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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, 1997
(Unaudited)
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DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
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Statements of Net Assets
VA Small Value Portfolio......................................................................................... 1
VA Large Value Portfolio......................................................................................... 11
VA International Value Portfolio................................................................................. 14
VA International Small Portfolio................................................................................. 19
VA Short-Term Fixed Portfolio.................................................................................... 25
VA Global Bond Portfolio......................................................................................... 27
Statements of Operations............................................................................................. 29
Statements of Changes in Net Assets.................................................................................. 31
Financial Highlights................................................................................................. 34
Notes to Financial Statements........................................................................................ 37
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This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
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DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
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COMMON STOCKS -- (95.8%)
*3-D Systems Corp..................................... 1,000 $ 7,250
AAR Corp.............................................. 1,400 43,400
*ACX Technologies, Inc................................ 1,900 40,375
APL, Ltd.............................................. 2,100 63,525
*APS Holding Corp. Class A............................ 1,000 9,937
*AST Research, Inc.................................... 800 4,187
*Accell International Corp............................ 400 1,200
*Acceptance Insurance Companies, Inc.................. 1,300 27,300
*Acclaim Entertainment, Inc........................... 2,500 10,312
Aceto Corp............................................ 440 5,940
*Acme Metals, Inc..................................... 1,000 15,250
*Adage, Inc........................................... 400 1,612
*Adflex Solutions, Inc................................ 700 11,462
*Advanced Logic Research, Inc......................... 1,000 11,062
*Advanced Marketing Services, Inc..................... 500 5,187
*Advanced Technology Labs, Inc........................ 1,100 42,969
Advantage Bancorp, Inc................................ 250 9,719
Advest Group, Inc..................................... 700 11,375
*Aeroflex, Inc........................................ 1,000 4,000
*Aerovox, Inc......................................... 400 1,925
*Air Methods Corp..................................... 300 816
Airborne Freight Corp................................. 1,800 68,850
*Alamco, Inc.......................................... 400 6,100
*Alarmguard Holdings, Inc............................. 1,000 6,500
*Alaska Air Group, Inc................................ 1,100 27,362
Albank Financial Corp................................. 1,200 46,200
*Aldila, Inc.......................................... 800 3,950
Alfa Corp............................................. 1,800 22,950
Alico, Inc............................................ 200 3,850
*Alliance Entertainment Corp.......................... 2,300 2,012
*Alliance Semiconductor Corp.......................... 2,500 20,781
Allied Healthcare Products, Inc....................... 200 1,200
*Allied Holdings, Inc................................. 100 987
*Allied Research Corp................................. 300 2,512
*Allwaste, Inc........................................ 600 5,025
*Alpha Industries, Inc................................ 500 3,687
*Alpha Technologies Group, Inc........................ 500 1,469
Alpharma, Inc. Class A................................ 700 11,725
Amcast Industrial Corp................................ 700 17,150
Amcore Financial, Inc................................. 300 8,437
*America West Holdings Corp. Class B.................. 1,800 27,675
*American Banknote Corp............................... 1,600 6,800
American Eagle Group, Inc............................. 300 187
*American Eagle Outfitters, Inc....................... 800 9,050
*American Ecology Corp................................ 700 962
*American Freightways Corp............................ 1,900 25,887
American Heritage Life Investment Corp................ 1,200 34,800
*American Mobile Satellite Corp....................... 700 6,212
*American Pacific Corp................................ 700 4,528
*American Software, Inc. Class A...................... 300 2,203
*American Waste Services, Inc. Class A................ 2,100 3,675
*Ameristar Casinos, Inc............................... 1,200 6,600
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*Ameriwood Industries International Corp.............. 400 $ 2,875
Ameron, Inc........................................... 300 16,650
*Ames Department Stores, Inc.......................... 1,100 8,903
Ampco-Pittsburgh Corp................................. 400 5,250
*Amrep Corp........................................... 600 2,250
*Amtech Corp.......................................... 800 4,300
*Amtran, Inc.......................................... 800 6,900
Amvestors Financial Corp.............................. 691 12,179
Analogic Corp......................................... 100 3,244
Andover Bancorp, Inc. DE.............................. 480 13,800
Angelica Corp......................................... 800 14,400
*Ann Taylor Stores Corp............................... 2,000 46,500
*Ansaldo Signal N.V................................... 250 1,437
*Antec Corp........................................... 3,000 36,750
*Anuhco, Inc.......................................... 300 2,700
*Apertus Technologies, Inc............................ 900 1,336
*Apogee, Inc.......................................... 1,200 5,100
*Applied Extrusion Technologies, Inc.................. 500 5,937
*Applied Signal Technologies, Inc..................... 300 2,109
*Arcadia Financial, Ltd............................... 2,900 30,087
*Arch Communications Group, Inc....................... 1,500 11,906
*Arden Industrial Products, Inc....................... 600 3,150
*Argosy Gaming Corp................................... 1,000 3,125
*Arkansas Best Corp................................... 1,700 10,147
*Artisoft, Inc........................................ 1,100 2,750
*Artistic Greetings, Inc.............................. 500 2,187
Arvin Industries, Inc................................. 1,900 52,725
*Asante Technologies, Inc............................. 400 1,562
Ashland Coal, Inc..................................... 1,200 32,100
*Astec Industries, Inc................................ 900 10,575
*Astrosystems, Inc.................................... 400 2,150
*Astrotech International Corp......................... 800 4,200
*Asyst Technologies, Inc.............................. 300 11,981
*Atchison Casting Corp................................ 200 3,425
*Atkinson (Guy F.) of California...................... 500 3,469
*Atlantic Gulf Communities Corp....................... 500 2,812
*Atlantic Tele-Network, Inc........................... 1,000 12,500
*Atlantis Plastics, Inc............................... 200 1,425
*Au Bon Pain, Inc. Class A............................ 600 3,787
*Audiovox Corp. Class A............................... 800 5,250
*Autoinfo, Inc........................................ 600 1,069
*Avatex Corp.......................................... 1,400 1,575
*Aviall, Inc.......................................... 800 11,800
*Avid Technology, Inc................................. 1,900 44,650
*Avondale Industries, Inc............................. 500 9,437
*Aydin Corp........................................... 400 4,500
*Aztar Corp........................................... 3,300 23,100
Aztec Manufacturing Co................................ 500 6,125
BEI Electronics, Inc.................................. 600 5,250
*BI, Inc.............................................. 1,000 6,906
*BMC West Corp........................................ 1,000 13,312
*BPI Packaging Technologies, Inc...................... 300 558
BSB Bancorp, Inc...................................... 600 20,662
*BTU International, Inc............................... 200 787
Badger Meter, Inc..................................... 200 5,000
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Bairnco Corp.......................................... 900 $ 6,412
Baker (J.), Inc....................................... 1,200 9,750
*Baker (Michael) Corp................................. 700 4,856
*Baldwin Piano & Organ Co............................. 300 4,125
*Baldwin Technology, Inc. Class A..................... 1,400 3,850
*Bally Total Fitness Holding Corp..................... 1,000 8,187
*Bancinsurance Corp................................... 500 2,031
*Bank Plus Corp....................................... 1,000 10,750
*Bank United Financial Corp. Class A.................. 200 1,962
BankAtlantic Bancorp, Inc. Class B.................... 1,000 13,812
Bankers Corp.......................................... 1,100 27,775
*Banner Aerospace, Inc................................ 2,300 18,400
*Banyan System, Inc................................... 1,600 2,950
*Basin Exploration, Inc............................... 900 6,525
Bassett Furniture Industries, Inc..................... 1,200 30,075
Bay View Capital Corp................................. 600 30,225
*Bayou Steel Corp. Class A............................ 900 2,925
*Be Aerospace, Inc.................................... 1,400 33,775
*Beazer Homes USA, Inc................................ 700 10,762
*Bel Fuse, Inc........................................ 400 5,550
*Belden & Blake Corp.................................. 1,000 26,687
*Bell Industries, Inc................................. 300 5,587
*Bell Microproducts, Inc.............................. 500 5,594
*Bell Sports Corp..................................... 700 4,550
*Bellwether Exploration Co............................ 500 4,969
*Ben & Jerry's Homemade, Inc. Class A................. 500 6,750
*Berlitz International, Inc........................... 900 21,487
*Bertuccis, Inc....................................... 700 4,156
*Best Buy Co., Inc.................................... 3,000 40,875
Bindley Western Industries, Inc....................... 600 13,200
Binks Sames Corp...................................... 300 12,675
*Bio Vascular, Inc.................................... 500 2,437
*Bio-Rad Laboratories, Inc. Class A................... 400 10,200
*Bird Corp............................................ 400 1,525
Birmingham Steel Corp................................. 2,500 40,000
Blair Corp............................................ 500 8,062
Blessings Corp........................................ 1,000 10,500
*Blowout Entertainment, Inc........................... 11 15
*Bluegreen Corp....................................... 700 2,187
Bob Evans Farms, Inc.................................. 2,700 38,306
*Boca Research, Inc................................... 1,000 6,531
*Bombay Co., Inc...................................... 2,400 10,800
*Bon-Ton Stores, Inc.................................. 900 5,822
*Books-a-Million, Inc................................. 1,400 7,175
*Boomtown, Inc........................................ 800 6,450
*Borland International, Inc........................... 1,400 10,062
Bowne & Co., Inc...................................... 1,800 53,775
*Boyd Gaming Corp..................................... 4,500 26,437
*Brazos Sportswear, Inc............................... 50 456
*Brock International, Inc............................. 300 1,200
*Brothers Gourmet Coffees, Inc........................ 800 1,750
*Brown & Sharpe Manufacturing Co. Class A............. 700 9,975
Brown Group, Inc...................................... 5,600 100,800
Brush Wellman, Inc.................................... 900 19,125
*Buffets, Inc......................................... 1,900 16,981
*Buffton Corp......................................... 300 750
*Builders Transport, Inc.............................. 400 1,062
*Bull Run Corp. GA.................................... 1,200 2,700
*Burlington Coat Factory Warehouse Corp............... 1,200 21,450
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*Buttrey Food & Drug Stores Co........................ 700 $ 7,350
CFX Corp.............................................. 300 5,025
CML Group, Inc........................................ 4,100 9,737
CPB, Inc.............................................. 200 7,050
CPI Corp.............................................. 1,000 18,750
*CSP, Inc............................................. 200 1,425
CTS Corp.............................................. 400 27,600
Cadmus Communications Corp............................ 300 4,237
*Calcomp Technology, Inc.............................. 400 850
California Financial Holding Corp..................... 400 11,800
*California Microwave, Inc............................ 1,000 12,187
Calmat Co............................................. 2,300 45,712
*Canandaigua Wine Co., Inc. Class A................... 1,800 55,912
*Capital Pacific Holdings, Inc........................ 200 537
Capital Re Corp....................................... 1,200 52,650
Capsure Holdings Corp................................. 1,300 16,250
*Cardinal Realty Services, Inc........................ 200 4,850
*Care Group, Inc...................................... 700 722
Carpenter Technology Corp............................. 1,100 47,575
*Carson Pirie Scott & Co.............................. 800 25,800
Carter-Wallace, Inc................................... 2,900 47,850
Cash America International, Inc....................... 2,400 23,400
*Casino America, Inc.................................. 2,200 5,156
*Casino Data Systems.................................. 1,000 4,375
*Casino Magic Corp.................................... 2,200 3,094
*Catalina Lighting, Inc............................... 600 2,175
*Catherines Stores Corp............................... 500 2,156
Cato Corp. Class A.................................... 2,000 9,750
*Celadon Group, Inc................................... 1,000 11,250
*Celebrity, Inc....................................... 500 1,656
*Cell Genesys, Inc.................................... 500 2,812
*Cellpro, Inc......................................... 800 5,100
Cenfed Financial Corp................................. 484 13,945
Cenit Bancorp, Inc.................................... 100 4,400
*Centennial Cellular Corp. Class A.................... 1,600 22,600
*Centigram Communications Corp........................ 500 5,719
*Central Sprinkler Corp............................... 200 4,150
Centris Group, Inc.................................... 300 5,662
Chaparral Steel Co.................................... 1,800 27,000
*Charming Shoppes, Inc................................ 8,800 46,475
*Chart House Enterprises, Inc......................... 700 4,900
*Checkpoint System, Inc............................... 300 4,275
*Cherry Corp. Class A................................. 600 7,087
*Cherry Corp. Class B................................. 400 4,875
*Chic by His, Inc..................................... 1,000 6,875
*Chock Full O' Nuts Corp.............................. 500 2,937
*Chrysalis International Corp......................... 400 1,712
*Cidco, Inc........................................... 1,000 14,500
*Circuit Systems, Inc................................. 300 1,678
*Citadel Holding Corp................................. 300 975
*Citation Corp........................................ 1,000 14,937
Citfed Bancorp, Inc................................... 600 22,125
Citizens Banking Corp................................. 800 26,100
*Civic Bancorp........................................ 400 4,775
*Clean Harbors, Inc................................... 800 1,200
Cleveland Cliffs, Inc................................. 600 25,350
*Clintrials Research, Inc............................. 1,100 10,931
*Coast Distribution System............................ 300 975
*Coast Savings Financial, Inc......................... 1,600 68,200
*Coastal Physician Group, Inc......................... 1,300 1,219
*Coastcast Corp....................................... 1,000 13,125
*Cobra Electronic Corp................................ 1,000 3,062
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*Coeur d'Alene Mines Corp. ID......................... 2,000 $ 27,250
*Coho Energy, Inc..................................... 1,400 13,169
Collagen Corp......................................... 1,100 18,700
Commercial Intertech Corp............................. 800 10,400
Commercial Metals Co.................................. 1,300 38,512
Computer Data Systems, Inc............................ 500 13,719
*Concord Fabrics, Inc. Class A........................ 200 1,325
*Cone Mills Corp. NC.................................. 2,000 17,250
*Conmed Corp.......................................... 1,200 22,725
Continental Homes Holding Corp........................ 600 9,825
Cooker Restaurant Corp................................ 500 5,750
*Copley Pharmaceutical, Inc........................... 1,000 6,500
Core Industries, Inc.................................. 800 14,400
*Cornerstone Imaging, Inc............................. 1,000 8,500
*Corrpro Companies, Inc............................... 300 2,587
*Cortech, Inc......................................... 1,500 1,219
*Craig Corp........................................... 300 5,062
*Criticare Systems, Inc............................... 600 3,375
Cross (A.T.) Co. Class A.............................. 800 8,900
*Crosscomm Corp....................................... 500 4,750
*Crown Central Petroleum Corp. Class A................ 400 5,400
*Crown Central Petroleum Corp. Class B................ 300 3,881
Crown Crafts, Inc..................................... 700 7,262
*Crown-Andersen, Inc.................................. 100 650
Cubic Corp............................................ 750 17,625
*Cybex International, Inc............................. 400 4,100
*Cyrk, Inc............................................ 1,300 15,194
*Cytrx Corp........................................... 700 2,887
*D&N Financial Corp................................... 600 10,762
*DBA Systems, Inc..................................... 400 2,275
*DII Group, Inc....................................... 200 6,325
*DIY Home Warehouse, Inc.............................. 500 1,906
*DVI, Inc............................................. 100 1,337
*Daka International, Inc.............................. 500 6,281
*Damark International, Inc. Class A................... 800 12,300
Daniel Industries, Inc................................ 300 4,012
*Data Broadcasting Corp............................... 1,200 5,925
*Data General Corp.................................... 600 12,825
*Data I/O Corp........................................ 500 2,906
*Data Race, Inc....................................... 400 5,950
*Data Systems & Software, Inc......................... 500 2,562
*Dataflex Corp........................................ 400 1,325
*Datakey, Inc......................................... 200 550
*Datascope Corp....................................... 500 9,562
*Dataware Technologies, Inc........................... 500 1,719
*Datron Systems, Inc.................................. 200 2,050
*Datum, Inc........................................... 300 7,331
*Dawson Geophysical Co................................ 300 3,975
Daxor Corp............................................ 400 3,800
Deb Shops, Inc........................................ 1,100 4,744
*Deckers Outdoor Corp................................. 500 3,719
Defiance, Inc......................................... 600 4,350
*Del Global Technologies Corp......................... 500 4,437
Delchamps, Inc........................................ 500 13,844
*Delta Woodside Industries, Inc....................... 2,100 12,337
*Designs, Inc......................................... 1,300 5,525
*Detection Systems, Inc............................... 300 5,550
*Detroit Diesel Corp.................................. 1,800 39,600
*Devcon International Corp............................ 400 2,125
*Dianon Systems, Inc.................................. 500 4,594
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*Digi International, Inc.............................. 1,000 $ 9,062
Dime Financial Corp................................... 400 9,100
*Discount Auto Parts, Inc............................. 1,500 27,937
*Dixie Group, Inc..................................... 1,000 8,250
*Dominion Bridge Corp................................. 1,100 1,616
*Dominion Homes, Inc.................................. 300 1,387
*Donnkenny, Inc....................................... 900 3,656
*Dover Downs Entertainment, Inc....................... 100 1,912
Downey Financial Corp................................. 1,575 31,500
*Dress Barn, Inc...................................... 1,900 32,537
*Drug Emporium, Inc................................... 1,100 4,812
*Durakon Industries, Inc.............................. 300 2,925
Dyersburg Corp........................................ 1,100 8,800
Dynamics Corp. of America............................. 300 17,325
*Dynamics Research Corp............................... 550 4,916
*E-Z-Em, Inc. Class A................................. 300 2,475
*E-Z-Em, Inc. Class B................................. 18 137
*EA Engineering Science & Technology, Inc............. 500 937
*ECC International Corp............................... 300 1,987
*EIS International, Inc............................... 500 3,375
*ESCO Electronics Corp. Trust Receipts................ 900 9,337
Eagle Financial Corp.................................. 300 8,250
Eastern Bancorp, Inc.................................. 300 7,856
Eastern Co............................................ 200 2,550
Eaton Vance Corp...................................... 1,600 39,400
Ecology & Environment, Inc. Class A................... 200 1,600
*Edison Brothers Stores, Inc.......................... 1,900 1,306
*Edisto Resources Corp................................ 1,100 11,000
Edo Corp.............................................. 300 2,062
*Education Alternatives, Inc.......................... 500 2,250
*Egghead, Inc......................................... 1,500 7,031
Ekco Group, Inc....................................... 1,600 8,200
*Electroglas, Inc..................................... 1,000 25,187
*Electromagnetic Sciences, Inc........................ 600 11,475
*Electronic Fab Technology, Inc....................... 300 1,950
