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DFA Investment Dimensions Group Inc.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
Semi-Annual Report
Six Months Ended May 31, 1996
(Unaudited)
===============================================================================
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DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
Page
--------
Statements of Net Assets
VA Small Value Portfolio ......... 1
VA Large Value Portfolio ......... 6
VA International Value Portfolio . 8
VA International Small Portfolio . 11
VA Short-Term Fixed Portfolio .... 15
VA Global Bond Portfolio ......... 16
Statements of Operations .............. 17
Statements of Changes in Net Assets ... 19
Financial Highlights .................. 22
Notes to Financial Statements ......... 25
This report is submitted for the information of the Fund's stockholders. It
is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
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DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENT OF NET ASSETS
VA SMALL VALUE PORTFOLIO
MAY 31, 1996
(UNAUDITED)
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COMMON STOCKS -- (99.1%)
AAR Corp. .......................... 1,400 $30,975
*ACX Technologies, Inc. ............. 500 10,250
*AST Research, Inc. ................. 100 800
*Accell International Corp. ......... 400 1,225
*Acceptance Insurance Companies, Inc. 1,300 22,588
Aceto Corp. ........................ 440 6,710
*Acme Metals, Inc. .................. 1,000 17,000
*Adage, Inc. ........................ 400 1,813
*Advanced Logic Research, Inc. ...... 1,000 9,750
*Advanced Marketing Services, Inc. .. 500 7,281
*Advanced Technology Labs, Inc. ..... 1,100 39,050
Advantage Bancorp, Inc. ............ 250 8,406
*Advest Group, Inc. ................. 700 7,525
*Aeroflex, Inc. ..................... 1,000 6,250
*Aerovox, Inc. ...................... 400 3,175
Airborne Freight Corp. ............. 1,800 45,450
*Alamco, Inc. ....................... 400 4,200
*Alaska Air Group, Inc. ............. 1,100 28,463
Albank Financial Corp. ............. 1,200 32,850
*Allied Holdings, Inc. .............. 100 988
*Ambar, Inc. ........................ 300 3,525
Amcast Industrial Corp. ............ 700 13,563
*American Banknote Corp. ............ 1,600 7,200
*American Ecology Corp. ............. 700 1,225
American Heritage Life Investment
Corp. .............................. 1,200 25,200
*American Mobile Satellite Corp. .... 300 5,475
*American Pacific Corp. ............. 700 4,506
American Recreation Centers, Inc. .. 400 2,575
*American Travellers Corp. .......... 1,350 29,194
*American Waste Services, Inc.
Class A ............................ 2,100 7,613
*American White Cross, Inc. ......... 600 1,369
*Ameriwood Industries International
Corp. .............................. 400 2,400
Ameron, Inc. ....................... 300 12,488
Ampco-Pittsburgh Corp. ............. 400 4,700
*Amrep Corp. ........................ 600 2,925
Amvestors Financial Corp. .......... 191 2,865
Analogic Corp. ..................... 100 2,513
Andover Bancorp, Inc. DE ........... 400 10,275
Angelica Corp. ..................... 800 19,700
*Ann Taylor Stores Corp. ............ 2,000 41,250
Arkansas Best Corp. ................ 1,700 13,175
*Artistic Greetings, Inc. ........... 500 1,891
Arvin Industries, Inc. ............. 1,900 46,550
Ashland Coal, Inc. ................. 1,200 28,350
*Astec Industries, Inc. ............. 900 9,113
*Astrosystems, Inc. ................. 400 2,250
*Astrotech International Corp. ...... 800 5,650
*Atlantic Tele-Network, Inc. ........ 1,000 25,875
*Au Bon Pain, Inc. Class A .......... 100 875
*Audiovox Corp. Class A ............. 800 4,950
Augat, Inc. ........................ 1,700 36,763
*Autoinfo, Inc. ..................... 600 2,025
Aviall, Inc. ....................... 800 8,000
*Aydin Corp. ........................ 400 6,150
*Aztar Corp. ........................ 3,300 37,950
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Aztec Manufacturing Co. ............ 500 $ 3,063
BEI Electronics, Inc. .............. 600 7,313
BSB Bancorp, Inc. .................. 600 15,525
Badger Meter, Inc. ................. 100 2,713
Bairnco Corp. ...................... 900 6,525
Baker (J.), Inc. ................... 1,200 11,700
*Baker (Michael) Corp. .............. 700 3,850
*Baldwin Piano & Organ Co. .......... 300 4,331
*Baldwin Technology, Inc. Class A ... 1,400 5,425
*Bally Total Fitness Holding Corp. .. 1,000 5,000
Bankers Corp. ...................... 1,100 19,113
*Banner Aerospace, Inc. ............. 200 1,400
*Basin Exploration, Inc. ............ 900 5,175
Bassett Furniture Industries, Inc. . 1,200 30,450
Bay View Capital Corp. ............. 600 19,688
*Bayou Steel Corp. Class A .......... 900 3,488
*Be Aerospace, Inc. ................. 1,400 20,475
*Beazer Homes USA, Inc. ............. 700 11,988
*Bel Fuse, Inc. ..................... 400 6,550
Bell Bancorp, Inc. ................. 800 30,000
*Ben Franklin Retail Stores, Inc. ... 500 1,250
*Berlitz International, Inc. ........ 900 17,213
*Bertuccis, Inc. .................... 700 4,463
Big B, Inc. ........................ 100 981
Binks Manufacturing Co. ............ 300 7,088
*Bird Corp. ......................... 400 1,600
*Bon-Ton Stores, Inc. ............... 900 5,794
*Boomtown, Inc. ..................... 800 4,600
*Borror Corp. ....................... 300 1,331
*Brooktree Corp. .................... 100 1,200
*Brown & Sharpe Manufacturing Co.
Class A ............................ 700 7,175
Brush Wellman, Inc. ................ 400 7,500
*Builders Transport, Inc. ........... 400 3,150
*Buttrey Food & Drug Stores Co. ..... 700 5,556
CPB, Inc. .......................... 200 6,450
*CSP, Inc. .......................... 200 1,875
*CTL Credit, Inc. ................... 300 5,306
CTS Corp. .......................... 400 18,050
California Financial Holding Corp. . 400 8,300
Calmat Co. ......................... 1,300 23,888
Capital Re Corp. ................... 1,200 43,800
*Capsure Holdings Corp. ............. 1,300 23,888
*Care Group, Inc. ................... 700 1,225
*Carlisle Plastics, Inc. Class A .... 1,500 10,125
Carter-Wallace, Inc. ............... 2,900 40,600
Cash America International, Inc. ... 2,400 13,800
*Catalina Lighting, Inc. ............ 600 3,525
*Catherines Stores Corp. ............ 500 4,875
Cenfed Financial Corp. ............. 440 9,240
Cenit Bancorp, Inc. ................ 100 3,488
Chaparral Steel Co. ................ 1,000 14,625
*Charming Shoppes, Inc. ............. 8,800 70,125
*Chart House Enterprises, Inc. ...... 700 5,600
*Cherry Corp. Class A ............... 600 7,050
*Cherry Corp. Class B ............... 400 5,050
*Chic by His, Inc. .................. 1,000 6,000
*Chock Full O' Nuts Corp. ........... 500 2,563
*Citation Insurance Group ........... 500 2,250
Citfed Bancorp, Inc. ............... 400 15,150
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*Civic Bancorp ...................... 400 $ 3,350
*Clean Harbors, Inc. ................ 800 2,900
*Cliffs Drilling Co. ................ 300 8,006
*Clothestime, Inc. .................. 1,200 1,725
*Coast Savings Financial, Inc. ...... 1,600 53,600
*Coho Energy, Inc. .................. 1,400 9,100
Commercial Metals Co. .............. 1,300 40,788
*Community Psychiatric Centers ...... 3,700 35,150
Computer Data Systems, Inc. ........ 500 11,031
*Concord Fabrics, Inc. Class A ...... 200 1,150
Continental Homes Holding Corp. .... 600 14,775
Core Industries, Inc. .............. 800 11,600
*Cortech, Inc. ...................... 1,500 4,641
*Criticare Systems, Inc. ............ 600 2,241
*Crown Central Petroleum Corp.
Class A ............................ 400 6,900
Crown Crafts, Inc. ................. 700 7,350
*Crown-Andersen, Inc. ............... 100 738
Cubic Corp. ........................ 500 16,750
*Cygne Designs, Inc. ................ 1,100 1,255
*D&N Financial Corp. ................ 600 7,313
*DBA Systems, Inc. .................. 400 2,025
DS Bancor, Inc. .................... 210 6,668
*Damark International, Inc. Class A . 800 9,700
*Data Race, Inc. .................... 400 1,775
*Dataflex Corp. ..................... 400 2,700
*Datakey, Inc. ...................... 200 1,575
*Datron Systems, Inc. ............... 200 2,638
*Datum, Inc. ........................ 300 4,069
*Daxor Corp. ........................ 400 4,800
*De Soto, Inc. ...................... 400 2,200
Deb Shops, Inc. .................... 1,100 5,638
Defiance, Inc. ..................... 600 3,563
Delchamps, Inc. .................... 200 4,675
Delta Woodside Industries, Inc. .... 2,100 12,075
*Designs, Inc. ...................... 1,300 8,613
*Detection Systems, Inc. ............ 200 2,863
*Devcon International Corp. ......... 400 3,950
*Dianon Systems, Inc. ............... 500 3,531
*Digicon, Inc. ...................... 900 15,075
Dime Financial Corp. ............... 400 5,500
*Discovery Zone, Inc. ............... 1,000 438
*Dixie Yarns, Inc. .................. 1,000 5,250
Douglas & Lomason Co. .............. 400 5,350
*Dress Barn, Inc. ................... 1,900 22,563
*Drug Emporium, Inc. ................ 1,100 4,606
Dyersburg Corp. .................... 1,100 6,050
Dynamics Corp. of America .......... 300 7,650
*E-Z-Em, Inc. Class A ............... 300 4,238
*E-Z-Em, Inc. Class B ............... 9 119
*ESCO Electronics Corp. Trust
Receipts ........................... 900 11,363
Eastern Bancorp, Inc. .............. 200 4,825
Eastern Co. ........................ 200 2,325
Eaton Vance Corp. .................. 800 25,900
Ecology & Environment, Inc. Class A 200 1,700
Edison Brothers Stores, Inc. ....... 1,900 4,988
*Edisto Resources Corp. ............. 1,100 10,863
*Egghead, Inc. ...................... 1,500 17,906
Ekco Group, Inc. ................... 1,600 9,800
*Electromagnetic Sciences, Inc. ..... 600 8,625
*Emcon .............................. 700 3,063
Energen Corp. ...................... 900 21,150
*Environmental Elements Corp. ....... 600 1,125
*Envirotest Systems Corp. Class A ... 1,000 3,000
<PAGE>
SHARES VALUE+
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*Equitrac Corp. ..................... 300 $ 2,756
*Ernst Home Center, Inc. ............ 1,000 2,438
*Evans & Sutherland Computer Corp. .. 700 16,275
Evergreen Bancorp, Inc. DE ......... 400 9,825
*Evergreen Resources, Inc. .......... 500 3,469
Excel Industries, Inc. ............. 900 13,500
*Ezcorp, Inc. Class A Non-Voting .... 600 3,863
Fab Industries, Inc. ............... 500 14,563
*Failure Group, Inc. ................ 600 3,525
*Fairfield Communities, Inc. ........ 300 3,075
Family Bancorp ..................... 300 7,163
Fansteel, Inc. ..................... 700 4,550
*Farah, Inc. ........................ 900 7,650
*Filenes Basement Corp. ............. 1,700 9,881
First American Financial Corp. ..... 1,000 30,625
*First Cash, Inc. ................... 300 1,781
*First Citizens Financial Corp. ..... 220 4,043
First Essex Bancorp ................ 500 5,313
First Financial Corp. of Western
Maryland ........................... 200 3,950
First Northern Capital Corp. ....... 400 6,400
*First Republic Bancorp, Inc. ....... 600 8,925
*FirstFed Financial Corp. DE ........ 900 14,963
Flexsteel Industries, Inc. ......... 600 6,600
Florida Rock Industries, Inc. ...... 800 20,400
Fluke Corp. ........................ 200 7,775
*Fluor Daniel/GTI, Inc. ............. 316 3,200
Foster (L.B.) Co. Class A .......... 800 3,325
*Foxmeyer Health Corp. .............. 1,400 24,325
Freds, Inc. Class A ................ 800 8,750
Fremont General Corp. .............. 2,100 50,138
Friedman Industries, Inc. .......... 525 2,166
Frisch's Restaurants, Inc. ......... 624 7,254
*G-III Apparel Group, Ltd. .......... 600 2,119
*GZA Geoenvironmental Technologies,
Inc. ............................... 300 1,069
*Galileo Electro-Optics Corp. ....... 600 17,138
Garan, Inc. ........................ 400 6,900
*Garnet Resources Corp. ............. 1,000 609
*Gehl Co. ........................... 500 4,125
*General Host Corp. ................. 1,995 6,733
General Housewares Corp. ........... 300 3,788
*Genlyte Group, Inc. ................ 1,100 8,663
*Giant Group, Ltd. .................. 400 3,450
Giant Industries, Inc. ............. 1,000 14,875
*Gibraltar Packaging Group, Inc. .... 400 2,075
*Gibson Greetings, Inc. ............. 1,400 19,950
Golden Poultry Co., Inc. ........... 1,200 10,950
*Good Guys, Inc. .................... 1,200 11,400
*Government Technology Services, Inc. 600 4,088
*Gradco Systems, Inc. ............... 700 3,063
*Graham-Field Health Products, Inc. . 1,100 7,838
Granite State Bankshares, Inc. ..... 200 3,650
Graphic Industries, Inc. ........... 900 9,675
*Greater New York Savings Bank NY ... 1,100 12,375
Green (A.P.) Industries, Inc. ...... 300 6,075
*Ground Round Restaurants, Inc. ..... 1,000 3,469
Grovebank for Savings .............. 100 2,575
Guilford Mills, Inc. ............... 1,200 29,250
HF Financial Corp. ................. 200 3,000
*HMG Worldwide Corp. ................ 600 1,050
*HS Resources, Inc. ................. 900 10,800
*Hamburger Hamlet Restaurants, Inc. . 400 413
*Hampton Industries, Inc. ........... 400 1,825
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*Handex Environmental Recovery, Inc. 600 $ 6,750
Handleman Co. ...................... 2,900 21,388
*Hanger Orthopedic Group, Inc. ...... 700 3,456
*Harding Lawson Associates Group,
Inc. ............................... 400 2,550
Harleysville Group, Inc. ........... 1,200 31,950
Hathaway Corp. ..................... 400 1,100
*Hauser Chemical Research, Inc. ..... 900 6,638
Haverty Furniture Co., Inc. ........ 700 9,450
Health Images, Inc. ................ 1,000 9,625
*Health O Meter Products, Inc. ...... 800 4,725
Hechinger Co. Class A .............. 2,600 11,619
*Hein-Werner Corp. .................. 210 1,680
Home Financial Corp ................ 2,100 29,269
Home Port Bancorp, Inc. ............ 200 2,725
*Hovnanian Enterprises, Inc. Class A 1,300 9,100
Hudson Foods, Inc. Class A ......... 500 6,688
Hughes Supply, Inc. ................ 500 20,125
*Hyde Athletic Industries, Inc.
