,200 $ 693,500
Smiths Food & Drug Centers, Inc. Class B ............... 6,400 161,600
Southern Indiana Gas & Electric Co. .................... 3,200 82,000
Southern New England Telecommunications Corp. .......... 15,400 508,200
Springs Industries, Inc. Class A ....................... 7,300 271,013
Standard Federal Bank MI ............................... 12,800 316,800
Stone & Webster, Inc. .................................. 6,100 202,825
Sun Company, Inc. ...................................... 43,480 1,266,355
*Sun Microsystems, Inc. ................................. 25,000 835,938
Super Valu Stores, Inc. ................................ 4,100 100,450
*TIG Holdings, Inc. ..................................... 3,600 63,000
Tecumseh Products Co. Class A .......................... 4,600 202,400
Textron, Inc. .......................................... 5,000 235,000
Timken Co. ............................................. 11,500 370,875
Transamerica Corp. ..................................... 28,700 1,359,663
Transco Energy Co. ..................................... 16,700 208,750
Travelers, Inc. ........................................ 128,400 4,221,150
Tyson Foods, Inc. Class A .............................. 32,300 730,788
UMB Financial Corp. .................................... 7,900 241,938
*UNUM Corp. ............................................. 30,000 1,095,000
*USAir Group, Inc. ...................................... 12,300 59,963
USF&G Corp. ............................................ 31,500 429,188
USLIFE Corp. ........................................... 9,400 303,150
USX-Marathon Group, Inc. ............................... 116,850 2,103,300
USX-US Steel Group ..................................... 30,000 1,031,250
Union Bank San Francisco, CA ........................... 14,500 415,063
Union Camp Corp. ....................................... 15,900 737,363
Union Pacific Corp. .................................... 54,500 2,534,250
Unitrin, Inc. .......................................... 21,100 917,850
Valero Energy Corp. .................................... 17,000 323,000
*Vons Companies, Inc. ................................... 17,700 358,425
WPL Holdings, Inc. ..................................... 12,550 346,694
Wesco Financial Corp. .................................. 400 47,200
Westinghouse Electric Corp. ............................ 26,600 339,150
Westvaco Corp. ......................................... 27,400 941,875
Yellow Corp. ........................................... 11,500 226,406
------------------
TOTAL COMMON STOCKS (Cost $200,627,238) ................... 196,815,598
------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
---------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -
(4.9%)
Repurchase Agreement, PNC
Securities Corp. 5.50%,
12/01/94 (Collateralized by
U.S. Treasury Bills 5.55%,
02/09/95) (Cost
$10,222,000) .............. $10,222 10,222,000
-------------
TOTAL INVESTMENTS - (100.0%)
(Cost $210,849,238) .......... $207,037,598
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
264
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA ONE-YEAR FIXED INCOME SERIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Face
Amount Value+
------------------ ------------------
(000)
<S> <C> <C>
BONDS AND CERTIFICATES OF DEPOSIT -- (54.6%)
AT&T Capital Corp. Medium Term Notes
6.640%, 05/22/96 ......................................... $ 9,500 $ 9,396,536
AT&T Corp. Corporate Bonds
4.500%, 02/15/96 ......................................... 6,000 5,806,422
American International Group Medium Term Notes
7.700%, 03/15/96 ......................................... 3,200 3,212,109
Associates Corp. of North America Medium Term Note
4.500%, 02/15/96 ......................................... 4,900 4,733,748
8.800%, 03/01/96 ......................................... 5,000 5,071,190
8.730%, 04/05/96 ......................................... 2,100 2,130,080
8.625%, 06/17/96 ......................................... 5,000 5,071,470
Bankers Trust N.Y., Inc. Corporate Bonds
4.700%, 07/01/96 ......................................... 11,200 10,703,291
Bayerische Landesbank Medium Term Notes
6.430%, 07/19/96 ......................................... 17,000 16,708,960
Bellsouth Capital Funding Medium Term Notes
4.450%, 12/07/95 ......................................... 4,000 3,895,236
7.550%, 11/29/96 ......................................... 3,000 2,996,052
Canadian Imperial Bank of Commerce
4.940%, 12/12/94 ......................................... 2,000 1,999,554
Cola-Cola Co. Corporate Bonds
7.750%, 02/15/96 ......................................... 17,000 17,058,854
Du Pont (E.I.) de Nemours & Co. Medium Term Notes
8.480%, 11/20/95 ......................................... 5,000 5,063,420
Exxon Capital Corp. Corporate Bonds
7.750%, 02/14/96 ......................................... 17,000 17,052,921
Gannet Co., Inc. Corporate Bonds
9.550%, 02/01/96 ......................................... 3,300 3,384,068
General Electric Capital Corp. Medium Term Notes
6.970%, 10/28/96 ......................................... 17,000 16,805,962
Johnson & Johnson Medium Term Notes
8.000%, 03/20/96 ......................................... 7,000 7,046,809
KFW International Finance, Inc. Medium Term Notes
6.750%, 01/10/96 ......................................... 11,000 10,922,637
NBD Bank N.A. Bank Notes
4.150%, 01/31/96 ......................................... 11,000 10,602,416
4.150%, 02/01/96 ......................................... 6,000 5,783,778
Norwest Financial, Inc. Corporate Bonds
7.250%, 11/01/95 ......................................... 10,000 9,997,380
Paccar Financial Corp. Medium Term Notes
4.500%, 07/01/96 ......................................... 5,000 4,765,270
4.800%, 08/20/96 ......................................... 5,000 4,768,390
5.150%, 11/15/96 ......................................... 3,000 2,859,645
</TABLE>
265
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
------------------ ------------------
(000)
<S> <C> <C>
Pepsico, Inc. Medium Term Notes
4.600%, 06/30/96 ......................................... $13,700 $ 13,081,185
Province of Ontario Corporate Bonds
8.250%, 04/08/96 ......................................... 15,000 15,122,925
Rabobank Nederland Deposit Notes
6.040%, 01/25/96 ......................................... 4,000 3,940,700
6.390%, 06/25/96 ......................................... 4,000 3,929,704
Republic National Bank of New York Bank Notes
4.750%, 10/15/95 ......................................... 7,700 7,543,413
8.375%, 05/01/96 ......................................... 4,000 4,046,108
Shell Oil Co. Corporate Bonds
7.000%, 09/15/95 ......................................... 5,000 4,998,510
7.700%, 02/01/96 ......................................... 10,000 10,029,250
Smithkline Beecham Corp. Corporate Bonds
5.250%, 01/19/96 ......................................... 5,000 4,887,415
5.250%, 01/26/96 ......................................... 2,000 1,954,068
Society National Bank, Cleveland Deposit Note
6.875%, 10/15/96 ......................................... 16,260 16,017,807
Toyota Motor Credit Corp. Medium Term Notes
5.700%, 04/15/96 ......................................... 15,000 14,668,935
WMX Technologies, Inc. Corporate Bonds
4.875%, 06/15/96 ......................................... 15,000 14,388,120
Wachovia Bank Notes
7.150%, 11/07/96 ......................................... 17,000 16,837,293
Waste Management, Inc. Corporate Bonds
4.625%, 04/14/96 ......................................... 2,000 1,922,918
------------------
TOTAL BONDS AND CERTIFICATES OF DEPOSIT (Cost $327,058,200) 321,204,549
------------------
COMMERCIAL PAPER -- (34.9%)
AIG Funding Inc. C.P.
5.350%, 01/17/95 ......................................... 9,000 8,928,599
Bayerische Vereinsbank AG C.P.
5.440%, 01/23/95 ......................................... 5,000 4,955,375
Beta Finance C.P.
5.770%, 02/16/95 ......................................... 5,000 4,935,000
5.730%, 02/16/95 ......................................... 8,000 7,896,000
Caisse Centrale Desjardins du
Quebec C.P.
4.900%, 12/12/94 ......................................... 8,000 7,985,066
Caisse Nationale des
Telecommunications C.P.
4.850%, 12/09/94 ......................................... 8,000 7,988,800
Caisse des Depots et Consignations C.P.
5.370%, 01/20/95 ......................................... 3,000 2,974,712
Canadian Wheat Board C.P.
4.800%, 12/05/94 ......................................... 2,000 1,998,444
Cargill, Inc.
4.830%, 12/16/94 ......................................... 3,000 2,992,533
</TABLE>
266
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
------------------ ------------------
(000)
<S> <C> <C>
Ciesco L.P. C.P.
4.800%, 12/05/94 ......................................... $ 2,000 $ 1,998,444
5.480%, 01/11/95 ......................................... 4,000 3,972,233
5.400%, 01/24/95 ......................................... 2,000 1,981,819
5.600%, 02/06/95 ......................................... 8,000 7,910,089
Corporate Asset Funding Co. C.P.
5.450%, 01/24/95 ......................................... 7,700 7,630,005
5.750%, 02/17/95 ......................................... 3,000 2,960,500
Halifax Building Society C.P.
5.240%, 01/04/95 ......................................... 4,000 3,976,861
5.300%, 01/19/95 ......................................... 13,000 12,892,569
Hypo U.S. Finance C.P.
5.380%, 01/04/95 ......................................... 4,000 3,976,861
MCA Funding Corp. C.P.
5.450%, 01/11/95 ......................................... 12,000 11,916,700
5.450%, 01/25/95 ......................................... 5,000 4,953,722
Matterhorn Capital Corp. C.P.
5.620%, 01/12/95 ......................................... 7,000 6,950,251
5.650%, 01/18/95 ......................................... 6,000 5,951,408
McKenna Triangle C.P.
5.480%, 01/23/95 ......................................... 15,000 14,866,125
Metlife Funding, Inc. C.P.
4.800%, 12/05/94 ......................................... 11,000 10,991,444
Minolta Corp. C.P.
4.930%, 12/16/94 ......................................... 4,000 3,989,955
Safeco Corp. C.P.
5.400%, 01/04/95 ......................................... 3,000 2,982,646
5.500%, 01/06/95 ......................................... 4,000 3,975,539
Sandoz Corp. C.P.
5.400%, 01/12/95 ......................................... 4,000 3,971,572
Sheffield Receivables Corp. C.P.
5.800%, 02/21/95 ......................................... 6,000 5,917,000
Societe Generale N.A. C.P.
5.480%, 01/05/95 ......................................... 6,000 5,964,300
St. Michael Finance, Ltd. C.P.
4.830%, 12/01/94 ......................................... 4,000 3,999,378
5.820%, 02/21/95 ......................................... 4,060 4,003,836
</TABLE>
267
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
------------------ ------------------
(000)
<S> <C> <C>
Toronto-Dominion Bank C.P.