*Elek-Tek, Inc........................................ 1,000 1,625
*Emcon................................................ 700 2,362
*Empire of Carolina, Inc.............................. 400 1,075
Energen Corp.......................................... 900 29,700
Engle Homes, Inc...................................... 500 4,594
Enhance Financial Services Group, Inc................. 800 33,400
*Environmental Elements Corp.......................... 600 1,312
*Envirotest Systems Corp. Class A..................... 1,000 1,906
*Equitrac Corp........................................ 300 3,994
*Equity Oil Co........................................ 1,300 3,737
*Evans & Sutherland Computer Corp..................... 700 18,375
Evergreen Bancorp, Inc. DE............................ 800 12,100
*Evergreen Resources, Inc............................. 500 4,625
*Exabyte Corp......................................... 1,800 25,087
*Exar Corp............................................ 500 9,281
Excel Industries, Inc................................. 900 16,312
Exide Corp............................................ 2,100 45,937
*Exide Electronics Group, Inc......................... 600 6,862
*Ezcorp, Inc. Class A Non-Voting...................... 600 4,800
*FM Properties, Inc................................... 800 2,900
*FSI International, Inc............................... 1,400 19,425
*FTP Software, Inc.................................... 2,700 15,356
Fab Industries, Inc................................... 500 15,625
*Failure Group, Inc................................... 600 3,600
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*Fairchild Corp. Class A.............................. 1,300 $ 21,287
*Fansteel, Inc........................................ 700 5,162
*Farah, Inc........................................... 900 7,987
Farrel Corp........................................... 200 687
*Fibreboard Corp...................................... 500 27,187
*Fieldcrest Cannon, Inc............................... 500 9,375
*Filenes Basement Corp................................ 1,700 10,625
Fingerhut Companies, Inc.............................. 1,900 33,487
*First Alert, Inc..................................... 1,900 4,691
First American Financial Corp......................... 1,000 35,625
*First Cash, Inc...................................... 300 1,800
First Central Financial Corp.......................... 1,000 1,375
*First Citizens Financial Corp........................ 220 6,132
First Defiance Financial Corp......................... 700 9,800
First Essex Bancorp................................... 500 8,562
First Financial Corp. of Western Maryland............. 200 7,275
*First Merchants Acceptance Corp...................... 500 2,742
First Northern Capital Corp........................... 400 8,000
First Palm Beach Bancorp, Inc......................... 300 8,887
*First Republic Bancorp, Inc.......................... 600 12,000
First Savings Bank.................................... 200 4,187
First Southeast Financial Corp........................ 200 2,150
*First Team Sports, Inc............................... 500 3,594
*FirstFed Financial Corp. DE.......................... 900 24,525
*Fischer Imaging Corp................................. 1,000 6,437
Fleming Companies, Inc................................ 3,100 58,900
Flexsteel Industries, Inc............................. 600 6,937
Florida Rock Industries, Inc.......................... 800 26,800
*Florsheim Group, Inc................................. 400 3,475
Fluke Corp............................................ 200 9,975
*Fluor Daniel/GTI, Inc................................ 316 2,212
*Foodarama Supermarkets, Inc.......................... 100 1,894
Forest City Enterprises, Inc. Class A................. 450 19,856
*Foster (L.B.) Co. Class A............................ 800 3,225
*Franklin Electronic Publishers, Inc.................. 500 5,062
Freds, Inc. Class A................................... 800 10,750
Fremont General Corp.................................. 2,100 73,762
*Fresh Choice, Inc.................................... 500 1,859
Friedman Industries, Inc.............................. 551 3,375
*Friedmans, Inc. Class A.............................. 1,000 18,687
Frisch's Restaurants, Inc............................. 648 9,477
*Fusion Systems Corp.................................. 400 12,475
*G-III Apparel Group, Ltd............................. 600 3,544
*GC Companies, Inc.................................... 300 12,750
*GTI Corp............................................. 500 3,281
*GZA Geoenvironmental Technologies, Inc............... 300 816
*Galey & Lord, Inc.................................... 300 5,287
*Galileo Corp......................................... 600 4,312
Gamma Biologicals, Inc................................ 300 1,256
*Gantos, Inc.......................................... 500 1,484
Garan, Inc............................................ 400 7,950
*Garden Fresh Restaurant Corp......................... 100 981
*Gasonics International, Inc.......................... 300 3,600
*Gehl Co.............................................. 500 7,750
*General Host Corp.................................... 2,094 6,282
General Housewares Corp............................... 300 3,000
*Geneva Steel Co. Class A............................. 800 1,900
*Genicom Corp......................................... 500 3,078
*Genlyte Group, Inc................................... 1,100 14,231
*Genus, Inc........................................... 1,100 6,359
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*Geoscience Corp...................................... 200 $ 1,875
Gerber Scientific, Inc................................ 1,400 26,425
*Giant Group, Ltd..................................... 400 2,800
Giant Industries, Inc................................. 1,000 14,500
*Gibraltar Packaging Group, Inc....................... 900 2,812
*Gibson Greetings, Inc................................ 1,400 30,187
Giddings & Lewis, Inc................................. 2,700 50,962
Gleason Corp.......................................... 100 3,712
*Global Industrial Technologies, Inc.................. 900 16,650
*Global Village Communication, Inc.................... 900 3,178
*Golden Books Family Entertainment, Inc............... 1,000 11,250
Golden Poultry Co., Inc............................... 1,200 16,275
*Good Guys, Inc....................................... 1,200 7,050
*Gottschalks, Inc..................................... 600 3,450
*Government Technology Services, Inc.................. 600 2,925
*Gradco Systems, Inc.................................. 700 2,931
Graham-Field Health Products, Inc..................... 1,100 11,687
*Grand Casinos, Inc................................... 3,300 42,487
Grand Premier Financial, Inc.......................... 669 7,986
Granite Construction, Inc............................. 1,300 26,000
Granite State Bankshares, Inc......................... 300 5,269
Graphic Industries, Inc............................... 900 9,844
Greater New York Savings Bank NY...................... 1,100 21,175
Green (A.P.) Industries, Inc.......................... 600 5,550
Greenbrier Companies, Inc............................. 1,300 14,625
*Greyhound Lines, Inc................................. 1,800 7,537
*Grist Mill & Co...................................... 500 3,266
*Ground Round Restaurants, Inc........................ 1,000 1,484
Guaranty National Corp................................ 1,400 30,100
Guilford Mills, Inc................................... 1,800 35,325
*Gundle/SLT Environmental, Inc........................ 1,100 5,775
HF Financial Corp..................................... 200 3,925
*HMG Worldwide Corp................................... 600 581
*HMN Financial, Inc................................... 500 11,062
*HS Resources, Inc.................................... 900 13,050
Haggar Corp........................................... 300 4,031
*Hampton Industries, Inc.............................. 400 3,150
*Handleman Co......................................... 2,900 19,212
Handy & Harman........................................ 1,000 16,625
*Hanger Orthopedic Group, Inc......................... 700 6,256
*Harding Lawson Associates Group, Inc................. 400 2,750
Harleysville Group, Inc............................... 1,200 43,350
*Hartmarx Corp........................................ 2,800 27,650
*Harvey Entertainment Co.............................. 400 4,675
Harvey's Casino Resorts............................... 500 8,437
*Hathaway Corp........................................ 400 1,050
*Hauser, Inc.......................................... 900 5,512
Haverty Furniture Co., Inc............................ 700 8,269
*Healthcare Services Group, Inc....................... 500 5,656
*Hechinger Co. Class A................................ 2,600 3,250
*Hechinger Co. Class B................................ 1,100 3,437
Heilig-Meyers Co...................................... 2,450 40,425
*Hein-Werner Corp..................................... 220 1,540
*Hi-Lo Automotive, Inc................................ 500 1,312
*High Plains Corp..................................... 1,600 5,600
Hoenig Group, Inc..................................... 500 2,656
Home Port Bancorp, Inc................................ 200 3,925
*Home State Holdings, Inc............................. 500 234
Horizon Financial Corp................................ 230 3,493
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*Horizon/CMS Healthcare Corp.......................... 1,500 $ 27,375
*Hospital Staffing Services, Inc...................... 300 731
*Hovnanian Enterprises, Inc. Class A.................. 1,300 7,719
Hudson Foods, Inc. Class A............................ 1,500 23,812
Huffy Corp............................................ 800 10,400
Hughes Supply, Inc.................................... 500 19,125
*Hugoton Energy Corp.................................. 1,600 17,900
Hunt (J.B.) Transport Services, Inc................... 2,400 36,150
Huntco, Inc. Class A.................................. 300 4,012
*Hycor Biomedical, Inc................................ 600 1,125
*Hyde Athletic Industries, Inc. Class B............... 300 1,500
*ICF Kaiser International, Inc........................ 1,800 4,275
ICO, Inc.............................................. 1,300 6,459
*ICU Medical, Inc..................................... 500 4,406
*IEC Electronics Corp................................. 300 3,544
*IHOP Corp............................................ 800 22,550
*IPC Information Systems, Inc......................... 500 6,062
*ITI Technologies, Inc................................ 200 3,212
*Immulogic Pharmaceutical Corp........................ 800 3,150
*Imperial Holly Corp.................................. 600 7,350
*In Home Health, Inc.................................. 900 1,350
*Inacom Corp.......................................... 800 25,850
*Indenet, Inc......................................... 1,000 1,437
Indiana Federal Corp.................................. 400 10,450
*Information Resources, Inc........................... 2,200 33,000
Ingles Market, Inc. Class A........................... 400 5,750
*Innodata Corp........................................ 200 137
*Insituform Technologies, Inc. Class A................ 1,700 10,412
Insteel Industries, Inc............................... 700 5,425
Instron Corp.......................................... 1,000 12,500
*Insurance Auto Auctions, Inc......................... 1,000 7,937
Integrated Health Services, Inc....................... 1,300 46,800
*Integrated Process Equipment Corp.................... 500 9,156
*Intelligent Electronics, Inc......................... 2,700 7,172
*Inter-Tel, Inc....................................... 900 14,175
*Intercel, Inc........................................ 2,500 33,750
*Interface Systems, Inc............................... 400 1,325
Interface, Inc. Class A............................... 1,300 29,981
*Intergraph Corp...................................... 3,700 26,016
*Interlinq Software Corp.............................. 1,000 3,922
International Multifoods Corp......................... 1,500 42,375
*International Rectifier Corp......................... 4,200 70,350
*International Remote Imaging Systems, Inc............ 100 412
International Shipholding Corp........................ 400 6,850
*International Technology Corp........................ 350 2,537
*International Thoroughbred Breeders, Inc............. 800 3,600
*Interphase Corp...................................... 900 7,087
Interpool, Inc........................................ 150 2,100
Interstate Johnson Lane, Inc.......................... 200 3,900
*Intertan, Inc........................................ 900 3,375
Investors Financial Services Corp..................... 223 7,889
Investors Financial Services Corp. Class A............ 43 1,521
Isco, Inc............................................. 200 1,625
*Isolyser Co., Inc.................................... 3,100 12,206
*Isomedix, Inc........................................ 300 4,687
*Iwerks Entertainment, Inc............................ 900 4,050
*J & J Snack Foods Corp............................... 800 11,500
J & L Specialty Steel, Inc............................ 3,200 40,800
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*J. Alexander's Corp.................................. 300 $ 2,475
*JPE, Inc............................................. 200 1,350
JSB Financial, Inc.................................... 900 39,150
Jackpot Enterprises, Inc.............................. 100 1,062
*Jaclyn, Inc.......................................... 200 850
*Jaco Electronics, Inc................................ 300 2,025
Jacobson Stores, Inc.................................. 500 4,594
*Jan Bell Marketing, Inc.............................. 2,200 4,950
*Jean Philippe Fragrances, Inc........................ 500 2,937
John Alden Financial Corp............................. 1,500 31,875
*Johnson Worldwide Associates, Inc. Class A........... 500 6,219
Johnston Industries, Inc.............................. 600 4,125
*Johnstown American Industries, Inc................... 800 4,250
*Jones Intercable, Inc. Class A....................... 2,400 25,500
*Jos. A. Bank Clothiers, Inc.......................... 1,000 3,750
*Jumbosports, Inc..................................... 1,700 7,437
Justin Industries, Inc................................ 2,300 27,025
K Swiss, Inc. Class A................................. 300 3,975
*Kaiser Ventures, Inc................................. 600 5,737
Kaman Corp. Class A................................... 1,800 24,638
Katy Industries, Inc.................................. 800 12,500
Kellwood Co........................................... 1,800 47,025
*Kerr Group, Inc...................................... 300 713
*Key Production Co., Inc.............................. 800 7,600
*Key Tronic Corp...................................... 500 2,938
*Keystone Consolidated Industries, Inc................ 598 5,382
*Kimmins Corp......................................... 300 1,106
*Kinark Corp.......................................... 100 338
*Kinnard Investment, Inc.............................. 300 1,781
Klamath First Bancorp, Inc............................ 1,000 18,375
Knape & Vogt Manufacturing Co......................... 500 8,000
*Kulicke & Soffa Industries, Inc...................... 800 27,050
*LTX Corp............................................. 2,900 17,944
*Laboratory Corp. of America Holdings, Inc............ 1,000 2,875
*Laclede Steel Co..................................... 200 813
*Ladd Furniture, Inc.................................. 700 9,188
*Laidlaw Environmental Services, Inc.................. 5,200 14,950
*Lamson & Sessions Co................................. 500 3,875
*Landair Services, Inc................................ 300 4,200
*Laserscope........................................... 600 3,750
Lawyers Title Corp.................................... 800 14,400
*Learning Co., Inc.................................... 3,400 24,225
*Lechters, Inc........................................ 1,500 5,578
Lennar Corp........................................... 500 13,125
*Liberty Technologies, Inc............................ 500 1,688
*Life USA Holdings, Inc............................... 1,000 12,063
Lillian Vernon Corp................................... 300 4,725
Lindberg Corp......................................... 400 3,500
*Liuski International, Inc............................ 400 538
*Lodgenet Entertainment Corp.......................... 1,000 10,938
*Logic Devices, Inc................................... 200 463
*Loronix Information Systems, Inc..................... 200 650
*Louis Dreyfus Natural Gas Corp....................... 350 5,556
Lufkin Industries, Inc................................ 600 14,213
Lukens, Inc. DE....................................... 1,300 25,513
*Luria (L.) & Son, Inc................................ 100 225
*M.H. Meyerson & Co., Inc............................. 200 988
MAF Bancorp, Inc...................................... 826 34,486
*MAIC Holdings, Inc................................... 1,000 38,000
</TABLE>
5
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
MDC Holdings, Inc..................................... 900 $ 7,650
*MI Schottenstein Homes, Inc.......................... 800 8,800
*MK Gold Corp......................................... 1,700 2,922
MMI Companies, Inc.................................... 1,000 23,750
*MRS Technology, Inc.................................. 200 209
*MS Carriers, Inc..................................... 1,100 22,756
MTS Systems Corp...................................... 800 20,550
*Mapinfo Corp......................................... 100 1,113
Marcus Corp........................................... 500 12,250
*Mariner Health Group, Inc............................ 1,900 22,681
Maritrans, Inc........................................ 1,000 7,375
*Marker International................................. 1,300 5,688
*Marlton Technologies, Inc............................ 200 700
Marsh Supermarkets, Inc. Class A...................... 300 4,013
Marsh Supermarkets, Inc. Class B...................... 400 5,325
Maryland Federal Bancorp.............................. 315 11,970
*Material Sciences Corp............................... 300 4,200
*Matlack Systems, Inc................................. 200 1,475
*Matrix Pharmaceutical, Inc........................... 1,200 8,325
*Matrix Service Co.................................... 800 6,750
*Mattson Technology, Inc.............................. 100 1,056
*Maverick Tube Corp................................... 600 18,038
*Maxwell Technologies, Inc............................ 400 7,900
*Maxxam, Inc.......................................... 500 22,000
*Maxxim Medical, Inc.................................. 700 10,238
*McFarland Energy, Inc................................ 400 5,175
*Medalliance, Inc. Liquidating Trust Escrow........... 800 0
*Medaphis Corp........................................ 5,800 46,219
Medford Savings Bank MA............................... 300 8,175
*Media 100, Inc....................................... 700 4,069
*Medical Graphics Corp................................ 200 825
*Melamine Chemicals, Inc.............................. 500 5,875
Mercer International, Inc............................. 800 9,150
Merchants Bancorp, Inc................................ 200 7,525
*Meridian Data, Inc................................... 800 3,325
Meridian Insurance Group, Inc......................... 600 8,925
*Merisel, Inc......................................... 2,500 4,453
*Merix Corp........................................... 500 8,000
*Mesa Air Group, Inc.................................. 2,800 14,088
*Mesa, Inc............................................ 3,000 16,500
*Mesaba Holdings, Inc................................. 700 10,325
*Metatec Corp. Class A................................ 1,100 3,369
*Metra Biosystems, Inc................................ 100 488
*Metrocall, Inc....................................... 2,200 10,725
*Michael Anthony Jewelers, Inc........................ 500 1,625
Michael Foods, Inc.................................... 1,700 24,119
*Michaels Stores, Inc................................. 1,900 37,406
*Micro Warehouse, Inc................................. 2,300 39,531
*Microage, Inc........................................ 1,200 21,675
*Micronics Computers, Inc............................. 1,100 3,163
*Microtest, Inc....................................... 200 838
*Microwave Power Dynamics, Inc........................ 400 1,200
Mid America Banccorp.................................. 848 17,702
*Midisoft Corp........................................ 300 347
*Midwest Grain Products, Inc.......................... 600 6,975
Mikasa, Inc........................................... 100 1,188
*Mikohn Gaming Corp................................... 800 3,400
*Miltope Group, Inc................................... 500 1,781
Mine Safety Appliances Co............................. 500 31,063
*Monarch Casino and Resort, Inc....................... 500 1,531
Monarch Machine Tool Co............................... 300 2,250
<CAPTION>
SHARES VALUE+
------------ ------------
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*Moog, Inc. Class A................................... 500 $ 12,563
*Moore Medical Corp................................... 100 1,125
*Moovies, Inc......................................... 500 2,859
*Morgan Products, Ltd................................. 700 6,213
*Morrow Snowboards, Inc............................... 100 394
*Mother's Work, Inc................................... 200 1,525
Movado Group, Inc..................................... 625 13,984
*Movie Gallery, Inc................................... 1,000 6,563
*Musicland Stores Corp................................ 2,900 5,800
NAC RE Corp........................................... 100 3,988
NBT Bancorp........................................... 771 15,998
NCH Corp.............................................. 200 13,025
*NPS Pharmaceuticals, Inc............................. 200 2,075
*NS Group, Inc........................................ 1,200 8,400
*NSA International, Inc............................... 200 363
NSC Corp.............................................. 1,000 1,813
NYMAGIC, Inc.......................................... 1,000 19,375
Nacco Industries, Inc. Class A........................ 505 25,692
Nash Finch Co......................................... 900 17,775
*Nashua Corp.......................................... 500 5,813
*Nathans Famous, Inc.................................. 400 1,225
*National Auto Credit, Inc............................ 2,630 25,643
*National City Bancorp................................ 726 14,974
*National Home Centers, Inc........................... 500 891
*National Patent Development Corp..................... 500 3,656
*National Picture and Frame Co........................ 400 4,375
National Presto Industries, Inc....................... 500 18,875
*National Steel Corp. Class B......................... 1,200 16,200
National Technical Systems, Inc....................... 100 384