Class B ............................ 300 1,463
ICO, Inc. .......................... 800 5,300
*Imperial Holly Corp. ............... 200 2,425
*Inacom Corp. ....................... 800 17,100
Indiana Federal Corp. .............. 400 7,550
Ingles Market, Inc. Class A ........ 400 5,225
Insteel Industries, Inc. ........... 700 4,813
*Insurance Auto Auctions, Inc. ...... 1,000 11,938
Interface Systems, Inc. ............ 400 3,950
Interface, Inc. Class A ............ 1,300 18,444
*International Jensen, Inc. ......... 500 5,094
International Multifoods Corp. ..... 1,500 29,813
*International Thoroughbred Breeders,
Inc. ............................... 800 3,200
Interpool, Inc. .................... 100 1,938
*Intertan, Inc. ..................... 900 6,075
Investors Financial Services Corp. . 223 5,018
Investors Financial Services Corp.
Class A ............................ 43 968
*Iwerks Entertainment, Inc. ......... 900 9,394
*J & J Snack Foods Corp. ............ 800 10,650
JSB Financial, Inc. ................ 900 29,869
*Jaclyn, Inc. ....................... 200 900
Jacobson Stores, Inc. .............. 500 5,813
*Jan Bell Marketing, Inc. ........... 2,200 5,913
Justin Industries, Inc. ............ 2,300 28,463
K Swiss, Inc. Class A .............. 300 3,413
Katy Industries, Inc. .............. 800 12,000
Kellwood Co. ....................... 1,800 31,050
*Kerr Group, Inc. ................... 300 1,538
*Key Production Co., Inc. ........... 800 6,100
*Kinder-Care Learning Centers, Inc. . 1,700 25,500
Knape & Vogt Manufacturing Co. ..... 500 8,063
Ladd Furniture, Inc. ............... 700 7,831
*Laserscope ......................... 600 4,706
Lawyers Title Corp. ................ 800 13,400
*Lechters, Inc. ..................... 1,500 10,406
*Life USA Holdings, Inc. ............ 500 4,000
Lindberg Corp. ..................... 400 4,275
*Liuski International, Inc. ......... 400 1,850
*Louis Dreyfus Natural Gas Corp. .... 350 4,900
Lufkin Industries, Inc. ............ 600 12,750
Lukens, Inc. DE .................... 1,300 34,938
*Lumex, Inc. ........................ 400 4,350
MAF Bancorp, Inc. .................. 400 9,800
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*MDT Corp. .......................... 600 $ 2,700
*MI Schottenstein Homes, Inc. ....... 800 7,800
*MK Gold Corp. ...................... 1,700 3,241
*MS Carriers, Inc. .................. 1,100 21,175
MTS Systems Corp. .................. 800 14,800
*Mariner Health Group, Inc. ......... 1,000 17,875
Maritrans, Inc. .................... 1,000 6,000
Marsh Supermarkets, Inc. Class A ... 300 3,825
Marsh Supermarkets, Inc. Class B ... 400 5,175
Maryland Federal Bancorp ........... 300 8,925
*Matrix Service Co. ................. 800 4,850
*Maverick Tube Corp. ................ 600 7,800
*Maxwell Laboratories, Inc. ......... 200 2,825
*Maxxim Medical, Inc. ............... 700 12,775
*McFarland Energy, Inc. ............. 400 3,900
*Medalist Industries, Inc. .......... 300 4,238
Medex, Inc. ........................ 500 6,438
*Medical Graphics Corp. ............. 200 1,475
*Melamine Chemicals, Inc. ........... 500 4,625
Merchants Bancorp, Inc. ............ 200 6,325
Meridian Insurance Group, Inc. ..... 600 8,250
*Merisel, Inc. ...................... 2,500 10,781
*Mesa Airlines, Inc. ................ 2,800 37,201
Mesaba Holdings, Inc. .............. 700 7,744
Michael Foods, Inc. ................ 1,700 17,638
*Microage, Inc. ..................... 1,200 16,200
*Micronics Computers, Inc. .......... 1,100 3,489
Mid America Banccorp ............... 824 14,523
*MidAmerican Waste System, Inc. ..... 1,000 938
*Midisoft Corp. ..................... 300 769
*Mikasa, Inc. ....................... 100 1,150
*Mikohn Gaming Corp. ................ 800 7,150
*Miltope Group, Inc. ................ 500 1,297
Mine Safety Appliances Co. ......... 500 23,438
Monarch Machine Tool Co. ........... 300 3,450
*Moog, Inc. Class A ................. 500 10,250
*Morgan Products, Ltd. .............. 700 4,288
Movado Group, Inc. ................. 500 9,531
*Musicland Stores Corp. ............. 2,900 12,688
NBT Bancorp ........................ 735 12,495
NS Bancorp, Inc. ................... 500 20,438
*NS Group, Inc. ..................... 1,200 3,450
NYMAGIC, Inc. ...................... 1,000 18,750
Nash Finch Co. ..................... 900 15,413
Nashua Corp. ....................... 500 8,375
*Nathans Famous, Inc. ............... 400 1,363
*National Auto Credit, Inc. ......... 330 4,043
*National City Bancorp .............. 660 13,530
*National Home Centers, Inc. ........ 500 1,375
*National Steel Corp. Class B ....... 100 1,325
*Natural Wonders, Inc. .............. 700 4,463
*Neostar Retail Group, Inc. ......... 100 531
*Netframe Systems, Inc. ............. 500 2,500
*Netrix Corp. ....................... 800 7,700
*New Brunswick Scientific Co., Inc. . 315 2,658
New Jersey Resources Corp. ......... 1,500 41,250
Newmil Bancorp, Inc. ............... 200 1,425
*Nexthealth, Inc. ................... 700 1,925
*Nord Resources Corp. ............... 1,400 8,400
*Nortek, Inc. ....................... 1,100 15,675
North Side Savings Bank NY ......... 400 14,300
Norwich Financial Corp. ............ 400 5,175
*Novacare, Inc. ..................... 5,600 36,400
*Nview Corp. ........................ 400 3,025
*Nycor, Inc. ........................ 200 1,125
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*Nycor, Inc. Class A ................ 300 $ 1,688
*O'Sullivan Industries Holdings, Inc. 1,100 8,388
*O.I. Corp. ......................... 400 1,925
*OMI Corp. .......................... 2,600 22,750
*Offshore Logistics, Inc. ........... 500 7,188
*Old America Stores, Inc. ........... 400 3,300
*Olympic Steel, Inc. ................ 700 12,819
OnbanCorp, Inc. .................... 1,200 37,950
*One Price Clothing Stores, Inc. .... 900 5,063
Oneida, Ltd. ....................... 900 15,638
*Oneita Industries, Inc. ............ 600 2,475
*Option Care, Inc. .................. 800 5,800
Orange Co., Inc. ................... 700 5,688
Oregon Steel Mills, Inc. ........... 1,700 27,200
Oshkosh Truck Corp. Class B ........ 700 10,325
*Ostex International, Inc. .......... 400 5,725
Outboard Marine Corp. .............. 1,700 32,938
*Outlook Group Corp. ................ 400 2,250
Oxford Industries, Inc. ............ 700 12,775
*PCI Services, Inc. ................. 500 10,000
*PLM International, Inc. ............ 1,000 3,500
*Pacific Rim Holding Corp. .......... 800 1,800
Palfed, Inc. ....................... 400 4,800
Pancho's Mexican Buffet, Inc. ...... 400 1,075
*Park-Ohio Industries, Inc. ......... 300 6,694
*Payless Cashways, Inc. ............. 3,400 16,150
*Penn Treaty American Corp. ......... 600 11,550
Peoples Heritage Financial Group,
Inc. ............................... 1,400 27,913
*Peoples Telephone Co., Inc. ........ 1,400 4,463
*Perfumania, Inc. ................... 600 3,131
*Perini Corp. ....................... 400 4,450
*Petrocorp, Inc. .................... 700 4,988
*Pharmchem Laboratories, Inc. ....... 500 1,750
Phillips-Van Heusen Corp. .......... 1,000 13,375
Piccadilly Cafeterias, Inc. ........ 900 9,225
Pilgrim Pride Corp. ................ 500 3,563
Pinnacle Bank Jasper, AL ........... 100 1,613
Pioneer Financial Services, Inc. ... 500 8,125
Piper Jaffray Companies, Inc. ...... 300 4,013
*Plasti-Line, Inc. .................. 100 863
*Pool Energy Services Co. ........... 1,200 16,875
Pope & Talbot, Inc. ................ 1,100 18,425
Portsmouth Bank Shares, Inc. ....... 510 7,363
Poughkeepsie Savings Bank FSB NY ... 1,100 5,981
Premier Financial Services, Inc. ... 600 6,150
*President Casinos, Inc. ............ 100 213
Presidential Life Corp. ............ 2,900 28,456
Prime Bancorp, Inc. ................ 330 5,940
*Procyte Corp. ...................... 1,100 4,469
*Proffitts, Inc. .................... 900 33,300
Progressive Bank, Inc. ............. 200 5,825
Proler International Corp. ......... 400 2,900
Provident Bankshares Corp. ......... 630 20,948
Pulse Bancorp, Inc. ................ 300 5,119
*QMS, Inc. .......................... 900 5,400
*Quaker Fabric Corp. ................ 700 6,475
Quaker State Corp. ................. 500 7,688
*Quantum Health Resources, Inc. ..... 100 1,763
RCSB Financial, Inc. ............... 1,300 30,550
RLI Corp. .......................... 600 13,950
*RPC Energy Services, Inc. .......... 1,200 15,000
*Rag Shops, Inc. .................... 200 466
*Rally's Hamburgers, Inc. ........... 1,300 4,225
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*Ramsay Health Care, Inc. ........... 700 $ 2,472
*Reading Co. Class A ................ 400 4,300
*Redwood Empire Bancorp ............. 200 2,100
Refac Technology Development Corp. . 300 2,513
*Republic Automotive Parts, Inc. .... 300 4,575
Rexene Corp. ....................... 300 3,525
*Riddell Sports, Inc. ............... 700 3,609
Riggs National Corp. ............... 600 7,200
*Rodman & Renshaw Capital Group, Inc. 600 1,200
*Rollins Environmental Services, Inc. 5,200 18,200
Rollins Truck Leasing Corp. ........ 3,900 42,413
Rouge Steel Co. Class A ............ 100 2,225
Rykoff-Sexton, Inc. ................ 100 1,550
*S&K Famous Brands, Inc. ............ 400 3,525
SPX Corp. .......................... 1,100 29,425
Saint Paul Bancorp, Inc. ........... 1,600 37,200
*Salant Corp. DE .................... 100 400
*San Filippo (John B.) & Son, Inc. .. 800 5,700
Sands Regent Casino Hotel .......... 400 2,200
*Schuler Homes, Inc. ................ 100 700
*Scios-Nova, Inc. ................... 3,100 22,378
*Seacor Holdings, Inc. .............. 500 24,188
Seafield Capital Corp. ............. 300 11,738
*Secom General Corp. ................ 400 1,263
*Sequent Computer Systems, Inc. ..... 100 1,319
*Serv-Tech, Inc. .................... 600 3,675
*Service Merchandise Co., Inc. ...... 200 1,075
*Shiloh Industries, Inc. ............ 1,100 17,394
Shopko Stores, Inc. ................ 2,700 40,838
Sifco Industries, Inc. ............. 400 3,213
*Signal Technology Corp. ............ 600 5,100
Sizzler International, Inc. ........ 2,400 9,000
Skyline Corp. ...................... 900 23,288
Skywest, Inc. ...................... 100 1,900
Snyder Oil Corp. ................... 1,600 15,800
*Softech, Inc. ...................... 300 938
Southdown, Inc. .................... 1,500 34,688
*Southwall Technologies, Inc. ....... 500 4,063
Southwest Bancshares, Inc. DE ...... 200 5,425
Southwestern Energy Co. ............ 2,200 31,350
*Spaghetti Warehouse, Inc. .......... 500 2,750
*Spec's Music, Inc. ................. 400 825
*Specialty Chemical Resources, Inc. . 300 1,013
*Spectran Corp. ..................... 500 10,375
*Speizman Industries, Inc. .......... 300 1,425
*Sport Chalet, Inc. ................. 600 1,463
*Sports & Recreation, Inc. .......... 1,700 16,150
*Staff Builders, Inc. Class A ....... 100 344
*Standard Commercial Corp. .......... 824 7,520
*Standard Microsystems Corp. ........ 1,100 17,050
Standard Motor Products, Inc.