5.020%, 12/29/94 ......................................... $ 6,000 $ 5,972,933
5.720%, 02/22/95 ......................................... 11,000 10,846,000
------------------
TOTAL COMMERCIAL PAPER
(Cost $205,349,067) ...................................... 205,206,719
------------------
AGENCY OBLIGATIONS -- (5.2%)
Federal Home Loan Bank
6.125%, 08/05/96 ......................................... 7,000 6,875,316
6.540%, 10/03/96 ......................................... 10,000 9,865,630
Federal National Mortgage
Association
6.270%, 07/19/96 ......................................... 14,000 13,702,500
------------------
TOTAL AGENCY OBLIGATIONS (Cost $30,882,268) ............... 30,443,446
------------------
U.S. TREASURY OBLIGATIONS -- (2.8%)
U.S. Treasury Notes
7.875%, 07/15/96 ......................................... 1,000 1,008,594
6.500%, 09/30/96 ......................................... 16,000 15,760,000
------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,978,296) ........ 16,768,594
------------------
SUPRANATIONAL OBLIGATIONS -- (1.8%)
African Development Bank
(Cost $11,075,650)
10.500%, 11/01/95 ........................................ 10,500 10,810,842
------------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC
Securities Corp. 5.50%, 12/01/94
(Collateralized by U.S. Treasury Bills 5.55%, 02/09/95)
(Cost $4,039,000) ........................................ 4,039 4,039,000
------------------
TOTAL INVESTMENTS -- (100.0%) (Cost $595,382,481) ......... $588,473,150
==================
</TABLE>
- ------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements
268
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERNATIONAL VALUE SERIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
JAPAN -- (36.8%)
COMMON STOCKS -- (36.8%)
Aica Kogyo Co., Ltd. ................................... 10,000 $ 67,780
Aichi Machine Industry Co., Ltd. ....................... 17,000 111,442
Aichi Steel Works, Ltd. ................................ 31,000 200,395
Aida Engineering, Ltd. ................................. 14,000 124,633
Aisin Seiki Co., Ltd. .................................. 40,000 586,748
*Alps Electric Co., Ltd. ................................ 26,000 352,453
Amada Co., Ltd. ........................................ 42,000 522,610
Amada Metrecs Co., Ltd. ................................ 11,000 185,837
Amada Sonoike Co., Ltd. ................................ 12,000 104,886
Ando Corp. ............................................. 12,000 67,982
Aoki Corp. ............................................. 62,000 251,512
Aomori Bank, Ltd. ...................................... 30,000 174,507
Asahi Breweries, Ltd. .................................. 65,000 729,894
Asahi Denka Kogyo KK ................................... 10,000 77,997
Ashikaga Bank, Ltd. .................................... 88,000 649,874
Asics Corp. ............................................ 34,000 127,608
Atsugi Nylon Industrial Co., Ltd. ...................... 42,000 246,434
Awa Bank, Ltd. ......................................... 26,000 182,802
Bandai Co., Ltd. ....................................... 1,000 40,465
Bank of Iwate, Ltd. .................................... 3,000 168,437
Bank of Osaka, Ltd. .................................... 33,000 132,534
Bank of the Ryukyus, Ltd. .............................. 2,000 108,245
Banyu Pharmaceutical Co., Ltd. ......................... 37,000 350,723
Best Denki Co., Ltd. ................................... 3,000 44,310
Brother Industries, Ltd. ............................... 39,000 265,129
Bunka Shutter Co., Ltd. ................................ 12,000 91,775
CSK Corp. .............................................. 9,000 277,693
Calpis Food Industry Co., Ltd. ......................... 6,000 52,443
Calsonic Corp. ......................................... 19,000 155,114
*Central Glass Co., Ltd. ................................ 30,000 124,734
Chiba Bank, Ltd. ....................................... 113,000 1,051,695
Chiba Kogyo Bank, Ltd. ................................. 3,000 132,018
*Chichibu Onoda Cement Corp. ............................ 21,000 120,455
Chiyoda Fire and Marine Insurance Co., Ltd. ............ 46,000 289,449
*Chuetsu Pulp and Paper Co., Ltd. ....................... 16,000 90,319
Chugoku Bank, Ltd. ..................................... 29,000 513,404
Chukyo Sogo Bank, Ltd. ................................. 29,000 187,466
Citizen Watch Co., Ltd. ................................ 43,000 321,032
*Clarion Co., Ltd. ...................................... 5,000 24,077
*Cosmo Securities Co., Ltd. ............................. 56,000 241,335
*Dai-Ichi Securities Co., Ltd. .......................... 20,000 85,180
Dai-Tokyo Fire and Marine Insurance Co., Ltd. .......... 55,000 378,907
Daicel Chemical Industries, Ltd. ....................... 58,000 340,314
Daido Steel Co., Ltd. .................................. 66,000 375,235
Daiichi Corp., Hiroshima ............................... 7,000 138,796
Daikin Industries, Ltd. ................................ 37,000 337,248
Daikyo, Inc. ........................................... 27,000 209,772
*Dainippon Screen Manufacturing Co., Ltd. ............... 23,000 166,596
Daio Paper Corp. ....................................... 13,000 165,706
Daisan Sogo Bank, Ltd. ................................. 21,000 130,440
*Daiwa Danchi Co., Ltd. ................................. 21,000 104,097
Daiwa Securities Co., Ltd. ............................. 92,000 1,200,607
*Daiwa Spinning Co., Ltd. ............................... 22,000 62,317
*Denki Kagaku Kogyo KK .................................. 29,000 121,163
Eighteenth Bank, Ltd. .................................. 26,000 247,243
</TABLE>
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<TABLE>
<CAPTION>
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------------------ ------------------
<S> <C> <C>
Ezaki Glico Co., Ltd. .................................. 22,000 $ 229,236
Fuji Denki Reiki Co., Ltd. ............................. 6,000 90,440
*Fuji Heavy Industries, Ltd. ............................ 82,000 360,020
Fuji Oil Co., Ltd. ..................................... 12,000 103,308
Fuji Photo Film Co., Ltd. .............................. 79,000 1,758,220
Fujita Corp. ........................................... 68,000 368,032
Fujitsu, Ltd. .......................................... 265,000 2,761,254
Fukuda Corp. ........................................... 6,000 76,480
Fukuoka City Bank, Ltd. ................................ 30,000 236,722
Fukutoku Bank, Ltd. .................................... 27,000 91,775
Futaba Corp. ........................................... 7,000 371,775
*Gakken Co., Ltd. ....................................... 13,000 97,582
Godo Steel, Ltd. ....................................... 24,000 178,938
Gun-Ei Chemical Industry Co., Ltd. ..................... 14,000 69,681
Gunze, Ltd. ............................................ 31,000 207,921
Hanwa Co., Ltd. ........................................ 53,000 199,454
Haseko Corp. ........................................... 59,000 364,087
Hazama Corp. ........................................... 51,000 203,794
Higo Bank, Ltd. ........................................ 37,000 310,673
Hiroshima Bank, Ltd. ................................... 89,000 531,209
Hitachi Construction Machinery Co., Ltd. ............... 9,000 111,077
Hitachi Koki Co., Ltd. ................................. 22,000 220,556
Hitachi Maxell, Ltd. ................................... 16,000 278,402
Hitachi Plant Engineering &
Construction Co., Ltd. ............................... 10,000 68,791
Hitachi Sales Corp. .................................... 26,000 173,596
Hitachi Transport System, Ltd. ......................... 14,000 141,345
Hitachi, Ltd. .......................................... 508,000 5,020,900
Hokkai Can Co., Ltd., Tokyo ............................ 10,000 93,576
Hokkaido Bank, Ltd. .................................... 55,000 222,559
Hokkaido Takushoku Bank, Ltd. .......................... 133,000 573,171
Hokuriku Bank, Ltd. .................................... 100,000 738,493
Hokuriku Pharmaceutical Co., Ltd. ...................... 7,000 118,260
Honda Motor Co., Ltd. .................................. 150,000 2,518,968
Horiba, Ltd. ........................................... 4,000 65,959
Hyakugo Bank, Ltd. (105th Bank) ........................ 42,000 246,434
Hyakujushi Bank, Ltd. .................................. 44,000 294,669
*Hyogo Bank, Ltd. ....................................... 7,000 21,315
Ibiden Co., Ltd. ....................................... 14,000 108,346
Ikegami Tsushinki Co., Ltd. ............................ 8,000 75,266
Inax Corp. ............................................. 35,000 371,775
*Ines Corp. ............................................. 7,000 78,604
Intec, Inc. ............................................ 7,000 100,556
*Ishihara Sangyo Kaisha, Ltd. ........................... 24,000 97,360
Itochu Corp. ........................................... 94,000 688,477
Itochu Fuel Corp. ...................................... 13,000 129,803
Itoham Foods, Inc. ..................................... 32,000 248,943
Izumiya Co., Ltd. ...................................... 15,000 277,693
Japan Pulp and Paper Co., Ltd. ......................... 3,000 18,209
Japan Synthetic Rubber Co., Ltd. ....................... 38,000 244,107
Japan Vilene Co., Ltd. ................................. 10,000 69,499
Joshin Denki Co., Ltd. ................................. 11,000 140,212
Juroku Bank, Ltd. ...................................... 20,000 113,505
Kagoshima Bank, Ltd. ................................... 33,000 262,064
Kaneka Corp. ........................................... 49,000 391,603
Kanematsu Corp. ........................................ 46,000 244,775
*Kankaku Securities Co., Ltd. ........................... 56,000 262,296
Kansai Paint Co., Ltd., Osaka .......................... 18,000 107,436
</TABLE>
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<CAPTION>
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Kanto Auto Works, Ltd., Yokosuka ....................... 10,000 $ 68,488
Kanto Natural Gas Development Co., Ltd. ................ 11,000 89,024
Kasumi Co., Ltd. ....................................... 10,000 89,024
Katokichi Co., Ltd. .................................... 9,000 206,677
*Kawasho Corp. .......................................... 21,000 96,237
Keiyo Bank, Ltd. ....................................... 39,000 239,484
Kinden Corp. ........................................... 31,000 514,315
Kinseki, Ltd. .......................................... 6,000 105,008
Kitz Corp. ............................................. 20,000 101,770
Kiyo Bank, Ltd. ........................................ 19,000 138,392
Koa Oil Co., Ltd. ...................................... 4,000 28,447
Kokusai Securities Co., Ltd. ........................... 37,000 542,742
Komatsu Forklift Co., Ltd. ............................. 17,000 138,098
Komatsu, Ltd. .......................................... 68,000 632,190
Komori Corp. ........................................... 11,000 307,132
Konica Corp. ........................................... 51,000 391,593
Kosei Securities Co., Ltd. ............................. 4,000 21,932
Koyo Seiko Co., Ltd. ................................... 29,000 278,705
Kumagai Gumi Co., Ltd. ................................. 99,000 455,690
Kurabo Industries, Ltd. ................................ 48,000 202,003
Kureha Chemical Industry Co., Ltd. ..................... 39,000 211,472
Kurimoto, Ltd. ......................................... 19,000 209,509
Kyudenko Corp. ......................................... 11,000 137,987
Lintec Corp. ........................................... 11,000 184,724
Long Term Credit Bank of Japan, Ltd. ................... 161,000 1,742,742
Maeda Corp. ............................................ 27,000 269,044
*Makino Milling Machine Co., Ltd. ....................... 16,000 142,600
Makita Corp. ........................................... 5,000 86,495
Marubeni Corp. ......................................... 100,000 560,445
Marudai Food Co., Ltd. ................................. 25,000 191,705
Maruetsu, Inc. ......................................... 25,000 250,885
Marui Co., Ltd. ........................................ 57,000 962,974
Maruichi Steel Tube, Ltd. .............................. 14,000 254,932
Maruzen Showa Unyu Co., Ltd. ........................... 14,000 75,913
Matsushita Electric Industrial Co., Ltd. ............... 324,000 5,014,871
Matsushita Electric Works, Ltd. ........................ 113,000 1,154,578
Matsushita Refrigeration Co., Ltd. ..................... 4,000 33,343
Matsushita Seiko Co., Ltd. ............................. 4,000 29,337
*Mazda Motor Corp. ...................................... 167,000 939,322
Meija Seika Kaisha, Ltd. Tokyo ......................... 60,000 390,895
Michinoku Bank, Ltd. ................................... 18,000 139,666
*Mitsubishi Chemical Corp. Em 94 ........................ 85,800 471,314
Mitsubishi Electric Corp. .............................. 313,000 2,206,990
Mitsubishi Gas Chemical Co., Inc. ...................... 71,000 356,975
Mitsubishi Materials Corp. ............................. 81,000 442,489
Mitsubishi Paper Mills, Ltd. ........................... 27,000 204,856
Mitsubishi Trust & Banking Corp. ....................... 89,000 1,260,496
Mitsui & Co., Ltd. ..................................... 61,000 530,086
Mitsui Fudosan Co., Ltd. ............................... 115,000 1,186,646
Mitsui Petrochemical Industries, Ltd. .................. 44,000 395,711
Mitsui Toatsu Chemicals, Inc. .......................... 61,000 255,478
Mitsui Trust & Banking Co., Ltd. ....................... 81,000 827,618
Mizuno Corp. ........................................... 18,000 180,273
NHK Spring Co., Ltd. ................................... 34,000 188,832
NOK Corp. .............................................. 12,000 114,355
NSK, Ltd. .............................................. 36,000 270,228
NTN Corp. .............................................. 30,000 206,677
Nagase & Co., Ltd. ..................................... 25,000 242,792
Naigai Co., Ltd. ....................................... 12,000 76,358
Nakayama Steel Works, Ltd. ............................. 17,000 128,811
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New Japan Securities Co., Ltd. ......................... 58,000 $ 395,468
New Oji Paper Co., Ltd. ................................ 2,000 21,042
Nichicon Corp. ......................................... 13,000 186,748
Nichido Fire & Marine Insurance Co., Ltd. .............. 31,000 259,980
Nichiei Construction Co., Ltd. ......................... 11,000 116,844
Nichimen Corp. ......................................... 63,000 280,425
Nifco, Inc. ............................................ 7,000 104,097
Nihon Cement Co., Ltd. ................................. 47,000 339,009
Nikko Securities Co., Ltd. ............................. 98,000 1,040,971
*Nippon Chemi-Con Corp. ................................. 22,000 131,533
Nippon Credit Bank, Ltd. ............................... 253,000 1,494,709
Nippon Flour Mills Co., Ltd. ........................... 12,000 63,126