*Natural Wonders, Inc................................. 700 3,041
*Navistar International Corp.......................... 1,000 16,625
*Neostar Retail Group, Inc............................ 100 1
*Netframe Systems, Inc................................ 1,000 1,063
*Netrix Corp.......................................... 800 1,625
*Network Computing Devices, Inc....................... 300 3,825
*Network Equipment Technologies, Inc.................. 1,700 29,325
*New Brunswick Scientific Co., Inc.................... 346 2,400
*New Horizons Worldwide, Inc.......................... 600 5,925
New Jersey Resources Corp............................. 1,500 46,688
Newmil Bancorp, Inc................................... 200 1,950
Newport Corp.......................................... 500 5,906
*Nexthealth, Inc...................................... 700 1,269
*Noodle Kidoodle, Inc................................. 700 2,538
*Nord Resources Corp.................................. 1,400 4,025
*Nortek, Inc.......................................... 1,100 25,575
North American Mortgage Co............................ 700 14,088
*Northwestern Steel & Wire Co......................... 1,600 3,850
*Norton McNaughton, Inc............................... 700 3,631
Norwich Financial Corp................................ 400 7,900
*Novacare, Inc........................................ 5,600 70,700
*Nu-Kote Holding, Inc. Class A........................ 2,000 5,250
*Nview Corp........................................... 400 938
O'Sullivan Corp....................................... 1,600 14,400
*O'Sullivan Industries Holdings, Inc.................. 1,100 17,188
*O.I. Corp............................................ 400 1,850
*OHM Corp............................................. 1,900 15,200
*OMI Corp............................................. 2,600 25,025
*Oak Technology, Inc.................................. 1,500 14,156
*Offshore Logistics, Inc.............................. 1,300 23,481
Oil-Dri Corp. of America.............................. 100 1,538
*Old America Stores, Inc.............................. 400 1,675
</TABLE>
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CONTINUED
<TABLE>
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*Old Dominion Freight Lines, Inc...................... 1,000 $ 12,750
*Olympic Steel, Inc................................... 700 11,550
OnbanCorp, Inc........................................ 1,200 56,475
*One Price Clothing Stores, Inc....................... 900 3,825
Oneida, Ltd........................................... 900 21,488
*Oneita Industries, Inc............................... 600 488
*Onyx Acceptance Corp................................. 100 788
*Opinion Research Corp................................ 200 756
*Opta Food Ingredients, Inc........................... 500 3,906
*Opti, Inc............................................ 700 3,653
Optical Coating Laboratory, Inc....................... 1,000 10,500
*Option Care, Inc..................................... 800 4,950
Orange Co., Inc....................................... 700 5,425
*Orbital Sciences Corp................................ 2,400 39,750
Oregon Steel Mills, Inc............................... 1,700 31,875
*Oroamerica, Inc...................................... 700 3,413
*Orthologic Corp...................................... 1,000 5,938
Oshkosh Truck Corp. Class B........................... 700 9,538
*Ostex International, Inc............................. 400 813
Outboard Marine Corp.................................. 1,700 25,075
*Outlook Group Corp................................... 400 1,800
Overseas Shipholding Group, Inc....................... 1,800 33,975
Owosso Corp........................................... 100 769
Oxford Industries, Inc................................ 700 16,888
*PICO Holdings, Inc................................... 500 2,063
*PLM International, Inc............................... 1,000 5,625
*PPT Vision, Inc...................................... 300 2,325
PXRE Corp............................................. 211 5,697
Pacific Scientific Co................................. 600 8,025
Palfed, Inc........................................... 400 6,550
Pancho's Mexican Buffet, Inc.......................... 400 700
*Par Technology Corp.................................. 1,000 9,750
*Paragon Trade Brands, Inc............................ 500 8,063
Park Electrochemical Corp............................. 300 7,538
*Park-Ohio Industries, Inc............................ 700 9,056
*Parlux Fragrances, Inc............................... 1,000 2,750
Patrick Industries, Inc............................... 1,000 14,063
*Patterson Energy, Inc................................ 148 5,310
*Payless Cashways, Inc................................ 3,400 5,525
*Peak Technologies Group, Inc......................... 300 5,381
*Penn Traffic Co...................................... 200 1,475
*Penn Treaty American Corp............................ 600 16,350
Penn Virginia Corp.................................... 200 9,675
Pennfed Financial Services, Inc....................... 500 12,125
Penwest, Ltd.......................................... 400 7,750
*Peoples Choice TV Corp............................... 1,000 1,406
Peoples Heritage Financial Group, Inc................. 1,778 58,674
*Peoples Telephone Co., Inc........................... 1,400 4,813
*Perfumania, Inc...................................... 600 2,250
*Perini Corp.......................................... 400 2,875
*Petrocorp, Inc....................................... 700 6,038
*Pharmaceutical Resources, Inc........................ 1,000 2,625
*Pharmchem Laboratories, Inc.......................... 500 2,047
Phillips-Van Heusen Corp.............................. 2,500 35,000
Phoenix Duff & Phelps Corp............................ 2,800 21,000
Piccadilly Cafeterias, Inc............................ 900 9,338
Pilgrim Pride Corp.................................... 1,600 20,000
Pillowtex Corp........................................ 300 6,413
Pinnacle Bancshares, Inc.............................. 100 2,194
*Pinnacle Systems, Inc................................ 200 3,638
Pioneer Financial Services, Inc....................... 500 14,063
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Piper Jaffray Companies, Inc.......................... 800 $ 15,700
*Pittencrieff Communications, Inc..................... 600 2,456
Pittston Co. Burlington Group......................... 1,700 43,775
*Planar Systems, Inc.................................. 300 3,544
Plasti-Line, Inc...................................... 100 1,031
*Players International, Inc........................... 2,900 11,147
Ply-Gem Industries, Inc. DE........................... 800 13,400
*Pollo Tropical, Inc.................................. 1,000 6,438
*Polymedica Industries, Inc........................... 500 3,000
*Pool Energy Services Co.............................. 1,200 19,875
Pope & Talbot, Inc.................................... 1,100 18,150
Portsmouth Bank Shares, Inc........................... 520 7,930
Poughkeepsie Savings Bank FSB NY...................... 1,100 7,288
*Premenos Technology Corp............................. 1,100 7,563
Presidential Life Corp................................ 2,900 41,869
*Price Communications Corp............................ 500 3,875
Price Enterprises, Inc................................ 1,300 24,050
*Primark Corp......................................... 500 11,875
Prime Bancorp, Inc.................................... 330 7,466
Primesource Corp...................................... 500 3,656
*Procyte Corp......................................... 1,100 1,633
*Proffitts, Inc....................................... 900 36,000
*Progress Software Corp............................... 500 8,656
Progressive Bank, Inc................................. 300 7,838
*Pronet, Inc.......................................... 500 1,594
*Proteon, Inc......................................... 700 1,772
*Protocol Systems, Inc................................ 300 2,269
Provident Bankshares Corp............................. 661 25,077
*Proxima Corp......................................... 500 2,375
*Pulte Corp........................................... 400 12,650
*Pure World, Inc...................................... 200 663
*QMS, Inc............................................. 900 2,925
*Quad Systems Corp.................................... 200 1,875
Quaker Chemical Corp.................................. 500 8,188
*Quaker Fabric Corp................................... 700 11,288
Quaker State Corp..................................... 2,700 40,838
*Quality Dining, Inc.................................. 1,400 8,094
*Quality Semiconductor, Inc........................... 200 1,950
*Quality Systems, Inc................................. 1,000 7,688
Quanex Corp........................................... 600 16,350
Quest Medical, Inc.................................... 200 1,475
Quixote Corp.......................................... 1,000 7,813
*R & B, Inc........................................... 1,100 8,250
RCSB Financial, Inc................................... 1,300 53,300
RLI Corp.............................................. 600 19,125
*RPC, Inc............................................. 1,200 16,350
*Rag Shops, Inc....................................... 200 650
*Railtex, Inc......................................... 500 9,188
*Rally's Hamburgers, Inc.............................. 1,300 3,656
*Ramsay Health Care, Inc.............................. 700 2,253
*Rare Hospitality International, Inc.................. 500 7,813
Raymond Corp.......................................... 200 6,500
*Reading Entertainment, Inc........................... 400 4,625
*Recoton Corp......................................... 800 10,000
*Redwood Empire Bancorp............................... 200 2,625
Refac Technology Development Corp..................... 300 2,044
*Regeneron Pharmaceuticals, Inc....................... 500 5,188
*Rentrak Corp......................................... 100 339
*Republic Automotive Parts, Inc....................... 300 4,819
*Republic Engineered Steels, Inc...................... 100 144
*Response Oncology, Inc............................... 100 700
*Rex Stores Corp...................................... 500 5,125
</TABLE>
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CONTINUED
<TABLE>
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Rexene Corp........................................... 300 $ 4,463
*Riddell Sports, Inc.................................. 700 3,281
*Ride, Inc............................................ 1,000 3,500
Riggs National Corp................................... 2,000 36,750
*Rightchoice Managed Care, Inc. Class A............... 300 3,525
*Rio Hotel & Casino, Inc.............................. 400 5,850
Rival Co.............................................. 600 8,438
Roanoke Electric Steel Corp........................... 200 3,275
*Roberds, Inc......................................... 500 2,688
*Rock Bottom Restaurants, Inc......................... 100 1,075
Rock-Tenn Co. Class A................................. 800 12,100
*Rodman & Renshaw Capital Group, Inc.................. 600 300
*Rohr, Inc............................................ 1,700 35,913
Rollins Truck Leasing Corp............................ 3,900 53,625
*Rottlund, Inc........................................ 500 2,313
Rouge Steel Co. Class A............................... 900 13,275
*Ruby Tuesday, Inc.................................... 1,000 21,500
*Ryans Family Steak Houses, Inc....................... 3,500 31,938
Rykoff-Sexton, Inc.................................... 900 17,213
Ryland Group, Inc..................................... 800 10,400
*S&K Famous Brands, Inc............................... 400 4,175
*SLH Corp............................................. 75 4,144
*SSE Telecom, Inc..................................... 500 3,438
*STM Wireless, Inc. Class A........................... 200 1,525
*Safety 1st, Inc...................................... 200 1,313
*Salant Corp. DE...................................... 1,600 5,600
*San Filippo (John B.) & Son, Inc..................... 800 4,900
Sanderson Farms, Inc.................................. 100 1,494
*Sands Regent Casino Hotel............................ 400 875
*Schuler Homes, Inc................................... 1,800 10,238
*Scios-Nova, Inc...................................... 3,100 19,569
Seafield Capital Corp................................. 300 9,825
Sealright Co., Inc.................................... 1,000 11,813
*Secom General Corp................................... 400 1,100
Security Capital Corp................................. 200 18,375
Security Connecticut Corp............................. 500 24,313
Selective Insurance Group, Inc........................ 1,000 44,438
*Sequa Corp. Class A.................................. 1,000 48,813
*Sequent Computer Systems, Inc........................ 3,100 52,119
*Serv-Tech, Inc....................................... 600 3,300
*Service Merchandise Co., Inc......................... 5,300 17,225
*Sharper Image Corp................................... 500 1,813
Shelter Components, Inc............................... 300 3,638
*Shiloh Industries, Inc............................... 1,100 18,425
*Shoe Carnival, Inc................................... 800 6,150
*Sholodge, Inc........................................ 600 8,175
*Shoney's, Inc........................................ 558 3,139
Shopko Stores, Inc.................................... 2,700 63,788
Showboat, Inc......................................... 1,300 25,675
Sifco Industries, Inc................................. 400 5,800
*Sight Resource Corp.................................. 700 2,756
*Signal Technology Corp............................... 600 4,425
*Signature Brands USA, Inc............................ 800 2,925
*Silicon Valley Group, Inc............................ 2,300 54,913
Simmons First National Corp. Class A.................. 200 5,500
Simpson Industries, Inc............................... 1,100 11,206
*Sizzler International, Inc........................... 2,400 5,700
Skyline Corp.......................................... 900 22,163
Skywest, Inc.......................................... 600 8,963
Smith (A.O.) Corp..................................... 800 29,400
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Smith (A.O.) Corp. Convertible Class A................ 200 $ 7,338
*Softech, Inc......................................... 300 1,003
South Jersey Industries, Inc.......................... 300 6,713
Southdown, Inc........................................ 1,500 60,563
*Southern Electronics Corp............................ 1,000 10,250
*Southwall Technologies, Inc.......................... 500 3,438
Southwest Bancshares, Inc. DE......................... 300 5,888
Southwest Securities Group, Inc....................... 200 3,225
Southwestern Energy Co................................ 2,200 29,150
*Spacelabs Medical, Inc............................... 500 11,188
*Spaghetti Warehouse, Inc............................. 500 2,531
Spartan Motors, Inc................................... 1,000 7,500
*Sparton Corp......................................... 500 4,375
*Spec's Music, Inc.................................... 400 300
*Specialty Chemical Resources, Inc.................... 300 600
*Spectran Corp........................................ 500 9,250
*Speizman Industries, Inc............................. 300 1,613
*Spelling Entertainment Group, Inc.................... 5,600 37,800
*Sport Chalet, Inc.................................... 600 1,688
*Sport Supply Group, Inc.............................. 300 1,950
*Sportmart, Inc....................................... 500 1,344
*Sportmart, Inc. Class A.............................. 250 531
*Sports Club Co., Inc................................. 600 3,000
St. Paul Bancorp, Inc................................. 2,000 63,000
*Staff Builders, Inc. Class A......................... 400 800
*Standard Commercial Corp............................. 856 14,453
*Standard Management Corp............................. 200 1,150
*Standard Microsystems Corp........................... 1,100 9,763
Standard Motor Products, Inc. Class A................. 1,100 15,125
Standard Pacific Corp. DE............................. 2,600 26,650
Standard Products Co.................................. 1,400 34,825
*Staodyn, Inc......................................... 500 750
*Starcraft Corp....................................... 200 563
Starret Corp.......................................... 300 3,000
Starrett (L.S.) Co. Class A........................... 200 5,950
*Starter Corp......................................... 2,300 10,350
*Station Casinos, Inc................................. 2,600 23,075
*Steel of West Virginia, Inc.......................... 600 5,850
Steel Technologies, Inc............................... 500 5,219
Stepan Co............................................. 500 9,813
Stephan Co............................................ 200 1,850
Sterling Bancorp...................................... 500 9,375
*Sterling Financial Corp. WA.......................... 600 10,950
Stewart Information Services Corp..................... 500 9,813
*Stokely USA, Inc..................................... 1,000 1,078
Stone & Webster, Inc.................................. 800 34,300
*Strategic Distribution, Inc.......................... 1,500 5,906
*Stratus Computer, Inc................................ 1,200 54,900
Strawbridge & Clothier Class A........................ 900 15,019
*Strouds, Inc......................................... 1,100 2,200
*Stuart Entertainment, Inc............................ 600 1,838
*Sulcus Computer Corp................................. 800 1,400
Sumitomo Bank of California........................... 1,300 36,563
*Summa Four, Inc...................................... 500 3,875
*Summit Care Corp..................................... 200 2,425
*Summit Technology, Inc............................... 500 3,844
*Sun Coast Industries, Inc............................ 200 675
*Sun Healthcare Group, Inc............................ 2,000 33,500
Sun Television and Appliances, Inc.................... 1,500 3,094
*Sunrise Medical, Inc................................. 2,000 25,750
</TABLE>
8
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CONTINUED
<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*Sunrise Resources, Inc............................... 400 $ 1,450
Superior Surgical Manufacturing Co., Inc.............. 300 3,450
*Suprema Specialties, Inc............................. 200 769
Susquehanna Bancshares, Inc........................... 1,100 42,763
*Swiss Army Brands, Inc............................... 700 8,356
*Syms Corp............................................ 1,500 14,625
*Syncor International Corp. DE........................ 900 8,325
*Syntellect, Inc...................................... 700 2,297
*Syquest Technology, Inc.............................. 900 1,786
*TBC Corp............................................. 400 3,050
TCBY Enterprises, Inc................................. 2,200 13,200
*TII Industries, Inc.................................. 700 3,850
TJ International, Inc................................. 1,400 32,463
TR Financial Corp..................................... 1,000 20,375
*TRC Companies, Inc................................... 300 1,088
Tab Products Co. DE................................... 400 3,775
*Taco Cabana, Inc..................................... 1,300 6,581
*Tandy Crafts, Inc.................................... 1,000 4,875
*Tanknology Environmental, Inc........................ 1,200 2,025
*Tech-Sym Corp........................................ 300 9,563
Telxon Corp........................................... 500 9,250
*Tesoro Petroleum Corp................................ 2,100 27,563
Texas Industries, Inc................................. 1,800 43,200
*Texas Micro, Inc..................................... 1,000 3,406
*Thermo Power Corp.................................... 1,000 6,000
*Thermo Terratech, Inc................................ 500 5,469
Thomas Industries, Inc................................ 300 8,438
Thomaston Mills, Inc.................................. 400 4,350
*Thompson PBE, Inc.................................... 300 1,388
*Thorn Apple Valley, Inc.............................. 500 8,875
*Tipperary Corp....................................... 500 2,219
*Titan Corp........................................... 1,000 4,125
Titan Holdings, Inc................................... 1,155 22,234
Titan International, Inc.............................. 1,200 18,300
Toastmaster, Inc...................................... 600 2,100
*Todd Shipyards Corp.................................. 800 3,500
Tower Air, Inc........................................ 1,100 3,506
*Trans World Airlines, Inc............................ 3,000 25,688
*Trans World Entertainment Corp....................... 800 12,050
*Transitional Hospitals Corp.......................... 3,700 58,738
*Travel Ports of America, Inc......................... 212 557
Treadco, Inc.......................................... 500 4,875
*Tremont Corp. DE..................................... 600 24,600
*Trend-Lines, Inc. Class A............................ 200 1,431
*Trident Microsystems, Inc............................ 800 11,450
*Trism, Inc........................................... 500 1,469
*Truevision, Inc...................................... 1,300 2,600
*Tseng Laboratories, Inc.............................. 1,100 4,125
*Tuesday Morning Corp................................. 700 18,900
*Tultex Corp.......................................... 2,500 15,938
*Turner Corp.......................................... 300 4,650
Twin Disc, Inc........................................ 200 4,800
*Tyler Corp........................................... 1,700 3,188
U.S. Bancorp, Inc..................................... 500 23,813
*UNC, Inc............................................. 1,500 21,750
*URS Corp............................................. 719 7,909
*US Can Corp.......................................... 600 9,750
UST Corp.............................................. 570 12,041
USX-Delhi Group....................................... 800 10,900
*Ultimate Electronics, Inc............................ 300 900
*Ultradata Corp....................................... 100 306
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ultratech Stepper, Inc............................... 300 $ 6,094
Uni-Marts, Inc........................................ 500 2,563
Unico American Corp................................... 500 5,313
*Unimark Group, Inc................................... 200 1,325
*Uniroyal Technology Corp............................. 1,100 3,334
*United American Healthcare Corp...................... 200 1,250
United Industrial Corp................................ 1,400 11,550
*United Retail Group, Inc............................. 600 1,763
*United States Home Corp.............................. 1,000 26,375
*Universal Electronics, Inc........................... 300 1,669
*Universal Hospital Services, Inc..................... 300 4,425