Class A ............................ 1,100 18,700
Standard Pacific Corp. DE .......... 2,600 18,850
Standard Products Co. .............. 1,400 38,150
Stant Corp. ........................ 1,000 11,563
*Staodyn, Inc. ...................... 500 1,016
Starrett (L.S.) Co. Class A ........ 200 5,150
*Steel of West Virginia, Inc. ....... 600 5,550
*Sterling Financial Corp. WA ........ 600 8,100
Stewart Information Services Corp. . 500 10,188
*Stokely USA, Inc. .................. 1,000 3,625
Strawbridge & Clothier Class A ..... 900 16,425
*Strouds, Inc. ...................... 100 381
</TABLE>
4
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- ------------
<S> <C> <C>
*Stuart Entertainment, Inc. ......... 600 $ 4,088
Sumitomo Bank of California ........ 300 7,463
*Summagraphics Corp. ................ 400 1,188
*Sun Healthcare Group, Inc. ......... 800 11,800
*Sun Sportswear, Inc. ............... 500 1,625
Sun Television and Appliances, Inc. 1,500 7,500
*Suncoast Savings & Loan Association
FSA ................................ 200 1,238
*Sunrise Bancorp CA ................. 400 1,100
*Sunrise Medical, Inc. .............. 500 9,438
*Sunrise Resources, Inc. ............ 400 1,350
Super Food Services, Inc. .......... 900 11,025
*Swiss Army Brands, Inc. ............ 700 9,363
*Syms Corp. ......................... 1,500 11,813
*Syncor International Corp. DE ...... 900 12,488
*Syntellect, Inc. ................... 700 4,594
*Syquest Technology, Inc. ........... 900 9,788
TCBY Enterprises, Inc. ............. 2,200 9,625
TJ International, Inc. ............. 1,400 26,600
*TPI Enterprises, Inc. .............. 1,700 6,588
Tab Products Co. DE ................ 400 3,000
*Taco Cabana Inc. ................... 1,300 11,375
*Tandy Crafts, Inc. ................. 1,000 7,625
*Tanknology Environmental, Inc. ..... 1,200 3,263
Thomaston Mills, Inc. .............. 400 4,500
Thorn Apple Valley, Inc. ........... 500 6,938
Toastmaster, Inc. .................. 600 3,225
*Todd Shipyards Corp. ............... 800 6,100
*Trans World Entertainment Corp. .... 800 4,600
*Tremont Corp. DE ................... 600 22,275
*Trism, Inc. ........................ 500 2,625
*Tuboscope Vetco International, Inc. 1,600 21,300
*Tucker Drilling Co., Inc. .......... 200 2,363
*Tuesday Morning Corp. .............. 700 9,188
*Tultex Corp. ....................... 2,500 13,438
Twin Disc, Inc. .................... 200 4,725
*Tyco Toys, Inc. .................... 3,000 16,125
*Tyler Corp. ........................ 1,700 4,675
U.S. Bancorp, Inc. ................. 500 16,219
*UNC, Inc. .......................... 1,500 13,500
*URS Corp. .......................... 719 5,393
USX-Delhi Group .................... 800 11,000
*Ultimate Electronics, Inc. ......... 300 1,463
Uni-Marts, Inc. .................... 500 3,938
Unico American Corp. ............... 500 3,781
*Union Switch & Signal, Inc. ........ 250 2,594
*Uniroyal Technology Corp. .......... 1,100 4,022
United Industrial Corp. ............ 400 2,500
*United States Home Corp. ........... 1,000 25,750
*Universal International, Inc. ...... 400 1,963
*Universal Standard Medical Labs,
Inc. ............................... 500 2,813
*Utilx Corp. ........................ 600 1,725
*V Band Systems, Inc. ............... 500 1,500
*VLSI Technology, Inc. .............. 200 3,438
*Value City Department Stores, Inc. . 1,800 18,450
Varlen Corp. ....................... 100 2,194
*Ventura County National Bancorp .... 300 1,191
Venture Stores, Inc. ............... 1,500 10,875
*Vicorp Restaurants, Inc. ........... 800 10,400
*Video Display Corp. ................ 300 1,856
*Video Lottery Technologies, Inc. ... 900 4,500
<PAGE>
SHARES VALUE+
-------- ------------
Virginia Beach Federal Financial
Corp. .............................. 400 $ 3,100
*WHX Corp. .......................... 2,200 22,000
Walden Bancorp, Inc. ............... 300 5,738
Warren Bancorp, Inc. ............... 300 3,844
*Washington Homes, Inc. ............. 700 2,975
Washington Savings Bank FSB Waldorf,
MD ................................. 400 2,125
Watts Industries, Inc. Class A ..... 1,600 30,200
Webster Financial Corp. ............ 500 14,406
*Weirton Steel Corp. ................ 3,600 13,950
*Welcome Home, Inc. ................. 200 513
Westco Bancorp, Inc. ............... 300 6,338
*Western Beef, Inc. ................. 500 4,656
*Weston (Roy F.), Inc. Class A ...... 600 3,113
*Wet Seal, Inc. Class A ............. 400 10,125
*Wickes Lumber Co. .................. 200 1,075
Windmere Corp. ..................... 1,400 18,200
Wiser Oil Co. ...................... 800 10,500
Wolohan Lumber Co. ................. 600 6,488
*Worldtex, Inc. ..................... 1,200 7,500
Yankee Energy Systems, Inc. ........ 900 20,025
*Yellow Corp. ....................... 2,400 31,050
York Financial Corp. ............... 550 9,144
*Zale Corp. ......................... 3,000 58,125
*Zemex Corp. ........................ 714 6,605
Zenith National Insurance Corp. .... 1,500 41,812
------------
TOTAL COMMON STOCKS
(Cost $5,000,926) .................. 5,605,793
------------
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants
Class A 03/04/02 (Cost $0) ......... 46 244
------------
TOTAL INVESTMENTS -- (99.1%)
(Cost $5,000,926) .................. 5,606,037
------------
OTHER ASSETS AND LIABILITIES --
(0.9%)
Other Assets ........................ 63,878
Payable for Investment Securities
Purchased .......................... (5,650)
Other Liabilities ................... (9,792)
------------
48,436
------------
NET ASSETS -- (100.0%) Applicable to
501,180 Outstanding $.01 Par Value
Shares (100,000,000 Shares
Authorized) ........................ $5,654,473
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ......... $ 11.28
============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements.
5
<PAGE>
STATEMENT OF NET ASSETS
VA LARGE VALUE PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------- ------------
<S> <C> <C>
UNITED STATES -- (101.2%)
COMMON STOCKS -- (101.2%)
*AMR Corp. ........................... 1,100 $103,813
*Advanced Micro Devices, Inc. ........ 2,600 45,825
Aetna Life & Casualty Co. ........... 1,700 125,375
Ahmanson (H.F.) & Co. ............... 1,900 48,925
Alexander & Baldwin, Inc. ........... 600 15,413
Alleghany Corp. ..................... 100 19,375
Allstate Corp. ...................... 2,800 118,300
*Alumax, Inc. ........................ 700 23,275
Ambac, Inc. ......................... 500 25,938
*Amdahl Corp. ........................ 1,800 21,150
Amerada Hess Corp. .................. 1,400 79,800
American General Corp. .............. 3,400 120,700
American National Insurance Co. ..... 100 6,538
Apple Computer, Inc. ................ 2,400 62,550
Argonaut Group, Inc. ................ 300 9,525
Asarco, Inc. ........................ 600 18,825
Avnet, Inc. ......................... 100 5,150
*BHC Communications, Inc.
Class A ............................. 100 9,725
Ball Corp. .......................... 600 16,575
Bancorp Hawaii, Inc. ................ 600 21,825
Bank of Boston Corp. ................ 600 29,925
BankAmerica Corp. ................... 2,600 195,650
Bankers Trust New York Corp. ........ 1,200 90,150
Bear Stearns Companies, Inc. ........ 1,712 41,290
*Bethlehem Steel Corp. ............... 1,600 20,400
*Beverly Enterprises ................. 2,800 34,300
Bowater, Inc. ....................... 1,200 47,250
*Burlington Industries, Inc. ......... 1,000 12,750
Burlington Northern Santa Fe Corp. .. 900 76,275
CIGNA Corp. ......................... 1,100 126,363
*CNA Financial Corp. ................. 800 80,000
CSX Corp. ........................... 3,200 158,400
*Cal Fed Bancorp, Inc. ............... 700 12,863
*Castle & Cooke, Inc. ................ 300 5,250
Centex Corp. ........................ 400 12,050
Champion International Corp. ........ 1,400 61,775
Chase Manhattan Corp. ............... 2,340 163,800
Chiquita Brands International, Inc. . 300 4,013
*Chris-Craft Industries, Inc. ........ 312 12,753
Chrysler Corp. ...................... 5,600 373,100
Cincinnati Financial Corp. .......... 1,030 61,349
Coca-Cola Enterprises, Inc. ......... 1,900 60,325
Comdicso, Inc. ...................... 300 8,250
Commerce Bancshares, Inc. ........... 710 24,584
Comsat Corp. Series 1 ............... 700 19,863
Conrail, Inc. ....................... 1,400 98,350
Coors (Adolph) Co. Class B .......... 500 9,313
Countrywide Credit Industries, Inc. . 1,900 43,225
Cummins Engine Co., Inc. ............ 600 25,500
Cyprus Amax Minerals Co., Inc. ...... 1,400 33,600
Diamond Shamrock, Inc. .............. 400 13,150
Dillard Department Stores, Inc.
Class A ............................. 1,600 64,000
*Dime Bancorp, Inc. .................. 1,800 22,500
Dole Food, Inc. ..................... 900 33,975
Enserch Corp. ....................... 1,000 21,625
Equitable Companies, Inc. ........... 800 19,300
<PAGE>
SHARES VALUE+
-------- ------------
*FHP International Corp. ............. 300 $ 8,625
*Federated Department Stores, Inc. ... 3,400 117,725
Fina, Inc. Class A .................. 400 21,300
Finova Group, Inc. .................. 400 21,200
First Colony Corp. .................. 700 18,375
First Hawaiian, Inc. ................ 200 5,700
First of America Bank Corp. ......... 300 13,725
Ford Motor Co. ...................... 20,900 762,834
*Fruit of The Loom, Inc. Class A ..... 1,200 32,400
GATX Corp. .......................... 300 13,500
General Motors Corp. ................ 12,100 667,013
General Motors Corp. Class H ........ 1,400 85,050
*Georgia-Pacific Corp. ............... 600 43,350
Golden West Financial Corp. ......... 600 32,925
Great Atlantic & Pacific Tea Co.,
Inc. ................................ 600 20,550
Great Western Financial Corp. ....... 2,000 46,000
*Greenpoint Financial Corp. .......... 1,500 44,625
Helmerich & Payne, Inc. ............. 400 14,500
Inland Steel Industries, Inc. ....... 700 15,138
International Paper Co. ............. 4,800 191,400
*International Speciality Products,
Inc. ................................ 1,400 15,575
James River Corp. of Virginia ....... 1,200 29,850
K Mart Corp. ........................ 7,300 84,863
*LTV Corp. ........................... 2,900 37,338
Lafarge Corp. ....................... 900 19,238
Lehman Brothers Holdings, Inc. ...... 1,500 36,750
Lincoln National Corp. .............. 1,900 89,300
Loews Corp. ......................... 1,300 103,675
Longs Drug Stores Corp. ............. 100 4,288
Louisiana-Pacific Corp. ............. 2,000 49,250
MBIA, Inc. .......................... 600 45,675
MCI Communications Corp. ............ 3,200 93,000
*Mead Corp. .......................... 1,000 53,750
Mercantile Stores Co., Inc. ......... 500 32,250
Mitchell Energy & Development Corp.
Class A ............................. 300 5,531
Mitchell Energy & Development Corp.
Class B ............................. 400 7,400
Morgan (J.P.) & Co., Inc. ........... 1,000 86,875
Murphy Oil Corp. .................... 700 30,888
*National Semiconductor Corp. ........ 1,900 30,875
*Navistar International Corp. ........ 2,200 22,825
*Nextel Communications Corp.
Class A ............................. 3,400 70,338
Norfolk Southern Corp. .............. 1,900 163,875
Occidental Petroleum Corp. .......... 5,100 131,963
Ogden Corp. ......................... 700 13,563
Ohio Casualty Corp. ................. 500 17,000
Old Republic International Corp. .... 1,200 26,250
Overseas Shipholding Group, Inc. .... 500 9,375
PHH Corp. ........................... 300 16,613
PNC Bank Corp. ...................... 615 18,681
Paccar, Inc. ........................ 300 14,700
*Pacific Enterprises ................. 400 10,550
Paine Webber Group, Inc. ............ 1,300 28,438
Paul Revere Corp. ................... 500 13,688
Pennzoil Co. ........................ 700 30,275
Potlatch Corp. ...................... 400 16,500
Pulte Corp. ......................... 400 11,200
</TABLE>
6
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- ------------
<S> <C> <C>
RJR Nabisco Holdings Corp. .......... 4,340 $ 143,763
Rayonier, Inc. ...................... 400 15,000
Reliastar Financial Corp. ........... 200 8,575
Republic New York Corp. ............. 300 18,975
Reynolds Metals Co. ................. 900 48,600
Ryder System, Inc. .................. 1,200 35,100
Safeco Corp. ........................ 2,100 70,744
Saint Paul Companies, Inc. .......... 1,600 84,600
Salomon, Inc. ....................... 1,600 67,000
Smiths Food & Drug Centers, Inc.
Class B ............................. 100 2,313
Southern New England
Telecommunications Corp. ............ 300 12,938
Springs Industries, Inc. Class A .... 300 13,913
Standard Federal Bancorporation, Inc. 200 7,875
Stone Container Corp. ............... 1,800 27,900
*Storage Technology Corp. ............ 800 27,400
Sun Company, Inc. ................... 1,100 33,688
TIG Holdings, Inc. .................. 900 27,000
*Tandem Computers, Inc. .............. 2,600 32,500
Tecumseh Products Co. Class A ....... 200 11,375
Temple-Inland, Inc. ................. 1,100 54,175
Textron, Inc. ....................... 500 42,375
Timken Co. .......................... 500 19,688
Transamerica Corp. .................. 1,000 81,000
Tyson Foods, Inc. Class A ........... 1,000 24,563
UMB Financial Corp. ................. 300 11,325
USF&G Corp. ......................... 3,600 57,600
USLIFE Corp. ........................ 550 16,500
USX-Marathon Group, Inc. ............ 4,200 91,875
USX-US Steel Group .................. 1,200 37,200
Union Camp Corp. .................... 1,000 52,625
Union Pacific Corp. ................. 3,200 224,400
Unionbancal Corp. ................... 700 36,313
*Unisys Corp. ........................ 2,500 20,313
*United States Cellular Corp. ........ 1,400 44,275
Unitrin, Inc. ....................... 500 23,938
Valero Energy Corp. ................. 600 16,500
Valhi, Inc. ......................... 1,000 7,000
Washington Mutual, Inc. ............. 1,200 34,425
Wellman, Inc. ....................... 1,000 22,625
Wesco Financial Corp. ............... 100 18,000
Westvaco Corp. ...................... 1,500 48,000
*Woolworth Corp. ..................... 2,000 41,000
------------
TOTAL -- UNITED STATES
(Cost $7,198,913) ................... 8,378,982
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $2,502) 2,480
------------
JAPAN -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $2,158) ........ 2,019
------------
SWITZERLAND -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $426) ............ 394
------------
<PAGE>
SHARES VALUE+
-------- ------------
GERMANY -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $348) ........... $ 331
------------
BELGIUM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $202) ......... 197
------------
AUSTRALIA -- (0.0%)
COMMON STOCK -- (0.0%)
News Corp., Ltd. (Cost $148) ....... 26 146
------------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS -- (8.1%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96)
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96) (Cost
$674,000) ....................... $674 674,000
------------
TOTAL INVESTMENTS -- (109.3%)
(Cost $7,878,697) .................. 9,058,549
------------
OTHER ASSETS AND LIABILITIES --
(-9.3%)
Other Assets ....................... 70,335
Payable for Investment Securities
Purchased ....................... (837,898)
Other Liabilities .................. (6,778)
------------
(774,341)
------------
NET ASSETS -- (100.0%) Applicable to
659,748 Outstanding $.01 Par Value
Shares (100,000,000 Shares
Authorized) ........................ $8,284,208
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ......... $ 12.56
============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements.