Nippon Hodo Co., Ltd. .................................. 16,000 278,402
Nippon Oil Co., Ltd. ................................... 190,000 1,305,109
Nippon Paint Co., Ltd., Osaka .......................... 37,000 260,890
Nippon Sanso Corp. ..................................... 27,000 138,756
Nippon Sheet Glass Co., Ltd. ........................... 62,000 321,760
Nippon Shinpan Co., Ltd. Tokyo ......................... 43,000 335,822
*Nippon Steel Chemical Co., Ltd. ........................ 25,000 100,405
*Nippon Suisan Kaisha, Ltd. ............................. 49,000 229,014
Nippon Synthetic Chemical
Industry Co., Ltd. ................................... 12,000 66,161
Nippon Trust & Banking Co., Ltd. ....................... 39,000 158,998
*Nippon Yakin Kogyo Co., Ltd. ........................... 29,000 162,529
*Nissan Diesel Motor Co., Ltd. .......................... 23,000 117,501
Nissan Motor Co., Ltd. ................................. 388,000 3,277,491
Nissan Shatai Co., Ltd. ................................ 24,000 148,832
Nisshin Oil Mills, Ltd. ................................ 22,000 176,267
Nisshin Steel Co., Ltd. ................................ 66,000 319,150
Nisshinbo Industries, Inc. ............................. 33,000 367,223
Nitsuko, Ltd. .......................................... 4,000 49,772
Nittetsu Mining Co., Ltd. .............................. 11,000 102,711
*Nitto Boseki Co., Ltd. ................................. 36,000 102,337
Nitto Denko Corp. ...................................... 22,000 356,095
Noritz Corp. ........................................... 9,000 171,168
OSG Manufacturing Co., Ltd. ............................ 14,000 95,599
Obayishi Corp. ......................................... 55,000 353,313
Oita Bank, Ltd. ........................................ 3,510 31,531
Okamura Corp. .......................................... 16,000 138,230
Okasan Securities Co., Ltd. ............................ 13,000 76,803
*Okuma Corp. ............................................ 21,000 196,085
Okumura Corp. .......................................... 32,000 245,706
Okura Industrial Co., Ltd. ............................. 12,000 97,845
Omron Corp. ............................................ 34,000 588,164
Onward Kashiyama Co., Ltd. ............................. 22,000 298,230
Optec Dai-Ichi Denko Co., Ltd. ......................... 13,000 77,724
*Pacific Metals Co., Ltd. ............................... 23,000 111,917
Parco Co., Ltd. ........................................ 6,000 67,375
Pioneer Electronic Corp. ............................... 26,000 578,655
Rengo Co., Ltd. ........................................ 14,000 115,711
*Renown, Inc. ........................................... 38,000 167,223
Rhythm Watch Co., Ltd. ................................. 19,000 70,541
Ricoh Co. Ltd., Tokyo .................................. 101,000 960,445
Royal Co., Ltd. ........................................ 6,000 86,191
Ryosan Co., Ltd. ....................................... 7,000 189,074
SXL Corp. .............................................. 13,000 130,460
Sakai Chemical Industry Co., Ltd. ...................... 14,000 93,475
San-In Godo Bank, Ltd. ................................. 23,000 204,987
Sanden Corp. ........................................... 24,000 158,543
Sankyo Aluminum Industry Co., Ltd. ..................... 38,000 240,263
*Sankyo Seiki Manufacturing Co., Ltd. ................... 18,000 126,555
Sanrio Co., Ltd. ....................................... 5,000 68,791
</TABLE>
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Sanyo Electric Co., Ltd. ............................... 301,000 $1,766,110
Sanyo Shokai, Ltd. ..................................... 8,000 45,321
Sanyo Special Steel Co., Ltd. .......................... 34,000 155,468
Seino Transportation Co., Ltd. ......................... 24,000 454,021
Seiren Co., Ltd. ....................................... 8,000 75,347
Seiyo Food Systems, Inc. ............................... 14,000 155,792
Sekisui Chemical Co., Ltd. ............................. 80,000 784,219
Sekisui House, Ltd. .................................... 105,000 1,221,548
Sekisui Plastics Co., Ltd. ............................. 19,000 115,519
*Settsu Corp. ........................................... 46,000 188,467
Sharp Corp., Osaka ..................................... 13,000 226,201
Shiga Bank, Ltd. ....................................... 11,000 75,114
Shinmaywa Industries, Ltd. ............................. 19,000 197,977
Shinwa Bank, Ltd. ...................................... 22,000 153,343
Shionogi & Co., Ltd. ................................... 54,000 471,988
Shiseido Co., Ltd. ..................................... 62,000 752,656
*Shokusan Jutaku Sogo Co., Ltd. ......................... 21,000 81,791
Showa Sangyo Co., Ltd. ................................. 29,000 140,233
Sogo Co., Ltd. ......................................... 22,000 131,978
Sony Corp. ............................................. 57,700 3,064,492
Stanley Electric Co., Ltd. ............................. 25,000 184,623
Star Micronics Co., Ltd. ............................... 10,000 92,059
Sumitomo Bakelite Co., Ltd. ............................ 16,000 113,465
Sumitomo Corp. ......................................... 164,000 1,659,079
*Sumitomo Metal Industries, Ltd., Osaka ................. 458,000 1,496,550
Sumitomo Osaka Cement Co., Ltd. ........................ 19,000 90,723
Sumitomo Realty & Development Co., Ltd. ................ 57,000 338,483
Sumitomo Trust & Banking Co., Ltd. ..................... 85,000 1,092,059
Sun Wave Corp. ......................................... 4,000 60,293
TDK Corp. .............................................. 19,000 903,389
*TEC Corp. .............................................. 35,000 171,017
Tadano, Ltd. ........................................... 22,000 202,529
*Taiheiyo Securities Co., Ltd. .......................... 21,000 99,848
Taikisha, Ltd. ......................................... 6,000 98,331
Taisei Corp. ........................................... 157,000 952,959
Taiyo Yuden Co., Ltd. .................................. 19,000 199,899
Takeda Chemical Industries, Ltd. ....................... 135,000 1,679,818
Tamura Corp. ........................................... 18,000 134,568
Teijin, Ltd. ........................................... 142,000 795,832
Tenma Corp. ............................................ 2,000 51,391
Toa Steel Co., Ltd. .................................... 23,000 161,244
Tochigi Sogo Bank, Ltd. ................................ 11,000 113,505
Toda Corp. ............................................. 45,000 403,338
Toenec Corp. ........................................... 14,000 150,127
Toho Bank, Ltd. ........................................ 35,000 256,702
Tokai Carbon Co., Ltd. ................................. 27,000 114,719
Tokai Rika Co., Ltd. ................................... 17,000 192,615
Tokico, Ltd. ........................................... 19,000 97,451
Tokio Marine & Fire Insurance Co., Ltd. ................ 29,000 334,446
Toko, Inc. ............................................. 8,000 58,918
Tokuyama Corp. ......................................... 37,000 219,342
Tokyo Broadcasting System, Inc. ........................ 25,000 422,357
Tokyo Securities Co., Ltd. ............................. 23,000 128,670
Tokyo Sowa Bank, Ltd. .................................. 27,000 137,117
Tokyo Style Co., Ltd. .................................. 16,000 275,164
Tokyo Tatemono Co., Ltd. ............................... 31,000 180,324
Tokyo Tekko Co., Ltd. .................................. 9,000 93,779
*Tokyu Car Corp. ........................................ 14,000 83,561
Tokyu Construction Co., Ltd. ........................... 34,000 174,041
Tokyu Department Store Co., Ltd. ....................... 39,000 240,668
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<TABLE>
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Tokyu Land Corp. ....................................... 14,000 $ 65,716
Tokyu Store Chain Corp. ................................ 11,000 87,800
Tonami Transportation Co., Ltd. ........................ 16,000 123,986
Toshiba Engineering & Construction Co., Ltd. ........... 11,000 111,057
Toshiba Machine Co., Ltd. .............................. 27,000 195,296
Toyo Engineering Corp. ................................. 25,000 187,152
Toyo Ink Manufacturing Co., Ltd. ....................... 42,000 272,777
Toyo Seikan Kaisha, Ltd ................................ 31,000 1,047,446
*Toyo Tire & Rubber Co., Ltd. ........................... 33,000 148,558
Toyo Trust & Banking Co., Ltd. ......................... 113,000 1,143,146
Toyoda Machine Works, Ltd. ............................. 20,000 163,075
Toyota Auto Body Co., Ltd. ............................. 14,000 134,547
Toyota Motor Corp. ..................................... 510,000 10,886,191
Toyota Tsusho Corp. .................................... 34,000 239,737
Tsubakimoto Chain Co., Ltd. ............................ 30,000 165,402
UNY Co., Ltd. .......................................... 26,000 397,167
*Victor Co. of Japan, Ltd. .............................. 39,000 532,625
Wacoal Corp. ........................................... 21,000 235,812
Yakult Honsha Co., Ltd. ................................ 24,000 371,472
Yamagata Bank, Ltd. .................................... 27,000 152,140
Yamaguchi Bank, Ltd. ................................... 27,000 439,757
Yamaha Corp. ........................................... 27,000 338,695
Yamaichi Securities Co., Ltd. .......................... 176,000 1,292,625
Yamamura Glass Co., Ltd. ............................... 7,000 55,660
Yamatake Honeywell Co., Ltd. ........................... 11,000 164,694
Yamato Kogyo Co., Ltd. ................................. 16,000 160,405
Yasuda Trust & Banking Co., Ltd. ....................... 161,000 1,302,984
Yodogawa Steel Works, Ltd. ............................. 32,000 252,504
Yokogawa Bridge Corp. .................................. 10,000 137,582
Yokogawa Electric Corp. ................................ 36,000 367,830
Yokohama Reito Co., Ltd. ............................... 6,000 78,907
Zexel Corp. ............................................ 16,000 108,933
------------------
TOTAL COMMON STOCKS
(Cost $127,862,384) ..................................... 128,762,490
------------------
RIGHTS/WARRANTS -- (0.0%)
*Shinwa Bank, Ltd. Rights 01/18/95 (Cost $0) ............ 3,300 11,150
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $9,511) ............................. 9,476
------------------
TOTAL -- JAPAN
(Cost $127,871,895) ..................................... 128,783,116
------------------
UNITED KINGDOM -- (21.1%)
COMMON STOCKS -- (20.8%)
ASDA Group P.L.C. ...................................... 829,600 847,968
Abbey National P.L.C. .................................. 369,200 2,423,294
Anglian Water P.L.C. ................................... 84,000 646,087
Argyll Group P.L.C. .................................... 317,200 1,267,079
Arjo Wiggins Appleton P.L.C. ........................... 118,700 486,242
Associated British Foods P.L.C. ........................ 107,100 922,747
Associated British Ports Holdings P.L.C. ............... 112,900 496,970
Attwoods P.L.C. ........................................ 88,400 162,020
Bank of Scotland (Governor & Company of the) ........... 92,100 297,927
Barclays P.L.C. ........................................ 467,904 4,449,138
Bass P.L.C. ............................................ 245,300 2,036,591
Blenheim Group P.L.C. .................................. 26,200 103,837
Britannic Assurance P.L.C. ............................. 10,800 69,026
British Aerospace P.L.C. ............................... 47,000 329,106
British Gas P.L.C. ..................................... 657,700 3,173,284
British Land Co. P.L.C. ................................ 87,200 498,586
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<TABLE>
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------------------ ------------------
<S> <C> <C>
British Petroleum Co. P.L.C. ........................... 868,904 $5,771,226
British Steel P.L.C. ................................... 567,200 1,399,417
British Vita P.L.C. .................................... 21,500 75,443
Brixton Estate P.L.C. .................................. 64,600 181,141
Burton Group P.L.C. .................................... 370,700 406,491
*Camas P.L.C. ........................................... 37,100 45,041
Charter P.L.C. ......................................... 23,600 279,119
Commercial Union P.L.C. ................................ 189,875 1,591,300
Courtaulds Textiles P.L.C. ............................. 10,200 71,583
English China Clays P.L.C. ............................. 88,700 476,593
First Leisure Corp. P.L.C. ............................. 16,900 68,832
Fisons P.L.C. .......................................... 92,200 176,206
Forte P.L.C. ........................................... 243,412 896,066
General Accident P.L.C. ................................ 126,100 1,052,865
Great Portland Estates P.L.C. .......................... 96,275 259,401
Great Universal Stores P.L.C. .......................... 283,000 2,473,723
Greenalls Group P.L.C. ................................. 62,400 408,593
Guardian Royal Exchange P.L.C. ......................... 247,100 704,489
Hambros P.L.C. ......................................... 8,500 30,359
Hammerson P.L.C. ....................................... 26,012 132,430
Hillsdown Holdings P.L.C. .............................. 97,100 250,977
ICI (Imperial Chemical Industries P.L.C.) .............. 207,800 2,467,432
Invesco P.L.C. ......................................... 25,700 70,856
Kleinwort Benson Group P.L.C. .......................... 35,000 257,689
Ladbroke Group P.L.C. .................................. 321,171 804,983
Laird Group P.L.C. ..................................... 12,600 67,701
*Lasmo P.L.C. ........................................... 275,535 632,331
Lex Service P.L.C. ..................................... 26,900 139,058
Lonrho P.L.C. .......................................... 226,533 557,136
Lucas Industries P.L.C. ................................ 105,233 336,289
MFI Furniture Group P.L.C. ............................. 175,300 376,212
Manweb P.L.C. .......................................... 34,900 431,900
Marley P.L.C. .......................................... 14,258 31,269
Mersey Docks & Harbour Co. P.L.C. ...................... 26,590 169,945
National Westminster Bank P.L.C. ....................... 498,736 4,062,604
North West Water Group P.L.C. .......................... 108,762 923,436
Northumbrian Water Group P.L.C. ........................ 20,507 222,300
Ocean Group P.L.C. ..................................... 43,600 185,091
Peel Holdings P.L.C. ................................... 32,500 117,096
Pilkington P.L.C. ...................................... 227,824 597,785
Racal Electronics P.L.C. ............................... 86,100 308,865
Rolls-Royce P.L.C. ..................................... 77,682 216,606
Royal Bank of Scotland Group P.L.C. .................... 64,756 425,035
Royal Insurance Holdings P.L.C. ........................ 87,500 402,982
Scottish & Newcastle P.L.C. ............................ 31,700 256,732