*Universal International, Inc......................... 400 425
*Universal Standard Medical Labs, Inc................. 500 1,688
*Uno Restaurant Corp.................................. 600 3,525
*Uranuim Resources, Inc............................... 500 2,844
*Utilx Corp........................................... 600 2,550
*V Band Systems, Inc.................................. 500 1,000
*VLSI Technology, Inc................................. 800 19,550
*VTEL Corp............................................ 600 3,656
*Vallen Corp.......................................... 1,000 18,000
*Value City Department Stores, Inc.................... 2,100 18,113
Value Line, Inc....................................... 1,000 36,500
*Valuevision International, Inc. Class A.............. 2,700 10,547
*Variflex, Inc........................................ 200 975
Varlen Corp........................................... 110 2,764
*Vectra Technologies, Inc............................. 500 281
*Venture Stores, Inc.................................. 1,500 3,938
Veritas DGC, Inc...................................... 900 18,675
*Vertex Communications Corp........................... 200 4,638
*Veterinary Centers of America, Inc................... 1,000 12,188
*Vicorp Restaurants, Inc.............................. 800 9,450
*Video Display Corp................................... 300 1,144
*Video Lottery Technologies, Inc...................... 900 4,838
*Video Update, Inc.................................... 1,300 5,606
*Vie de France Corp................................... 700 984
Virco Manufacturing Corp.............................. 600 12,525
Virginia Beach Federal Financial Corp................. 400 4,400
Virginia First Financial Corp......................... 200 4,288
*WHX Corp............................................. 2,200 14,575
WLR Foods, Inc........................................ 1,306 12,978
Wabash National Corp.................................. 200 4,425
Walbro Corp........................................... 400 7,975
*Wall Data, Inc....................................... 600 14,963
Warren Bancorp, Inc................................... 300 5,025
*Washington Homes, Inc................................ 700 2,625
Washington National Corp.............................. 300 8,400
Washington Savings Bank FSB Waldorf, MD............... 400 2,000
Watkins-Johnson Co.................................... 500 15,813
Watts Industries, Inc. Class A........................ 1,600 39,800
Webb (Del) Corp....................................... 1,100 16,775
Webster Financial Corp................................ 739 29,930
*Weirton Steel Corp................................... 3,600 10,800
*Welcome Home, Inc.................................... 200 20
Wellman, Inc.......................................... 2,500 44,688
*Wells-Gardner Electronics Corp....................... 200 763
Werner Enterprises, Inc............................... 1,800 35,213
Wesbanco, Inc......................................... 200 7,250
*West Coast Entertainment Corp........................ 200 950
</TABLE>
9
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Westco Bancorp, Inc................................... 300 $ 7,088
Westcorp, Inc......................................... 100 1,675
*Western Beef, Inc.................................... 500 4,531
*Weston (Roy F.), Inc. Class A........................ 600 1,800
*Whittaker Corp....................................... 700 7,788
*Wickes Lumber Co..................................... 200 1,063
*Williams Clayton Energy, Inc......................... 700 9,538
Wilshire Oil Co. of Texas............................. 500 2,688
Windmere Corp......................................... 1,400 20,650
Wiser Oil Co.......................................... 800 12,500
Wolohan Lumber Co..................................... 600 7,388
*Wonderware Corp...................................... 1,000 13,688
*Worldtex, Inc........................................ 1,200 8,550
Yankee Energy Systems, Inc............................ 900 20,813
*Yellow Corp.......................................... 2,400 46,050
York Financial Corp................................... 605 11,646
*Zale Corp............................................ 3,000 60,375
*Zemex Corp........................................... 728 5,187
Zenith National Insurance Corp........................ 1,500 37,500
*Zilog, Inc........................................... 2,000 44,500
*Zoll Medical Corp.................................... 400 3,500
Zurn Industries, Inc.................................. 600 15,900
------------
TOTAL COMMON STOCKS
(Cost $10,391,981)................................... 12,213,413
------------
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants Class A
04/02/02............................................ 46 256
*Banner Aerospace, Inc. Rights 06/18/97............... 511 0
*Laboratory Corp. of America Holdings, Inc. Rights
06/16/97............................................ 81 651
------------
TOTAL RIGHTS/WARRANTS
(Cost $488).......................................... 907
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99)
(Cost $481,000)..................................... $ 481 $ 481,000
------------
TOTAL INVESTMENTS -- (99.6%)
(Cost $10,873,469)++................................. 12,695,320
------------
OTHER ASSETS AND LIABILITIES -- (0.4%)
Other Assets....................................... 71,369
Payable for Investment Securities Purchased........ (6,869)
Other Liabilities.................................. (9,990)
------------
54,510
------------
NET ASSETS -- (100.0%) Applicable to 983,078
Outstanding $.01 Par Value Shares (100,000,000 Shares
Authorized).......................................... $ 12,749,830
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 12.97
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
10
<PAGE>
VA LARGE VALUE PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED STATES -- (97.0%)
COMMON STOCKS -- (97.0%)
AK Steel Holding Corp................................. 1,100 $ 42,762
*AMR Corp............................................. 2,500 248,437
Advanta Corp. Class A................................. 300 8,831
Advanta Corp. Class B Non-Voting...................... 500 13,906
Aetna, Inc............................................ 5,200 525,200
Ahmanson (H.F.) & Co.................................. 2,700 110,025
Albemarle Corp........................................ 1,100 20,625
Alexander & Baldwin, Inc.............................. 1,600 43,300
Alleghany Corp........................................ 100 21,325
*Alumax, Inc.......................................... 1,500 57,937
Ambac, Inc............................................ 1,000 75,000
*Amdahl Corp.......................................... 4,100 41,000
Amerada Hess Corp..................................... 3,200 171,200
*America West Holdings Corp. Class B.................. 1,100 16,912
American General Corp................................. 6,500 287,625
*American Greetings Corp. Class A..................... 2,600 89,212
American National Insurance Co........................ 600 49,500
*Apple Computer, Inc.................................. 3,500 58,406
*Archer-Daniels Midland Co............................ 6,100 122,000
Argonaut Group, Inc................................... 300 8,737
Asarco, Inc........................................... 1,200 37,350
Astoria Financial Corp................................ 600 24,675
Avnet, Inc............................................ 800 50,400
BHC Communications, Inc. Class A...................... 100 10,950
Ball Corp............................................. 900 26,212
Bankers Trust New York Corp........................... 2,200 186,175
Bear Stearns Companies, Inc........................... 3,161 102,732
Berkley (W.R.) Corp................................... 600 31,012
*Bethlehem Steel Corp................................. 3,200 32,000
*Beverly Enterprises.................................. 2,800 39,550
Black & Decker Corp................................... 1,400 48,650
Block Drug Co., Inc. Class A.......................... 300 13,237
Boise Cascade Corp.................................... 1,300 49,400
Borg Warner Automotive, Inc........................... 400 19,500
*Boston Chicken, Inc.................................. 900 16,256
Bowater, Inc.......................................... 1,200 59,250
*Brinker International, Inc........................... 2,100 29,137
*Burlington Industries, Inc........................... 1,600 17,600
Burlington Northern Santa Fe Corp..................... 5,000 415,000
CIGNA Corp............................................ 1,500 260,625
*CNA Financial Corp................................... 1,800 184,275
CNF Transportation, Inc............................... 300 9,675
CSX Corp.............................................. 6,900 365,700
Caliber Systems, Inc.................................. 1,200 38,400
*California Federal Bank FSB, Los Angeles Contingent
Litigation Recovery Shares.......................... 70 1,046
Centex Corp........................................... 800 31,900
Century Telephone Enterprises, Inc.................... 400 12,100
Champion International Corp........................... 3,300 162,937
Chiquita Brands International, Inc.................... 1,600 24,600
*Chris-Craft Industries, Inc.......................... 733 31,336
Chrysler Corp......................................... 21,700 688,975
Cincinnati Financial Corp............................. 2,130 166,539
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Citizens Corp......................................... 1,300 $ 32,987
Coca-Cola Enterprises, Inc............................ 10,800 228,150
Comdicso, Inc......................................... 1,700 62,687
Commerce Bancshares, Inc.............................. 745 32,314
Commerce Group, Inc................................... 900 20,250
Comsat Corp. Series 1................................. 1,300 29,250
*Consolidated Freightways Corp........................ 450 5,541
Coors (Adolph) Co. Class B............................ 1,000 24,375
Countrywide Credit Industries, Inc.................... 3,100 83,312
Cummins Engine Co., Inc............................... 1,100 70,125
Cyprus Amax Minerals Co., Inc......................... 2,700 65,812
*DSC Communications Corp.............................. 800 20,450
*Darden Restaurants, Inc.............................. 5,000 41,875
*Digital Equipment Corp............................... 4,800 172,200
Dillards, Inc. Class A................................ 4,000 135,000
*Dime Bancorp, Inc.................................... 1,800 30,600
Donaldson, Lufkin & Jenrette, Inc..................... 1,500 78,937
Enserch Corp.......................................... 1,000 21,375
*Enserch Exploration, Inc............................. 3,600 39,150
Equitable Companies, Inc.............................. 5,500 173,250
Equitable of Iowa Companies........................... 600 33,225
*Federated Department Stores, Inc..................... 6,300 233,100
Fina, Inc. Class A.................................... 700 46,156
Financial Security Assurance Holdings, Ltd............ 900 32,512
Finova Group, Inc..................................... 700 52,150
First Hawaiian, Inc................................... 1,200 42,525
Florida East Coast Industries, Inc.................... 300 32,475
Ford Motor Co......................................... 37,700 1,413,750
Fremont General Corp.................................. 1,000 35,125
GATX Corp............................................. 600 34,050
General Motors Corp................................... 23,600 1,351,100
General Motors Corp. Class H.......................... 3,700 203,962
Georgia-Pacific Corp.................................. 3,300 291,225
Golden West Financial Corp............................ 1,400 94,850
Great Atlantic & Pacific Tea Co., Inc................. 1,100 30,387
Great Western Financial Corp.......................... 3,900 189,150
Greenpoint Financial Corp............................. 1,500 90,750
*HFS, Inc............................................. 577 31,086
*Halter Marine Group, Inc............................. 730 17,155
Heilig-Meyers Co...................................... 2,000 33,000
Helmerich & Payne, Inc................................ 700 39,287
Hollinger International, Inc. Class A................. 2,000 22,250
IVAX Corp............................................. 300 3,225
Inland Steel Industries, Inc.......................... 1,200 29,550
*Integrated Device Technology, Inc.................... 2,100 29,531
Integrated Health Services, Inc....................... 1,000 36,000
International Paper Co................................ 9,200 441,600
*International Speciality Products, Inc............... 2,500 34,062
James River Corp. of Virginia......................... 2,400 84,300
*K Mart Corp.......................................... 15,500 217,000
*Kaiser Aluminum Corp................................. 2,700 31,050
LTV Corp.............................................. 2,900 40,600
Lafarge Corp.......................................... 5,900 146,025
Lehman Brothers Holdings, Inc......................... 3,700 149,387
Lennar Corp........................................... 500 13,125
Liberty Corp.......................................... 1,000 39,750
</TABLE>
11
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Liberty Financial Companies, Inc...................... 800 $ 35,900
Lincoln National Corp................................. 3,700 225,238
Loews Corp............................................ 4,100 398,725
Longs Drug Stores Corp................................ 200 4,750
Longview Fibre Co..................................... 1,400 23,625
Louisiana-Pacific Corp................................ 4,000 78,000
MBIA, Inc............................................. 900 96,638
Mead Corp............................................. 1,400 89,250
Media General, Inc. Class A........................... 600 18,338
Mercantile Stores Co., Inc............................ 1,000 53,750
Mitchell Energy & Development Corp. Class A........... 1,200 26,550
Mitchell Energy & Development Corp. Class B........... 900 20,138
Morgan (J.P.) & Co., Inc.............................. 3,400 365,500
*Navistar International Corp.......................... 2,200 36,575
*Nextel Communications Corp. Class A.................. 5,600 82,250
Norfolk Southern Corp................................. 3,700 359,363
*Novell, Inc.......................................... 2,800 22,094
Occidental Petroleum Corp............................. 10,100 234,825
*Officemax, Inc....................................... 3,400 47,175
Ogden Corp............................................ 1,400 27,300
Ohio Casualty Corp.................................... 1,000 41,250
Old Republic International Corp....................... 2,400 72,300
Overseas Shipholding Group, Inc....................... 500 9,438
Pacific Century Financial Corp........................ 600 27,600
*Pacificare Health Systems, Inc. Class B.............. 52 4,118
Paine Webber Group, Inc............................... 1,300 46,150
Paul Revere Corp...................................... 1,000 42,750
Phelps Dodge Corp..................................... 1,700 142,163
Potlatch Corp......................................... 700 30,013
*Pulte Corp........................................... 700 22,138
RJR Nabisco Holdings Corp............................. 8,540 276,483
Rayonier, Inc......................................... 700 30,013
Reliastar Financial Corp.............................. 200 12,825
Reynolds Metals Co.................................... 2,600 176,475
*Russell Corp......................................... 200 6,125
Ryder System, Inc..................................... 2,500 82,813
Safeco Corp........................................... 3,500 152,031
Saint Paul Companies, Inc............................. 2,200 157,575
Salomon, Inc.......................................... 3,900 209,138
Sensormatic Electronics Corp.......................... 2,100 32,813
Signet Banking Corp................................... 1,000 32,875
*Silicon Graphics, Inc................................ 1,100 20,763
*Smiths Food & Drug Centers, Inc. Class B............. 49 2,315
Southern New England Telecommunications Corp.......... 300 11,700
*Spiegel, Inc. Class A Non-Voting..................... 200 1,313
*Springs Industries, Inc. Class A..................... 300 15,188
*St. Joe Corp......................................... 1,000 82,250
Stone Container Corp.................................. 3,700 50,875
Sun Co., Inc.......................................... 1,100 32,863
TIG Holdings, Inc..................................... 900 24,300
*Tandem Computers, Inc................................ 3,700 52,725
Tecumseh Products Co. Class A......................... 200 11,275
Telephone & Data Systems, Inc......................... 1,400 54,338
Temple-Inland, Inc.................................... 1,400 84,700
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tenneco, Inc.......................................... 5,400 $ 241,650
*Teradyne, Inc........................................ 1,600 65,600
Terra Industries, Inc................................. 3,000 37,875
Timken Co............................................. 800 54,900
Transamerica Corp..................................... 2,400 218,100
Trinity Industries, Inc............................... 2,100 63,000
Tyson Foods, Inc. Class A............................. 3,700 75,619
UMB Financial Corp.................................... 315 12,698
USF&G Corp............................................ 3,600 77,400
USLIFE Corp........................................... 650 31,688
USX-Marathon Group, Inc............................... 7,100 211,225
USX-US Steel Group.................................... 2,400 77,400
Union Camp Corp....................................... 2,000 105,000
Union Pacific Corp.................................... 3,400 230,350
Unionbancal Corp...................................... 1,800 119,250
*Unisys Corp.......................................... 2,500 17,188
*United States Cellular Corp.......................... 1,400 38,500
Unitrin, Inc.......................................... 1,000 54,688
Valero Energy Corp.................................... 1,200 42,900
Valhi, Inc............................................ 1,200 9,900
*Value Health, Inc.................................... 1,300 26,325
*Viacom, Inc. Class A................................. 1,000 30,125
*Viacom, Inc. Class B................................. 9,300 276,094
*Vishay Intertechnology, Inc.......................... 1,680 49,350
*Waban, Inc........................................... 900 27,338
*Weis Markets, Inc.................................... 1,700 49,938
Wellman, Inc.......................................... 1,000 17,875
Wesco Financial Corp.................................. 100 26,550
Westinghouse Electric Corp............................ 500 10,125
Westvaco Corp......................................... 2,900 90,625
Weyerhaeuser Co....................................... 6,100 304,238
*Wheelabrator Technologies, Inc....................... 4,600 59,225
Whirlpool Corp........................................ 300 14,963
Zurich Reinsurance Centre Holdings, Inc............... 800 31,100
------------
TOTAL COMMON STOCKS
(Cost $16,232,734)................................... 19,307,726
------------
PREFERRED STOCKS -- (0.0%)
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable Class A
(Cost $1,270)....................................... 16 1,196
------------
TOTAL -- UNITED STATES
(Cost $16,234,004)................................... 19,308,922
------------
FRANCE -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs
(Cost $1,918)....................................... 1,723
------------
GERMANY -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks
(Cost $953)......................................... 852
------------
SWITZERLAND -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $622)......................................... 635
------------
</TABLE>
12
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
VALUE+
------------
<S> <C> <C>
SPAIN -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $132)......................................... $ 115
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $10).......................................... 11
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99)
(Cost $456,000)..................................... $ 456 456,000
------------
TOTAL INVESTMENTS -- (99.3%)
(Cost $16,693,639)++................................. 19,768,258
------------
OTHER ASSETS AND LIABILITIES -- (0.7%)
Other Assets.......................................... 188,645
Payable for Investment Securities Purchased........... (30,823)
Other Liabilities..................................... (11,843)
------------
145,979
------------
NET ASSETS -- (100.0%) Applicable to 1,391,211
Outstanding $.01 Par Value Shares (100,000,000 Shares
Authorized).......................................... $ 19,914,237
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 14.31
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (33.8%)
COMMON STOCKS -- (32.3%)
Aichi Steel Works, Ltd............................... 4,000 $ 16,357
Aisin Seiki Co., Ltd................................. 2,000 30,928
Amada Co., Ltd....................................... 3,000 25,387
*Aoki Corp........................................... 6,000 7,216
Aoyama Trading Co., Ltd.............................. 1,100 34,588
#Asahi Breweries, Ltd................................ 4,000 54,639
Ashikaga Bank, Ltd................................... 3,000 9,923
Atsugi Nylon Industrial Co., Ltd..................... 5,000 16,710
Calpis Food Industry Co., Ltd........................ 2,000 12,010
#Casio Computer Co., Ltd............................. 3,000 23,608
Chiba Bank, Ltd...................................... 10,000 51,976
Chichibu Onoda Cement Corp........................... 8,000 32,028
*Chiyoda Fire and Marine Insurance Co., Ltd.......... 5,000 20,189
Chugoku Bank, Ltd.................................... 2,000 30,412
#Chuo Trust and Banking Co., Ltd..................... 2,000 11,443
Citizen Watch Co., Ltd............................... 3,000 22,758
Dai Tokyo Fire & Marine Insurance Co., Ltd........... 4,000 22,337
Daicel Chemical Industries, Ltd...................... 4,000 15,361
Daido Steel Co., Ltd................................. 5,000 15,893
#Daikyo, Inc......................................... 3,000 10,670
Daito Trust Construction Co., Ltd.................... 2,916 32,317
#Daiwa Bank, Ltd..................................... 15,000 58,892
Daiwa House Industry Co., Ltd........................ 7,000 82,388
Daiwa Securities Co., Ltd............................ 19,000 139,888
Ezaki Glico Co., Ltd................................. 2,200 18,333
Fuji Photo Film Co., Ltd............................. 5,000 193,729
Fujisawa Pharmaceutical Co., Ltd..................... 2,000 18,900
Fujita Corp.......................................... 9,000 16,005
Fujitsu, Ltd......................................... 15,000 182,990