7
<PAGE>
STATEMENT OF NET ASSETS
VA INTERNATIONAL VALUE PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------- ------------
<S> <C> <C>
JAPAN -- (33.1%)
COMMON STOCKS -- (33.1%)
Aichi Steel Works, Ltd. ........... 4,000 $ 24,826
Aisin Seiki Co., Ltd. ............. 2,000 30,755
Amada Co., Ltd. ................... 3,000 31,126
*Aoki Corp. ........................ 6,000 23,678
Aoyama Trading Co., Ltd. .......... 1,100 29,347
Asahi Breweries, Ltd. ............. 2,000 23,715
Atsugi Nylon Industrial Co., Ltd. . 5,000 25,012
Calpis Food Industry Co., Ltd. .... 2,000 16,878
Chuo Trust and Banking Co., Ltd. .. 2,000 20,009
Citizen Watch Co., Ltd. ........... 3,000 24,428
Daikyo, Inc. ...................... 3,000 23,705
Ezaki Glico Co., Ltd. ............. 2,000 20,380
Fuji Photo Film Co., Ltd. ......... 2,000 62,251
Fujita Corp. ...................... 9,000 47,355
Fujitsu, Ltd. ..................... 4,000 36,313
Fukuoka City Bank, Ltd. ........... 4,000 31,014
Gunze, Ltd. ....................... 4,000 25,753
*Hanwa Co., Ltd. ................... 5,000 18,944
Haseko Corp. ...................... 8,000 35,794
Hiroshima Bank, Ltd. .............. 2,000 11,709
Hitachi Koki Co., Ltd. ............ 2,000 19,824
Hitachi Maxell, Ltd. .............. 1,000 20,380
Hitachi Transport System, Ltd. .... 2,000 21,121
Hitachi, Ltd. ..................... 9,000 83,372
Hokkaido Bank, Ltd. ............... 7,000 21,853
Hokkaido Takushoku Bank, Ltd.,
Takugin ........................... 16,000 43,279
Hokuriku Bank, Ltd. ............... 3,000 18,620
Inax Corp. ........................ 2,000 20,380
Katokichi Co., Ltd. ............... 1,000 23,622
Keiyo Bank, Ltd. .................. 5,000 28,346
Kiyo Bank, Ltd. ................... 5,000 29,180
Komatsu, Ltd. ..................... 3,000 28,624
Kureha Chemical Industry Co., Ltd. 4,000 24,270
Kyudenko Corp. .................... 2,000 29,088
Long Term Credit Bank of Japan,
Ltd. .............................. 6,000 48,578
Maeda Corp. ....................... 2,000 20,565
Maruetsu, Inc. .................... 3,000 26,762
Matsushita Electric Industrial Co.,
Ltd. .............................. 6,000 103,381
Matsushita Electric Works, Ltd. ... 2,000 21,306
Mitsui Fudosan Co., Ltd. .......... 2,000 25,382
Mitsui Trust & Banking Co., Ltd. .. 2,000 22,047
Mizuno Corp. ...................... 2,000 19,639
Nagase & Co., Ltd. ................ 2,000 19,824
Nihon Cement Co., Ltd. ............ 3,000 21,927
Nippon Credit Bank, Ltd. .......... 7,000 26,197
Nippon Oil Co., Ltd. .............. 8,000 52,987
Nippon Sheet Glass Co., Ltd. ...... 4,000 19,157
Nippon Shinpan Co., Ltd., Tokyo ... 6,000 44,465
Nisshinbo Industries, Inc. ........ 3,000 29,736
Nittetsu Mining Co., Ltd. ......... 2,000 20,380
*Nitto Boseki Co., Ltd. ............ 7,000 23,668
Noritz Corp. ...................... 1,000 17,045
Pioneer Electronic Corp. .......... 2,000 44,465
San-In Godo Bank, Ltd. ............ 3,000 24,456
Sankyo Aluminum Industry Co., Ltd. 3,000 17,814
<PAGE>
SHARES VALUE+
-------- ------------
Sanyo Electric Co., Ltd. .......... 4,000 $ 23,826
Sekisui House, Ltd. ............... 2,000 23,529
Shiga Bank, Ltd. .................. 4,000 25,160
Shinmaywa Industries, Ltd. ........ 2,000 18,286
Shiseido Co., Ltd. ................ 4,000 49,653
Sumitomo Corp. .................... 2,000 22,233
Sumitomo Realty & Development Co.,
Ltd. .............................. 7,000 55,313
Teijin, Ltd. ...................... 4,000 20,713
Tokyo Sowa Bank, Ltd. ............. 4,000 26,308
Tokyo Style Co., Ltd. ............. 1,000 17,693
*Tokyo Tatemono Co., Ltd. .......... 4,000 25,160
Toyo Engineering Corp. ............ 3,000 20,454
Toyo Trust & Banking Co., Ltd. .... 2,000 19,083
Toyota Motor Corp. ................ 2,000 45,762
Toyota Tsusho Corp. ............... 4,000 27,791
*Victor Co. of Japan, Ltd. ......... 2,000 28,532
Yamaichi Securities Co., Ltd. ..... 8,000 57,805
Yamato Kogyo Co., Ltd. ............ 2,000 21,862
Yasuda Trust & Banking Co., Ltd. .. 8,000 48,467
------------
TOTAL COMMON STOCKS
(Cost $1,987,248) ................. 2,202,362
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $598) .......... 596
------------
TOTAL -- JAPAN (Cost $1,987,846) ... 2,202,958
------------
UNITED KINGDOM -- (17.2%)
COMMON STOCKS -- (17.2%)
ASDA Group P.L.C. ................. 18,900 34,574
Abbey National P.L.C. ............. 4,000 34,220
Anglian Water P.L.C. .............. 2,100 19,508
Arjo Wiggins Appleton P.L.C. ...... 5,400 14,786
Associated British Foods P.L.C. ... 4,000 23,453
Barclays P.L.C. ................... 2,500 29,045
Bass P.L.C. ....................... 5,800 73,082
British Gas P.L.C. ................ 7,000 20,521
British Land Co. P.L.C. ........... 3,500 22,199
British Steel P.L.C. .............. 16,300 42,993
British Telecommunications P.L.C. . 9,900 54,446
Burton Group P.L.C. ............... 18,700 43,032
General Accident P.L.C. ........... 2,500 25,738
Great Universal Stores P.L.C. ..... 6,100 64,122
Guardian Royal Exchange P.L.C. .... 7,093 29,352
ICI (Imperial Chemical Industries
P.L.C.) ........................... 4,300 56,875
Ladbroke Group P.L.C. ............. 7,555 22,148
Lasmo P.L.C. ...................... 8,700 24,495
Lonrho P.L.C. ..................... 6,200 17,936
National Westminster Bank P.L.C. .. 5,352 51,623
North West Water Group P.L.C. ..... 2,336 21,068
Pilkington P.L.C. ................. 7,700 22,633
Redland P.L.C. .................... 4,000 24,876
Royal Insurance Holdings P.L.C. ... 5,200 34,068
Sears P.L.C. ...................... 12,100 17,689
Severn Trent P.L.C. ............... 2,900 27,097
Shell Transport & Trading Co.
P.L.C. ............................ 7,500 106,511
Sun Alliance Group P.L.C. ......... 4,400 27,057
Telegraph P.L.C. .................. 3,400 29,402
8
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE+
-------- ------------
<S> <C> <C>
Thames Water P.L.C. ............... 2,692 $ 24,655
Unilever P.L.C. ................... 1,300 24,133
Welsh Water P.L.C. ................ 1,583 18,392
Whitbread P.L.C. .................. 4,200 47,497
Yorkshire Water P.L.C. ............ 1,600 18,069
------------
TOTAL COMMON STOCKS
(Cost $1,087,025) ................. 1,147,295
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $686) 710
------------
TOTAL -- UNITED KINGDOM
(Cost $1,087,711) ................. 1,148,005
------------
FRANCE -- (7.9%)
COMMON STOCKS -- (6.7%)
Alcatel Alsthom Cie Generale
d'Electricite SA .................. 558 50,884
Elf Aquitaine SA .................. 709 51,366
Eridania Beghin-Say SA ............ 200 31,365
Financiere de Paribas SA Series A . 446 27,269
Groupe Danone ..................... 150 21,955
LaFarge Coppee SA ................. 300 19,772
Peugeot SA ........................ 200 27,880
Rhone-Poulenc SA Series A ......... 1,100 27,431
Saint Louis (SLB) ................. 100 27,106
Saint-Gobain ...................... 300 38,509
Societe Generale Paris ............ 205 21,830
Suez SA ........................... 600 23,175
Total SA Series B ................. 807 58,388
UAP SA ............................ 1,100 21,766
------------
TOTAL COMMON STOCKS
(Cost $426,468) ................... 448,696
------------
INVESTMENT IN CURRENCY -- (1.2%)
*French Francs (Cost $80,342) ...... 80,892
------------
RIGHTS/WARRANTS -- (0.0%)
*Societe Generale Paris Rights
06/17/96 (Cost $0) ................ 205 0
------------
TOTAL -- FRANCE (Cost $506,810) .... 529,588
------------
GERMANY -- (7.7%)
COMMON STOCKS -- (7.4%)
BASF AG ........................... 400 111,177
BHF Bank .......................... 1,000 25,139
Bankgesellschaft Berlin AG ........ 100 21,632
Bayer AG .......................... 200 66,863
Bayerische Hypotheken und
Wechselbank AG .................... 1,000 25,192
Bayerische Vereinsbank AG ......... 1,120 31,570
Commerzbank AG .................... 100 20,846
Dresdner Bank AG, Frankfurt ....... 2,900 72,714
Man AG, Muenchen .................. 100 25,828
Siemens AG ........................ 500 28,050
Vereins & Westbank AG ............. 112 25,183
Volkswagen AG ..................... 100 35,292
------------
TOTAL COMMON STOCKS
(Cost $465,639) ................... 489,486
------------
INVESTMENT IN CURRENCY -- (0.3%)
*German Marks (Cost $22,148) ....... 22,065
------------
TOTAL -- GERMANY
(Cost $487,787) ................... 511,551
------------
<PAGE>
SHARES VALUE+
-------- ------------
SWITZERLAND -- (5.9%)
COMMON STOCKS -- (5.9%)
Banque Cantonale Vaudois .......... 110 $ 31,567
CS Holding, Zuerich (Namen) ....... 800 69,065
*Oerlikon-Buehrle Holding AG,
Zuerich ........................... 500 51,958
Pargesa Holding SA, Geneve ........ 50 59,353
SBG (Schweizerische
Bankgesellschaft) ................. 50 46,843
SBV (Schweizerischer Bankverein)
(Namen) ........................... 300 53,357
SIG (Schweizerische Industrie
Gesellschaft Holding AG),
Neuhausen am Rheinfall ............ 10 23,341
Schindler Holding AG, Hergiswil ... 25 26,679
Sulzer AG, Winterthur ............. 50 31,774
------------
TOTAL COMMON STOCKS
(Cost $379,257) ................... 393,937
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $989) .......... 1,000
------------
RIGHTS/WARRANTS -- (0.0%)
*Schindler Holding AG, Hergiswil
Warrants 12/16/96 (Cost $67) ...... 25 44
------------
TOTAL -- SWITZERLAND
(Cost $380,313) ................... 394,981
------------
NETHERLANDS -- (4.8%)
COMMON STOCKS -- (4.8%)
ABN Amro Holding NV ............... 1,328 73,186
DSM NV ............................ 500 51,308
*Fortis Amev NV .................... 917 71,405
Internationale Nederlanden Groep NV 1,148 94,430
KLM Royal Dutch Airlines NV ....... 800 28,550
------------
TOTAL COMMON STOCKS
(Cost $242,180) ................... 318,879
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $1,504) . 1,514
------------
RIGHTS/WARRANTS -- (0.0%)
*Fortis Amev NV Rights 06/05/96
(Cost $0) ......................... 33 50
------------
TOTAL -- NETHERLANDS
(Cost $243,684) ................... 320,443
------------
HONG KONG -- (3.9%)
COMMON STOCKS -- (3.9%)
Amoy Properties, Ltd. ............. 22,000 27,301
Chinese Estates Holdings, Ltd. .... 24,000 21,406
Great Eagle Holdings, Ltd. ........ 7,177 21,987
Hong Kong & Shanghai Hotels, Ltd. . 17,000 29,996
Hysan Development Co., Ltd. ....... 10,000 32,252
Paliburg Holdings, Ltd. ........... 36,000 22,570
Wharf Holdings, Ltd. .............. 17,000 65,596
Wheelock and Co., Ltd. ............ 19,000 38,438
------------
TOTAL COMMON STOCKS
(Cost $210,677) ................... 259,546
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $2,077) ... 2,076
------------
9
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE+
-------- ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Hysan Development Co., Ltd.