Sears P.L.C. ........................................... 426,000 717,379
Seeboard P.L.C. ........................................ 76,500 508,110
Severn Trent P.L.C. .................................... 102,227 855,140
Shell Transport & Trading Co. P.L.C. ................... 889,400 9,926,871
Slough Estates P.L.C. .................................. 113,800 393,972
South West Water P.L.C. ................................ 38,735 297,931
South Western Electricity P.L.C. ....................... 32,400 394,363
Southern Water P.L.C. .................................. 50,494 438,999
Stakis P.L.C. .......................................... 133,000 181,260
Sun Alliance Group P.L.C. .............................. 232,240 1,171,449
TSB Group P.L.C. ....................................... 116,400 418,472
Tarmac P.L.C. .......................................... 263,250 498,981
Tate & Lyle P.L.C. ..................................... 54,100 355,940
Taylor Woodrow P.L.C. .................................. 110,865 203,194
Telegraph P.L.C. ....................................... 7,700 42,217
Tesco P.L.C. ........................................... 577,300 2,206,591
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Thames Water P.L.C. .................................... 110,685 $ 847,868
*Tiphook P.L.C. ......................................... 5,500 3,532
Trafalgar House P.L.C. ................................. 73,440 92,035
Transport Development Group P.L.C. ..................... 49,200 161,851
Unigate P.L.C. ......................................... 69,500 370,164
United Biscuits Holdings P.L.C. ........................ 149,467 742,224
VSEL P.L.C. ............................................ 11,610 280,626
Vaux Group P.L.C. ...................................... 44,000 163,355
Vickers P.L.C. ......................................... 16,000 46,118
WPP Group P.L.C. ....................................... 206,900 367,864
Welsh Water P.L.C. ..................................... 43,500 429,981
Wessex Water P.L.C. .................................... 84,996 382,130
Whitbread P.L.C. ....................................... 25,600 220,964
Wimpey (George) P.L.C. ................................. 116,550 241,000
Wolverhampton & Dudley Breweries P.L.C. ................ 22,800 189,296
Yorkshire Water P.L.C. ................................. 59,691 475,010
------------------
TOTAL COMMON STOCKS
(Cost $69,104,086) ...................................... 72,647,417
------------------
INVESTMENT IN CURRENCY -- (0.3%)
*British Pound Sterling (Cost $1,263,410) ............... 1,266,879
------------------
RIGHTS/WARRANTS -- (0.0%)
*British Aerospace P.L.C. Rights 12/13/94 ............... 15,666 4,908
*Laird Group P.L.C. Rights 12/13/94 ..................... 2,520 1,737
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................................... 6,645
------------------
TOTAL -- UNITED KINGDOM
(Cost $70,367,496) ...................................... 73,920,941
------------------
FRANCE -- (8.8%)
COMMON STOCKS -- (8.4%)
Accor SA ............................................... 2,700 294,728
Agache (Societe Financiere) ............................ 800 193,398
Alcatel Alsthom Cie Generale d'Electricite SA .......... 29,500 2,496,048
Au Bon Marche SA ....................................... 2,500 418,875
Axa SA ................................................. 32,400 1,596,050
*CERUS (Compagnies Europeenes Reunis SA) ................ 4,100 76,244
*Cap Gemini Sogeti SA ................................... 5,850 201,038
Carnaudmetalbox SA ..................................... 17,100 594,008
Chargeurs SA ........................................... 1,500 357,043
Ciments Francais ....................................... 335 10,354
Ciments Francais Series B .............................. 4,600 215,565
Ciments Vicat .......................................... 800 77,359
*Club Mediterranee SA ................................... 2,000 167,364
Credit Commercial de France ............................ 12,877 561,535
Credit National ........................................ 2,500 186,518
Dassault Aviation SA ................................... 2,500 201,302
Dior (Christian) SA .................................... 8,800 706,946
ECIA (Equipements et Composants pour l'Industrie
Automobile) .......................................... 1,100 153,008
Elf Aquitaine SA ....................................... 53,091 3,633,192
Eridania Beghin-Say SA ................................. 5,400 749,121
Financiere de Paribas SA Series A ...................... 22,859 1,626,379
Generale d'Industrie et de Participation ............... 1,200 286,750
Hutchinson SA .......................................... 22 6,141
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Imetal ................................................. 1,219 $ 116,969
Labinal SA ............................................. 1,000 131,288
Navigation Mixte SA .................................... 3,086 562,969
Pechiney International SA .............................. 16,950 510,628
*Peugeot SA ............................................. 9,850 1,456,206
Poliet SA .............................................. 5,222 379,693
Rhone-Poullenc SA Series A ............................. 26,800 669,813
Saint Louis (SLB) ...................................... 1,400 384,007
Saint-Gobain ........................................... 8,650 1,040,735
Schneider SA ........................................... 11,880 860,485
Scor SA ................................................ 4,624 101,810
Societe Generale Paris ................................. 16,301 1,852,145
Sommer-Allibert SA ..................................... 300 100,920
Sophia SA .............................................. 400 30,788
Sovac SA ............................................... 2,500 206,416
Suez SA ................................................ 30,600 1,505,105
*Thomson CSF ............................................ 24,100 743,952
Total SA Series B ...................................... 45,150 2,827,805
UAP (Compagnie UAP SA) ................................. 29,200 825,365
Worms et Compagnie SA .................................. 2,900 133,742
------------------
TOTAL COMMON STOCKS
(Cost $29,658,235) ...................................... 29,249,807
------------------
INVESTMENT IN CURRENCY -- (0.4%)
*French Francs (Cost $1,526,183) ........................ 1,504,853
------------------
RIGHTS/WARRANTS -- (0.0%)
*Sophia SA Warrants 03/31/99 (Cost $0) .................. 400 442
------------------
TOTAL -- FRANCE
(Cost $31,184,418) ...................................... 30,755,102
------------------
GERMANY -- (8.4%)
COMMON STOCKS -- (8.4%)
AGIV AG fuer Industrie & Verkehrswesen ................. 750 237,799
AMB (Aachener und Muenchener Beteiligungs AG) .......... 420 278,124
BASF AG ................................................ 10,850 2,105,627
BHF Bank (Berliner Handels und Frankfurter Bank) ....... 1,500 364,593
BMW (Bayerische Motorenwerke AG), Muenchen ............. 2,086 1,004,740
Badenwerk AG ........................................... 950 300,909
Bankgesellschaft Berlin AG ............................. 2,600 605,423
Bayer AG ............................................... 12,650 2,774,526
Bayerische Hypotheken und
Wechselbank AG ....................................... 4,200 1,098,565
*Bayerische Hypotheken und
Wechselbank AG Em 94 ................................. 70 17,818
Bayerische Vereinsbank AG .............................. 3,837 1,119,890
Berliner Kraft & Licht Bewag AG Series A ............... 1,550 291,707
*Bremer Vulkan Verbund AG ............................... 2,750 174,035
Colonia Konzern AG ..................................... 200 162,041
Commerzbank AG ......................................... 4,125 852,105
DEPFA (Deutsche Pfandbrief und Hypothekenbank AG) ...... 550 257,895
Deutsche Hypothekenbank Frankfurt AG ................... 300 156,938
*Deutsche Lufthansa AG .................................. 6,500 823,126
Dresdner Bank AG, Frankfurt ............................ 8,150 2,126,539
Hamburgische Electricitaetswerke AG, Hamburg ........... 950 133,333
Hoechst AG ............................................. 10,700 2,146,826
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Karstadt AG ............................................ 1,550 $ 548,804
Man AG, Muenchen ....................................... 2,450 659,585
Mannesmann AG .......................................... 2,756 720,868
*Metallgesellschaft AG, Frankfurt ....................... 2,600 207,337
*PWA (Papierwerke Waldhof- Aschaffenburg AG) ............ 300 45,742
Preussag AG ............................................ 2,900 801,084
Ruetgerswerke AG ....................................... 467 87,293
Siemens AG ............................................. 10,250 3,992,105
Thuega AG .............................................. 557 179,448
*Thyssen AG ............................................. 2,450 436,858
*Thyssen Industrie AG, Essen ............................ 500 52,313
Veba AG ................................................ 9,050 2,973,365
Vereins & Westbank AG .................................. 457 95,919
Volkswagen AG .......................................... 5,350 1,459,091
------------------
TOTAL COMMON STOCKS (Cost $27,480,334) .................... 29,292,371
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $155) ............................... 162
------------------
TOTAL -- GERMANY
(Cost $27,480,489) ...................................... 29,292,533
------------------
SWITZERLAND -- (5.7%)
COMMON STOCKS -- (5.7%)
BBC Brown Boveri AG, Baden ............................. 1,680 1,411,200
Baloise Holding, Basel ................................. 495 935,830
Banque Cantonale Vaudoise .............................. 500 254,717
Bobst SA, Prilly ....................................... 255 298,302
Ciba-Geigy SA, Basel ................................... 13,150 7,651,811
*Fischer (Georg) AG, Schaffhausen ....................... 275 315,472
Forbo Holding AG, Eglisau .............................. 70 124,679
Intershop Holding AG, Zuerich .......................... 850 344,491
Landis & Gyr AG, Zug ................................... 400 220,377
*Oerlikon-Buehrle Holding AG, Zuerich ................... 5,000 490,566
Pargesa Holding SA, Geneve ............................. 300 332,830
*Pirelli SA, Basel ...................................... 300 39,623
Rieter Holding AG, Winterthur .......................... 225 283,585
SBSI Holding SA, Lugano ................................ 125 141,981
SBV (Schweizerische Bankverein) ........................ 16,700 4,600,377
SIG (Schweizerische Industrie Gesellschaft Holding AG),
Neuhausen am Rheinfall ............................... 130 243,321
*Sandoz AG, Basel ....................................... 1,400 750,189
*Saurer AG, Arbon ....................................... 400 134,340
Schindler Holding AG, Hergiswell ....................... 10 56,981
Sulzer AG, Winterthur .................................. 1,175 802,547
Sulzer AG, Winterthur (Participating) .................. 175 117,943
*Swissair Schweizerische Luftverkehr AG, Zuerich ........ 900 553,585
------------------
TOTAL COMMON STOCKS
(Cost $21,026,824) ...................................... 20,104,747
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $212) ............................... 216
------------------
RIGHTS/WARRANTS -- (0.0%)
*Baloise Holding, Basel Warrants 08/30/95 345 4,491
*Forbo Holding AG Warrants 11/01/95 ..................... 140 370
------------------
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
TOTAL RIGHTS/WARRANTS
(Cost $1,001) ........................................... $ 4,861
------------------
TOTAL -- SWITZERLAND
(Cost $21,028,037) ...................................... 20,109,824
------------------
NETHERLANDS -- (4.3%)
COMMON STOCKS -- (4.3%)
ABN AMRO Holding NV .................................... 24,953 864,222
Akzo Nobel NV .......................................... 2,900 322,131
DSM NV ................................................. 21,500 1,604,386
Fortis Amev NV ......................................... 42,358 1,766,224
Hollandsche Beton Groep NV ............................. 1,750 266,662
Internationale Nederlanden Groep NV .................... 166,502 7,834,272
*KLM (Koninklijke Luchtvaart Mij NV) .................... 18,200 447,872
*Nedlloyd Groep NV, Rotterdam ........................... 12,200 368,328
Oce van der Grinten NV, Venlo .......................... 8,800 385,486
Philips Electronics NV ................................. 22,900 693,979
Stad Rotterdam ......................................... 17,600 376,964
------------------
TOTAL COMMON STOCKS
(Cost $13,974,058) ...................................... 14,930,526
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $23,823) ..................... 23,648
------------------
RIGHTS/WARRANTS -- (0.0%)
*Stad Rotterdam Rights 01/30/95 (Cost $0) ............... 15,600 0
------------------
TOTAL -- NETHERLANDS
(Cost $13,997,881) ...................................... 14,954,174
------------------
HONG KONG -- (4.1%)
COMMON STOCKS -- (4.1%)
Allied Properties (Hong Kong), Ltd. .................... 1,226,000 187,127
Amoy Properties, Ltd. .................................. 1,356,000 1,350,563
CDL Hotels International, Ltd. ......................... 875,710 370,968
Century City International Holdings, Ltd. .............. 911,600 218,143
Great Eagle Holdings, Ltd. ............................. 1,200,000 539,387
HKR International, Ltd. ................................ 491,200 419,340
Hang Lung Development Co., Ltd. ........................ 739,000 1,127,953
Hongkong & Shanghai Hotels, Ltd. ....................... 647,000 707,172
Lai Sun Development Co., Ltd. .......................... 1,380,000 210,633
Lai Sun Garment (International), Ltd. .................. 114,000 159,255
New World Development Co., Ltd. ........................ 912,739 2,567,853
*Orient Telecom & Technology Holdings, Ltd. ............. 1,178,000 396,171
Paliburg International Holdings, Ltd. .................. 712,500 336,389
Realty Development Corp., Ltd. Class A ................. 98,000 329,582
Regal Hotels International Holdings, Ltd. .............. 1,518,000 323,981
Semi-Tech (Global) Co., Ltd. ........................... 208,000 345,725
Sino Land Co., Ltd. .................................... 1,289,200 1,117,273
Stelux Holdings, Ltd. .................................. 474,552 174,941
Wharf Holdings, Ltd. ................................... 986,000 3,430,785
------------------
TOTAL COMMON STOCKS
(Cost $17,480,266) ...................................... 14,313,241
------------------
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $1,109) ........................ $ 1,110
------------------
RIGHTS/WARRANTS -- (0.0%)
*Century City International Holdings, Ltd. Warrants
12/31/95 ............................................. 71,760 2,320
*Century City International Holdings, Ltd. Warrants
12/31/96 ............................................. 35,880 910
*Hang Lung Development Co., Ltd. Warrants 10/31/97 ...... 73,900 0
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................................... 3,230
------------------
TOTAL -- HONG KONG