Fukuoka City Bank, Ltd............................... 4,712 19,836
Gunze, Ltd........................................... 4,000 18,213
*Hanwa Co., Ltd...................................... 5,000 12,672
*Haseko Corp......................................... 8,000 12,852
Higo Bank, Ltd....................................... 3,000 18,557
Hiroshima Bank, Ltd.................................. 2,000 8,935
Hitachi Koki Co., Ltd................................ 2,000 14,296
Hitachi Maxell, Ltd.................................. 1,000 23,196
Hitachi Transport System, Ltd........................ 2,000 17,354
Hitachi, Ltd......................................... 47,000 500,687
#Hokkaido Bank, Ltd.................................. 7,000 8,660
#Hokkaido Takus Bank................................. 16,000 20,481
Hokuriku Bank, Ltd................................... 7,000 23,634
#Hyakujishi Bank, Ltd................................ 3,000 18,402
Inax Corp............................................ 2,000 13,935
Kajima Corp.......................................... 13,000 72,706
Kamagai Gumi Co., Ltd................................ 6,000 9,794
Kamigumi Co., Ltd.................................... 4,000 23,883
*Kandenko Co., Ltd................................... 3,000 23,711
Katokichi Co., Ltd................................... 1,000 18,471
Keiyo Bank, Ltd...................................... 5,000 20,490
Kinden Corp.......................................... 2,000 26,632
Kiyo Bank, Ltd....................................... 5,000 15,077
#Kokusai Denshin Denwa Co., Ltd...................... 900 57,990
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kokusai Securities Co., Ltd.......................... 2,000 $ 16,753
Komatsu, Ltd......................................... 9,000 68,041
Kureha Chemical Industry Co., Ltd.................... 4,000 17,320
Kyudenko Corp........................................ 2,000 16,392
#Long Term Credit Bank of Japan, Ltd................. 35,000 114,261
Maeda Corp........................................... 2,000 11,082
Makita Corp.......................................... 2,000 29,381
Marubeni Corp........................................ 22,000 93,557
Maruetsu, Inc........................................ 3,000 14,433
#Matsushita Electric Industrial Co., Ltd............. 31,000 583,247
Matsushita Electric Works, Ltd....................... 4,000 44,330
*Mazda Motor Corp.................................... 11,000 32,981
Michimen Corp........................................ 6,000 20,825
Mitsubishi Gas Chemical Co., Inc..................... 5,000 18,514
Mitsubishi Oil Co., Ltd.............................. 4,000 19,931
Mitsui Fudosan Co., Ltd.............................. 4,000 50,515
Mitsui Trust & Banking Co., Ltd...................... 16,000 120,412
Mizuno Corp.......................................... 2,000 12,509
Nagase & Co., Ltd.................................... 2,000 13,557
Nanto Bank, Ltd...................................... 3,000 18,918
Nihon Cement Co., Ltd................................ 3,000 14,742
Nikko Securities Co., Ltd............................ 20,000 118,900
#Nippon Credit Bank, Ltd............................. 20,000 42,096
Nippon Meat Packers, Inc., Osaka..................... 2,000 24,399
Nippon Oil Co., Ltd.................................. 17,000 86,168
Nippon Sheet Glass Co., Ltd.......................... 4,000 14,811
Nippon Shinpan Co., Ltd.............................. 6,000 20,722
Nisshin Steel Co., Ltd............................... 12,000 29,897
Nisshinbo Industries, Inc............................ 3,000 25,541
Nittetsu Mining Co., Ltd............................. 2,000 14,656
*Nitto Boseki Co., Ltd............................... 7,000 23,153
#Noritz Corp......................................... 1,000 11,340
Pioneer Electronic................................... 2,000 49,485
#San In Godo Bank, Ltd............................... 3,000 22,345
Sankyo Aluminum Industry Co., Ltd.................... 3,000 10,438
#Sanyo Electric...................................... 27,000 113,892
*Seino Transportation Co., Ltd....................... 2,000 21,649
Seksui House......................................... 10,000 97,938
#Shiga Bank, Ltd..................................... 4,000 19,278
Shinmaywa Industries, Ltd............................ 2,000 14,124
Shionogi & Co., Ltd.................................. 3,000 22,294
Shiseido Co., Ltd.................................... 4,000 58,419
Sumitomo Corp........................................ 15,000 132,732
Sumitomo Realty & Development Co., Ltd............... 7,000 55,026
#Taisei Corp......................................... 14,000 60,017
Teijin, Ltd.......................................... 4,000 16,873
Toda Corp............................................ 4,000 25,773
#Tokyo Sowa Bank..................................... 4,000 14,261
Tokyo Steel Manufacturing Co., Ltd................... 1,500 18,557
Tokyo Style Co., Ltd................................. 1,000 13,832
Tokyo Tatemono Co., Ltd.............................. 4,000 21,065
Toyo Engineering Corp................................ 3,000 13,402
Toyo Seikan Kaisha, Ltd.............................. 2,100 40,052
#Toyo Trust & Banking Co., Ltd....................... 11,000 78,153
</TABLE>
14
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Toyota Tsusho Corp................................... 4,000 $ 23,333
Victor Co. of Japan, Ltd............................. 2,000 22,337
Yakult Honsha Co., Ltd............................... 2,000 21,649
Yamaguchi Bank....................................... 2,000 28,866
Yamaichi Securities Co., Ltd......................... 12,000 34,021
Yamato Kogyo Co., Ltd................................ 2,000 19,759
#Yasuda Trust & Banking Co., Ltd..................... 13,000 39,089
Yokogawa Electric Corp............................... 3,000 24,871
------------
TOTAL COMMON STOCKS
(Cost $5,413,615).................................... 5,085,253
------------
INVESTMENT IN CURRENCY -- (1.5%)
*Japanese Yen
(Cost $243,895).................................... 243,685
------------
TOTAL -- JAPAN
(Cost $5,657,510).................................... 5,328,938
------------
UNITED KINGDOM -- (20.9%)
COMMON STOCKS -- (19.9%)
ASDA Group P.L.C..................................... 18,900 36,937
Abbey National P.L.C................................. 4,000 57,479
Allied Domecq P.L.C.................................. 8,000 58,099
Anglian Water P.L.C.................................. 2,100 23,425
Arjo Wiggins Appleton P.L.C.......................... 5,400 14,717
Associated British Foods P.L.C....................... 7,000 64,831
BAA P.L.C............................................ 8,073 70,158
BG P.L.C............................................. 39,000 130,160
Barclays P.L.C....................................... 4,500 87,063
Bass P.L.C........................................... 8,800 113,888
British Land Co. P.L.C............................... 3,500 34,186
British Steel P.L.C.................................. 16,300 40,568
British Telecommunications P.L.C..................... 42,000 303,307
Burton Group P.L.C................................... 18,700 40,971
*Capital Shopping Centres P.L.C...................... 4,000 26,504
*Centrica P.L.C...................................... 30,000 31,334
Commercial Union P.L.C............................... 6,174 69,020
General Accident P.L.C............................... 4,500 66,427
Great Universal Stores P.L.C......................... 10,100 106,646
*Greenalls Group P.L.C............................... 3,000 23,036
Guardian Royal Exchange P.L.C........................ 7,361 33,577
Guinness P.L.C....................................... 15,000 139,046
Hyder P.L.C.......................................... 1,614 21,349
Imperial Chemical Industries P.L.C................... 6,300 83,538
LaPorte P.L.C........................................ 2,000 21,445
Ladbroke Group P.L.C................................. 12,787 47,997
Lasmo P.L.C.......................................... 8,700 34,786
Lonrho P.L.C......................................... 6,237 13,792
National Power P.L.C................................. 6,000 54,003
National Westminster Bank P.L.C...................... 16,729 202,988
Pilkington P.L.C..................................... 7,916 16,213
Powergen P.L.C....................................... 6,000 68,299
RMC Group P.L.C...................................... 2,000 29,702
Redland P.L.C........................................ 4,110 21,967
Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 10,103 75,763
Safeway P.L.C........................................ 10,000 58,670
Sainsbury (J.) P.L.C................................. 16,090 91,775
Scottish & Newcastle P.L.C........................... 6,000 68,544
Sears P.L.C.......................................... 12,100 15,205
Severn Trent P.L.C................................... 3,045 38,662
Shell Transport & Trading Co., P.L.C................. 7,500 147,370
*Slough Estates P.L.C................................ 4,000 20,563
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Tarmac P.L.C........................................ 10,000 $ 20,726
Tate & Lyle P.L.C.................................... 4,000 29,409
Tesco P.L.C.......................................... 14,266 87,424
Thames Water P.L.C................................... 2,840 31,819
Unilever P.L.C....................................... 5,300 141,551
United Utilities P.L.C............................... 4,419 50,447
Whitbread P.L.C...................................... 4,200 54,321
Yorkshire Water P.L.C................................ 3,016 18,483
------------
TOTAL COMMON STOCKS
(Cost $2,619,429).................................... 3,138,190
------------
INVESTMENT IN CURRENCY -- (1.0%)
*British Pound Sterling
(Cost $156,365).................................... 155,602
------------
TOTAL -- UNITED KINGDOM
(Cost $2,775,794).................................... 3,293,792
------------
GERMANY -- (9.5%)
COMMON STOCKS -- (8.9%)
#BASF AG............................................. 4,000 147,455
#BHF Bank AG......................................... 1,000 27,794
Bankgesellschaft Berlin AG........................... 2,700 61,852
#Bayerische Hypotheken und Wechselbank AG............ 3,300 104,754
Bayerische Vereinsbank AG............................ 3,520 144,796
Berliner Kraft & Licht Bewag AG...................... 1,000 23,405
*#Commerzbank AG..................................... 2,000 58,748
#Deutsche Bank AG.................................... 6,500 360,181
#Deutsche Lufthansa AG............................... 4,100 65,279
Deutsche Pfandbrief und Hypothekenbank AG, Depfa..... 500 29,403
#Dresdner Bank AG, Frankfurt......................... 2,900 101,475
Man AG, Muechen...................................... 100 28,613
Siemens AG........................................... 1,700 95,823
Vereins & Westbank AG................................ 112 24,248
#Volkswagen AG....................................... 200 129,198
------------
TOTAL COMMON STOCKS
(Cost $1,172,561).................................... 1,403,024
------------
INVESTMENT IN CURRENCY -- (0.6%)
*German Marks
(Cost $88,663)..................................... 88,518
------------
TOTAL -- GERMANY
(Cost $1,261,224).................................... 1,491,542
------------
FRANCE -- (7.5%)
COMMON STOCKS -- (6.9%)
AGF (Assurances Generales de France SA).............. 2,000 60,811
Banque Nationale de Paris............................ 3,100 127,287
Compagnie de Suez SA................................. 1,124 56,901
Elf Aquitaine........................................ 1,609 160,844
Eridania Beghin-Say SA............................... 200 27,997
*Euro Disney SCA..................................... 11,400 17,874
Financiere de Paribas SA Series A.................... 1,846 117,694
#Groupe Danone....................................... 500 75,277
LaFarge Coppee SA.................................... 708 45,262
Peugeot SA........................................... 400 39,570
#Rhone-Poulenc SA Series A........................... 1,125 36,447
Saint Louis (SLB).................................... 100 23,060
Saint-Gobain......................................... 607 83,394
#Societe Generale Paris.............................. 710 77,741
</TABLE>
15
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Thomson-CSF......................................... 900 $ 25,650
UAP SA............................................... 4,830 117,403
------------
TOTAL COMMON STOCKS
(Cost $1,038,972).................................... 1,093,212
------------
INVESTMENT IN CURRENCY -- (0.6%)
*French Francs
(Cost $88,683)..................................... 88,137
------------
TOTAL -- FRANCE
(Cost $1,127,655).................................... 1,181,349
------------
SWITZERLAND -- (6.3%)
COMMON STOCKS -- (6.2%)
Baloise Holding, Basel............................... 25 54,966
Banque Cantonale Vaudois............................. 110 27,762
#Credit Suisse Holding, Zuerich (Namen).............. 800 100,530
Julius Baer Holding AG, Zuerich...................... 20 27,501
*Oerlikon-Buehrle Holding AG, Zuerich................ 500 57,971
Pargesa Holding SA, Geneve........................... 50 63,627
SBG (Schweizerische Bankgesellschaft)................ 390 427,911
SBV (Schweizerischer Bankverein) (Namen)............. 300 72,428
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall........................ 10 30,046
Schindler Holding AG, Hergiswil...................... 25 32,167
Sulzer AG, Winterthur................................ 50 39,378
*Swissair Schweizerische Luftverkehr AG, Zuerich..... 50 50,972
------------
TOTAL COMMON STOCKS
(Cost $805,867)...................................... 985,259
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swiss Francs
(Cost $9,188)...................................... 9,426
------------
TOTAL -- SWITZERLAND
(Cost $815,055)...................................... 994,685
------------
NETHERLANDS -- (4.6%)
COMMON STOCKS -- (4.6%)
ABN Amro Holding NV.................................. 5,412 100,170
DSM NV............................................... 515 51,151
Fortis Amev NV....................................... 2,321 95,478
Heineken Holding NV Series A......................... 500 73,305
Ing Groep NV......................................... 2,958 130,935
KLM (Koninklijke Luchtvaart Mij NV).................. 1,828 52,896
Koninklijke Hoogovens NV............................. 724 36,162
Koninklijke KNP BT................................... 1,500 30,970
Philips Electronics NV............................... 2,800 153,431
------------
TOTAL COMMON STOCKS
(Cost $523,886)...................................... 724,498
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $1,054)...................................... 1,061
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*ABN Amro Holding NV Rights.......................... 1,353 $ 0
*Ing Groep NV Rights 06/06/97........................ 10 7
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 7
------------
TOTAL -- NETHERLANDS
(Cost $524,940)...................................... 725,566
------------
HONG KONG -- (3.8%)
COMMON STOCKS -- (3.8%)
Amoy Properties, Ltd................................. 40,000 45,443
Chinese Estates Holdings, Ltd........................ 24,645 24,976
*Evergo China Holdings, Ltd.......................... 3,838 550
#Great Eagle Holdings, Ltd........................... 7,177 25,387
Hang Lung Development Co., Ltd....................... 12,000 23,005
#Hongkong & Shanghai Hotels, Ltd..................... 18,416 28,530
#Hopewell Holdings, Ltd.............................. 70,000 39,085
Hysan Development Co., Ltd........................... 17,000 56,732
#Paliburg Holdings, Ltd.............................. 36,000 47,173
#Sino Land Co., Ltd.................................. 46,000 53,744
Wharf Holdings, Ltd.................................. 38,000 170,230
Wheelock and Co., Ltd................................ 34,000 83,178
------------
TOTAL COMMON STOCKS
(Cost $482,156)...................................... 598,033
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $3,929)...................................... 3,928
------------
RIGHTS/WARRANTS -- (0.0%)
*Hong Kong & Shanghai Hotels, Ltd. Warrants 12/10/98
(Cost $0).......................................... 1,416 278
------------
TOTAL -- HONG KONG
(Cost $486,085)...................................... 602,239
------------
AUSTRALIA -- (3.2%)
COMMON STOCKS -- (3.0%)
*Amcor, Ltd.......................................... 4,441 29,465
Australia & New Zealand Banking Group, Ltd........... 6,048 41,464
Boral, Ltd........................................... 8,148 26,035
*CRA, Ltd............................................ 3,212 52,740
#CSR, Ltd............................................ 8,813 32,394
#Commonwealth Bank of Australia...................... 6,520 70,182
MIM Holdings......................................... 11,464 17,135
#National Australia Bank, Ltd........................ 5,695 81,562
News Corp., Ltd...................................... 11,719 52,102
#Westpac Banking Corp................................ 11,200 60,898
------------
TOTAL COMMON STOCKS
(Cost $399,721)...................................... 463,977
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Australian Dollar
(Cost $29,111)..................................... 28,965
------------
TOTAL -- AUSTRALIA
(Cost $428,832)...................................... 492,942
------------
ITALY -- (3.1%)
COMMON STOCKS -- (3.1%)
Banca Commerciale Italiana SpA....................... 26,000 51,189
*Banca di Roma....................................... 60,000 42,718
Credito Italiano..................................... 20,000 29,754
</TABLE>
16
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Fiat SpA............................................ 66,000 $ 216,441
Ifil Finanziaria Partecipazioni SpA, Torino.......... 8,000 23,567
*Ing Olivetti & C SpA, Ivrea......................... 25,000 7,276
#Istituto Bancario San Paolo Torino SpA.............. 14,500 91,208
Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 5,000 29,090
------------
TOTAL COMMON STOCKS
(Cost $497,991)...................................... 491,243
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira
(Cost $53)......................................... 53
------------
TOTAL -- ITALY
(Cost $498,044)...................................... 491,296
------------
SWEDEN -- (2.6%)
COMMON STOCKS -- (2.6%)
Avesta Sheffield AB.................................. 2,000 21,828
*Diligentia AB....................................... 560 6,401
Mo Och Domsjoe AB Series B........................... 800 24,798
Naeckebro AB......................................... 110 1,463
Skandinaviska Enskilda Banken Series A............... 5,600 57,862
Stora Kopparbergs Bergslags AB Series A.............. 2,900 42,887
Svenska Cellulosa AB Series B........................ 1,300 27,285
#Svenska Handelsbanken Series A...................... 2,400 64,165
Swedish Match AB (Frueher Svenska Taendsticks AB).... 900 2,929
Volvo AB Series A.................................... 2,400 66,645
Volvo AB Series B.................................... 3,200 88,654
------------
TOTAL COMMON STOCKS
(Cost $317,118)...................................... 404,917
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $5,642)...................................... 5,675
------------
RIGHTS/WARRANTS -- (0.0%)
*Volvo AB Series A Rights 06/11/97
(Cost $0).......................................... 5,600 1,497
------------
TOTAL -- SWEDEN
(Cost $322,760)...................................... 412,089
------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
Banco Central Hispanoamericano SA.................... 2,600 83,880
#FESCA (Fuerzas Electricas de Cataluna SA) Series
A.................................................. 3,920 34,158
#Iberdrola SA........................................ 17,400 211,182
#Sevillana de Electricidad SA........................ 3,843 36,809
#Union Electrica Fenosa SA........................... 4,000 35,408
------------
TOTAL COMMON STOCKS
(Cost $317,275)...................................... 401,437
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $1,308)...................................... $ 1,242
------------
TOTAL -- SPAIN
(Cost $318,583)...................................... 402,679
------------
MALAYSIA -- (2.4%)
COMMON STOCKS -- (2.3%)
Berjaya Group Berhad................................. 15,000 19,841
Berjaya Leisure Berhad............................... 11,000 29,582
Golden Hope Plantations Berhad....................... 15,000 25,578
Kuala Lumpur Kepong Berhad........................... 10,000 25,896
Malaysian Airlines System............................ 13,000 30,040
Malaysian Industrial Development Finance Berhad...... 11,000 15,952
Renong Berhad........................................ 17,000 24,382
Tan Chong Motor Holdings Berhad...................... 10,000 18,645
Tenaga Nasional Berhad............................... 36,000 164,940
------------
TOTAL COMMON STOCKS
(Cost $383,700)...................................... 354,856
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Malaysian Ringetts
(Cost $24,003)..................................... 24,012
------------
TOTAL -- MALAYSIA
(Cost $407,703)...................................... 378,868
------------
BELGIUM -- (1.8%)
COMMON STOCKS -- (1.4%)
Banque Bruxelles Lambert............................. 100 26,971
Bekaert SA........................................... 100 59,132
CMB (Cie Martime Belge).............................. 300 20,590
Cofinimmo SA......................................... 200 21,384
Electrafina SA....................................... 200 20,193
#Generale de Belgique SA............................. 500 46,086
#Groupe Bruxelles Lambert SA, Bruxelles.............. 200 31,878
------------
TOTAL COMMON STOCKS
(Cost $207,810)...................................... 226,234
------------
INVESTMENT IN CURRENCY -- (0.4%)
*Belgian Francs
(Cost $60,344)..................................... 59,994
------------
TOTAL -- BELGIUM
(Cost $268,154)...................................... 286,228
------------
SINGAPORE -- (1.1%)
COMMON STOCKS -- (1.1%)
Neptune Orient Lines, Ltd............................ 23,000 20,770
Singapore Land, Ltd.................................. 9,000 45,992
#Straits Steamship Land, Ltd......................... 17,000 50,697
United Industrial Corp., Ltd......................... 43,000 34,918
United Overseas Land, Ltd............................ 12,000 18,817
------------
TOTAL COMMON STOCKS
(Cost $184,649)...................................... 171,194
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $89)......................................... 88
------------
TOTAL -- SINGAPORE
(Cost $184,738)...................................... 171,282
------------
</TABLE>
17
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (4.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99).................................... $ 679 $ 679,000
------------
TOTAL INVESTMENTS -- (107.5%)
(Cost $15,756,077)++................................. 16,932,495
------------
OTHER ASSETS AND LIABILITIES -- (-7.5%)
Other Assets.......................................... 187,336