Warrants 04/30/98 (Cost $0) ....... 500 $ 304
------------
TOTAL -- HONG KONG
(Cost $212,754) ................... 261,926
------------
AUSTRALIA -- (2.8%)
COMMON STOCKS -- (2.8%)
Commonwealth Bank of Australia .... 3,426 27,900
MIM Holdings, Ltd. ................ 11,281 16,032
National Australia Bank, Ltd ...... 2,618 24,560
News Corp., Ltd. .................. 11,656 65,422
Westpac Banking Corp. ............. 11,200 52,312
------------
TOTAL COMMON STOCKS
(Cost $177,969) ................... 186,226
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $62) ...... 63
------------
TOTAL -- AUSTRALIA
(Cost $178,031) ................... 186,289
------------
SWEDEN -- (2.3%)
COMMON STOCKS -- (2.3%)
*Naeckebro AB Units ................ 1,100 1,528
Skandinaviska Enskilda Banken
Series A .......................... 5,600 44,087
Stora Kopparbergs Bergslags AB
Series A .......................... 2,900 38,555
*Svenka Cellulosa AB Series B ...... 1,300 25,490
Svenska Handelsbanken Series A .... 1,100 22,631
*Swedish Match AB (Frueher
Svenska Taendsticks AB) ........... 900 2,995
Volvo AB Series B ................. 900 19,051
------------
TOTAL COMMON STOCKS
(Cost $139,767) ................... 154,337
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $53) .......... 53
------------
TOTAL -- SWEDEN (Cost $139,820) .... 154,390
------------
ITALY -- (2.1%)
COMMON STOCKS -- (2.1%)
Banca Commerciale Italiana SpA .... 13,000 27,452
*Banca di Roma ..................... 30,000 29,545
Credito Italiano .................. 20,000 24,798
Italcementi Fabbriche Riunite
Cemento SpA, Bergamo .............. 5,000 41,201
*Olivetti (Ing C & C) SpA, Ivrea ... 25,000 15,612
------------
TOTAL COMMON STOCKS
(Cost $131,438) ................... 138,608
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $7) ............ 7
------------
TOTAL -- ITALY (Cost $131,445) ..... 138,615
------------
SPAIN -- (2.0%)
COMMON STOCKS -- (2.0%)
Banco Central Hispanoamericano SA . 1,200 24,065
Iberdrola SA ...................... 6,900 69,321
Sevillana de Electricidad ......... 4,300 36,862
------------
TOTAL COMMON STOCKS
(Cost $104,496) ................... 130,248
------------
<PAGE>
SHARES VALUE+
-------- ------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $552) ........ $ 533
------------
TOTAL -- SPAIN (Cost $105,048) ..... 130,781
------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Electrafina SA .................... 200 18,698
Groupe Bruxelles Lambert SA ....... 200 26,393
Societe Generale de Belgique SA ... 500 36,727
------------
TOTAL COMMON STOCKS
(Cost $83,224) .................... 81,818
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $1,374) ...... 1,383
------------
TOTAL -- BELGIUM (Cost $84,598) .... 83,201
------------
SINGAPORE -- (1.0%)
COMMON STOCKS -- (1.0%)
Singapore Land, Ltd. (Cost $51,245) 9,000 60,638
------------
Face
Amount
------
(000)
TEMPORARY CASH INVESTMENTS
-- (8.8%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96) (Cost
$588,000) ......................... $ 588 588,000
------------
TOTAL INVESTMENTS -- (100.7%)
(Cost $6,185,892) ................. 6,711,366
------------
OTHER ASSETS AND LIABILITIES --
(-0.7%)
Other Assets ....................... 62,249
Payable for Investment Securities
Purchased ......................... (102,887)
Other Liabilities .................. (9,295)
------------
(49,833)
------------
NET ASSETS -- (100.0%) Applicable to
596,636 Outstanding $.01 Par Value
Shares (100,000,000 Shares
Authorized) ....................... $6,661,433
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 11.17
============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
10
<PAGE>
STATEMENT OF NET ASSETS
VA INTERNATIONAL SMALL PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
--------- -------------
<S> <C> <C>
JAPAN -- (36.2%)
COMMON STOCKS -- (36.2%)
Aica Kogyo Co., Ltd. .............. 3,000 $21,399
Aichi Tokei Denki Co., Ltd. ....... 3,000 20,704
Asahi Kogyosha Co., Ltd. .......... 3,000 21,371
Ashimori Industry Co., Ltd. ....... 3,000 18,342
*Asics Corp. ....................... 7,000 24,706
*Bank of Osaka, Ltd. ............... 9,000 34,766
#CKD Corp. ......................... 2,000 19,268
*Central Finance Co., Ltd. ......... 4,000 18,157
*Chori Co., Ltd. ................... 5,000 24,317
*Daiwabo Co., Ltd. ................. 8,000 47,059
*Fuji Kosan Co., Ltd. .............. 6,000 24,678
Fuji Oil Co., Ltd. ................ 3,000 23,900
Fuji Spinning Co., Ltd., Tokyo .... 4,000 21,343
Fujiko Co., Ltd. .................. 4,000 18,898
*Furukawa Battery Co., Ltd. ........ 3,000 22,649
*Gakken Co., Ltd. .................. 3,000 21,176
*Hitachi Seiki Co., Ltd. ........... 4,000 20,009
Hokkaido Gas Co., Ltd. ............ 4,000 19,268
*Hokuriku Electric Industry Co.,
Ltd. ............................... 4,000 28,939
Howa Machinery, Ltd. .............. 5,000 23,205
Ichikoh Industries, Ltd. .......... 4,000 21,677
Iwasaki Electric Co., Ltd. ........ 4,000 21,566
*Iwatsu Electric Co., Ltd. ......... 3,000 16,702
*Japan Coated Paper Manufacturing
Co., Ltd. ......................... 3,000 16,897
Japan Paper Industry Co., Ltd. .... 3,000 21,704
Japan Transcity Corp. ............. 3,000 19,731
Japan Vilene Co., Ltd. ............ 3,000 20,593
*Kansai Kisen Kaisha ............... 9,000 23,928
Kanto Auto Works, Ltd., Yokosuka .. 3,000 23,066
*Kanto Denka Kogyo Co., Ltd. ....... 4,000 24,678
Kawada Industries, Inc. ........... 2,000 18,472
Kawai Musical Instruments
Manufacturing Co., Ltd. ........... 5,000 24,641
Keiyo Co., Ltd. ................... 2,000 26,123
Kokusai Kogyo Co., Ltd. ........... 2,000 29,643
Komatsu Forklift Co., Ltd., Tochigi 3,000 20,899
Kosei Securities Co., Ltd. ........ 4,000 23,529
Kyodo Shiryo Co., Ltd. ............ 5,000 23,622
*Kyotaru Co., Ltd. ................. 3,000 21,149
Kyushu Bank, Ltd. ................. 4,000 18,527
Life Corp. ........................ 2,000 17,786
Maruyama Manufacturing Co., Inc. .. 3,000 16,535
Matsuo Bridge Co., Ltd. ........... 3,000 20,982
*Mitsubishi Shindoh Co., Ltd. ...... 3,000 16,841
Mitsuuroko Co., Ltd. .............. 3,000 23,900
Nakamuraya Co., Ltd. .............. 3,000 19,954
Nichias Corp. ..................... 4,000 22,418
Nichiei Construction Co., Ltd. .... 2,000 23,159
*Nichimo Co., Ltd. ................. 5,000 25,938
Nichireki Co., Ltd. ............... 2,000 22,047
Nichiro Corp. ..................... 5,000 21,445
*Nippon Carbon Co., Ltd. ........... 5,000 22,603
*Nippon Columbia Co., Ltd. ......... 3,000 19,620
Nippon Concrete Industries Co.,
Ltd. .............................. 3,000 18,342
*Nippon Kasei Chemical Co., Ltd. ... 5,000 22,649
<PAGE>
SHARES VALUE+
--------- -------------
Nippon Synthetic Chemical Industry
Co., Ltd. ......................... 3,000 $ 17,786
*Nitto Boseki Co., Ltd. ............ 8,000 27,050
Odakyu Real Estate Co., Ltd. ...... 4,000 22,899
Parco Co., Ltd. ................... 2,000 23,159
Prima Meat Packers, Ltd. .......... 5,000 22,001
Rasa Industries, Ltd. ............. 3,150 21,739
Rheon Automatic Machinery Co.,
Ltd. .............................. 2,000 22,603
Sagami Co., Ltd. .................. 3,000 24,873
Sakai Chemical Industry Co., Ltd. . 3,000 19,870
Sakata Inx Corp. .................. 3,000 23,650
Sasebo Heavy Industries Co., Ltd.,
Tokyo ............................. 7,000 24,900
Shikoku Chemicals Corp. ........... 3,000 18,453
*#Showa Line, Ltd. .................. 10,000 21,028
Sumitomo Precision Products Co.,
Ltd., Amagasaki City .............. 2,000 18,138
TOC Co., Ltd. ..................... 2,000 24,085
Taisei Rotec Corp. ................ 3,000 22,649
Takaoka Electric Manufacturing Co.,
Ltd., Tokyo ....................... 4,000 22,937
#Takasago International Corp. ...... 3,000 21,677
Takashima & Co., Ltd. ............. 4,000 21,047
Takiron Co., Ltd. ................. 3,000 20,371
Tasaki Shinju Co., Ltd. ........... 2,000 23,529
Toa Doro Kogyo Co., Ltd. .......... 3,000 20,565
*Toa Wool Spinning & Weaving Co.,
Ltd. .............................. 6,000 27,735
*Tokai Kogyo Co., Ltd. ............. 7,000 86,892
Tokico, Ltd. ...................... 4,000 20,343
Tokyo Kikai Seisakusho Ltd. ....... 3,000 24,539
*Tokyo Securities Co., Ltd. ........ 4,000 20,565
*Tokyo Tekko Co., Ltd. ............. 3,000 20,899
Tokyo Theatres Co., Inc., Tokyo ... 6,000 21,955
Tonami Transportation Co., Ltd. ... 3,000 20,704
Totoku Electric Co., Ltd., Tokyo .. 3,000 25,151
Toyo Chemical Co., Ltd. ........... 3,000 19,731
*Toyo Electric Co., Ltd. ........... 5,000 25,012
Toyo Umpanki Co., Ltd. ............ 5,000 25,938
Yondenko Corp. .................... 2,000 18,898
Zenchiku Co., Ltd. ................ 4,000 18,714
-------------
TOTAL COMMON STOCKS
(Cost $1,623,097) .................. 2,067,605
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $713) .......... 704
-------------
TOTAL -- JAPAN (Cost $1,623,810) .... 2,068,309
-------------
UNITED KINGDOM -- (13.1%)
COMMON STOCKS -- (13.0%)
APV P.L.C. ........................ 15,000 15,431
Ash & Lacy P.L.C. ................. 7,000 19,276
*Ashley (Laura) Holdings P.L.C. .... 12,000 37,314
Bluebird Toys P.L.C. .............. 5,000 17,713
Bodycote International P.L.C. ..... 3,000 25,572
Bradstock Group P.L.C. ............ 21,000 23,391
British Polythene Industries P.L.C. 2,000 23,453
Canadian Pizza P.L.C. ............. 12,000 14,851
Carpetright P.L.C. ................ 4,000 37,685
</TABLE>
11
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- ------------
<S> <C> <C>
*Cordiant P.L.C. ................... 11,000 $ 20,761
Davis Service Group P.L.C. ........ 5,000 19,105
Dawson Group P.L.C. ............... 4,000 13,057
Dawson International P.L.C. ....... 10,000 13,768
Dewhirst Group P.L.C. ............. 6,000 16,893
Diploma P.L.C. .................... 3,000 17,914
Etam P.L.C. ....................... 7,000 18,951
Greene King P.L.C. ................ 2,000 20,699
Henderson Administration Group
P.L.C. ........................... 1,000 17,172
Heywood Williams Group P.L.C. ..... 5,000 18,641
Higgs & Hill P.L.C. ............... 13,000 18,100
How Group P.L.C. .................. 29,000 18,394
MacAllan-Glenlivet P.L.C. ......... 6,000 15,687
MacFarlane Group Clansman P.L.C. . 6,000 24,226
*Oxford Molecular Group P.L.C. ..... 5,714 31,557
Photo-Me International P.L.C. ..... 6,000 15,037
Polypipe P.L.C. ................... 8,000 24,504
Quick Group P.L.C. ................ 8,000 21,658
Redrow Group P.L.C. ............... 11,000 24,334
Sage Group P.L.C. ................. 5,000 35,813
St. Modwen Properties P.L.C. ...... 23,000 21,704
Staveley Industries P.L.C. ........ 6,000 20,792
Suter P.L.C. ...................... 6,000 15,779
T & S Stores P.L.C. ............... 7,690 26,053
Triplex Lloyd P.L.C. .............. 7,125 18,407
Vardon P.L.C. ..................... 9,000 16,987
-------------
TOTAL COMMON STOCKS
(Cost $674,425) ................... 740,679
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling
(Cost $5,259) ..................... 5,372
-------------
TOTAL -- UNITED KINGDOM
(Cost $679,684) ................... 746,051
-------------
FRANCE -- (8.6%)
COMMON STOCKS -- (8.6%)
ALSPI (Societe Alsacienne de
Participations Industrielles) ... 300 28,054
*Bis SA ............................ 200 25,944
*Bollore Technologies SA ........... 200 23,930
DMC (Dollfus Mieg et Cie) ......... 300 14,318
Degremont ......................... 300 27,793
EBF SA ............................ 700 25,235
Gaumont ........................... 400 29,119
*Gaumont Em 96 ..................... 1 73
Groupe Andre SA ................... 304 28,546
Groupe du Louvre SA ............... 700 25,276
Groupement pour le Financement de
la Construction SA ................ 300 24,453
Guyenne et Gascogne SA ............ 60 20,968
Havas Advertising SA .............. 200 22,652
*Legris Industries SA .............. 400 19,748
*Metaleurop SA ..................... 1,500 15,886
*Moulinex SA ....................... 1,200 18,354
SAGA (Societe Anonyme de
Gerance et d'Armement) ........... 300 9,630
SFIM (Societe de Fabrication
d'Instruments de Mesure) ......... 100 20,387
Silec (Societe Industrielle de
Liaisons Electriques) ............ 400 22,072
Skis Rossignol SA ................. 54 20,168
<PAGE>
SHARES VALUE+
--------- -------------
Strafor Facom SA .................. 280 $ 19,597
UGC Droits Audiovisuels SA ........ 200 11,926
*Union Industrielle de Credit SA,
Paris ............................ 1,364 20,731
*Vallourec (Usines a Tubes de
Lorraine Escaut et Vallourec
Reunies) ......................... 400 18,277
-------------
TOTAL COMMON STOCKS
(Cost $433,268) ................... 493,137
-------------
INVESTMENT IN CURRENCY -- (0.0%) ....