(Cost $17,481,375) ...................................... 14,317,581
------------------
AUSTRALIA -- (3.6%)
COMMON STOCKS -- (3.4%)
Australia and New Zealand Banking Group, Ltd. .......... 291,240 887,592
Australian Gas Light Co. ............................... 59,093 190,554
Boral, Ltd. ............................................ 252,700 651,504
Brambles Industries, Ltd. .............................. 20,400 195,935
Burns Philp & Co., Ltd. ................................ 93,165 225,138
CSR, Ltd. .............................................. 213,141 729,952
Commonwealth Bank of Australia ......................... 101,631 575,667
Fosters Brewing Group, Ltd. ............................ 753,600 637,971
Goodman Fielder, Ltd. .................................. 252,107 221,186
Hardie (James) Industries, Ltd. ........................ 102,459 152,186
MIM Holdings, Ltd. ..................................... 365,374 683,299
National Australia Bank, Ltd ........................... 294,499 2,388,865
News Corp., Ltd. ....................................... 429,435 1,725,183
North, Ltd. ............................................ 48,639 126,897
*Pasminco, Ltd. ......................................... 75,500 109,237
Pioneer International, Ltd. ............................ 190,000 462,070
QCT Resources, Ltd. .................................... 115,952 115,116
*Renison Goldfields Consolidated, Ltd. .................. 36,700 137,550
Santos, Ltd. ........................................... 108,857 300,758
Southcorp Holdings, Ltd. ............................... 117,608 250,717
Westpac Banking Corp. .................................. 387,310 1,251,916
------------------
TOTAL COMMON STOCKS
(Cost $12,131,848) ...................................... 12,019,293
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $7,179) ........................ 7,344
------------------
PREFERRED STOCK -- (0.2%)
*News Corp., Ltd. ....................................... 191,868 667,434
Publishing and Broadcasting, Ltd. 11/29/96 ............. 32,900 94,697
------------------
TOTAL PREFERRED STOCK
(Cost $882,346) ......................................... 762,131
------------------
TOTAL -- AUSTRALIA
(Cost $13,021,373) ...................................... 12,788,768
------------------
SWEDEN -- (2.1%)
COMMON STOCKS -- (2.1%)
*Avesta Sheffield AB Series B ........................... 51,500 523,034
Electrolux AB Series B ................................. 8,900 454,895
*MODO (Mo Och Domsjoe AB) Series B ...................... 8,800 413,568
SSAB Swedish Steel Series A ............................ 10,400 459,077
*Skandinaviska Enskilda Banken Series A ................. 172,800 1,048,385
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Stora Kopparbergs Bergslags AB Series A ................ 17,500 $1,084,965
Svenska Cellulosa AB Series B .......................... 67,300 1,072,154
Svenska Handelsbanken Series A ......................... 77,400 1,063,511
*Trelleborg AB Series B ................................. 14,400 210,289
Trygg Hansa AB Series B ................................ 17,100 174,803
Volvo AB Series B ...................................... 50,000 962,496
------------------
TOTAL COMMON STOCKS
(Cost $7,144,289) ....................................... 7,467,177
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $10) ............................... 10
------------------
TOTAL - SWEDEN
(Cost $7,144,299) ....................................... 7,467,187
------------------
BELGIUM -- (1.5%)
COMMON STOCKS -- (1.5%)
Banque Bruxelles Lambert ............................... 4,500 605,943
*Banque Bruxelles Lambert (Precompte Reduit) ............ 128 16,839
*CMB (Cie Martime Belge) ................................ 2,300 185,467
COBEPA SA (Cie Belge de Participation Parabas) ......... 4,000 132,735
Electrafina SA ......................................... 6,600 579,198
*Electrafina SA (Precompte Reduit) ...................... 387 33,543
Generale de Belgique SA ................................ 17,280 1,150,039
Gevaert Photo-Producten NV ............................. 1,100 317,350
Glaverbel SA ........................................... 900 118,403
Groupe Bruxelles Lambert SA, Bruxelles ................. 800 95,341
Kredietbank NV ......................................... 1,000 202,755
Powerfin SA ............................................ 5,700 503,746
Sofina SA .............................................. 500 203,142
Solvay SA .............................................. 2,000 930,196
------------------
TOTAL COMMON STOCKS
(Cost $4,909,961) ....................................... 5,074,697
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $44,388) .......................... 42,675
------------------
TOTAL -- BELGIUM
(Cost $4,954,349) ....................................... 5,117,372
------------------
SINGAPORE -- (1.4%)
COMMON STOCKS -- (1.4%)
Hotel Properties, Ltd. ................................. 192,000 346,348
Marco Polo Developments, Ltd. .......................... 218,000 318,770
Neptune Orient Lines, Ltd. ............................. 352,000 471,418
Shangri-la Hotel, Ltd. ................................. 73,000 286,812
Singapore Land, Ltd. ................................... 180,000 1,026,990
Straits Steamship Land, Ltd. ........................... 266,000 886,970
Straits Trading Co., Ltd. .............................. 149,000 366,519
United Industrial Corp., Ltd. .......................... 815,000 740,656
United Overseas Land, Ltd. ............................. 253,000 449,470
------------------
TOTAL COMMON STOCKS
(Cost $4,430,593) ....................................... 4,893,953
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $6,392) ........................ 6,452
------------------
TOTAL -- SINGAPORE
(Cost $4,436,985) .................................... 4,900,405
------------------
</TABLE>
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<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
ITALY -- (0.5%)
COMMON STOCKS -- (0.5%)
Banca Toscana .......................................... 16,000 $ 29,856
*FERFIN (Ferruzzi Finanziaria SpA) ...................... 435 351
*Fiat SpA ............................................... 163,000 608,823
Fidis SpA .............................................. 19,500 45,921
*Gaic SpA ............................................... 61,000 27,560
Italcementi Fabbriche Riunite Cemento SpA, Bergamo ..... 12,000 76,348
Italmobiliare SpA, Milano .............................. 1,330 27,699
*Olivetti & C SpA, Ivrea ................................ 56,000 66,892
*Pirelli SpA ............................................ 74,000 99,155
Stet SpA (Financiaria Telefonica Torino) ............... 59,000 171,441
Telecom Italia SpA ..................................... 183,500 475,856
Unipol SpA ............................................. 7,000 48,327
------------------
TOTAL COMMON STOCKS
(Cost $1,236,729) ....................................... 1,678,229
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $116) ................................. 110
------------------
TOTAL -- ITALY
(Cost $1,236,845) ....................................... 1,678,339
------------------
SPAIN -- (0.4%)
COMMON STOCKS -- (0.4%)
*BANESTO (Banco Espanol de Credito SA) .................. 7,733 56,176
*BANESTO (Banco Espanol de Credito SA) Em 94 ............ 3,866 27,111
DRACONSA (Dragados y Construcciones SA) ................ 5,400 80,557
FECSA (Fuerzas Electricas de Cataluna SA) Series A ..... 17,100 95,254
Iberdrola SA ........................................... 155,700 1,038,396
Sevillana de Electricidad .............................. 24,100 117,879
Union Electrica Fenosa SA .............................. 23,700 101,274
------------------
TOTAL COMMON STOCKS
(Cost $1,516,349) ....................................... 1,516,647
------------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $6,518) ........................... 6,229
------------------
TOTAL -- SPAIN
(Cost $1,522,867) ....................................... 1,522,876
------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount Value+
------------------ ------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS --
(1.3%)
Repurchase Agreement, PNC
Securities Corp. 5.50%,
12/01/94 (Collateralized by
U.S. Treasury Bills 5.55%,
02/09/95) (Cost $4,442,000)............................ $4,442 4,442,000
------------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $346,170,309) ..................................... $350,050,218
==================
</TABLE>
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
See accompanying Notes to Financial Statements
282
<PAGE>
SCHEDULE OF INVESTMENTS
THE EMERGING MARKETS SERIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
MALAYSIA - (18.0%)
COMMON STOCKS - (14.3%)
*AMMB Holdings Berhad ................................... 3,000 $ 29,348
*AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999 .... 2,000 783
Amalgamated Steel Mills Berhad ......................... 15,000 25,005
Aokam Perdana Berhad ................................... 2,000 14,792
Aokam Perdana Berhad 'A' ............................... 2,000 13,774
Asiatic Development Berhad ............................. 17,000 19,890
Berjaya Leisure Berhad ................................. 10,000 11,113
Commerce Asset Holding Berhad .......................... 4,000 15,653
Development and Commercial Bank Berhad ................. 14,000 16,983
Edaran Otomobil Nasional Berhad ........................ 4,000 28,801
Ekran Berhad ........................................... 2,000 6,965
*Ekran Berhad 'A' ....................................... 2,000 6,457
Genting Berhad ......................................... 16,000 127,098
Golden Hope Plantations Berhad ......................... 23,000 42,661
Guinness Anchor Berhad ................................. 9,000 15,144
Highlands and Lowlands Berhad .......................... 10,000 18,626
Hong Leong Credit Berhad ............................... 8,000 41,010
Hong Leong Industries Berhad ........................... 2,000 10,800
Hume Industries (Malaysia) Berhad ...................... 6,000 26,061
Kamunting Corp. Berhad ................................. 11,000 9,814
Kedah Cement Holdings Berhad ........................... 7,000 10,025
Kuala Lumpur Kepong Berhad ............................. 11,000 28,840
Leader Universal Holdings Berhad ....................... 6,000 33,809
Lion Land Berhad ....................................... 1,000 1,205
Magnum Corp. Berhad .................................... 23,000 45,901
Malayan Banking Berhad ................................. 27,000 175,386
Malayan Cement Berhad .................................. 6,000 10,331
Malayan United Industries Berhad ....................... 9,000 13,735
*Malaysia Mining Corp. Berhad ........................... 6,000 11,082
Malaysian Airlines System .............................. 16,000 43,827
Malaysian International Shipping Corp. (Foreign) ....... 23,666 70,847
Nestle (Malaysia) Berhad ............................... 4,000 26,453
New Straits Times Press (M) Berhad ..................... 3,000 11,035
Oriental Holdings Berhad ............................... 2,000 11,035
Perusahaan Otomobil Nasional Berhad .................... 12,000 42,262
Public Bank Berhad (Foreign) ........................... 8,000 16,905
Resorts World Berhad ................................... 26,000 147,525
Rothmans of Pall Mall Malaysia Berhad .................. 7,000 46,019
Shell Refining Co. Federation of Malaysia Berhad ....... 5,000 15,848
Sime Darby Berhad (Malaysia) ........................... 41,500 112,864
Sime UEP Properties Berhad ............................. 9,000 20,427
Tan Chong Motor Holdings Berhad ........................ 12,000 14,087
Telekom Malaysia Berhad ................................ 46,000 338,408
Tenaga Nasional Berhad ................................. 71,000 305,615
Tractors Malaysia Berhad ............................... 8,000 11,270
UMW Holdings Berhad .................................... 6,000 15,261
United Engineers (Malaysia) Berhad ..................... 13,000 68,675
------------------
TOTAL COMMON STOCKS (Cost $2,196,547) ..................... 2,129,455
------------------
</TABLE>
283
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
INVESTMENT IN CURRENCY - (3.7%)
*Malaysian Ringetts (Cost $550,226) ..................... $ 549,473
------------------
RIGHTS/WARRANTS - (0.0%) ..................................
Development & Commercial Bank Berhad Rights (Cost $0) .. 14,000 0
------------------
TOTAL - MALAYSIA (Cost $2,746,773) ........................ 2,678,928
------------------
PORTUGAL - (15.1%)
COMMON STOCKS - (15.1%)
BCP (Banco Comercial Portugues SA) ..................... 26,400 352,933
*BIC (Banco Internacional de Credito) ................... 2,700 36,988
BPI (Banco Portugues de
Investimentos SA) .................................... 10,600 166,241
Banco Potugues do Atlantico SA ......................... 21,920 288,529
Banco Totta & Acores SA ................................ 3,900 79,679
*Corticeira Amorim Sociedad Gestora Participacoes Sociais
SA ................................................... 4,100 72,127
EFACEC (Empresa Fabril de Maquinas Electricas) ......... 2,000 28,821
*EFACEC (Empresa Fabril de Maquinas Electricas) Em 94 ... 200 2,820
*Filmes Lusomundo SA .................................... 300 4,155
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros SA) .. 3,300 153,965
*Jeronimo Martins (Estabelecumentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros SA) Em
94 ................................................... 500 22,470
*Lusotur Sociedad Financeira de Turismo SA .............. 1,500 30,880
Mague-Gestao e Participacoes SA ........................ 1,300 28,080
Modelo Continente SGPS SA .............................. 2,700 246,756
Modelo Sociedade Gestora de Participacoes Sociais SGPS
SA ................................................... 4,100 123,026
Mota e Companhia SA .................................... 1,700 32,229
Radio Marconi SA (Cia Portuguesa) ...................... 3,600 124,619
Salvador Caetano Industrias Metalurgicas e Veiculos de
Transporte SA ........................................ 1,800 40,396
*Sociedad Construcoes Soares da Costa SA ................ 1,100 18,322
Sociedad Construcoes Soares da Costa SA Em 94 .......... 110 1,812
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA ........................................... 11,600 277,155
Uniceruniao Cervejeira SA .............................. 5,700 86,051
*Uniceruniao Cervejeira SA Em 94 ........................ 1,300 18,328
------------------
TOTAL COMMON STOCKS (Cost $2,298,813) ..................... 2,236,382
------------------
</TABLE>
284
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
INVESTMENT IN CURRENCY - (0.0%)
*Portuguese Escudos (Cost $1,376) ....................... $ 1,373
------------------
RIGHTS/WARRANTS - (0.0%)
*Sociedad Construcoes Soares da Costa SA Rights 12/12/94
(Cost $0) ............................................ 1,100 3,664
------------------
TOTAL - PORTUGAL (Cost $2,300,189) ........................ 2,241,419
------------------
MEXICO - (13.6%)
COMMON STOCKS - (13.6%)
Apasco S.A. Series A ................................... 4,000 37,965
CEMEX (Cementos de Mexico S.A. de C.V.) Series B ....... 13,000 124,709
COMERCI (Controladora Comercial Mexicana S.A. de C.V.)