Payable for Investment Securities Purchased........... (1,357,000)
Other Liabilities..................................... (8,565)
------------
(1,178,229)
------------
NET ASSETS -- (100.0%) Applicable to 1,356,804
Outstanding $.01 Par Value Shares
(100,000,000 Shares Authorized)...................... $ 15,754,266
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 11.61
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
18
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (31.1%)
COMMON STOCKS -- (31.1%)
Achilles Corp........................................ 6,000 $ 16,753
Aica Kogyo Co., Ltd.................................. 3,000 15,979
Aichi Tokei Denki Co., Ltd........................... 3,000 12,139
Aida Engineering, Ltd................................ 3,000 21,443
*Akai Electric Co., Ltd.............................. 9,000 29,845
Amada Metrecs Co., Ltd............................... 3,000 30,155
#Arai-Gumi, Ltd...................................... 1,200 7,711
Asahi Kogyosha Co., Ltd.............................. 3,000 12,500
Asahi Organic Chemicals Industry Co., Ltd............ 3,000 15,593
Ashimori Industry Co., Ltd........................... 3,000 10,825
*Asics Corp.......................................... 7,000 14,433
*#Bank of Osaka, Ltd................................. 9,000 17,397
#CKD Corp............................................ 2,000 13,488
CMK Corp............................................. 2,000 25,430
*Central Finance Co., Ltd............................ 4,000 9,210
*Central Glass Co., Ltd.............................. 7,000 20,387
#Chiba Kogyo Bank, Ltd............................... 800 22,612
*#Chori Co., Ltd..................................... 5,000 15,936
Chukyo Sogo Bank, Ltd................................ 5,000 20,060
#Daido Hoxan, Inc.................................... 4,000 14,433
*Daiei OMC, Inc...................................... 9,000 22,577
Daisan Bank, Ltd..................................... 4,000 19,588
*Daiwa Danchi Co., Ltd............................... 5,000 19,802
*Daiwabo Co., Ltd.................................... 8,000 24,811
Ehime Bank, Ltd...................................... 5,000 25,301
France Bed Co., Ltd.................................. 4,000 21,409
*Fuji Kosan Co., Ltd................................. 6,000 13,454
Fuji Kyuko Co., Ltd.................................. 5,000 22,337
Fuji Oil Co., Ltd.................................... 3,000 20,103
Fuji Spinning Co., Ltd., Tokyo....................... 4,000 14,605
#Fujiko Co., Ltd..................................... 4,000 8,488
*Fujitsu General, Ltd................................ 4,000 26,117
*Furukawa Battery Co., Ltd........................... 3,000 12,500
Gakken Co., Ltd...................................... 3,000 15,077
*Godo Steel, Ltd..................................... 6,000 21,495
*Hitachi Seiki Co., Ltd.............................. 4,000 11,581
Hokkaido Gas Co., Ltd................................ 4,000 11,856
Hokuriku Electric Industry Co., Ltd.................. 4,000 16,048
Howa Machinery, Ltd.................................. 5,000 13,144
Ichikoh Industries, Ltd.............................. 4,000 14,605
Iwasaki Electric Co., Ltd............................ 4,000 15,189
Iwatsu Electric Co., Ltd............................. 3,000 9,948
JDC Corp............................................. 6,000 10,567
*#Japan Aviation Electronics Industry, Ltd........... 3,000 22,294
*Japan Coated Paper Manufacturing Co., Ltd........... 3,000 7,088
Japan Paper Industry Co., Ltd........................ 3,000 9,485
Japan Pulp and Paper Co., Ltd........................ 5,000 18,986
#Japan Transcity Corp................................ 3,000 14,046
Japan Vilene Co., Ltd................................ 3,000 12,732
Joshin Denki Co., Ltd................................ 2,000 20,103
Kagome Co., Ltd...................................... 3,000 18,557
*Kansai Kisen Kaisha................................. 9,000 12,603
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kanto Auto Works, Ltd., Yokosuka..................... 3,000 $ 18,041
Kanto Denka Kogyo Co., Ltd........................... 4,000 21,478
Kawada Industries, Inc............................... 2,000 8,591
Kawai Musical Instruments Manufacturing Co., Ltd..... 5,000 16,108
#Keiyo Co., Ltd...................................... 2,000 17,027
*Kenwood Corp........................................ 5,000 22,380
Kokusai Kogyo Co., Ltd............................... 2,000 15,498
Komatsu Forklift Co., Ltd............................ 3,000 16,263
Kosei Securities Co., Ltd............................ 4,000 14,192
Kyodo Shiryo Co., Ltd................................ 5,000 11,383
#Kyushu Bank, Ltd.................................... 4,000 15,567
#Life Corp........................................... 2,000 14,863
#Makino Milling Machine Co., Ltd..................... 4,000 32,474
Marudai Food Co., Ltd................................ 5,000 21,692
*Maruyama Manufacturing Co., Inc..................... 3,000 9,665
Matsuo Bridge Co., Ltd............................... 3,000 10,309
*Mitsubishi Shindoh Co., Ltd......................... 3,000 10,232
*Mitsubishi Steel Manufacturing Co., Ltd............. 5,000 17,826
Mitsui Construction Co., Ltd......................... 6,000 10,567
#Mitsui High-Tec, Inc................................ 1,000 23,625
*Mitsui Mining Co., Ltd.............................. 5,000 13,187
Mitsuuroko Co., Ltd.................................. 3,000 18,299
*#Nagasakiya Co., Ltd. (Tokyo)....................... 5,000 16,065
Nakamuraya Co., Ltd.................................. 3,000 13,428
Nakayama Steel Works, Ltd............................ 5,000 21,048
#Nichias Corp........................................ 4,000 15,464
Nichiei Construction Co., Ltd........................ 2,000 12,113
*Nichimo Co., Ltd.................................... 5,000 15,206
Nichireki Co., Ltd................................... 2,000 12,921
Nichiro Corp......................................... 5,000 14,003
Nifco, Inc........................................... 2,000 19,588
*Niigata Engineering Co., Ltd........................ 14,000 24,656
Nippon Beet Sugar Manufacturing Co., Ltd............. 5,000 18,256
*#Nippon Carbon Co., Ltd............................. 5,000 16,753
Nippon Chemi-Con Corp................................ 5,000 25,215
Nippon Chemical Industrial Co., Ltd.................. 2,000 14,330
*#Nippon Columbia Co., Ltd........................... 3,000 11,598
#Nippon Concrete Industries Co., Ltd................. 3,000 9,768
#Nippon Densetsu Kogyo Co., Ltd...................... 2,000 14,605
*Nippon Kasei Chemical Co., Ltd...................... 5,000 12,113
Nippon Shinyaku Co., Ltd............................. 3,000 25,773
*Nippon Steel Chemical Co., Ltd...................... 6,000 20,722
Nippon Synthetic Chemical Industry Co., Ltd.......... 3,000 10,490
Nippon Thompson Co., Ltd............................. 3,000 24,278
Nitsuko Corp......................................... 3,000 20,155
Nittetsu Mining Co., Ltd............................. 3,000 21,985
*Nitto Boseki Co., Ltd............................... 8,000 26,460
#Noritz Corp......................................... 2,000 22,680
OSG Corp............................................. 3,000 21,649
*Odakyu Real Estate Co., Ltd......................... 4,000 14,055
*Okasan Securities Co., Ltd.......................... 7,000 18,222
*#Pacific Metals Co., Ltd............................ 7,000 20,326
#Parco Co., Ltd...................................... 2,000 15,979
</TABLE>
19
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Prima Meat Packers, Ltd.............................. 5,000 $ 9,364
Rasa Industries, Ltd................................. 3,000 18,686
Rheon Automatic Machinery Co., Ltd................... 2,000 12,887
#Ryobi, Ltd.......................................... 5,000 18,900
SXL Corp............................................. 3,000 18,351
Sagami Co., Ltd...................................... 3,000 16,495
Sakai Chemical Industry Co., Ltd..................... 3,000 12,294
Sakata Inx Corp...................................... 3,000 17,294
Sanyo Shokai, Ltd.................................... 5,000 27,749
Sanyo Special Steel Co., Ltd......................... 7,000 18,943
#Sasebo Heavy Industries Co., Ltd., Tokyo............ 7,000 15,455
Seiko Corp........................................... 3,000 21,572
Seiyo Food Systems, Inc.............................. 3,000 23,119
Shikoku Chemicals Corp............................... 3,000 12,113
Shimizu Bank, Ltd.................................... 400 24,399
#Shinagawa Fuel Co., Ltd............................. 3,000 20,155
Shindengen Electric Manufacturing Co., Ltd........... 3,000 29,381
*#Showa Line, Ltd.................................... 10,000 11,082
#Sumitomo Construction Co., Ltd...................... 6,000 12,887
*Sumitomo Light Metal Industries, Ltd................ 11,000 25,137
#Sumitomo Precision Products Co., Ltd., Amagasaki
City............................................... 2,000 12,423
#TOC Co., Ltd........................................ 2,000 22,509
Taisei Rotec Corp.................................... 3,000 10,619
Takaoka Electric Manufacturing Co., Ltd., Tokyo...... 4,000 12,887
Takasago International Corp.......................... 3,000 18,041
#Takashima & Co., Ltd................................ 4,000 14,674
Takiron Co., Ltd..................................... 3,000 13,918
#Tasaki Shinju Co., Ltd.............................. 2,000 13,918
Toa Doro Kogyo Co., Ltd.............................. 3,000 8,763
*Toa Wool Spinning & Weaving Co., Ltd................ 6,000 16,495
Tochigi Bank, Ltd.................................... 3,000 24,227
Toenec Corp.......................................... 3,000 16,237
*#Tokai Kogyo Co., Ltd............................... 7,000 24,656
#Tokai Rika Co., Ltd................................. 3,000 22,500
Tokico, Ltd.......................................... 4,000 12,749
#Tokyo Kikai Seisak.................................. 3,300 20,866
Tokyo Rope Manufacturing Co., Ltd.................... 4,000 13,299
*Tokyo Securities Co., Ltd........................... 4,000 8,419
*#Tokyo Tekko Co., Ltd............................... 3,000 8,479
Tokyo Theatres Co., Inc., Tokyo...................... 6,000 12,371
Tonami Transportation Co., Ltd....................... 3,000 13,737
*Toshiba Machine Co., Ltd............................ 6,000 21,186
Totoku Electric Co., Ltd., Tokyo..................... 3,000 15,129
#Toyo Chemical Co., Ltd.............................. 3,000 15,515
*Toyo Electric Co., Ltd.............................. 5,000 17,440
Toyo Kohan Co., Ltd.................................. 3,000 22,552
Toyo Umpanki Co., Ltd................................ 5,000 20,833
*Unisia Jecs Corp.................................... 3,000 13,969
#Wakachiku Construction Co., Ltd..................... 4,000 15,464
#Yomiuri Land Co., Ltd............................... 3,000 17,783
Yondenko Corp........................................ 2,000 14,519
*Yuasa Corp.......................................... 7,000 25,979
#Zenchiku Co., Ltd................................... 4,000 11,134
------------
TOTAL COMMON STOCKS
(Cost $3,065,059).................................... 2,681,549
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $393)........................................ $ 401
------------
TOTAL -- JAPAN
(Cost $3,065,452).................................... 2,681,950
------------
UNITED KINGDOM -- (14.9%)
COMMON STOCKS -- (13.4%)
APV P.L.C............................................ 15,000 25,826
Ash & Lacy P.L.C..................................... 7,000 19,135
*BSG International P.L.C............................. 13,300 22,031
Bellway P.L.C........................................ 4,000 21,934
Bluebird Toys P.L.C.................................. 5,000 8,731
Bodycote International P.L.C......................... 3,000 36,475
Bradstock Group P.L.C................................ 21,000 26,390
Brammer (H.) P.L.C................................... 1,880 20,833
British Polythene Industries P.L.C................... 2,000 20,074
Bulmer (H.P.) Holdings P.L.C......................... 2,002 17,072
CRT Group P.L.C...................................... 5,750 22,756
Canadian Pizza P.L.C................................. 12,000 19,584
Carpetright P.L.C.................................... 4,000 29,605
Cattles P.L.C........................................ 5,400 26,659
Courts P.L.C......................................... 2,320 21,203
Davis Service Group P.L.C............................ 6,666 28,775
Dawson Group P.L.C................................... 4,000 13,121
Dawson International P.L.C........................... 10,000 11,342
Dewhirst Group P.L.C................................. 6,000 20,025
Diploma P.L.C........................................ 3,000 15,692
Etam P.L.C........................................... 7,000 14,794
*Euromoney Publications P.L.C........................ 990 24,639
*Forth Ports P.L.C................................... 2,000 19,421
Greene King P.L.C.................................... 2,000 21,102
*HTV Group P.L.C..................................... 4,000 20,008
Henderson P.L.C...................................... 1,000 22,562
Heywood Williams Group P.L.C......................... 5,000 17,911
House of Fraser P.L.C................................ 8,000 22,587
How Group P.L.C...................................... 29,000 28,160
Ibstock P.L.C........................................ 19,000 21,706
Johnston Press P.L.C................................. 7,010 20,307
MacFarlane Group Clansman P.L.C...................... 6,000 16,059
Mersey Docks & Harbour Co. P.L.C..................... 3,580 23,662
Molins P.L.C......................................... 1,360 12,096
*More Group P.L.C.................................... 1,870 18,876
*Oxford Molecular Group P.L.C........................ 6,530 39,271
Photo-Me International P.L.C......................... 6,000 12,240
Polypipe P.L.C....................................... 8,000 30,159
Quick Group P.L.C.................................... 8,000 18,997
Redrow Group P.L.C................................... 11,000 29,172
Renishaw P.L.C....................................... 2,904 16,303
SIG P.L.C............................................ 4,300 21,965
Senior Engineering Group P.L.C....................... 12,000 25,165
Serco Group P.L.C.................................... 2,400 27,711
St. Modwen Properties P.L.C.......................... 23,000 26,744
Stanley Leisure Organisation P.L.C................... 4,000 20,008
Staveley Industries P.L.C............................ 6,000 17,087
Swan Hill Group P.L.C................................ 13,000 17,291
T & S Stores P.L.C................................... 7,690 22,088
Triplex Lloyd P.L.C.................................. 7,404 19,817
Vardon P.L.C......................................... 9,000 16,671
Vitec Group P.L.C.................................... 2,000 19,094
</TABLE>
20
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Vosper Thornycroft Holdings P.L.C................... 1,460 $ 19,038
Waddington (John) P.L.C.............................. 3,980 18,057
------------
TOTAL COMMON STOCKS
(Cost $1,089,360).................................... 1,148,031
------------
INVESTMENT IN CURRENCY -- (1.5%)
*British Pound Sterling
(Cost $132,113).................................... 131,450
------------
TOTAL -- UNITED KINGDOM
(Cost $1,221,473).................................... 1,279,481
------------
FRANCE -- (9.9%)
COMMON STOCKS -- (8.9%)
Bertrand Faure SA.................................... 714 33,152
Bollore Technologies SA.............................. 200 25,295
But SA............................................... 400 21,691
Canal Plus SA........................................ 50 8,446
Carbone Lorraine..................................... 80 18,572
*Cardif SA........................................... 200 23,250
DMC (Dollfus Mieg et Cie)............................ 300 6,185
*Damart SA........................................... 30 23,067
Degremont............................................ 300 22,089
Filipacchi Medias SA................................. 100 21,587
Fimalac SA........................................... 330 30,587
Fonciere Lyonnaise SA................................ 200 25,260
GTM Entrepose........................................ 500 25,979
Gaumont.............................................. 401 29,735
*Groupe Andre SA..................................... 304 25,913
Groupe du Louvre SA.................................. 700 24,255
Groupement pour le Financement de la Construction
SA................................................. 300 28,170
Guyenne et Gascogne SA............................... 60 18,399
Havas Advertising SA................................. 203 21,524
Legris Industries SA................................. 400 17,325
*#Metaleurop SA...................................... 1,500 16,944
*Moulinex SA......................................... 1,440 33,655
Reassurances SA (Francaise de)....................... 130 33,108
Rue Imperiale de Lyon................................ 20 20,270
*SAGA (Societe Anonyme de Gerance et d'Armement)..... 300 4,418
SAT SA (SA des Telecommunications)................... 57 15,307
SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................ 102 16,434
*SGE (Societe Generale d'Enterprise SA).............. 1,000 21,050
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 160 23,756
Skis Rossignol SA.................................... 648 14,258
Sommer-Allibert SA................................... 900 28,690
Strafor Facom SA..................................... 283 19,514
Sylea SA............................................. 200 17,498
Union Immob.......................................... 300 22,817
*Union Industrielle de Credit SA, Paris.............. 1,364 5,908
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies)................................. 400 22,869
------------
TOTAL COMMON STOCKS
(Cost $736,938)...................................... 766,977
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (1.0%)
*French Francs
(Cost $83,327)..................................... $ 82,749
------------
RIGHTS/WARRANTS -- (0.0%)
*BCR Participations Warrants 05/15/99................ 300 103
*SAGA (Societe Anonyme de Gerance et d'Armement )
Rights 06/02/97.................................... 300 338
------------
TOTAL RIGHTS/WARRANTS
(Cost $497).......................................... 441
------------
TOTAL -- FRANCE
(Cost $820,762)...................................... 850,167
------------
GERMANY -- (7.3%)
COMMON STOCKS -- (7.3%)
*AGIV AG fuer Industrie & Verkehrswesen.............. 1,700 31,235
Aachener und Muenchener Versicherungs AG............. 100 35,693
*Concordia Bau und Boden AG.......................... 496 5,659
*DLW AG.............................................. 100 10,246
DSL Holding AG....................................... 150 19,748
Didier-Werke AG...................................... 200 15,565
Dyckerhoff & Widmann AG.............................. 100 13,458
Fag Kugelfischer Georg Schaeffer AG.................. 1,250 23,040
Felten & Guilleaume Energietechnik AG................ 100 9,479
Gerresheimer Glas AG................................. 1,000 16,489
Goldschmidt AG....................................... 50 18,871
Harpener AG.......................................... 100 18,256
Holsten-Brauerei AG, Hamburg......................... 100 21,358
Horten AG............................................ 200 27,853
Iwka AG.............................................. 100 27,384
*Kali und Salz Beteiligungs AG....................... 200 18,958
*Kaufhalle AG........................................ 200 20,012
*Kloeckner-Werke AG.................................. 400 29,491
*Linotype-Hell AG.................................... 100 8,719
Phoenix AG, Hamburg.................................. 1,000 15,828
Plettac AG........................................... 70 14,909
Rheinboden Hypothekenbank AG......................... 100 17,145
Rhoen Klinikum AG.................................... 200 24,459
#Salamander AG, Kornwesteim.......................... 100 14,687
*Schmalbach-Lubeca AG................................ 140 31,785
*Strabag AG.......................................... 100 8,485
Tarkett AG........................................... 1,200 28,016
Verseidag AG......................................... 200 18,724
WCM Beteiligungs und Grundbesitz AG.................. 3,000 42,305
*Walter AG........................................... 100 39,789
------------
TOTAL COMMON STOCKS
(Cost $636,480)...................................... 627,646
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks
(Cost $1,434)...................................... 1,431
------------
TOTAL -- GERMANY
(Cost $637,914)...................................... 629,077
------------
</TABLE>
21
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
HONG KONG -- (6.0%)
COMMON STOCKS -- (5.2%)
Asia Standard International Group, Ltd............... 56,000 $ 20,243
*China Aerospace International Holdings, Ltd......... 46,800 22,053
China Motor Bus Co., Ltd............................. 1,600 16,112
Dynamic Holdings, Ltd................................ 92,000 27,911
FPB Bank Holding Co., Ltd............................ 50,000 26,465
Four Seas Mercantile Holdings, Ltd................... 60,000 34,469
*Goldlion Holdings, Ltd.............................. 37,000 20,181
Grande Holdings, Ltd................................. 28,000 13,194
Great Wall Electronic International, Ltd............. 101,886 12,627
JCG Holdings, Ltd.................................... 28,000 22,412
Ka Wah Bank, Ltd..................................... 56,227 42,827
Li & Fung, Ltd....................................... 24,000 23,857
#Liu Chong Hing Bank, Ltd............................ 16,000 34,495
#Oriental Press Group, Ltd........................... 68,000 23,264
#Semi-Tech (Global) Co., Ltd......................... 14,307 23,642
Shell Electric Manufacturing (Holdings) Co., Ltd..... 38,000 19,868
Sime Darby Hong Kong, Ltd............................ 20,000 23,496
Tai Cheung Holdings, Ltd............................. 25,000 21,947
Varitronix International, Ltd........................ 10,000 18,268
------------
TOTAL COMMON STOCKS
(Cost $375,252)...................................... 447,331
------------
INVESTMENT IN CURRENCY -- (0.8%)
*Hong Kong Dollars
(Cost $65,961)..................................... 65,967
------------
RIGHTS/WARRANTS -- (0.0%)
*Four Seas Mercantile Holdings, Ltd. Warrants
09/30/98
(Cost $0).......................................... 12,000 1,549
------------
TOTAL -- HONG KONG
(Cost $441,213)...................................... 514,847
------------
MALAYSIA -- (5.5%)
COMMON STOCKS -- (5.3%)
Ban Hin Lee Bank Berhad.............................. 6,000 26,056
Bandar Raya Developments Berhad...................... 11,000 14,900
Batu Kawan Berhad.................................... 10,500 23,008
Chemical Co. of Malaysia Berhad...................... 7,000 22,311
Federal Flour Mills Berhad........................... 8,000 19,283