*French Francs (Cost $225) ......... 221
-------------
TOTAL -- FRANCE
(Cost $433,493) ................... 493,358
-------------
GERMANY -- (7.1%)
COMMON STOCKS -- (7.1%)
Aachener und Muenchener
Versicherungs AG ................. 100 26,352
Concordia Bau und Boden AG ........ 496 13,006
DLW AG ............................ 100 9,013
DSL Holding AG .................... 150 17,355
*Didier-Werke AG ................... 200 15,077
Dyckerhoff & Widmann AG ........... 100 13,373
*Fag Kugelfischer Georg Schaeffer
AG ............................... 125 17,634
Felten & Guilleaume Energietechnik
AG ............................... 100 13,504
*Gerresheimer Glas AG .............. 100 20,911
Harpener AG ....................... 100 18,355
Holsten-Brauerei AG, Hamburg ...... 100 20,977
Iwka AG ........................... 100 20,092
*Kali und Salz Beteiligungs AG ..... 200 31,039
*Kaufhalle AG ...................... 200 21,501
*Linotype-Hell AG .................. 100 7,539
*Phoenix AG, Hamburg ............... 100 14,677
*Plettac AG ........................ 70 16,749
Rheinboden Hypothekenbank AG ...... 100 17,030
Salamander AG, Kornwesteim ........ 100 13,012
Strabag AG ........................ 100 10,324
Verseidag AG ...................... 200 15,404
WCM Beteiligungs und Grundbesitz
AG ............................... 3,000 25,545
*Walter AG ......................... 100 26,352
-------------
TOTAL COMMON STOCKS
(Cost $468,387) ................... 404,821
-------------
INVESTMENT IN CURRENCY -- (0.0%) ....
*German Marks (Cost $896) .......... 902
-------------
TOTAL -- GERMANY
(Cost $469,283) ................... 405,723
-------------
MALAYSIA -- (5.8%)
COMMON STOCKS -- (5.7%) .............
Batu Kawan Berhad ................. 10,500 24,795
Gadek (Malaysia) Berhad ........... 6,000 37,943
*Gadek Capital Berhad .............. 2,000 6,084
Guinness Anchor Berhad ............ 11,000 23,774
Ho Hup Construction Co. Berhad .... 5,000 14,909
Kelang Container Terminal Berhad .. 7,000 17,230
Kemayan Corp. Berhad .............. 11,000 18,139
MCB Holdings Berhad ............... 25,000 20,712
Malaysian Pacific Industries ...... 7,000 28,857
Pacific Bank Berhad ............... 18,000 92,215
Phileo Allied Berhad .............. 4,000 21,293
</TABLE>
12
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- ------------
<S> <C> <C>
Westmont Land (Asia) Berhad ....... 9,000 $ 15,705
*Westmont Land (Asia) Berhad -A- ... 3,600 5,735
-------------
TOTAL COMMON STOCKS
(Cost $214,326) ................... 327,391
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Malaysian Ringetts (Cost $4,686) .. 4,708
-------------
TOTAL -- MALAYSIA
(Cost $219,012) ................... 332,099
-------------
NETHERLANDS -- (5.0%)
COMMON STOCKS -- (4.9%)
ACF Holding NV (Certificate) ...... 800 15,726
Ahrend NV ......................... 618 27,478
Cap Volmac Group NV ............... 2,100 41,403
Grolsche NV ....................... 800 33,932
Internatio-Mueller NV ............. 300 25,625
*Koninklijke Frans Maas Groep NV ... 715 28,235
*Otra NV ........................... 1,000 22,816
Schuttersveld Holding ............. 617 23,535
Twentsche Kabel Holding NV ........ 600 25,274
Wegener NV ........................ 305 34,153
-------------
TOTAL COMMON STOCKS
(Cost $224,962) ................... 278,177
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Netherlands Guilder
(Cost $2,790) ..................... 2,809
-------------
RIGHTS/WARRANTS -- (0.0%)
*Ahrend NV Rights 06/27/96 ......... 24 22
*Koninklijke Frans Maas Groep NV
Rights 06/03/96 .................. 25 22
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ......................... 44
-------------
TOTAL -- NETHERLANDS
(Cost $227,752) ................... 281,030
-------------
AUSTRALIA -- (3.1%)
COMMON STOCKS -- (3.1%)
*Aurora Gold, Ltd. ................. 15,600 29,269
Bank of Queensland, Ltd. .......... 5,590 24,726
Capral Aluminium, Ltd. ............ 7,324 20,349
Faulding (F.H.) & Co., Ltd. ....... 4,667 29,250
Iama, Ltd. ........................ 12,411 29,232
Metal Manufactures, Ltd. .......... 7,600 18,810
Pacific Magazines and Printing,
Ltd. ............................. 8,900 22,312
-------------
TOTAL COMMON STOCKS
(Cost $131,582) ................... 173,948
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $1,327) ... 1,349
-------------
TOTAL -- AUSTRALIA
(Cost $132,909) ................... 175,297
-------------
SWITZERLAND -- (2.9%)
COMMON STOCKS -- (2.9%)
Attisholz Holding AG, Attisholz ... 24 10,839
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg ....... 100 20,224
Forbo Holding AG, Eglisau ......... 51 21,607
Kraftwerk Laufenburg, Laufenburg .. 100 20,144
<PAGE>
SHARES VALUE+
--------- -------------
Phoenix Mecano AG, Stein am Rhein 50 $ 24,580
Porst Holding AG, Jegenstorf ...... 94 9,768
*Saurer AG, Arbon .................. 56 22,158
*Von Roll AG, Gerlafingen .......... 759 16,836
Zuercher Ziegeleien Holding,
Zuerich .......................... 27 18,777
-------------
TOTAL COMMON STOCKS
(Cost $180,977) ................... 164,933
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $1,900) ........ 1,858
-------------
TOTAL -- SWITZERLAND
(Cost $182,877) ................... 166,791
-------------
ITALY -- (2.7%)
COMMON STOCKS -- (2.7%)
*Ansaldo Trasporti SpA ............. 7,000 10,533
Banca Toscana ..................... 11,000 20,601
*Cogefar-Impresit Costruzioni
Generali SpA ..................... 19,000 20,074
*Dalmine SpA ....................... 82,000 21,870
*Milano Assicurazioni SpA .......... 5,000 16,823
*Premafin Finanziaria SpA .......... 37,000 10,370
Previdente Cia Italiana
Assicurazione SpA ................ 3,000 17,688
Tecnost SpA ....................... 8,000 13,794
Vianini Lavori SpA ................ 10,000 22,924
-------------
TOTAL -- ITALY
(Cost $163,823) ................... 154,677
-------------
HONG KONG -- (2.6%)
COMMON STOCKS -- (2.6%)
Dynamic Holdings, Ltd. ............ 92,000 16,649
Four Seas Mercantile Holdings,
Ltd. ............................. 60,000 25,207
Grande Holdings, Ltd. ............. 28,000 12,306
*Great Wall Electronic
International, Ltd. .............. 100,000 7,627
Liu Chong Hing Bank, Ltd. ......... 16,000 21,613
Semi-Tech (Global) Co., Ltd. ...... 13,260 19,969
Shell Electric Manufacturing
(Holdings) Co., Ltd. ............. 38,000 24,806
Varitronix International, Ltd. .... 10,000 20,101
-------------
TOTAL COMMON STOCKS
(Cost $137,340) ................... 148,278
-------------
INVESTMENT IN CURRENCY -- (0.0%) ....
*Hong Kong Dollars (Cost $1,677) ... 1,677
-------------
RIGHTS/WARRANTS -- (0.0%)
*Shell Electric Manufacturing
(Holdings) Co., Ltd. Warrants
10/31/97 (Cost $0) ............... 7,600 0
-------------
TOTAL -- HONG KONG
(Cost $139,017) ................... 149,955
-------------
SWEDEN -- (2.5%)
COMMON STOCKS -- (2.5%)
*Celsius Industrier AB Series B .... 1,400 43,048
Foereningsbanken AB Series A ...... 10,400 32,133
Garphyttan Industrier AB .......... 1,400 20,692
Marieberg Tidnings AB Series A .... 1,400 33,690
Rottneros Bruk AB ................. 11,700 13,383
-------------
</TABLE>
13
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
-------- ------------
<S> <C> <C>
TOTAL COMMON STOCKS
(Cost $119,233) ................... $142,946
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $2,060) ....... 2,075
-------------
TOTAL -- SWEDEN
(Cost $121,293) ................... 145,021
-------------
KOREA -- (2.2%)
COMMON STOCKS -- (2.2%)
Daelim Industrial Co., Ltd. ....... 1,030 20,132
Hankuk Paper Manufacturing Co.,
Ltd. ............................. 500 13,009
Hanmi Pharmaceutical Co., Ltd. .... 714 21,749
Kumho Electric Co., Ltd. .......... 330 15,329
Pang Rim Spinning ................. 300 16,715
*Se Poong Corp. .................... 1,200 19,952
Union Steel Manufacturing Co.,
Ltd. ............................. 200 17,769
-------------
TOTAL COMMON STOCKS
(Cost $141,418) ................... 124,655
-------------
INVESTMENT IN CURRENCY -- (0.0%) ....
*Korean Won (Cost $1,081) .......... 1,071
-------------
TOTAL -- KOREA (Cost $142,499) ...... 125,726
-------------
SINGAPORE -- (2.1%)
COMMON STOCKS -- (2.1%)
Amtek Engineering, Ltd. ........... 15,000 26,489
Hitachi Zosen (Singapore), Ltd. ... 22,000 15,447
*Hotel Plaza, Ltd. ................. 25,000 16,312
Scotts Holdings, Ltd. ............. 25,000 23,582
Tuan Sing Holdings, Ltd. .......... 44,000 18,255
Van Der Horst, Ltd. ............... 4,000 19,291
-------------
TOTAL COMMON STOCKS
(Cost $109,472) ................... 119,376
-------------
INVESTMENT IN CURRENCY -- (0.0%) ....
*Singapore Dollars (Cost $652) ..... 654
-------------
TOTAL -- SINGAPORE
(Cost $110,124) ................... 120,030
-------------
SPAIN -- (2.1%)
COMMON STOCKS -- (2.1%)
Banco Zaragozano SA ............... 1,200 19,922
Europistas Concesionaria Espanola
SA ............................... 2,300 17,629
Fabricacion de Automoviles Renault
de Espana SA ..................... 800 16,757
GESA (Gas y Electricidad SA) ...... 400 21,722
Huarte SA ......................... 2,000 4,686
Uralita SA ........................ 1,900 16,730
Viscofan Industria Navarra de
Envolturas Celulosicas SA ........ 1,300 21,079
-------------
TOTAL COMMON STOCKS
(Cost $135,623) ................... 118,525
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $785) ........ 753
-------------
TOTAL -- SPAIN
(Cost $136,408) ................... 119,278
-------------
<PAGE>
SHARES VALUE+
--------- -------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Ackermans & Van Haaren SA ......... 120 $ 20,033
CMB (Cie Maritime Belge) .......... 300 24,517
*Immobel (Cie Immobiliere de
Belgique SA) ..................... 200 13,705
-------------
TOTAL COMMON STOCKS
(Cost $59,183) .................... 58,255
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $963) ........ 954
-------------
TOTAL -- BELGIUM
(Cost $60,146) .................... 59,209
-------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (2.8%)
Repurchase Agreement, PNC
Securities Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96)
(Cost $160,000) .................. $ 160 160,000
-------------
TOTAL INVESTMENTS -- (99.8%)
(Cost $5,002,130) ................. 5,702,554
-------------
OTHER ASSETS AND LIABILITIES --
(0.2%) ............................
Other Assets ........................ 26,944
Payable for Investment Securities
Purchased ......................... (4,390)
Other Liabilities ................... (8,841)
-------------
13,713
-------------
NET ASSETS -- (100.0%) Applicable to
500,000 Outstanding $.01 Par Value
Shares (100,000,000 Shares
Authorized) ....................... $5,716,267
=============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 11.43
=============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
14
<PAGE>
STATEMENT OF NET ASSETS
VA SHORT-TERM FIXED PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT
--------
(000) VALUE+
-------------
<S> <C> <C>
COMMERCIAL PAPER -- (54.2%)
AI Credit Corp. C.P.
5.270%, 07/10/96 ..................... $150 $ 149,112
Abbott Laboratories C.P.
5.300%, 06/14/96 ..................... 150 149,691
Bell Atlantic Network Funding, Inc. C.P.
5.280%, 06/10/96 ..................... 150 149,780
BellSouth Telecommunications, Inc. C.P.
5.280%, 06/11/96 ..................... 100 99,838
Beta Finance, Inc. C.P.
5.300%, 06/25/96 ..................... 150 149,449
Cargill, Inc. C.P.
5.280%, 06/05/96 ..................... 150 149,890
Corporate Asset Funding Corp. C.P.
5.280%, 07/17/96 ..................... 150 148,964
Delaware Funding Corp. C.P.
5.310%, 07/08/96 ..................... 150 149,162
Eli Lilly & Company C.P.
5.260%, 06/24/96 ..................... 150 149,468
France Telecommunications C.P.
5.300%, 06/06/96 ..................... 150 149,868
Glaxo Wellcome P.L.C. C.P.
5.300%, 07/09/96 ..................... 150 149,140
McKenna Triangle National Corp. C.P. ..
5.280%, 06/13/96 ..................... 150 149,713
Michelin Tire Corp. C.P.
5.280%, 06/07/96 ..................... 150 149,846
Paccar Financial Corp. C.P.
5.260%, 06/26/96 ..................... 150 149,428
Sheffield Receivables Corp. C.P.
5.300%, 06/20/96 ..................... 150 149,559
Societe Generale North America C.P. ...
5.300%, 06/07/96 ..................... 150 149,846
St. Michael Finance Ltd. C.P.
5.310%, 07/11/96 ..................... 150 149,096
Stanley Works C.P.
5.320%, 07/12/96 ..................... 150 149,069
Wal-Mart Stores, Inc. C.P.