Series B ............................................. 15,000 26,250
Cifra S.A. de C.V. Series C ............................ 40,000 108,605
El Puerto de Liverpool S.A. Series C-1 ................. 10,000 14,826
Empresas ICA Sociedad Controladora S.A. de C.V. ........ 3,000 93,837
Empresas la Moderna S.A. de C.V. Series A .............. 13,000 92,398
FEMSA (Fomento Economico Mexicano S.A. de C.V.) Series B 18,000 76,395
*Grupo Carso S.A. de C.V. Series A-1 .................... 26,000 292,500
Grupo Financiero GBM Atlantico S.A. de C.V. Series C ... 5,000 23,983
Grupo Financiero Invermexico S.A. de C.V. Series B ..... 5,000 6,250
*Grupo Financiero Invermexico S.A. de C.V. Series L ..... 500 625
Grupo Financiero Serfin S.A. de C.V. Series B .......... 5,000 18,169
*Grupo Gigante S.A. Series B ............................ 30,000 15,698
Grupo Industrial Alfa S.A. Series A .................... 4,000 64,070
Grupo Industrial Bimbo S.A. de C.V. Series A ........... 10,000 77,035
Grupo Televisa SA (Certificate Representing Series A,
Series D, + Series L) ................................ 7,000 158,924
Kimberly Clark de Mexico S.A. de C.V. Series A ......... 3,000 58,430
Telefonos de Mexico S.A. Series L ...................... 230,000 620,465
Tolmex S.A. de C.V. Series B-2 ......................... 4,000 58,256
Vitro S.A. ............................................. 8,000 56,744
------------------
TOTAL - MEXICO (Cost $2,032,150) .......................... 2,026,134
------------------
TURKEY - (13.3%)
COMMON STOCKS - (13.3%)
Akbank ................................................. 827,000 260,490
Akcimento .............................................. 11,000 17,475
Aksa ................................................... 84,800 65,034
Alarko Holding ......................................... 29,500 25,048
Arcelik A.S. ........................................... 516,840 152,178
*Aygaz .................................................. 69,000 16,064
Bekoteknik Sanayi A.S. ................................. 50,000 10,134
Brisa Bridgestone Sanbanci Lastik San & Tic A.S. ....... 120,000 25,308
*CIMSA A.S. (Cimento Sanayi ve Ticaret) ................. 7,000 17,256
*Cimentas A.S. .......................................... 33,000 23,952
</TABLE>
285
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Cukurova Elektrik A.S. ................................. 50,000 $ 11,915
Dogan Sirketler Grubu Holdings AS ...................... 312,000 28,200
*Doktas ................................................. 17,000 5,704
Eczacibasi Ilac ........................................ 209,150 26,351
Ege Biracilik ve Malt Sanayi A.S. ...................... 142,800 105,604
Eregli Demir ve Celik Fabrikalari Turk A.S. ............ 737,000 72,671
Ericyas Biracilik ...................................... 38,400 33,131
Guney Biracilik ........................................ 58,000 23,035
Izmir Demir Celik ...................................... 956,160 66,782
Koc Holding A.S. ....................................... 310,000 229,252
Migros Turkey A.S. ..................................... 5,000 11,230
Netas Northern Electric Telekomunikasyon A.S. .......... 62,000 22,925
Otosan Otomobil A.S. ................................... 112,000 29,143
TOFAS (Turk Otomobil Fabrikasi A.S.) ................... 248,000 207,176
*Tat Konserve ........................................... 23,000 38,428
*Teletas ................................................ 25,000 9,073
Trakya Cam Sanayi A.S. ................................. 98,000 26,305
*Tuborg Bira ve Malt Sanayi A.S. ........................ 13,000 8,724
*Turcas Petrolculuk A.S. ................................ 49,450 15,914
Turk Demir Dokum ....................................... 72,000 12,030
*Turk Siemens Kablo ve Elektrik Sanayi A.S. ............. 30,000 15,612
*Turk Sise Cam .......................................... 200,000 20,542
*Turkiye Garanti Bankasi A.S. ........................... 817,000 210,348
*Turkiye IS Bankasi A.S. Series C ....................... 314,000 65,363
USAS (Ucak Servisi A.S.) ............................... 3,000 25,062
Yapi ve Kredi Bankasi A.S. ............................. 237,000 22,071
*Yapi ve Kredi Bankasi A.S. Em 94 ....................... 260,700 20,350
------------------
TOTAL - TURKEY (Cost $1,698,903) .......................... 1,975,880
------------------
ARGENTINA - (12.4%)
COMMON STOCKS - (12.4%)
*Acindar Industria Argentina de Aceros SA Series A ...... 12,000 11,468
*Alpargatas SA Industrial y Comercial (Argentina) ....... 23,000 14,960
*Astra Cia Argentina de Petroleos SA .................... 28,000 54,358
Bagley y Cia, Ltd. SA Series B ......................... 6,000 24,017
Banco Frances del Rio de la Plata SA ................... 8,000 69,649
Banco de Galicia y Buenos Aires SA Series A ............ 17,250 101,847
CIADEA SA .............................................. 5,000 56,790
*Celulosa Argentina SA Series B ......................... 22,000 7,375
*Corporacion Cementera Argentina SA Series B ............ 4,078 31,602
*IRSA (Inversiones y Representaciones) SA ............... 6,000 17,772
*Ipako SA ............................................... 3,000 10,657
Ledesma SA Agricola Industrial ......................... 15,000 25,398
Minetti (Juan) SA ...................................... 2,200 11,778
*Molinos Rio de la Plata SA Series B .................... 5,447 36,058
Naviera Perez Companc SA Series A ...................... 19,000 94,876
Naviera Perez Companc SA Series B ...................... 20,000 97,068
*Nobleza-Piccardo Sdad Industrial Comercial y Financiera
Pica ................................................. 3,000 14,788
Sevel Argentina SA Series C ............................ 7,034 35,763
Siderca SA Series A .................................... 86,000 64,975
</TABLE>
286
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
Sociedad Comercial del Plata ........................... 12,000 $ 41,069
Telecom Argentina Stet-France SA Series B .............. 59,000 330,632
Telefonica de Argentina SA Series B .................... 62,000 350,545
YPF (Sociedad Anonima Yacimientos Petroliferos Fiscales)
Series D ............................................. 15,000 340,739
------------------
TOTAL - ARGENTINA (Cost $2,037,477) ....................... 1,844,184
------------------
BRAZIL - (10.2%)
COMMON STOCKS - (3.5%)
Lojas Americanas SA .................................... 820,000 28,637
Mannesmann SA .......................................... 29,000 13,041
*Souza Cruz Industria e Comericio ....................... 20,000 191,716
Telecomunicacoes Brasileiras SA ........................ 6,050,000 232,048
VSMA (Cia Vidraria Santa Marina) ....................... 10,000 60,592
------------------
TOTAL COMMON STOCKS (Cost $372,879) ....................... 526,034
------------------
PREFERRED STOCK - (6.7%)
*Aracruz Celulose SA Series B ........................... 30,000 79,704
Banco Bradesco SA ...................................... 5,089,888 41,562
Banco do Brasil SA ..................................... 2,390,000 48,083
Brahma (Cia Cervejaria) ................................ 250,000 87,870
Brasmotor SA ........................................... 60,000 25,562
COFAP (Cia Fabricadora De Pecas) ....................... 600,000 9,799
Duratex SA ............................................. 380,000 26,488
Embraco SA ............................................. 30,000 26,982
IKPC SA (Industrias Klabin de Papel e Celulose) ........ 29,500 51,669
ITAUBANCO (Banco Itau SA) .............................. 180,000 51,124
ITAUSA (Investimentos Itau SA) ......................... 110,000 75,503
Multibras Eletrodomesticos SA .......................... 30,000 49,704
Sadia Concordia SA ..................................... 20,000 29,941
Telecomunicacoes Brasileiras SA ........................ 137,922 6,610
USIMINAS (Usinas Siderurgicas de Minas Gerais SA) ...... 39,390,000 62,465
Vale Rio Doce .......................................... 1,650,000 316,331
------------------
TOTAL PREFERRED STOCK (Cost $614,490) ..................... 989,397
------------------
TOTAL - BRAZIL (Cost $987,369) ............................ 1,515,431
------------------
INDONESIA - (9.0%)
COMMON STOCKS - (9.0%)
PT Charoen Pokphand Indonesia .......................... 11,000 45,700
PT Dankos Laboratories (Foreign) ....................... 3,000 16,389
PT Gadjah Tunggal ...................................... 6,000 8,676
PT Gadjah Tunggal (Foreign) ............................ 35,000 50,612
PT Hadtex Indosyntec (Foreign) ......................... 14,000 7,070
PT Hanjaya Mandala Sampoerna ........................... 38,250 181,737
PT Hanjaya Mandala Sampoerna (Foreign) ................. 11,000 52,264
PT Hero Supermarket .................................... 5,000 10,099
PT Indah Kiat Pulp & Paper Corp. (Foreign) ............. 266,700 269,351
PT Indocement Tunggal Prakarsa ......................... 21,000 69,410
PT Indorama Synthetics (Foreign) ....................... 5,500 21,398
PT Inti Indorayon Utama ................................ 40,000 103,748
PT Inti Indorayon Utama (Foreign) ...................... 48,000 124,498
PT Jakarta International Hotel and Development ......... 71,000 85,558
</TABLE>
287
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
PT Jakarta International Hotel and Development (Foreign) 13,000 $ 15,666
PT Japfa Comfeed Indonesia (Foreign) ................... 13,000 17,903
PT Kabelmetal Indonesia
(Foreign) ............................................ 14,000 17,513
PT Kalbe Farma (Foreign) ............................... 18,000 71,063
PT Lippo Land Development .............................. 8,000 12,028
PT Lippo Land Development (Foreign) .................... 8,000 12,027
PT Mayora Indah ........................................ 7,120 34,973
PT Mayora Indah (Foreign) .............................. 3,000 14,736
PT Pakuwon Jati ........................................ 23,000 21,909
PT Polysindo Eka Perkasa ............................... 7,000 13,175
PT Tigaraksa Satria (Foreign) .......................... 4,000 17,444
PT Unggul Indah Corp. .................................. 14,000 19,281
PT Unggul Indah Corp. (Foreign) ........................ 12,000 16,526
------------------
TOTAL - INDONESIA (Cost $1,342,513) ....................... 1,330,754
------------------
THAILAND - (8.4%)
COMMON STOCKS - (8.0%)
Adkinson Securities Public Co., Ltd. (Foreign) ......... 2,100 5,628
Advanced Info Service Public Co., Ltd. ................. 5,000 76,400
Advanced Info Service Public Co., Ltd. (Foreign) ....... 1,000 15,360
Amarin Plaza Public Co., Ltd. (Foreign) ................ 7,400 9,102
Asia Securities Trading Public Co., Ltd ................ 3,000 9,240
Asia Securities Trading Public Co., Ltd. (Foreign) ..... 2,300 7,084
Ayudhya Insurance Public Co., Ltd. ..................... 1,000 7,920
Bangkok Land Public Co., Ltd. (Foreign) ................ 20,200 42,016
Bank of Asia Public Co., Ltd. (Foreign) ................ 3,000 7,140
Bank of Ayudhya Public Co., Ltd. ....................... 8,000 29,920
Bank of Ayudhya Public Co., Ltd. (Foreign) ............. 7,400 29,896
Banpu Public Co., Ltd. ................................. 1,000 24,640
Banpu Public Co., Ltd. (Foreign) ....................... 800 19,456
*CMIC Finance and Securities
Public Co., Ltd. (Foreign) ........................... 2,100 18,648
*Capital Nomura Securities Public Co., Ltd. (Foreign) ... 1,000 4,800
Christiani and Nielsen (Thai) Public Co., Ltd. ......... 2,000 14,640
*Dhana Siam Finance and
Securities Public Co., Ltd. (Foreign) Rights ......... 2,000 12,800
First Bangkok City Bank Public Co., Ltd. ............... 14,000 11,900
First Bangkok City Bank Public Co., Ltd. (Foreign) ..... 32,000 27,200
General Finance and Securities Public Co., Ltd. ........ 2,700 11,448
Hana Microelectronics Co., Ltd. (Foreign) .............. 1,000 6,520
Industrial Finance Corp. of Thailand ................... 8,500 15,980
</TABLE>
288
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
International Broadcasting Corp. Public Co., Ltd. ...... 1,500 $ 9,480
International Broadcasting Corp. Public Co., Ltd.
(Foreign) ............................................ 1,400 8,848
International Engineering Public Co., Ltd. (Foreign) ... 2,000 17,920
Juldis Develop Public Co., Ltd. (Foreign) .............. 1,000 4,600
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign) ............................................ 2,800 12,992
Krung Thai Bank Public Co., Ltd. ....................... 9,100 29,484
Land and House Public Co., Ltd. (Foreign) .............. 1,000 18,080
MK Real Estate Development Public Co., Ltd. (Foreign) .. 2,600 10,244
Mutual Fund Public Co., Ltd. (Foreign) ................. 500 10,760
NTS Steel Group Public Co., Ltd. (Foreign) ............. 8,500 17,510
*Nakornthon Bank Public Co., Ltd. (Foreign) ............. 3,400 10,200
National Finance and Securities Public Co., Ltd. ....... 3,000 15,480
Nava Finance and Securities
Public Co., Ltd. (Foreign) ........................... 1,300 7,956
Padaeng Industry Public Co., Ltd (Foreign) ............. 5,200 11,232
Phatra Thanakit Public Co., Ltd. ....................... 1,000 8,480
Phatra Thanakit Public Co., Ltd. (Foreign) ............. 5,000 43,200
*Power-P Public Co., Ltd. ............................... 1,600 10,368
Quality Houses Public Co., Ltd. (Foreign) .............. 1,000 5,600
*Robinson Department Store Public Co., Ltd. ............. 5,700 12,426
*Robinson Department Store Public Co., Ltd. (Foreign) ... 4,000 8,720
*Saha-Union Public Co. Ltd. (Foreign) ................... 12,000 13,080
Securities One Public Co., Ltd. (Foreign) .............. 1,500 12,840
*Serm Suk Public Co., Ltd. (Foreign) .................... 1,000 9,680
Shinawatra Computer and
Communications Public Co., Ltd. (Foreign) ............ 2,400 68,736
Siam City Bank Public Co., Ltd. (Foreign) .............. 37,000 46,620
Siam City Cement Public Co., Ltd. (Foreign) ............ 4,600 82,800
Siam Commercial Bank Public Co., Ltd. (Foreign) ........ 5,000 46,000
Sino-Thai Engineering and Construction Public Co., Ltd.
(Foreign) ............................................ 900 11,376
</TABLE>
289
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
------------------ ------------------
<S> <C> <C>
*Srithai Superware Public Co., Ltd. (Foreign) ........... 1,400 $ 8,512
*TPI Polene Public Co., Ltd. (Foreign) .................. 3,500 31,360
*TPI Polene Public Co., Ltd. (Foreign) Em 94 ............ 875 8,120
Tanayong Public Co., Ltd.
(Foreign) ............................................ 11,000 22,440
Thai German Ceramic Industry Public Co., Ltd. .......... 2,000 6,120
Thai German Ceramic Industry Public Co., Ltd. (Foreign) 1,000 3,060
Thai Glass Industries Public Co., Ltd. ................. 1,000 4,200
Thai Military Bank Public Co., Ltd. (Foreign) .......... 10,000 37,200
Thai Plastic and Chemicals Public Co., Ltd. ............ 3,000 35,760
Thai Plastic and Chemicals Public Co., Ltd. (Foreign) .. 1,000 11,920
Tipco Asphalt Public Co., Ltd. ......................... 3,100 24,304
Union Asia Finance Public Co., Ltd. .................... 1,400 8,008
Union Asia Finance Public Co., Ltd. (Foreign) .......... 3,000 18,480
------------------
TOTAL COMMON STOCKS (Cost $1,261,884) ..................... 1,191,934
------------------
INVESTMENT IN CURRENCY - (0.0%)
*Thailand Baht (cost $4,680) ............................ 4,666
------------------
RIGHTS/WARRANTS - (0.4%)
*Dhana Siam Finance and
Securities Public Co., Ltd. (Foreign) Rights ......... 6,000 33,600
*General Finance and Securities Public Co., Ltd. Rights
03/10/95 ............................................. 5,400 15,336
*Kiatnakin Finance and Securities Public Co., Ltd.