*Gadek Capital Berhad................................ 2,000 4,781
Guinness Anchor Berhad............................... 11,000 24,103
Hap Seng Consolidated Berhad......................... 11,000 27,171
Ho Hup Construction Co. Berhad....................... 5,000 13,347
IGB Corp. Berhad..................................... 18,000 17,354
Kamunting Corp. Berhad............................... 29,000 20,797
Kelang Container Terminal Berhad..................... 7,000 15,199
Kemayan Corp. Berhad................................. 11,000 12,490
*Kuala Lumpur Industries Holdings Berhad............. 12,000 14,151
Landmarks Berhad..................................... 15,000 19,482
Lion Land Berhad..................................... 23,000 22,267
*MBF Land Berhad..................................... 30,000 19,960
MCB Holdings Berhad.................................. 25,000 25,598
Malaysian Plantations Berhad......................... 15,000 20,319
*Olympia Industries Berhad........................... 19,000 15,291
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Phileo Allied Berhad................................. 12,000 $ 23,713
*Promet Berhad....................................... 23,000 19,518
Shangri-la Hotels (Malaysia) Berhad.................. 16,000 16,765
Westmont Land (Asia) Berhad.......................... 12,600 18,072
------------
TOTAL COMMON STOCKS
(Cost $453,761)...................................... 455,936
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Malaysian Ringetts
(Cost $20,791)..................................... 20,799
------------
TOTAL -- MALAYSIA
(Cost $474,552)...................................... 476,735
------------
AUSTRALIA -- (5.1%)
COMMON STOCKS -- (4.4%)
*Aurora Gold, Ltd.................................... 15,600 24,626
Bank of Queensland, Ltd.............................. 5,883 30,552
#Caltex Australia, Ltd............................... 5,760 19,767
Capral Aluminium, Ltd................................ 7,591 27,497
*Davids Limited...................................... 15,156 14,332
*Foodland Associated, Ltd............................ 3,941 24,795
Great Central Mines, Ltd............................. 10,161 19,759
*Hudson Conway, Ltd.................................. 2,235 22,072
Iama, Ltd............................................ 13,058 28,380
*Incitec, Ltd........................................ 4,361 22,349
Jupiters, Ltd........................................ 9,412 21,533
Metal Manufactures, Ltd.............................. 7,600 16,460
PMP Communications, Ltd.............................. 8,900 24,434
Resolute, Ltd........................................ 10,029 20,344
*Savage Resources, Ltd............................... 20,242 19,759
*Simsmetal, Ltd...................................... 3,126 21,477
Sons of Gwalia, Ltd.................................. 4,089 17,122
------------
TOTAL COMMON STOCKS
(Cost $348,972)...................................... 375,258
------------
INVESTMENT IN CURRENCY -- (0.7%)
*Australian Dollar
(Cost $63,134)..................................... 62,821
------------
TOTAL -- AUSTRALIA
(Cost $412,106)...................................... 438,079
------------
NETHERLANDS -- (3.8%)
COMMON STOCKS -- (3.8%)
ACF Holding NV (Certificate)......................... 800 12,305
Ahrend NV............................................ 618 39,149
Cap Gemini NV........................................ 2,100 73,905
Grolsche NV.......................................... 800 24,984
Internatio-Mueller NV................................ 1,200 38,665
Koninklijke Frans Maas Groep NV...................... 715 23,858
Otra NV.............................................. 1,000 16,632
Schuttersveld Holding................................ 617 28,148
Twentsche Kabel Holding NV........................... 606 32,069
Wegener NV........................................... 305 34,491
------------
TOTAL COMMON STOCKS
(Cost $225,209)...................................... 324,206
------------
RIGHTS/WARRANTS -- (0.0%)
*Ahrend NV Rights 06/19/97........................... 618 609
*Internatio-Mueller NV Rights........................ 1,200 0
*Koninklijke Frans Maas Groep NV Rights 06/19/97..... 715 708
</TABLE>
22
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Twentsche Kabel Holding Rights...................... 606 $ 0
*Wegener NV Rights................................... 305 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 1,317
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $903)........................................ 904
------------
TOTAL -- NETHERLANDS
(Cost $226,112)...................................... 326,427
------------
SWITZERLAND -- (3.8%)
COMMON STOCKS -- (3.8%)
*Attisholz Holding AG, Attisholz..................... 24 10,214
Danzas Holding AG, Basel............................. 20 19,837
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg......................................... 100 23,047
Fischer (Georg) AG, Schaffhausen..................... 20 28,561
Forbo Holding AG, Eglisau............................ 51 21,273
*Helvetia Patria Holding, St. Gallen................. 50 23,860
Kraftwerk Laufenburg, Laufenburg..................... 100 18,522
Phoenix Mecano AG, Stein am Rhein.................... 50 26,688
Porst Holding AG, Jegenstorf......................... 94 13,956
Rieter Holding AG, Winterthur........................ 80 26,016
*Saurer AG, Arbon.................................... 56 32,860
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 10 21,633
Sika Finanz AG, Baar................................. 90 26,087
*Von Roll Holding AG, Gerlafingen.................... 759 15,132
Zuercher Ziegeleien Holding, Zuerich................. 27 14,125
------------
TOTAL COMMON STOCKS
(Cost $312,462)...................................... 321,811
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $1,867)...................................... 1,921
------------
TOTAL -- SWITZERLAND
(Cost $314,329)...................................... 323,732
------------
SPAIN -- (3.1%)
COMMON STOCKS -- (3.1%)
*AGF Union y Fenix Seguros y Reaseguros SA........... 2,100 22,220
Banco de Andalucia................................... 200 32,227
Banco Zaragozano SA.................................. 1,200 29,461
Cementos Portland SA................................. 500 20,367
Ebro Agricolas Compania de Alimentacion SA........... 1,700 32,566
Europistas Concesionaria Espanola SA................. 2,300 18,530
Fabricacion de Automoviles Renault de Espana SA...... 800 16,597
#GESA (Gas y Electricidad SA)........................ 400 22,268
*Huarte SA........................................... 2,000 2,766
Prosegur Cia de Seguridad SA......................... 2,200 28,679
Uralita SA........................................... 1,900 18,396
Viscofan Industria Navarra de Envolturas Celulosicas
SA................................................. 1,300 26,297
------------
TOTAL COMMON STOCKS
(Cost $245,670)...................................... 270,374
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $911)........................................ $ 934
------------
TOTAL -- SPAIN
(Cost $246,581)...................................... 271,308
------------
ITALY -- (3.0%)
COMMON STOCKS -- (3.0%)
*Ansaldo Trasporti SpA............................... 7,000 6,529
*Banca Toscana....................................... 11,000 19,644
#Cartiere Burgo SpA.................................. 4,000 23,331
*Cia Assicuratrice Unipol SpA........................ 6,000 15,904
*Dalmine SpA......................................... 82,000 17,669
Falck (Acciaierie & Ferriere Lombarde)............... 5,000 19,260
Gewiss SpA........................................... 2,000 32,293
*Impregilo SpA....................................... 19,000 13,842
Magneti Marelli SpA.................................. 15,000 23,909
*Milano Assicurazioni SpA............................ 5,000 10,951
*Premafin Finanziaria SpA............................ 37,000 10,703
Previdente Cia Italiana Assicurazione SpA............ 3,000 13,726
Sorin Biomedica SpA.................................. 7,500 23,909
#Tecnost SpA......................................... 8,000 15,444
#Vianini Lavori SpA.................................. 10,000 15,054
------------
TOTAL COMMON STOCKS
(Cost $296,422)...................................... 262,168
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira
(Cost $11)......................................... 11
------------
TOTAL -- ITALY
(Cost $296,433)...................................... 262,179
------------
SINGAPORE -- (3.0%)
COMMON STOCKS -- (2.7%)
Amtek Engineering, Ltd............................... 15,000 25,936
Bukit Sembawang Estates, Ltd......................... 1,000 19,601
Hitachi Zosen (Singapore), Ltd....................... 22,000 10,627
Hotel Plaza, Ltd..................................... 25,000 14,963
Kim Eng Holdings, Ltd................................ 22,000 18,481
Orchard Parade Holdings, Ltd......................... 8,000 18,033
*Overseas Union Enterprise, Ltd...................... 6,000 28,771
Rothmans Industries, Ltd. Issue 95................... 5,000 26,776
*Scotts Holdings, Ltd................................ 25,000 20,126
Shangri-la Hotel, Ltd................................ 7,000 21,071
Tuan Sing Holdings, Ltd.............................. 44,000 16,325
Van der Horst, Ltd................................... 4,000 11,201
------------
TOTAL COMMON STOCKS
(Cost $247,773)...................................... 231,911
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Singapore Dollars
(Cost $29,039)..................................... 29,082
------------
TOTAL -- SINGAPORE
(Cost $276,812)...................................... 260,993
------------
SWEDEN -- (2.6%)
COMMON STOCKS -- (2.6%)
*Allgon AB Series B.................................. 1,400 20,794
Catena AB Series A................................... 1,700 22,067
#Celsius Industrier AB Series B...................... 1,400 27,123
*Enator AB........................................... 1,400 27,304
</TABLE>
23
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<TABLE>
<CAPTION>
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<S> <C> <C>
Foereningsbanken AB Series A......................... 10,400 $ 55,744
#Garphyttan Industrier AB............................ 1,400 17,087
Marieberg Tidnings AB Series A....................... 1,400 35,260
Rottneros Bruk AB.................................... 11,700 13,147
------------
TOTAL COMMON STOCKS
(Cost $160,745)...................................... 218,526
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $2,102)...................................... 2,090
------------
TOTAL -- SWEDEN
(Cost $162,847)...................................... 220,616
------------
SOUTH KOREA -- (1.4%)
COMMON STOCKS -- (1.4%)
Daelim Industrial Co., Ltd........................... 1,071 10,957
Hankuk Paper Manufacturing Co., Ltd.................. 500 12,648
Hanmi Pharmaceutical Co., Ltd........................ 714 34,596
Kumho Electric Co., Ltd.............................. 330 10,388
Pang Rim Spinning.................................... 300 13,997
Se Poong Corp........................................ 1,224 14,173
*Ssangyong Investment Securities Co., Ltd............ 1,020 9,575
Union Steel Manufacturing Co., Ltd................... 200 15,514
------------
TOTAL COMMON STOCKS
(Cost $160,379)...................................... 121,848
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won
(Cost $58)......................................... 58
------------
TOTAL -- SOUTH KOREA
(Cost $160,437)...................................... 121,906
------------
BELGIUM -- (1.0%)
COMMON STOCKS -- (1.0%)
Ackermans & Van Haaren SA............................ 120 24,606
CMB (Cie Martime Belge).............................. 300 20,590
Cofinimmo SA......................................... 200 21,384
*Immobel (Cie Immobiliere de Belgique SA)............ 200 14,974
------------
TOTAL COMMON STOCKS
(Cost $81,709)....................................... 81,554
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs
(Cost $1,814)...................................... 1,795
------------
TOTAL -- BELGIUM
(Cost $83,523)....................................... 83,349
------------
SHARES VALUE+
------------ ------------
NEW ZEALAND -- (0.6%)
COMMON STOCKS -- (0.6%)
Fernz Corp., Ltd..................................... 6,407 $ 22,707
Ports of Auckland.................................... 5,962 26,720
------------
TOTAL COMMON STOCKS
(Cost $47,576)....................................... 49,427
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $371)........................................ 370
------------
TOTAL -- NEW ZEALAND
(Cost $47,947)....................................... 49,797
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/02/97 (Collateralized by U.S. Treasury Notes
6.00%, 08/15/99)
(Cost $190,000).................................... $ 190 190,000
------------
TOTAL INVESTMENTS -- (104.3%)
(Cost $9,078,493)++.................................. 8,980,643
------------
OTHER ASSETS AND LIABILITIES -- (-4.3%)
Other Assets....................................... 359,953
Payable for Investment Securities Purchased........ (721,023)
Other Liabilities.................................. (6,572)
------------
(367,642)
------------
NET ASSETS -- (100.0%) Applicable to 868,834
Outstanding $.01 Par Value Shares (100,000,000 Shares
Authorized).......................................... $ 8,613,001
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 9.91
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
24
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
BONDS -- (40.1%)
Albertson's, Inc. Medium Term Notes
5.650%, 03/26/98................................... $ 170 $ 169,810
Associates Corp. of North America Corporate Bonds
8.350%, 12/23/98................................... 300 309,570
Bayerische Landesbank U.S. Finance, Inc. Medium Term
Notes
6.400%, 05/05/99................................... 300 300,000
Canada (Government of) Bonds
6.400%, 09/10/98................................... 160 160,800
Chevron Canada Financial, Ltd. Medium Term Notes
5.600%, 04/01/98................................... 150 149,438
Colgate-Palmolive Co. Medium Term Notes
6.630%, 02/16/98................................... 160 160,880
FCC National Bank Medium Term Notes
6.000%, 04/02/98................................... 150 150,104
Ford Motor Credit Co. Corporate Bonds
7.250%, 05/15/99................................... 200 203,000
General Electric Capital Corp. Medium Term Notes
7.950%, 02/02/98................................... 150 152,151
IBM Credit Corp. Medium Term Notes
6.570%, 04/07/99................................... 300 301,125
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98................................... 250 254,950
KFW International Finance, Inc. Medium Term Notes
8.250%, 03/18/98................................... 150 152,813
Michigan Bell Telephone Medium Term Notes
9.250%, 11/15/98................................... 240 250,200
Morgan Guaranty Trust Corporate Bonds
6.000%, 10/01/98................................... 150 149,851
National Rural Utilities Cooperative Finance Corp.
Medium Term Notes
8.500%, 02/15/98................................... 150 152,625
NationsBank N.C. Corporate Bonds
6.100%, 01/19/99................................... 250 248,750
Norwest Financial, Inc. Medium Term Notes
6.230%, 09/01/98................................... 250 250,947
Ontario Hydro Medium Term Notes
5.800%, 03/31/98................................... 150 150,000
Paccar Financial Corp. Medium Term Notes
7.350%, 02/02/98................................... 180 181,984
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98................................... 170 170,663
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Rockwell International Corp. Corporate Bonds
7.625%, 02/17/98................................... $ 150 $ 151,693
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98................................... 250 247,435
Wachovia Bank Medium Term Notes
5.375%, 04/15/98................................... 150 149,209
------------
TOTAL BONDS
(Cost $4,563,296).................................... 4,567,998
------------
COMMERCIAL PAPER -- (31.4%)
AI Credit Corp. C.P.
5.570%, 07/21/97................................... 300 297,582
Barton Capital Corp. C.P.
5.630%, 08/01/97................................... 300 297,065
BellSouth Capital Funding C.P.
5.540%, 06/06/97................................... 300 299,676
Caisse des Depots et Consignments C.P.
5.630%, 07/14/97................................... 300 297,911
Delaware Funding Corp. C.P.
5.570%, 06/16/97................................... 300 299,213
Enterprise Funding Corp. C.P.
5.600%, 06/16/97................................... 300 299,220
Glaxo Wellcome PLC C.P.
5.580%, 07/07/97................................... 300 298,227
McKenna Triangle National Corp. C.P.
5.600%, 07/07/97................................... 300 298,236
Sheffield Receivables Corp. C.P.
5.600%, 07/15/97................................... 300 297,861
Sigma Finance Corp. C.P.
5.650%, 07/14/97................................... 300 297,911
St. Michael Finance Ltd. C.P.
5.570%, 06/16/97................................... 300 299,212
Union Bank of Switzerland C.P.
5.600%, 06/02/97................................... 300 299,859
------------
TOTAL COMMERCIAL PAPER
(Cost $3,582,998).................................... 3,581,973
------------
U.S. TREASURY OBLIGATIONS -- (17.5%)
U.S. Treasury Notes
6.125%, 03/31/98................................... 150 150,411
5.875%, 10/31/98................................... 200 199,520
5.500%, 11/15/98................................... 200 198,430
5.625%, 11/30/98................................... 200 198,772
5.750%, 12/31/98................................... 500 497,590
5.875%, 01/31/99................................... 250 249,057
6.375%, 04/30/99................................... 300 300,909
6.250%, 05/31/99................................... 200 200,110
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,998,718).................................... 1,994,799
------------
AGENCY OBLIGATIONS -- (7.9%)
Federal Agriculture Mortgage Corp.
7.200%, 10/15/98................................... 150 152,121
</TABLE>
25
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Federal Home Loan Bank
5.715%, 03/20/98................................... $ 150 $ 149,736
5.100%, 01/26/99................................... 300 295,056
Student Loan Marketing Association
7.000%, 03/03/98................................... 150 151,200
6.250%, 06/30/98................................... 150 150,376
------------
TOTAL AGENCY OBLIGATIONS
(Cost $898,188)...................................... 898,489
------------
SUPRANATIONAL OBLIGATIONS -- (1.4%)
Inter-American Development Bank (Cost $156,258)
9.450%, 09/15/98................................... 150 156,000
------------
TOTAL INVESTMENTS -- (98.3%)
(Cost $11,199,458)++................................. 11,199,259
------------
OTHER ASSETS AND LIABILITIES -- (1.7%)
Other Assets.......................................... 401,228
Payable for Investment Securities Purchased........... (199,766)
Other Liabilities..................................... (6,610)
------------
194,852
------------
NET ASSETS -- (100.0%) Applicable to 1,132,395
Outstanding $.01 Par Value Shares
(100,000,000 Shares Authorized)...................... $ 11,394,111
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.06
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes
</TABLE>
See accompanying Notes to Financial Statements.
26
<PAGE>
VA GLOBAL BOND PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
CANADA -- (20.6%)
BONDS -- (20.6%)
British Columbia (Province of)
7.750%, 06/16/03................ 250 $ 194,728
Canada (Government of)
7.250%, 06/01/03................ 400 306,380
General Electric Capital Canada,
Inc.
6.875%, 12/31/01................ 250 186,835
Kansai International Airport Co.,
Ltd.
8.000%, 07/02/03................ 200 155,956
SNCF (Societe Nationale des Chemins
de Fer Francaise)
9.250%, 12/20/01................ 200 161,923
Toyota Credit Canada Inc.
7.375%, 12/31/01................ 100 76,110
Toyota Credit Canada, Inc.
8.000%, 12/29/00................ 200 155,189
------------
TOTAL BONDS
(Cost $1,265,051)................ 1,237,121
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $65)...................... 65
------------
TOTAL -- CANADA
(Cost $1,265,116)................ 1,237,186
------------
FRANCE -- (17.7%)
BONDS -- (17.7%)
Caisse d'Amortissement et de Dette
Sociale
5.500%, 04/25/02................ 800 142,121
European Investment Bank
8.500%, 02/20/02................ 1,500 299,246
France (Government of)
8.500%, 04/25/03................ 600 121,590
6.750%, 10/25/03................ 500 93,339
France (Government of) BTAN
4.750%, 03/12/02................ 1,000 172,800
Regie Autonome des Transports
Parisiens SA
6.000%, 09/24/03................ 800 143,243
Suedwestdeutsche Landesbank Giro &
Suedwestlb Capital Markets P.L.C.
6.000%, 03/08/02................ 500 90,523
------------
TOTAL -- FRANCE
(Cost $1,095,624)................ 1,062,862
------------
JAPAN -- (17.5%)
BONDS -- (17.5%)
Asian Development Bank
5.000%, 02/05/03................ 14,000 138,076
Austria (Republic of)
6.250%, 10/16/03................ 13,000 136,969
Credit Local de France SA
6.000%, 10/31/01................ 9,000 90,271
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................ 32,000 $ 282,199
Inter-American Development Bank
6.000%, 10/30/01................ 25,000 251,718
Japan Development Bank
6.500%, 09/20/01................ 15,000 153,350
------------
TOTAL -- JAPAN
(Cost $1,055,220)................ 1,052,583
------------
GERMANY -- (15.1%)
BONDS -- (15.1%)
Germany (Republic of)
8.000%, 01/21/02................ 550 363,599
LB Rheinland-Pfalz Finance BV
5.375%, 02/12/02................ 300 179,315
Minnesota Mining and Manufacturing
Co.
5.000%, 10/15/01................ 300 177,542
World Bank (International Bank for
Reconstruction and Development)
6.125%, 09/27/02................ 300 184,318
------------
TOTAL BONDS
(Cost $983,109).................. 904,774
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks
(Cost $2)....................... 2
------------
TOTAL -- GERMANY
(Cost $983,111).................. 904,776
------------
AUSTRALIA -- (7.6%)
BONDS -- (7.6%)
ABN-Amro Australia, Ltd.
8.250%, 11/03/00................ 200 158,926
Queensland Treasury Corp.
8.000%, 05/14/03................ 150 118,852
State Bank of New South Wales
11.750%, 08/16/01............... 200 177,549
------------
TOTAL -- AUSTRALIA
(Cost $457,886).................. 455,327
------------
NETHERLANDS -- (4.7%)
BONDS -- (4.7%)
Bank Nederlandse Gemeenten
7.625%, 12/16/02................ 250 145,269
Netherlands (Kingdom of)
5.750%, 09/15/02................ 250 134,906
------------
TOTAL BONDS
(Cost $291,910).................. 280,175
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $81)...................... 82
------------
TOTAL -- NETHERLANDS
(Cost $291,991).................. 280,257
------------
</TABLE>
27
<PAGE>
VA GLOBAL BOND PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED KINGDOM -- (4.5%)
BONDS -- (4.5%)
Nippon Telegraph & Telephone Corp.