5.290%, 06/10/96 ..................... 150 149,780
-------------
TOTAL COMMERCIAL PAPER
(Cost $2,791,122) .................... 2,790,699
-------------
BONDS AND CERTIFICATES OF DEPOSIT --
(29.2%)
Bayerische Landesbank U.S. Finance,
Inc. Medium Term Notes
5.800%, 10/21/97 ..................... 150 148,776
Canada (Government of) Bonds
5.825%, 03/26/98 ..................... 150 148,929
Chevron Canada Financial, Ltd. Medium
Term Notes
5.600%, 04/01/98 ..................... 150 147,890
FCC National Bank Medium Term
6.000%, 04/02/98 ..................... 150 148,921
Ford Motor Credit Co. Medium Term Notes
6.250%, 02/26/98 ..................... 150 149,278
<PAGE>
FACE
AMOUNT
--------
(000) VALUE+
-------------
General Electric Capital Corp. Medium
Term Notes
7.950%, 02/02/98 ..................... $150 $ 153,415
KFW International Finance, Inc. Medium
Term Notes
8.250%, 03/18/98 ..................... 150 154,586
National Rural Utilities Cooperative
Finance Corp. Medium Term Notes ......
8.500%, 02/15/98 ..................... 150 154,990
Ontario Hydro Medium Term Notes
5.800%, 03/31/98 ..................... 150 148,197
Wal-Mart Stores, Inc. Corporate Bonds
5.500%, 03/01/98 ..................... 150 147,952
-------------
TOTAL BONDS AND CERTIFICATES OF DEPOSIT
(Cost $1,513,555) .................... 1,502,934
-------------
AGENCY OBLIGATIONS -- (5.8%)
Federal Home Loan Bank
5.715%, 03/20/98 ..................... 150 148,547
Student Loan Marketing Association
7.000%, 03/03/98 ..................... 150 151,590
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $302,695) ....................... 300,137
-------------
U.S. TREASURY OBLIGATIONS -- (5.8%)
U.S. Treasury Notes
6.000%, 08/31/97 ..................... 150 149,883
5.625%, 08/31/97 ..................... 150 149,250
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $300,183) ...................... 299,133
-------------
SUPRANATIONAL OBLIGATIONS -- (3.1%)
African Development Bank
10.000%, 11/01/97 (Cost $158,185) .... 150 157,414
-------------
TOTAL INVESTMENTS -- (98.1%)
(Cost $5,065,740) .................... 5,050,317
-------------
OTHER ASSETS AND LIABILITIES -- (1.9%)
Other Assets .......................... 101,039
Liabilities ........................... (6,185)
-------------
94,854
-------------
NET ASSETS -- (100.0%) Applicable to
514,264 Outstanding $.01 Par Value
Shares (100,000,000 Shares Authorized) $5,145,171
=============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........... $ 10.00
=============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
15
<PAGE>
STATEMENT OF NET ASSETS
VA GLOBAL BOND PORTFOLIO
MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
--------- ------------
(000)
<S> <C> <C>
JAPAN -- (23.7%)
BONDS -- (23.7%)
Asian Development Bank
5.000%, 02/05/03 ................... 14,000 $145,706
Autobahnen und
Schnellstrassenfinanzierungs AG
6.000%, 03/11/00 ................... 11,000 116,104
Credit Locale de France SA
6.000%, 10/31/01 ................... 9,000 97,170
European Investment Bank
4.625%, 02/26/03 ................... 16,000 163,631
SNCF (Societe Nationale des Chemins
de Fer Francais)
6.750%, 03/01/00 ................... 12,000 129,282
World Bank (International Bank for
Reconstruction and Development)
4.500%, 03/20/03 ................... 16,000 163,009
------------
TOTAL -- JAPAN
(Cost $876,274) .................... 814,902
------------
GERMANY -- (17.4%)
BONDS -- (17.4%)
Germany (Federal Republic of)
8.000%, 01/21/02 ................... 550 400,305
World Bank (International Bank for
Reconstruction and Development)
6.125%, 09/27/02 ................... 300 198,859
------------
TOTAL BONDS (Cost $624,515) ......... 599,164
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $20) ............ 20
------------
TOTAL -- GERMANY
(Cost $624,535) .................... 599,184
------------
FRANCE -- (15.0%)
BONDS -- (15.0%)
Abbey National Treasury Services
P.L.C.
6.000%, 02/17/04 ................... 500 94,705
Credit Locale de France SA
6.000%, 11/15/01 ................... 700 136,829
France (Republic of)
8.500%, 04/25/03 ................... 600 131,512
Regie Autonome des Transports
Parisiens SA
6.000%, 09/24/03 ................... 800 152,101
------------
TOTAL -- FRANCE (Cost $512,623) ..... 515,147
------------
CANADA -- (13.3%)
BONDS -- (13.3%)
Canada (Government of)
8.500%, 04/01/02 ................... 400 309,635
Kasai International Airport Co.,
Ltd. 8.000%, 07/02/03 .............. 200 147,547
------------
TOTAL -- CANADA (Cost $462,934) ..... 457,182
------------
U.S. TREASURY OBLIGATIONS -- (8.2%)
U.S. Treasury Notes (Cost $280,490)
6.625%, 03/31/97 ................... 280 281,881
------------
<PAGE>
FACE
AMOUNT@ VALUE+
--------- ------------
(000)
NETHERLANDS -- (8.2%)
BONDS -- (8.2%)
Bank Voor Nederlandsche Gemeenten NV
7.625%, 12/16/02 ................... 250 $ 159,861
Netherlands (Kingdom of)
6.500%, 04/15/03 ................... 200 121,102
------------
TOTAL BONDS (Cost $286,158) ......... 280,963
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $2) ...... 2
------------
TOTAL -- NETHERLANDS
(Cost $286,160) .................... 280,965
------------
UNITED KINGDOM -- (7.4%)
BONDS -- (7.4%)
Nippon Telegraph & Telephone Corp.
10.875%, 05/10/01 .................. 75 129,716
Oesterreichische Kontrollbank AG
9.250%, 07/15/02 ................... 75 123,683
------------
TOTAL -- UNITED KINGDOM
(Cost $254,088) .................... 253,399
------------
AUSTRALIA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $9) ........ 9
------------
TEMPORARY CASH INVESTMENTS -- (4.5%)
Repurchase Agreement, PNC Securities
Corp. 5.05%, 06/03/96
(Collateralized by U.S. Treasury
Notes 6.50%, 09/30/96) (Cost
$157,000) .......................... 157 157,000
------------
TOTAL INVESTMENTS -- (97.7%)
(Cost $3,454,113) .................. 3,359,669
------------
OTHER ASSETS AND LIABILITIES
-- (2.3%)
Other Assets ........................ 109,765
Unrealized Loss on Forward Foreign
Currency Contracts ................. (20,336)
Other Liabilities ................... (11,024)
------------
78,405
------------
NET ASSETS -- (100.0%) Applicable to
327,069 Outstanding $.01 Par Value
Shares (100,000,000 Shares
Authorized) ........................ $3,438,074
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ......... $ 10.51
============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in Local Currency
See accompanying Notes to Financial Statements
16
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA Small VA Large VA International
Value Value Value
Portfolio Portfolio Portfolio
------------- ------------- --------------------
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes withheld of $0, $0 and $9,
respectively) .......................................... $ 35 $ 89 $ 72
Interest .................................................. -- 5 5
---- ---- ----
Total Investment Income ................................ 35 94 77
---- ---- ----
Expenses
Investment Advisory Services ........................... 13 8 11
Accounting & Transfer Agent Fees ....................... 14 26 14
Custodians' Fees ....................................... 1 6 9
Legal Fees ............................................. 1 2 1
Audit Fees ............................................. 1 2 1
Filing Fees ............................................ -- 1 1
Shareholders' Report ................................... 1 2 1
Directors' Fees and Expenses ........................... 1 1 --
Organization Costs ..................................... 1 3 1
Other .................................................. 1 3 3
---- ---- ----
Total Expenses .................................... 34 54 42
---- ---- ----
Net Investment Income ................................ 1 40 35
---- ---- ----
Net Realized and Unrealized Gain (Loss) on Investments and Foreign
Currency
Net Realized Gain on Investment Securities ................ 41 149 50
Net Realized Loss on Foreign Currency Transactions ........ -- -- (1)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............. 764 564 500
Translation of Foreign Currency Denominated Amounts .... -- -- (2)
---- ---- ----
Net Gain on Investment Securities and Foreign Currency .... 805 713 547
---- ---- ----
Net Increase in Net Assets Resulting from Operations ........ $806 $753 $582
==== ==== ====
</TABLE>
See accompanying Notes to Financial Statements
17
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA VA
International Short-Term VA Global
Small Fixed Bond
Portfolio Portfolio Portfolio
----------------- -------------- -------------
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes withheld of $5, $0 and $0,
respectively) .......................................... $ 46 -- --
Interest .................................................. 5 $141 $ 89
---- ---- -----
Total Investment Income ................................ 51 141 89
---- ---- -----
Expenses
Investment Advisory Services. ............................. 13 6 4
Accounting & Transfer Agent Fees .......................... 14 10 26
Custodians' Fees .......................................... 5 -- 2
Legal Fees ................................................ 1 1 2
Audit Fees ................................................ 1 1 2
Filing Fees ............................................... 1 1 --
Shareholders' Report ...................................... 1 1 2
Directors' Fees and Expenses .............................. -- -- 1
Organization Costs ........................................ 1 1 3
Other ..................................................... 3 1 2
---- ---- -----
Total Expenses .................................... 40 22 44
---- ---- -----
Net Investment Income ................................ 11 119 45
---- ---- -----
Net Realized and Unrealized Gain (Loss) on Investments and Foreign
Currency ..................................................
Net Realized Gain on Investment Securities ................ 6 -- 88
Net Realized Gain on Foreign Currency Transactions ........ -- -- 206
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............. 844 (15) (233)
Translation of Foreign Currency Denominated Amounts .... (1) -- (61)
---- ---- -----
Net Gain (Loss) on Investment Securities and Foreign
Currency ............................................... 849 (15) --
---- ---- -----
Net Increase in Net Assets Resulting from Operations ........ $860 $104 $ 45
==== ==== =====
</TABLE>
See accompanying Notes to Financial Statements
18
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA Small VA Large
Value Portfolio Value Portfolio
-------------------------- --------------------------
Six Months Oct. 3, Six Months Jan. 13
Ended to Ended To
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
------------ ---------- ------------ ----------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............................ $ 1 $ 7 $ 40 $ 102
Net Realized Gain on Investment Securities ....... 41 -- 149 324
Net Realized Loss on Foreign Currency Transactions . -- -- -- (12)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency .... 764 (159) 564 616
------ ----- ----- ------
Net Increase (Decrease) in Net Assets Resulting from
Operations .................................. 806 (152) 753 1,030
------ ----- ----- ------
Distributions From:
Net Investment Income ............................ (9) (3) (19) (87)
Net Realized Gains ............................... -- -- (2) (322)
------ ----- ----- ------
Total Distributions ........................... (9) (3) (21) (409)
------ ----- ----- ------
Capital Share Transactions (1):
Shares Issued .................................... -- 5,000 1,014 8,833
Shares Issued in Lieu of Cash Distributions ...... 9 3 21 409
Shares Redeemed .................................. -- -- (45) (3,301)
------ ----- ----- ------
Net Increase From Capital Share Transactions .. 9 5,003 990 5,941
------ ----- ----- ------
Total Increase ................................ 806 4,848 1,722 6,562
Net Assets
Beginning of Period .............................. 4,848 -- 6,562 --
------ ----- ----- ------
End of Period .................................... $5,654 $4,848 $8,284 $ 6,562
====== ====== ====== =======
(1) Shares Issued and Redeemed:
Shares Issued ................................. -- 500 80 808
Shares Issued in Lieu of Cash Distributions. .. 1 -- 2 36
Shares Redeemed ............................... -- -- (4) (263)
------ ----- ----- ------
1 500 78 581
====== ===== ===== ======
</TABLE>
See accompanying Notes to Financial Statements
19
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA International VA International
Value Portfolio Small Portfolio
-------------------------- --------------------------
Six Months Oct. 3, Six Months Oct. 3,
Ended to Ended To
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
------------ ---------- ------------ ----------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income (Loss) ..................... $ 35 $ (2) $ 11 $ (3)
Net Realized Gain on Investment Securities ....... 50 -- 6 --
Net Realized Gain (Loss) on Foreign Currency
Transactions .................................. (1) (10) -- 2
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency .... 500 25 844 (144)
Translation of Foreign Currency Denominated Amounts (2) 1 (1) 1
------ ----- ----- ------
Net Increase (Decrease) in Net Assets Resulting from
Operations .................................... 582 14 860 (144)
------ ----- ----- ------
Distributions From:
Net Realized Gains ............................... (8) -- -- --
------ ----- ----- ------
Capital Share Transactions (1):
Shares Issued .................................... 1,246 5,000 -- 5,000
Shares Issued in Lieu of Cash Distributions ...... 8 -- -- --
Shares Redeemed .................................. (181) -- -- --
------ ----- ----- ------
Net Increase From Capital Share Transactions .. 1,073 5,000 -- 5,000
------ ----- ----- ------
Total Increase ................................ 1,647 5,014 860 4,856
Net Assets
Beginning of Period .............................. 5,014 -- 4,856 --
------ ----- ----- ------
End of Period .................................... $6,661 $5,014 $5,716 $4,856
====== ====== ====== ======
(1) Shares Issued and Redeemed:
Shares Issued ................................. 111 500 -- 500
Shares Issued in Lieu of Cash Distributions ... 1 -- -- --
Shares Redeemed ............................... (16) -- -- --
------ ----- ----- ------
96 500 -- 500
====== ===== ===== ======
</TABLE>
See accompanying Notes to Financial Statements
20
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA Short-Term VA Global
Fixed Portfolio Bond Portfolio
-------------------------- --------------------------
Six Months Oct. 3, Six Months Jan. 13,
Ended to Ended To
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
------------ ---------- ------------ ----------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............................ $ 119 $ 42 $ 45 $ 144
Net Realized Gain on Investment Securities ....... -- -- 88 34
Net Realized Gain on Foreign Currency Transactions . -- -- 206 35
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency .... (15) (1) (233) 139
Translation of Foreign Currency Denominated Amounts. -- -- (61) 41
------ ----- ----- ------
Net Increase in Net Assets Resulting from
Operations .................................. 104 41 45 393
------ ----- ----- ------
Distributions From:
Net Investment Income ............................ (122) (20) (75) (175)
Net Realized Gains ............................... -- -- -- (34)
------ ----- ----- ------
Total Distributions ........................... (122) (20) (75) (209)
------ ----- ----- ------
Capital Share Transactions (1):
Shares Issued .................................... -- 5,000 -- 3,235