Warrants ............................................. 70 0
*Securities One Public Co., Ltd. (Foreign) Rights ....... 500 0
*Thai Glass Industries Public Co., Ltd. Rights 12/23/94 . 2,000 7,600
------------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................................... 56,536
------------------
TOTAL - THAILAND (Cost $1,266,564) ........................ 1,253,136
------------------
TOTAL INVESTMENTS - (100.0%) (Cost $14,411,938) ........... $14,865,866
==================
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
290
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S. The U.S.
6-10 Small Large Small Cap Large Cap
Company Company Value Value
Series Series Series Series
------------ ----------- ------------ ------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value ....................... $ 146,072 $ 49,348 $ 358,303 $ 207,037
Cash ....................................... - - - 1
Receivables
Dividends and Interest ................ 140 169 582 826
Investment Securities Sold ............ 140 - 1,376 4,521
Fund Shares Sold ...................... - 70 700 942
Prepaid Expenses and Other Assets .......... 14 22 31 18
------------ ----------- ------------ ------------
Total Assets ..................... 146,366 49,609 360,992 213,345
------------- ----------- ------------ ------------
LIABILITIES:
Payable for Investment Securities Purchased 2,673 907 10,584 14,412
Payable for Fund Shares Redeemed ........... - - 24 33
Accrued Expenses and Other Liabilities ..... 63 45 107 52
------------ ----------- ------------ ------------
Total Liabilities ................ 2,736 952 10,715 14,497
------------ ----------- ------------ ------------
NET ASSETS ................................. $ 143,630 $ 48,657 $ 350,277 $ 198,848
============ =========== ============ ============
SHARES OUTSTANDING, $.01 PAR VALUE ......... 15,052,182 4,814,004 31,423,970 20,053,372
============ =========== ============ ============
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE .................................... $ 9.54 $ 10.11 $ 11.15 $ 9.92
============ =========== ============ ============
PUBLIC OFFERING PRICE PER SHARE ............ $ 9.54 $ 10.11 $ 11.15 $ 9.92
============ =========== ============ ============
Investments at Cost ........................ $ 136,636 $ 42,180 $ 361,104 $ 210,849
============ =========== ============ ============
</TABLE>
<TABLE>
<CAPTION>
The DFA The DFA The
One-Year International Emerging
Fixed Income Value Markets
Series Series Series
-------------- --------------- -------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ....................... $ 588,473 $ 350,050 $14,866
Cash ....................................... - 1,623 2,357
Receivables
Dividends and Interest ................ 5,446 1,203 4
Investment Securities Sold ............ 5,440
Fund Shares Sold ...................... -- 1,123 17
Prepaid Expenses and Other Assets .......... 50 30 13
-------------- --------------- -------------
Total Assets ..................... 599,409 354,029 17,257
-------------- --------------- -------------
LIABILITIES:
Payable for Investment Securities Purchased 5,957 5,467 1,495
Payable for Fund Shares Redeemed ........... 1,080 11 -
Accrued Expenses and Other Liabilities ..... 86 170 38
-------------- --------------- -------------
Total Liabilities ................ 7,123 5,648 1,533
-------------- --------------- -------------
NET ASSETS ................................. $ 592,286 $ 348,381 $15,724
============== =============== =============
SHARES OUTSTANDING, $.01 PAR VALUE ......... 6,022,301 34,623,392 N/A +
============== =============== =============
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE .................................... $ 98.35 $ 10.06 N/A +
============== =============== =============
PUBLIC OFFERING PRICE PER SHARE ............ $ 98.35 $ 10.06 N/A +
============== =============== =============
Investments at Cost ........................ $ 595,382 $ 346,170 $14,412
============== =============== =============
</TABLE>
+ Not applicable as The Emerging Markets Series is organized as a
partnership.
See accompanying Notes to Financial Statements
291
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S. The U.S.
6-10 Small Large Small Cap Large Cap
Company Company Value Value
Series Series Series Series
------------ ---------- ----------- -----------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
Investment Income
Dividends ........................................ $ 1,870 $1,217 $ 3,763 $ 5,418
Interest ......................................... 105 18 412 203
------------ ---------- ----------- -----------
Total Investment Income ......................... 1,975 1,235 4,175 5,621
------------ ---------- ----------- -----------
Expenses
Investment Advisory Services .................... 46 11 459 143
Accounting & Transfer Agent Fees ................ 133 75 197 122
Custodian's Fee ................................. 29 30 43 27
Legal Fees ...................................... 11 6 7 7
Audit Fees ...................................... 12 6 7 6
Shareholders' Reports ........................... 10 5 6 6
Trustees' Fees and Expenses ..................... 6 4 4 4
Other ........................................... 19 6 10 5
------------ ---------- ----------- -----------
Total Expenses ................................. 266 143 733 320
Less: Expenses Reimbursed ....................... - (132) - -
------------ ---------- ----------- -----------
Net Expenses .................................... 266 11 733 320
------------ ---------- ----------- -----------
Net Investment Income ........................... 1,709 1,224 3,442 5,301
------------ ---------- ----------- -----------
Net Realized and Unrealized Gain (Loss) on
Investments
Net Realized Gain (Loss) on Investment Securities . 10,407 (43) 2,206 (5,273)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ........................... (10,836) (687) (10,764) (5,746)
------------ ---------- ----------- -----------
Net Loss on Investment Securities ................ (429) (730) (8,558) (11,019)
------------ ---------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations ................................. $ 1,280 $ 494 $ (5,116) $ (5,718)
============ ========== =========== ===========
</TABLE>
See accompanying Notes to Financial Statements
292
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR (OR PERIOD) ENDED NOVEMBER 30, 1994
<TABLE>
<CAPTION>
The DFA The DFA The
One-Year International Emerging
Fixed Income Value Markets
Series Series(1) Series(2)
-------------- --------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes Withheld of $0,
$416,089 and $2,421, respectively) ............ $ - $ 3,972 $ 61
Interest ......................................... 28,019 362 55
-------------- --------------- ----------
Total Investment Income ....................... 28,019 4,334 116
-------------- --------------- ----------
Expenses
Investment Advisory Services ..................... 311 380 6
Accounting & Transfer Agent Fees ................. 168 227 9
Custodian's Fee .................................. 77 264 39
Legal Fees ....................................... 12 7 12
Audit Fees ....................................... 13 7 5
Shareholders' Reports ............................ 11 6 3
Trustees' Fees and Expenses ...................... 7 4 2
Other ............................................ 7 14 8
-------------- --------------- ----------
Total Expenses ................................ 606 909 84
Less: Fees Waived ................................ - (53) -
-------------- --------------- ----------
Net Expenses ..................................... 606 856 84
-------------- --------------- ----------
Net Investment Income ............................ 27,413 3,478 32
-------------- --------------- ----------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Net Realized Gain (Loss) on Investment Securities .. (5,023) 465 20
Net Realized Foreign Exchange Loss on Foreign
Currency Transactions ............................ - (279) (6)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ....... (6,783) (5,057) 453
Translation of Foreign Currency Denominated
Amounts ....................................... - 44 1
-------------- --------------- ----------
Net Gain (Loss) on Investment Securities and Foreign
Currency ......................................... (11,806) (4,827) 468
-------------- --------------- ----------
Net Increase (Decrease) in Net Assets Resulting from
Operations ....................................... $ 15,607 $(1,349) $500
============== =============== ==========
</TABLE>
- ------
(1) For the period February 15, (commencement of operations) to November 30,
1994.
(2) For the period April 25, (commencement of operations) to November 30,
1994.
See accompanying Notes to Financial Statements
293
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
The U.S. 6-10 Small The U.S. Large
Company Series Company Series
--------------------------- ---------------------------
Year Ended Feb. 3 to Year Ended Feb. 8 to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1994 1993 1994 1993
------------ ----------- ------------ -----------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ......................... $ 1,709 $ 1,578 $ 1,224 $ 827
Net Realized Gain (Loss) on Investment
Securities ................................. 10,407 12,297 (43) (772)
Change in Unrealized Appreciation
(Depreciation) of Investment Securities .... (10,836) (3,369) (687) 1,239
------------ ----------- ------------ -----------
Net Increase in Net Assets Resulting from
Operations ................................. 1,280 10,506 494 1,294
------------ ----------- ------------ -----------
Distributions From:
Net Investment Income ......................... (1,700) (1,525) (1,252) (781)
Net Realized Gain ............................. (12,200) (2,288) (33) -
------------ ----------- ------------ -----------
Total Distributions .......................... (13,900) (3,813) (1,285) (781)
------------ ----------- ------------ -----------
Capital Share Transactions (1):
Shares Issued ................................. 30,430 179,416 16,588 59,200
Shares Issued in Lieu of Cash Distributions ... 12,416 2,816 1,173 773
Shares Redeemed ............................... (48,521) (27,000) (6,166) (22,633)
------------ ----------- ------------ -----------
Net Increase (Decrease) From Capital Share
Transactions ............................. (5,675) 155,232 11,595 37,340
------------ ----------- ------------ -----------
Total Increase (Decrease) .................. (18,295) 161,925 10,804 37,853
Net Assets
Beginning of Period ........................... 161,925 - 37,853 -
------------ ----------- ------------ -----------
End of Period ................................. $143,630 $161,925 $48,657 $ 37,853
============ =========== ============ ===========
(1) Shares Issued and Redeemed:
Shares Issued ................................. 3,052 17,967 1,612 5,907
Shares Issued in Lieu of Cash Distributions ... 1,284 266 114 76
Shares Redeemed ............................... (4,868) (2,649) (597) (2,298)
------------ ----------- ------------ -----------
(532) 15,584 1,129 3,685
============ =========== ============ ===========
</TABLE>
See accompanying Notes to Financial Statements
294
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
The U.S. Small Cap The U.S. Large Cap
Value Series Value Series
---------------------------- ----------------------------
Year Ended March 2 to Year Ended Feb. 19 to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1994 1993 1994 1993
------------ ------------ ------------ ------------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ......................... $ 3,442 $ 632 $ 5,301 $ 1,623
Net Realized Gain (Loss) on Investment
Securities ................................. 2,206 555 (5,273) 53
Change in Unrealized Appreciation
(Depreciation) of Investment Securities .... (10,764) 7,963 (5,746) 1,934
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations ................ (5,116) 9,150 (5,718) 3,610
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income ......................... (3,415) (592) (5,305) (1,472)
Net Realized Gain ............................. (1,292) (507) - (82)
------------ ------------ ------------ ------------
Total Distributions .......................... (4,707) (1,099) (5,305) (1,554)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued ................................. 264,190 87,302 124,500 87,248
Shares Issued in Lieu of Cash Distributions ... 3,765 673 4,545 1,241
Shares Redeemed ............................... (3,536) (345) (9,445) (274)
------------ ------------ ------------ ------------
Net Increase From Capital Share Transactions 264,419 87,630 119,600 88,215
------------ ------------ ------------ ------------
Total Increase ............................ 254,596 95,681 108,577 90,271
Net Assets
Beginning of Period ............................ 95,681 - 90,271 -
------------ ------------ ------------ ------------
End of Period .................................. $350,277 $95,681 $198,848 $90,271
============ ============ ============ ============
(1) Shares Issued and Redeemed:
Shares Issued .............................. 22,720 8,640 11,986 8,431
Shares Issued in Lieu of Cash Distributions 340 99 446 117
Shares Redeemed ............................ (304) (71) (900) (27)
------------ ------------ ------------ ------------
22,756 8,668 11,532 8,521
============ ============ ============ ============
</TABLE>
See accompanying Notes to Financial Statements
295
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
The DFA The
The DFA One-Year International Emerging
Fixed Income Series Value Series Markets Series
---------------------------- --------------- --------------
Year Ended March 2 to Feb. 15 April 25
Nov. 30, Nov. 30, to to
1994 1993 Nov.30,1994 Nov.30,1994
------------ ------------ --------------- --------------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .................... $ 27,413 $ 18,159 $ 3,478 $ 32
Net Realized Gain (Loss) on Investment
Securities ............................ (5,023) 3,146 465 20
Net Realized Loss on Foreign Currency
Transactions .......................... - - (279) (6)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ............................. (6,783) 1,579 (5,057) 453
Translation of Foreign Currency
Denominated Amounts ................. - - 44 1
------------ ------------ --------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations ........... 15,607 22,884 (1,349) 500
------------ ------------ --------------- --------------
Distributions From:
Net Investment Income .................... (26,524) (16,252) (3,176) -
Net Realized Gain ........................ (3,154) - (480) -
------------ ------------ --------------- --------------
Total Distributions ................... (29,678) (16,252) (3,656) -
------------ ------------ --------------- --------------
Capital Share Transactions (1):
Shares Issued ............................ 205,242 694,655 355,615 -
Shares Issued in Lieu of Cash
Distributions ......................... 23,866 16,252 3,656 -
Shares Redeemed .......................... (231,179) (109,111) (5,885) -
------------ ------------ --------------- --------------
Net Increase (Decrease) From Capital
Share Transactions .................. (2,071) 601,796 353,386 -
------------ ------------ --------------- --------------
Transactions In Interest
Contributions ............................ - - - 15,298
Withdrawals .............................. - - - (74)
------------ ------------ --------------- --------------
Net Increase from Transactions in
Interest ............................ - - - 15,224
------------ ------------ --------------- --------------
Total Increase (Decrease) ............. (16,142) 608,428 348,381 15,724
Net Assets
Beginning of Period ...................... 608,428 - - -
------------ ------------ --------------- --------------
End of Period ............................ $ 592,286 $ 608,428 $348,381 $15,724
============ ============ =============== ==============
(1) Shares Issued and Redeemed:
Shares Issued ......................... 2,064 6,972 34,842 N/A
Shares Issued in Lieu of Cash
Distributions ....................... 241 162 355
Shares Redeemed ....................... (2,332) (1,085) (574)
------------ ------------ ---------------
(27) 6,049 34,623
============ ============ ===============
</TABLE>
See accompanying Notes to Financial Statements
296
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. 6-10 Small The U.S. Large
Company Series Company Series
------------------------ -------------------------
Year Feb. 3 Year Feb. 8
Ended to Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1994 1993 1994 1993
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ......................... $10.39 $10.00 $10.27 $10.00
---------- ---------- ---------- -----------
Income From Investment
Operations
Net Investment Income ......... 0.12 0.10 0.28 0.24
Net Gains (Losses) on
Securities (Realized and
Unrealized) ................ (0.07) 0.54 (0.14) 0.26
---------- ---------- ---------- -----------
Total From Investment
Operations ............... 0.05 0.64 0.14 0.50
- ----------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.11) (0.10) (0.29) (0.23)
Net Realized Gains ............ (0.79) (0.15) (0.01) -
---------- ---------- ---------- -----------
Total Distributions ........... (0.90) (0.25) (0.30) (0.23)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 9.54 $10.39 $10.11 $10.27
========================================================================================
Total Return .................... 0.59% 6.35%# 1.30% 5.05%#
- ----------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $143,630 $161,925 $48,657 $37,853
Ratio of Expenses to Average Net
Assets ........................ 0.17% 0.17%* 0.02%(a) 0.02%*(a)
Ratio of Net Investment Income to
Average Net Assets ............ 1.11% 1.18%* 2.83%(a) 2.87%*(a)
Portfolio Turnover Rate ......... 27.65% 32.88%* 8.52% 34.36%*
- ------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The U.S. Small Cap The U.S. Large Cap
Value Series Value Series
------------------------ ------------------------
Year March 2 Year Feb. 19
Ended to Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1994 1993 1994 1993
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ......................... $11.04 $10.00 $10.59 $10.00
---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income ......... 0.12 0.08 0.33 0.20
Net Gains (Losses) on
Securities (Realized and
Unrealized) ................ 0.16 1.09 (0.65) 0.58
---------- ---------- ---------- ----------
Total From Investment
Operations ............... 0.28 1.17 (0.32) 0.78
- ----------------------------------------------------------------------------------------
Less Distributions
Net Investment Income ......... (0.12) (0.07) (0.35) (0.18)
Net Realized Gains ............ (0.05) (0.06) - (0.01)
---------- ---------- ---------- ----------
Total Distributions ........... (0.17) (0.13) (0.35) (0.19)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $11.15 $11.04 $ 9.92 $10.59
========================================================================================
Total Return .................... 2.52% 11.69%# (3.13)% 7.79%#
- ----------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $350,277 $95,681 $198,848 $90,271
Ratio of Expenses to Average Net
Assets ........................ 0.32% 0.33%* 0.22% 0.23%*
Ratio of Net Investment Income to
Average Net Assets ............ 1.50% 1.35%* 3.72% 3.75%*
Portfolio Turnover Rate ......... 8.22% 1.07%* 39.33% 0.75%*
- -----------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
(a) Had certain reimbursements not been in effect the annualized ratios of
expenses to average net assets for the periods ended November 30, 1994
and 1993 would have been .33% and 0.48%, respectively, and the ratios of
net investment income for the periods ended November 30, 1994 and 1993,
would have been 2.52% and 2.41%, respectively.