10.875%, 05/10/01............... 75 $ 136,354
Oesterreichische Kontrollbank AG
9.250%, 07/15/02................ 75 131,580
------------
TOTAL -- UNITED KINGDOM
(Cost $249,677).................. 267,934
------------
UNITED STATES -- (3.0%)
U.S. TREASURY OBLIGATIONS -- (3.0%)
U.S. Treasury Notes
6.875%, 03/31/00................ 180 182,362
TEMPORARY CASH INVESTMENTS --
(5.6%)
Repurchase Agreement, PNC Capital
Markets Inc. 5.25%, 06/02/97
(Collateralized by U.S. Treasury
Notes 6.00%, 08/15/99).......... 334 334,000
------------
TOTAL INVESTMENTS -- (96.3%)
(Cost $5,915,561)++.............. 5,777,287
------------
OTHER ASSETS AND LIABILITIES --
(3.7%)
Other Assets...................... 276,105
Unrealized Gain on Forward
Currency Contracts.............. 31,036
Liabilities....................... (84,878)
------------
222,263
------------
NET ASSETS -- (100.0%) Applicable
to 576,274 Outstanding $.01 Par
Value Shares (100,000,000 Shares
Authorized)..................... $ 5,999,550
------------
------------
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE....... $ 10.41
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in local currency.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements
28
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(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 $15,
respectively)....................................................... $ 58 $ 176 $ 150
Interest.............................................................. 10 13 15
Income from Securities Lending........................................ -- -- 7
----------- ----------- -----
Total Investment Income........................................... 68 189 172
----------- ----------- -----
EXPENSES
Investment Advisory Services.......................................... 25 20 25
Accounting & Transfer Agent Fees...................................... 7 10 9
Custodians' Fees...................................................... 1 1 8
Legal Fees............................................................ 1 1 1
Audit Fees............................................................ -- 1 1
Filing Fees........................................................... -- 1 1
Shareholders' Reports................................................. 1 3 3
Directors' Fees and Expenses.......................................... -- 1 --
Organization Costs.................................................... 1 3 2
Other................................................................. 1 1 1
----------- ----------- -----
Total Expenses.................................................... 37 42 51
----------- ----------- -----
NET INVESTMENT INCOME................................................. 31 147 121
----------- ----------- -----
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain on Investment Securities............................ 281 427 80
Net Realized Loss on Foreign Currency Transactions.................... -- -- (12)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ 902 1,268 457
Translation of Foreign Currency Denominated Amounts............... -- -- (1)
----------- ----------- -----
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN CURRENCY................ 1,183 1,695 524
----------- ----------- -----
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................... $ 1,214 $ 1,842 $ 645
----------- ----------- -----
----------- ----------- -----
</TABLE>
See accompanying Notes to Financial Statements
29
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1997
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA
INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of $8, $0 and $0,
respectively)....................................................... $ 67 -- --
Interest.............................................................. 9 $ 285 $ 118
Income from Securities Lending........................................ 5 -- --
------ ----- -----------
Total Investment Income........................................... 81 285 118
------ ----- -----------
EXPENSES
Investment Advisory Services.......................................... 18 12 6
Accounting & Transfer Agent Fees...................................... 6 4 5
Custodians' Fees...................................................... 7 1 1
Legal Fees............................................................ 1 1 1
Audit Fees............................................................ -- -- 1
Filing Fees........................................................... -- 1 --
Shareholders' Reports................................................. 2 1 1
Directors' Fees and Expenses.......................................... -- -- --
Organization Costs.................................................... 1 1 3
Other................................................................. 1 1 --
------ ----- -----------
Total Expenses.................................................... 36 22 18
------ ----- -----------
NET INVESTMENT INCOME................................................. 45 263 100
------ ----- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain on Investment Securities............................ 38 1 17
Net Realized Gain (Loss) on Foreign Currency Transactions............. (3) -- 191
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (158) (23) (191)
Translation of Foreign Currency Denominated Amounts............... (1) -- 13
------ ----- -----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY......... (124) (22) 30
------ ----- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........... $ (79) $ 241 $ 130
------ ----- -----------
------ ----- -----------
</TABLE>
See accompanying Notes to Financial Statements
30
<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
---------------------- ----------------------
YEAR YEAR
SIX MONTHS ENDED SIX MONTHS ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1997 1996 31, 1997 1996
----------- --------- ----------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.............. $ 31 $ 19 $ 147 $ 137
Net Realized Gain on Investment
Securities....................... 281 76 427 479
Net Realized Loss on Foreign
Currency Transactions............ -- -- -- (1)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................... 902 1,079 1,268 1,191
----------- --------- ----------- ---------
Net Increase in Net Assets
Resulting from Operations...... 1,214 1,174 1,842 1,806
----------- --------- ----------- ---------
Distributions From:
Net Investment Income.............. (22) (9) (118) (86)
Net Realized Gains................. (76) -- (480) (2)
----------- --------- ----------- ---------
Total Distributions............ (98) (9) (598) (88)
----------- --------- ----------- ---------
Capital Share Transactions (1):
Shares Issued...................... 4,370 2,156 5,824 5,754
Shares Issued in Lieu of Cash
Distributions.................... 98 9 598 88
Shares Redeemed.................... (892) (120) (1,322) (552)
----------- --------- ----------- ---------
Net Increase From Capital Share
Transactions................... 3,576 2,045 5,100 5,290
----------- --------- ----------- ---------
Total Increase................. 4,692 3,210 6,344 7,008
NET ASSETS
Beginning of Period................ 8,058 4,848 13,570 6,562
----------- --------- ----------- ---------
End of Period...................... $ 12,750 $ 8,058 $ 19,914 $ 13,570
----------- --------- ----------- ---------
----------- --------- ----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................... 361 195 435 465
Shares Issued in Lieu of Cash
Distributions................... 8 1 46 7
Shares Redeemed................... (72) (11) (98) (45)
----------- --------- ----------- ---------
297 185 383 427
----------- --------- ----------- ---------
----------- --------- ----------- ---------
</TABLE>
See accompanying Notes to Financial Statements
31
<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
---------------------- ----------------------
YEAR YEAR
SIX MONTHS ENDED SIX MONTHS ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1997 1996 31, 1997 1996
----------- --------- ----------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.............. $ 121 $ 90 $ 45 $ 34
Net Realized Gain on Investment
Securities....................... 80 58 38 136
Net Realized Gain (Loss) on Foreign
Currency Transactions............ (12) 2 (3) 1
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................... 457 694 (158) 204
Translation of Foreign Currency
Denominated Amounts............ (1) 3 (1) 2
----------- --------- ----------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations..................... 645 847 (79) 377
----------- --------- ----------- ---------
Distributions From:
Net Investment Income.............. (100) -- (37) --
Net Realized Gains................. (44) (8) (136) --
----------- --------- ----------- ---------
Total Distributions............ (144) (8) (173) --
----------- --------- ----------- ---------
Capital Share Transactions (1):
Shares Issued...................... 5,326 5,279 3,066 802
Shares Issued in Lieu of Cash
Distributions.................... 144 8 173 --
Shares Redeemed.................... (734) (623) (381) (28)
----------- --------- ----------- ---------
Net Increase From Capital Share
Transactions................... 4,736 4,664 2,858 774
----------- --------- ----------- ---------
Total Increase................. 5,237 5,503 2,606 1,151
NET ASSETS
Beginning of Period................ 10,517 5,014 6,007 4,856
----------- --------- ----------- ---------
End of Period...................... $ 15,754 $ 10,517 $ 8,613 $ 6,007
----------- --------- ----------- ---------
----------- --------- ----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................... 489 477 317 75
Shares Issued in Lieu of Cash
Distributions................... 13 1 18 --
Shares Redeemed................... (66) (57) (39) (3)
----------- --------- ----------- ---------
436 421 296 72
----------- --------- ----------- ---------
----------- --------- ----------- ---------
</TABLE>
See accompanying Notes to Financial Statements
32
<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
---------------------- ----------------------
YEAR YEAR
SIX MONTHS ENDED SIX MONTHS ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1997 1996 31, 1997 1996
----------- --------- ----------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............... $ 263 $ 271 $ 100 $ 119
Net Realized Gain (Loss) on
Investment Securities............. 1 (1) 17 93
Net Realized Gain on Foreign
Currency Transactions............. -- -- 191 206
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency........................ (23) 24 (191) (86)
Translation of Foreign Currency
Denominated Amounts............. -- -- 13 (22)
----------- --------- ----------- ---------
Net Increase in Net Assets
Resulting from Operations....... 241 294 130 310
----------- --------- ----------- ---------
Distributions From:
Net Investment Income............... (242) (262) (261) (132)
Net Realized Gains -- -- (93) --
----------- --------- ----------- ---------
Total Distributions............. (242) (262) (354) (132)
----------- --------- ----------- ---------
Capital Share Transactions (1):
Shares Issued....................... 4,685 3,072 2,730 --
Shares Issued in Lieu of Cash
Distributions..................... 242 262 354 132
Shares Redeemed..................... (1,321) (618) (563) --
----------- --------- ----------- ---------
Net Increase From Capital Share
Transactions.................... 3,606 2,716 2,521 132
----------- --------- ----------- ---------
Total Increase.................. 3,605 2,748 2,297 310
NET ASSETS
Beginning of Period................. 7,789 5,041 3,703 3,393
----------- --------- ----------- ---------
End of Period....................... $ 11,394 $ 7,789 $ 6,000 $ 3,703
----------- --------- ----------- ---------
----------- --------- ----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................... 467 306 263 --
Shares Issued in Lieu of Cash
Distributions.................... 24 26 35 12
Shares Redeemed.................... (132) (61) (54) --
----------- --------- ----------- ---------
359 271 244 12
----------- --------- ----------- ---------
----------- --------- ----------- ---------
</TABLE>
See accompanying Notes to Financial Statements
33
<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
------------------------------------- --------------------------------------
YEAR YEAR
SIX MONTHS ENDED OCT. 3, SIX MONTHS ENDED JAN. 13,
ENDED MAY NOV. 30, TO NOV. ENDED MAY NOV. 30, TO NOV.
31, 1997 1996 30, 1995 31, 1997 1996 30, 1995
----------- -------- -------- ----------- -------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 11.75 $ 9.69 $ 10.00 $ 13.46 $ 11.29 $ 10.00
----------- -------- -------- ----------- -------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.03 0.03 0.01 0.11 0.17 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 1.33 2.05 (0.31) 1.31 2.12 1.85
----------- -------- -------- ----------- -------- ---------
Total from Investment Operations.... 1.36 2.08 (0.30) 1.42 2.29 2.04
----------- -------- -------- ----------- -------- ---------
LESS DISTRIBUTIONS
Net Investment Income................. (0.03) (0.02) (0.01) (0.11) (0.12) (0.16)
Net Realized Gains.................... (0.11) -- -- (0.46) -- (0.59)
----------- -------- -------- ----------- -------- ---------
Total Distributions................. (0.14) (0.02) (0.01) (0.57) (0.12) (0.75)
----------- -------- -------- ----------- -------- ---------
Net Asset Value, End of Period.......... $ 12.97 $ 11.75 $ 9.69 $ 14.31 $ 13.46 $ 11.29
----------- -------- -------- ----------- -------- ---------
----------- -------- -------- ----------- -------- ---------
Total Return............................ 11.67%# 21.47% (3.04)%# 11.00%# 20.45% 20.41%#
Net Assets, End of Period (thousands)... $12,750 $ 8,058 $ 4,848 $19,914 $ 13,570 $ 6,562
Ratio of Expenses to Average Net
Assets................................ 0.75%* 1.05% 0.99%* 0.53%* 1.03% 1.20%*
Ratio of Net Investment Income to
Average Net Assets.................... 0.60%* 0.34% 0.91%* 1.83%* 1.59% 2.03%*
Portfolio Turnover Rate................. 12.99%* 5.19% 0.00%* 14.26%* 18.54% 65.38%*
Average Commission Rate (1)............. $0.0631 $ 0.0678 N/A $0.0484 $ 0.0484 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
34
<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
-------------------------------------- --------------------------------------
YEAR YEAR
SIX MONTHS ENDED OCT. 3, SIX MONTHS ENDED OCT. 3,
ENDED MAY NOV. 30, TO NOV. ENDED MAY NOV. 30, TO NOV.
31, 1997 1996 30, 1995 31, 1997 1996 30, 1995
----------- -------- --------- ----------- -------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 11.41 $ 10.03 $ 10.00 $ 10.48 $ 9.71 $ 10.00
----------- -------- --------- ----------- -------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).......... 0.09 0.11 -- 0.05 0.06 (0.01)
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 0.26 1.29 0.03 (0.34) 0.71 (0.28)
----------- -------- --------- ----------- -------- ---------
Total from Investment Operations.... 0.35 1.40 0.03 (0.29) 0.77 (0.29)
----------- -------- --------- ----------- -------- ---------
LESS DISTRIBUTIONS
Investment Income..................... (0.10) -- -- (0.06) -- --
Net Realized Gains.................... (0.05) (0.02) -- (0.22) -- --
----------- -------- --------- ----------- -------- ---------
Total Distributions................. (0.15) (0.02) -- (0.28) -- --
----------- -------- --------- ----------- -------- ---------
Net Asset Value, End of Period.......... $ 11.61 $ 11.41 $ 10.03 $ 9.91 $ 10.48 $ 9.71
----------- -------- --------- ----------- -------- ---------
----------- -------- --------- ----------- -------- ---------
Total Return............................ 3.12%# 13.92% 0.30%# (2.69)%# 7.93% (2.90)%#
Net Assets, End of Period (thousands)... $15,754 $ 10,517 $ 5,014 $ 8,613 $ 6,007 $ 4,856
Ratio of Expenses to Average Net
Assets................................ 0.80%* 1.17% 1.32%* 1.00%* 1.27% 2.52%*
Ratio of Net Investment Income to
Average Net Assets.................... 1.92%* 1.29% (0.20)%* 1.27%* 0.63% (0.39)%*
Portfolio Turnover Rate................. 6.09%* 4.14% 0.00%* 5.85%* 6.40% 0.00%*
Average Commission Rate (1)............. $0.0090 $ 0.0080 N/A $0.0158 $ 0.0200 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
35
<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
------------------------------------- -------------------------------------
YEAR YEAR
SIX MONTHS ENDED OCT. 3, SIX MONTHS ENDED OCT. 3,
ENDED MAY NOV. 30, TO NOV. ENDED MAY NOV. 30, TO NOV.
31, 1997 1996 30, 1995 31, 1997 1996 30, 1995
----------- -------- -------- ----------- -------- --------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 10.08 $ 10.04 $ 10.00 $11.14 $ 10.61 $ 10.00
----------- -------- -------- ----------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.27 0.48 0.08 0.21 0.37 0.48
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (0.03) 0.04 -- 0.07 0.57 0.81
----------- -------- -------- ----------- -------- --------
Total from Investment Operations.... 0.24 0.52 0.08 0.28 0.94 1.29
----------- -------- -------- ----------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income................. (0.26) (0.48) (0.04) (0.74) (0.41) (0.57)
Net Realized Gains.................... -- -- -- (0.27) -- (0.11)
----------- -------- -------- ----------- -------- --------
Total Distributions................. (0.26) (0.48) (0.04) (1.01) (0.41) (0.68)
----------- -------- -------- ----------- -------- --------
Net Asset Value, End of Period.......... $ 10.06 $ 10.08 $ 10.04 $10.41 $ 11.14 $ 10.61
----------- -------- -------- ----------- -------- --------
----------- -------- -------- ----------- -------- --------
Total Return............................ 2.42%# 5.34% 0.81%# 2.78%# 9.16% 13.09%#
Net Assets, End of Period (thousands)... $11,394 $ 7,789 $ 5,041 $6,000 $ 3,703 $ 3,393
Ratio of Expenses to Average Net
Assets................................ 0.44%* 0.70% 0.63%* 0.78%* 1.73% 1.31%*
Ratio of Net Investment Income to
Average Net Assets.................... 5.34%* 4.93% 5.11%* 4.25%* 3.43% 5.08%*
Portfolio Turnover Rate................. 46.63%* 29.27% 0.00%* 57.63%* 88.93% 60.09%*
</TABLE>
- --------------
(Restated to reflect a 900% stock dividend as of January 2, 1996.)
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements
36
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company. The Fund offers thirty portfolios, six of which (the "VA
Portfolios") are included in this report. Of the remaining twenty-four
portfolios, twenty-one are presented in a separate report and the remaining
three portfolios have not yet commenced operations. The VA Portfolios are only
available through a select group of insurance products.
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. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
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.
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 marked 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
37
<PAGE>
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 gain 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, 1997, the VA
Portfolios' advisory fees were computed daily and paid monthly to the Advisor
based on the following effective annual rates of:
<TABLE>
<S> <C>
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%
</TABLE>
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1997, 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....................................................... -- -- $ 3,690 $ 641
VA Large Value Portfolio....................................................... -- -- 5,400 1,119
VA International Value Portfolio............................................... -- -- 5,156 375
VA International Small Portfolio............................................... -- -- 2,830 202
VA Short-Term Fixed Portfolio.................................................. $ 1,747 $ 301 2,820 1,127
VA Global Bond Portfolio....................................................... -- -- 3,443 1,241
</TABLE>
38
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1997, 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..................................................... $ 2,520 $ (698) $ 1,822
VA Large Value Portfolio..................................................... 3,256 (181) 3,075
VA International Value Portfolio............................................. 2,066 (890) 1,176
VA International Small Portfolio............................................. 901 (999) (98)
VA Short-Term Fixed Portfolio................................................ 10 (10) --
VA Global Bond Portfolio..................................................... 67 (205) (138)
</TABLE>
At November 30, 1996, VA Short-Term Fixed Portfolio had a capital loss
carryover for federal income tax purposes of approximately $1,500 which expires
on November 30, 2004.
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 open repurchase
agreements were entered into on May 30, 1997.
2. FORWARD 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, 1997, VA
Global Bond Portfolio had entered into the following contracts and the related
net unrealized foreign exchange gain is reflected in the accompanying financial
statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT MAY EXCHANGE
DATE CURRENCY SOLD AMOUNT 31, 1997 GAIN (LOSS)
- ---------- ----------------------------------------- ------------- ------------- ------------
<C> <C> <S> <C> <C> <C>
06/12/97 477,539 French Francs $ 82,449 $ 82,734 $ (285)
06/12/97 620,034 Australian Dollar 483,393 472,839 10,554
06/12/97 5,822,105 French Francs 1,012,448 1,008,681 3,767
06/30/97 558,298 Netherlands Guilder 292,833 291,083 1,750
06/30/97 1,597,892 German Marks 943,708 934,987 8,721
06/30/97 171,645 British Pound Sterling 280,960 280,125 835
06/30/97 1,749,654 Canadian Dollar 1,267,204 1,267,039 165
07/02/97 125,511,493 Japanese Yen 1,083,806 1,078,277 5,529
------------- ------------- ------------
$ 5,446,801 $ 5,415,765 $ 31,036
------------- ------------- ------------
------------- ------------- ------------
</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.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
39
<PAGE>
G. LINE OF CREDIT
In July, 1996, the VA Portfolios, together with other DFA-advised
portfolios, entered into a $50 million unsecured line of credit with its
domestic custodian bank. Each portfolio is permitted to borrow, subject to its
investment limitations, up to a maximum of $50 million. Borrowings under the
line are charged interest at the current overnight federal funds rate plus a
variable rate determined at the date of borrowing. Each portfolio is
individually, and not jointly liable for its particular advances under the line.
There is no commitment fee on the unused portion of the line of credit. There
were no borrowings under the line of credit during the six months ended May 31,
1997.
H. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT MAY 31, 1997 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.......................................................... $ 10,624 $ 16,331 $ 14,388
Undistributed Net Investment Income...................................... 23 82 113
Undistributed Net Realized Gain.......................................... 281 426 86
Accumulated Net Realized Foreign Exchange Loss........................... -- -- (12)
Unrealized Appreciation of Investment Securities and Foreign Currency.... 1,822 3,075 1,176
Unrealized Net Foreign Exchange Gain..................................... -- -- 3
-------- --------------- --------
$ 12,750 $ 19,914 $ 15,754
-------- --------------- --------
-------- --------------- --------
<CAPTION>
VA INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- --------------- ----------------
<S> <C> <C> <C>
Paid-In Capital.......................................................... $ 8,631 $ 11,342 $ 5,862
Undistributed Net Investment Income...................................... 43 52 36
Undistributed Net Realized Gain.......................................... 38 -- 17
Undistributed Net Realized Foreign Exchange Gain (Loss).................. (3) -- 191
Unrealized Depreciation of Investment Securities and Foreign Currency.... (98) -- (138)
Unrealized Net Foreign Exchange Gain..................................... 2 -- 32
-------- --------------- --------
$ 8,613 $ 11,394 $ 6,000
-------- --------------- --------
-------- --------------- --------
</TABLE>
I. 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 the VA Portfolios or, at the option
of the lending agent, replace the loaned securities. The market value of
securities on loan to brokers and the related collateral cash received at May
31, 1997, is as follows:
<TABLE>
<CAPTION>
VALUE OF SECURITIES VALUE OF COLLATERAL
ON LOAN AND INDEMNIFICATION
------------------- --------------------
<S> <C> <C>
VA International Value Portfolio................................................... $ 2,988,591 $ 3,191,270
VA International Small Portfolio................................................... 881,358 942,862
</TABLE>
40