Shares Issued in Lieu of Cash Distributions. ..... 122 20 75 209
Shares Redeemed .................................. -- -- -- (235)
------ ----- ----- ------
Net Increase From Capital Share Transactions ..... 122 5,020 75 3,209
------ ----- ----- ------
Total Increase ................................... 104 5,041 45 3,393
Net Assets
Beginning of Period .............................. 5,041 -- 3,393 --
------ ----- ----- ------
End of Period .................................... $5,145 $5,041 $3,438 $3,393
====== ====== ====== ======
(1) Shares Issued and Redeemed:
Shares Issued ................................. -- 502 -- 320
Shares Issued in Lieu of Cash Distributions ... 12 -- 7 20
Shares Redeemed ............................... -- -- -- (20)
------ ----- ----- ------
12 502 7 320
====== ===== ===== ======
</TABLE>
See accompanying Notes to Financial Statements
21
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA Small VA Large
Value Portfolio Value Portfolio
-------------------------- --------------------------
Six Months Oct. 3, Six Months Jan. 13,
Ended to Ended To
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
------------ ---------- ------------ ----------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .... $ 9.69 $ 10.00 $ 11.29 $ 10.00
-------- ------- -------- --------
Income from Investment Operations
Net Investment Income .............. -- 0.01 0.06 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized) ........ 1.61 (0.31) 1.24 1.85
-------- ------- -------- --------
Total from Investment Operations ... 1.61 (0.30) 1.30 2.04
-------- ------- -------- --------
Less Distributions
Net Investment Income .............. (0.02) (0.01) (0.03) (0.16)
Net Realized Gains ................. -- -- -- (0.59)
-------- ------- -------- --------
Total Distributions ................ (0.02) (0.01) (0.03) (0.75)
-------- ------- -------- --------
Net Asset Value, End of Period .......... $ 11.28 $ 9.69 $ 12.56 $ 11.29
======== ======= ======== ========
Total Return ............................ 16.61%# (3.04)%# 11.61%# 20.41%#
Net Assets, End of Period (thousands) ... $ 5,654 $ 4,848 $ 8,284 $ 6,562
Ratio of Expenses to Average Net Assets . 1.32%* 0.99%* 1.54%* 1.20%*
Ratio of Net Investment Income to Average
Net Assets ............................ 0.04%* 0.91%* 1.16%* 2.03%*
Portfolio Turnover Rate ................. 4.55%* 0.00%* 17.91%* 65.38%*
Average Commission Rate (1) ............. $ 0.0787 N/A $ 0.0470 N/A
</TABLE>
- ------
*Annualized
#Non-Annualized
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
22
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA International VA International
Value Portfolio Small Portfolio
-------------------------- --------------------------
Six Months Oct. 3, Six Months Oct. 3,
Ended to Ended To
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
------------ ---------- ------------ ----------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .... $ 10.03 $ 10.00 $ 9.71 $ 10.00
--------- --------- --------- ---------
Income from Investment Operations
Net Investment Income (Loss) ....... 0.06 -- 0.02 (0.01)
Net Gains (Losses) on Securities
(Realized and Unrealized) ........ 1.10 0.03 1.70 (0.28)
--------- --------- --------- ---------
Total from Investment Operations ... 1.16 0.03 1.72 (0.29)
--------- --------- --------- ---------
Less Distributions
Net Realized Gains ................. (0.02 ) -- -- --
--------- --------- --------- ---------
Net Asset Value, End of Period .......... $ 11.17 $ 10.03 $ 11.43 $ 9.71
========= ========= ========= =========
Total Return ............................ 11.52%# 0.30%# 17.71%# (2.90)%#
Net Assets, End of Period (thousands) ... $6,661 $5,014 $5,716 $4,856
Ratio of Expenses to Average Net Assets . 1.53%* 1.32%* 1.48%* 2.52%*
Ratio of Net Investment Income to Average
Net Assets ............................ 1.27%* (0.20)%* 0.42%* (0.39)%*
Portfolio Turnover Rate ................. 9.38%* 0.00%* 0.20%* 0.00%*
Average Commission Rate (1) ............. $ 0.0152 N/A $0.0087 N/A
</TABLE>
- ------
*Annualized
#Non-Annualized
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
23
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA Short-Term VA Global
Fixed Portfolio Bond Portfolio
-------------------------- --------------------------
Six Months Oct. 3, Six Months Jan. 13,
Ended to Ended To
May 31, Nov. 30, May 31, Nov. 30,
1996 1995 1996 1995
------------ ---------- ------------ ----------
(Unaudited) (Unaudited)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .... $ 10.04 $ 10.00 $ 10.61 $ 10.00
--------- --------- --------- ---------
Income from Investment Operations
Net Investment Income .............. 0.23 0.08 0.14 0.48
Net Gains (Losses) on Securities
(Realized and Unrealized) ........ (0.03) -- (0.01) 0.81
--------- --------- --------- ---------
Total from Investment Operations ... 0.20 0.08 0.13 1.29
--------- --------- --------- ---------
Less Distributions
Net Investment Income .............. (0.24) (0.04) (0.23) (0.57)
Net Realized Gains ................. -- -- -- (0.11)
--------- --------- --------- ---------
Total Distributions .............. (0.24) (0.04) (0.23) (0.68)
--------- --------- --------- ---------
Net Asset Value, End of Period .......... $ 10.00 $ 10.04 $ 10.51 $ 10.61
========= ========= ========= =========
Total Return ............................ 2.03%# 0.18%# 1.32%# 13.90%#
Net Assets, End of Period (thousands) ... $5,145 $5,041 $3,438 $3,393
Ratio of Expenses to Average Net Assets . 0.85%* 0.63%* 2.59%* 1.31%*
Ratio of Net Investment Income to Average
Net Assets ............................ 4.66%* 5.11%* 2.65%* 5.08%*
Portfolio Turnover Rate ................. 0.00%* 0.00%* 142.02%* 60.09%*
</TABLE>
- ------
(Adjusted to reflect a 900% stock dividend as of January 2, 1996.)
*Annualized
#Non-Annualized
See accompanying Notes to Financial Statements
24
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
At May 31, 1996, DFA Investment Dimensions Group Inc. (the "Fund")
consisted of twenty eight portfolios: The U.S. 9-10 Small Company Portfolio,
The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio, The
Enhanced 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 RWB/DFA International High Book to Market Portfolio,
The Continental Small Company Portfolio, The Large Cap International
Portfolio, The DFA International Small Cap Value Portfolio, The DFA One-Year
Fixed Income Portfolio, The DFA Two-Year Corporate Fixed Income Portfolio,
The DFA Two-Year Government Portfolio, The DFA Five-Year Government
Portfolio, The DFA Two-Year Global Fixed Income Portfolio, The DFA Global
Fixed Income Portfolio, The DFA Intermediate Government Fixed Income
Portfolio, (the "Portfolios") VA Small Value Portfolio, VA Large Value
Portfolio, VA International Value Portfolio, VA International Small
Portfolio, VA Short-Term Fixed Portfolio and VA Global Bond Portfolio (the
"VA Portfolios"). At May 31, 1996, The Enhanced U.S. Large Company Portfolio,
The DFA Two-Year Corporate Fixed Income Portfolio and The DFA Two-Year
Government Portfolio had not yet commenced operations. These financial
statements relate solely to the VA Portfolios.
On September 15, 1995, the shareholders of DFA Global Value Portfolio
approved a change of investment policy providing for investment of
substantially all of DFA Global Value Portfolio's assets in the stocks of
U.S. companies and the sale of DFA Global Value Portfolio's foreign
securities to VA International Value Portfolio. Effective September 18, 1995,
DFA Global Value changed its name to VA Large Value Portfolio. Additionally,
effective September 18, 1995, DFA Global Bond Portfolio changed its name to
VA Global Bond Portfolio.
On December 20, 1995, the Board of Directors of DFA Investment Group Inc.
approved a 900% stock dividend under Maryland Corporate Law which is treated
as a 10 for 1 stock split for financial reporting purposes for VA Short-Term
Fixed Portfolio and VA Global Bond Portfolio. The record date of the stock
dividend was January 1, 1996, and the ex-date and payable dates were January
2, 1996. This was a tax-free event to the shareholders of these portfolios.
All share and per share data as of and for the period ended November 30, 1995
have been restated to reflect the stock dividend.
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 VA Small Value Portfolio and VA
Large Value 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 VA International Value Portfolio and VA International
Small 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.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available are valued in good faith at
fair value using methods determined by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
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. Securities for which quotations are not readily available are
valued in good faith at fair value using methods determined by the Board of
Directors.
25
<PAGE>
2. Foreign Currency: Securities, other assets and liabilities of the
International Equity Portfolios and VA Global Bond 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. VA Global Bond Portfolio also
enters into forward foreign currency contracts solely for the purpose of
hedging against fluctuations in currency exchange rates. These contracts are
also market to market daily based on daily exchange rates.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA
Global Bond Portfolio does isolate the effect of fluctuations in foreign
currency rates when determining the gain or loss upon the sale or maturity of
foreign currency denominated debt obligations pursuant to U.S. Federal income
tax regulations; such amounts are categorized as foreign exchange gains or
loss for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amount of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S.
dollar equivalent amounts actually received or paid.
3. Federal Income Taxes: It is the VA Portfolios' intention to continue to
qualify as a regulated investment company and distribute all of their taxable
income. Accordingly, no provision for Federal taxes is required in the
financial statements.
4. 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 the accrual
basis. Discount and premium on debt securities purchased are amortized over
the lives of the respective securities. Expenses directly attributable to a
VA Portfolio 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 VA Portfolios. For the six months ended May 31,
1996, the VA Portfolios advisory fees were computed daily and paid monthly to
the Advisor based on the following effective annual rates of :
VA Small Value Portfolio ............... .50 of 1%
VA Large Value Portfolio ............... .25 of 1%
VA International Value Portfolio ....... .40 of 1%
VA International Small Portfolio ....... .50 of 1%
VA Short-Term Fixed Portfolio .......... .25 of 1%
VA Global Bond Portfolio ............... .25 of 1%
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
26
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1996, the VA Portfolios made the
following purchases and sales of investment securities (amounts in
thousands):
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
---------------------- ----------------------
Purchases Sales Purchases Sales
<S> <C> <C> <C> <C>
VA Small Value Portfolio ....... -- -- $ 150 $ 116
VA Large Value Portfolio ....... -- -- 1,875 538
VA International Value Portfolio . -- -- 867 249
VA International Small Portfolio . -- -- 29 5
VA Short-Term Fixed Portfolio .. $300 -- 1,977 --
VA Global Bond Portfolio ....... -- -- 2,496 2,212
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1996, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
and foreign currencies was as follows (amounts in thousands):
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- -------
<S> <C> <C> <C>
VA Small Value Portfolio ........ $ 868 $(263) $ 605
VA Large Value Portfolio ........ 1,244 (64) 1,180
VA International Value Portfolio . 610 (85) 525
VA International Small Portfolio . 950 (250) 700
VA Short-Term Fixed Portfolio ... -- (16) (16)
VA Global Bond Portfolio ........ 1 (95) (94)
</TABLE>
F. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies,
the VA Portfolios may invest 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 VA 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 May 31, 1996.
27
<PAGE>
2. Forward Foreign Currency Contracts: VA Global Bond 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 May 31, 1996,
VA Global Bond Portfolio had entered into the following contracts and the
related net unrealized foreign exchange loss is reflected in the accompanying
financial statements:
<TABLE>
<CAPTION>
Unrealized
Value at Foreign
Expiration Contract May 31, Exchange Gain
Date Currency Sold Amount 1996 (Loss)
------------ --------------------------------- ------------ ------------ ---------------
<S> <C> <C> <C> <C>
06/10/96 ... 425,832 Canadian Dollar $ 311,789 $ 310,858 $ 931
06/24/96 ... 209,810 Netherlands Guilder 122,636 122,848 (212)
06/24/96 ... 281,314 Netherlands Guilder 164,333 164,651 (318)
06/28/96 ... 10,817,997 Japanese Yen 101,768 100,534 1,234
06/28/96 ... 500,136 French Franc 95,909 96,822 (913)
06/28/96 ... 218,902 Canadian Dollar 159,352 159,818 (466)
06/28/96 ... 1,498,800 French Franc 287,325 290,252 (2,927)
06/28/96 ... 170,858 British Pound Sterling 259,914 264,660 (4,746)
06/28/96 ... 951,216 German Marks 616,596 624,015 (7,419)
06/28/96 ... 78,626,289 Japanese Yen 725,382 730,203 (4,821)
07/03/96 ... 839,951 French Franc 162,122 162,801 (679)
------------ ------------ -------------
Totals $3,007,126 $3,027,462 $(20,336)
============ ============ =============
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. VA Global Bond Portfolio will enter into forward contracts only for
hedging purposes.
G. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
At May 31, 1996 Net Assets Consist of:
---------------------------------------------
(Amounts in thousands)
VA Small VA Large VA International
Value Value Value
Portfolio Portfolio Portfolio
----------- ----------- ----------------
<S> <C> <C> <C>
Paid-In Capital .............................. $5,012 $6,931 $6,061
Undistributed Net Investment Income (Loss) ... (4) 24 35
Undistributed Net Realized Gain .............. 41 149 42
Accumulated Net Realized Foreign Exchange Loss . -- -- (1)
Unrealized Appreciation/Depreciation of
Investment Securities and Foreign Currency .. 605 1,180 525
Unrealized Net Foreign Exchange Loss ......... -- -- (1)
------ ------ ------
$5,654 $8,284 $6,661
====== ====== ======
</TABLE>
<TABLE>
<CAPTION>
VA International VA Short-Term VA Global
Small Fixed Bond
Portfolio Portfolio Portfolio
---------------- --------------- -----------
<S> <C> <C> <C>
Paid-In Capital ................................ $4,999 $5,142 $3,284
Undistributed Net Investment Income (Loss) ..... 11 19 (26)
Undistributed Net Realized Gain ................ 6 -- 88
Undistributed Net Realized Foreign Exchange Gain . -- -- 206
Unrealized Appreciation/Depreciation of
Investment Securities and Foreign Currency .... 700 (16) (94)
Unrealized Net Foreign Exchange Loss ........... -- -- (20)
------ ------ ------
$5,716 $5,145 $3,438
====== ====== ======
</TABLE>
28
<PAGE>
H. SECURITIES LENDING
Loans of international securities 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. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities, and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to VA International Small
Portfolio or, at the option of the lending agent, replace the loaned
securities. The market value of securities on loan to brokers from VA
International Small Portfolio is $62,157 and the related collateral cash and
indemnification received is $65,500 at May 31, 1996.
29