See accompanying Notes to Financial Statements
297
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA The
The DFA One-Year International Emerging
Fixed Income Value Markets
Series Series Series
-------------------------- --------------- -----------
Feb. 8 Feb. 15 April 25
Year Ended to to to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1994 1993 1994 1994
------------ ---------- --------------- -----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period .... $100.58 $100.00 $10.00 N/A
------------ ---------- --------------- -----------
Income From Investment Operations
Net Investment Income ................. 4.41 3.09 0.13 -
Net Gains (Losses) on Securities
(Realized and Unrealized) .......... (1.86) 0.26 0.07 -
------------ ---------- --------------- -----------
Total From Investment Operations . 2.55 3.35 0.20 -
------------ ---------- --------------- -----------
Less Distributions
Net Investment Income ................. (4.26) (2.77) (0.13) -
Net Realized Gains .................... (0.52) - (0.01) -
------------ ---------- --------------- -----------
Total Distributions ..................... (4.78) (2.77) (0.14) -
------------ ---------- --------------- -----------
Net Asset Value, End of Period .......... $ 98.35 $100.58 $10.06 N/A+
============ ========== =============== ===========
Total Return ............................ 2.61% 3.39%# 1.99%# N/A+
------------ ---------- --------------- -----------
Net Assets, End of Period (thousands) ... $592,286 $608,428 $348,381 $15,724
Ratio of Expenses to Average Net Assets . 0.10% 0.10%* 0.45%*(a) 1.49%*(b)
Ratio of Net Investment Income to Average
Net Assets ............................ 4.41% 3.80%* 1.84%*(a) 0.56%*(b)
Portfolio Turnover Rate ................. 140.82% 111.67%* 1.90%* 1.28%*
------------ ---------- --------------- -----------
</TABLE>
* Annualized
# Non-annualized
(a) Had certain waivers not been in effect the annualized ratios of expenses
and of net investment income for the period ended would have been 0.48%
and 1.81%, respectively.
(b) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
+ Not applicable as The Emerging Markets Series is organized as a partnership
See accompanying Notes to Financial Statements
298
<PAGE>
DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company ("the Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 1994, The Trust consisted of seven investment portfolios: The
U.S. 6-10 Small Company Series, The U.S. Large Company Series, The U.S. Small
Cap Value Series, The U.S. Large Cap Value Series ("the Domestic Equity
Portfolios"), The DFA One-Year Fixed Income Series ("the Fixed Income
Portfolio"), The DFA International Value Series and The Emerging Markets
Series ("the International Equity Portfolios") (collectively, "the Series").
On February 3, 1993 and February 8, 1993, three portfolios of DFA
Investment Dimensions Group Inc. ("the Fund"); The U.S. 6-10 Small Company
Portfolio, The U.S. Large Company Portfolio and The DFA One-Year Fixed Income
Portfolio, respectively, transferred their investable assets for shares with
equal values of a corresponding Series of the Trust. On February 15, 1994,
the DFA International High Book to Market Portfolio transferred its
investable assets for shares with equal value of The DFA International Value
Series (the "Exchanges"). These four Portfolios, along with The U.S. Small
Cap Value Portfolio, The U.S. Large Cap Value Portfolio and The Emerging
Markets Portfolio of the Fund (collectively, "the Feeder Funds") invest
solely in a corresponding Series in the Trust. Although these portfolios of
the Fund invest in the Trust, the Trust also issues its shares to other
investors.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in preparation of its
financial statements.
1. Security Valuation: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent bid and
asked prices. Securities held by the International Equity Portfolios which
are listed on a securities exchange are valued at the last quoted sale price.
Price information on listed securities is taken from the exchange where the
security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. The value of
securities for which no quotations are readily available are determined in
good faith at fair value using methods determined by the Board of Directors.
Securities held by the Fixed Income Portfolio are valued on the basis of
prices provided by a pricing service when such prices are believed to reflect
the fair market value of such securities.
2. Foreign Currency Translation: Securities, other assets and liabilities
of The International Equity Portfolios whose values are initially expressed
in foreign currencies are translated to U.S. dollars at the bid price of such
currency against U.S. dollars last quoted by a major bank. Dividend and
interest income and certain expenses are translated to U.S. dollars at the
rate of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement.
3. Federal Income Taxes: It is each Series' intention, except for The
Emerging Markets Series, to qualify as a regulated investment company and
distribute all of its taxable income. Accordingly, no provision for federal
taxes is required in the financial statements.
The Emerging Markets Series is treated as a partnership for federal income
tax purposes. Any interest, dividends and gains or losses of the Series will
be deemed to have been "passed through" to its Feeder Funds.
4. Repurchase Agreements: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
299
<PAGE>
of the collateral subject to the agreement at not less than the repurchase
price (including accrued interest). The agreements are conditioned upon
the collateral being deposited under the Federal Reserve book-entry system or
with the Series' custodian or a third party sub-custodian. All repurchase
agreements were entered into on November 30, 1994.
5. Reclassifications: As of December 1, 1993, the Series implemented AICPA
Statement of Position 93-2 - Determination, Disclosure and Financial
Statement Presentation of Income, Capital Gain, and Return of Capital
Distributions by Investment Companies. Adoption of this standard results in
the reclassification to paid-in capital of permanent differences between tax
and financial reporting of net investment income and net realized
gain/(loss). The change has had no material effect on paid in capital or
other components of net assets at December 1, 1993. Distributions to
shareholders and net asset values were not affected by this change.
6. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income is recorded on an accrual
basis. Discount and premium on securities purchased are amortized over the
lives of the respective securities. Expenses directly attributable to a
Series are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("the Advisor") provides investment
advisory services to the Trust. For the period ended November 30, 1994, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on the following effective annual rates:
The U.S. 6-10 Small Company Series ..... .03 of 1%
The U.S. Large Company Series .......... .025 of 1%
The U.S. Small Cap Value Series ........ .20 of 1%
The U.S. Large Cap Value Series ........ .10 of 1%
The DFA One-Year Fixed Income Series ... .05 of 1%
The DFA International Value Series ..... .20 of 1%
The Emerging Markets Series ............ .10 of 1%
The Advisor has agreed to bear all of the ordinary operating expenses of
The U.S. Large Company Series except for the advisory fee. With respect to
The DFA International Value Series, the Advisor has also agreed to waive its
advisory fees to the extent necessary to keep the cumulative annual expenses
to not more than 0.45% of average daily net assets.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
D. PURCHASE AND SALES OF SECURITIES:
For the year (or period) ended November 30, 1994, the Series made the
following purchases and sales of investment securities:
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
------------------------- ------------------------
Purchases Sales Purchases Sales
(000) (000) (000) (000)
----------- ---------- ----------- ---------
<S> <C> <C> <C> <C>
The U.S. 6-10 Small Company Series . - - $ 45,862 $ 66,191
The U.S. Large Company Series ...... - - 15,852 4,220
The U.S. Small Cap Value Series .... - - 284,491 25,862
The U.S. Large Cap Value Series .... - - 176,069 54,799
The DFA One-Year Fixed Income Series $118,231 $86,617 474,602 462,155
The DFA International Value Series . - - 274,213 3,772
The Emerging Markets Series ........ - - 13,902 67
</TABLE>
300
<PAGE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1994, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
and foreign currencies for each Series were as follows:
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- ---------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 6-10 Small Company Series .. $26,617 $(17,181) $ 9,436
The U.S. Large Company Series ....... 8,078 (910) 7,168
The U.S. Small Cap Value Series ..... 27,422 (30,223) (2,801)
The U.S. Large Cap Value Series ..... 6,616 (10,428) (3,812)
The DFA One-Year Fixed Income Series - (6,909) (6,909)
The DFA International Value Series .. 17,823 (13,943) 3,880
The Emerging Markets Series ......... 1,337 (883) 454
</TABLE>
At November 30, 1994, The following Series had capital loss carryovers for
federal income tax purposes:
<TABLE>
<CAPTION>
Expires on November 30
----------------------------
(Amounts in Thousands)
2001 2002 Total
------ -------- -------
<S> <C> <C> <C>
The U.S. Large Company Series ...... $364 -- $ 364
The U.S. Large Cap Value Series .... - $5,273 5,273
The DFA One-Year Fixed Income Series - 5,023 5,023
</TABLE>
At November 30, 1994, the unrealized appreciation (depreciation) of
investment securities for The U.S. 6-10 Small Company Series, The U.S. Large
Company Series, The DFA One-Year Fixed Income Series and The DFA
International Value Series includes approximately $23,641,000, $6,616,000,
$(1,705,000) and $8,937,000, respectively, of unrealized appreciation
(depreciation) at time of tax-free Exchange.
F. COMPONENTS OF NET ASSETS:
At November 30, 1994, net assets consisted of (amounts in thousands):
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S.
6-10 Small Large Small Cap
Company Company Value
Series Series Series
------------ ---------- -----------
<S> <C> <C> <C>
Paid-In Capital .................................... $125,916 $42,319 $352,049
Undistributed Net Investment Income ................ 62 18 67
Undistributed Realized Gain (Loss) ................. 8,216 (848) 962
Unrealized Appreciation (Depreciation) of Investment
Securities ........................................ 9,436 7,168 (2,801)
------------ ---------- -----------
$143,630 $48,657 $350,277
============ ========== ===========
</TABLE>
<TABLE>
<CAPTION>
The U.S. The DFA The DFA
Large Cap One-Year International
Value Fixed Income Value
Series Series Series
----------- -------------- ---------------
<S> <C> <C> <C>
Paid-In Capital .................................... $207,815 $601,430 $344,449
Undistributed Net Investment Income ................ 147 2,796 302
Undistributed Realized Loss ........................ (5,302) (5,031) (15)
Undistributed Net Realized Foreign Exchange Loss ... - - (279)
Unrealized Net Foreign Exchange Gain ............... - - 44
Unrealized Appreciation (Depreciation) of Investment
Securities and Foreign Currency ................... (3,812) (6,909) 3,880
----------- -------------- ---------------
$198,848 $592,286 $348,381
=========== ============== ===============
</TABLE>
301
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of The DFA Investment Trust Company
(comprising, respectively, The U.S. 6-10 Small Company Series, The U.S. Large
Company Series, The U.S. Small Cap Value Series, The U.S. Large Cap Value
Series, The DFA One-Year Fixed Income Series, The DFA International Value
Series, and The Emerging Market Series) as of November 30, 1994, and the
related statements of operations for the year then ended and the statements
of changes in net assets and financial highlights for each of the two years
in the period then ended. These financial statements and financial highlights
are the responsibility of the Fund's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1994, by correspondence with the
custodians and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
each of the respective portfolios constituting The DFA Investment Trust
Company as of November 30, 1994, and the results of their operations for the
year then ended and the changes in their net assets and their financial
highlights for each of the two years in the period then ended, in conformity
with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 23, 1995
302
