<PAGE>
===============================================================================
DFA Investment Dimensions Group Inc.
and
The DFA Investment Trust Company
ANNUAL REPORT
Year Ended November 30, 1996
===============================================================================
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
Page
-------
Performance Charts .................................... 1-7
Schedules of Investments
The U.S. 9-10 Small Company Portfolio ............ 8-30
The U.S. 6-10 Small Company Portfolio ............ 31
The U.S. Large Company Portfolio ................. 31
The Enhanced U.S. Large Company Portfolio ........ 31
The U.S. Small Cap Value Portfolio ............... 31
The U.S. Large Cap Value Portfolio ............... 31
The DFA/AEW Real Estate Securities Portfolio ..... 32-33
The Japanese Small Company Portfolio ............. 34
The Pacific Rim Small Company Portfolio .......... 34
The United Kingdom Small Company Portfolio ....... 34
The Continental Small Company Portfolio .......... 34
The International Small Company Portfolio ........ 35
The RWB/DFA International High Book to Market
Portfolio ...................................... 35
The Emerging Markets Portfolio ................... 35
The Large Cap International Portfolio ............ 36-39
The DFA International Small Cap Value Portfolio .. 40-51
The DFA Intermediate Government Fixed Income
Portfolio ...................................... 52
The DFA One-Year Fixed Income Portfolio .......... 53
The DFA Five-Year Government Portfolio ........... 53
The DFA Two-Year Global Fixed Income Portfolio ... 53
The DFA Global Fixed Income Portfolio ............ 54-55
Statements of Assets and Liabilities .................. 56-58
Statements of Operations .............................. 59-64
Statements of Changes in Net Assets ................... 65-71
Financial Highlights .................................. 72-82
Notes to Financial Statements ......................... 83-91
Report of Independent Accountants ..................... 92
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.
i
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
Page
--------
Performance Charts ................................................... 93-97
Statements of Net Assets
The U.S. 6-10 Small Company Series .............................. 98-125
The U.S. Large Company Series ................................... 126-130
Schedule of Investments -- The Enhanced U.S. Large Company
Series ............................................................. 131-132
Statement of Assets and Liabilities -- The Enhanced U.S.
Large Company Series ................................................. 133
Statements of Net Assets
The U.S. Small Cap Value Series ................................. 134-147
The U.S. Large Cap Value Series ................................. 148-149
The Japanese Small Company Series ............................... 150-155
The Pacific Rim Small Company Series ............................ 156-167
The United Kingdom Small Company Series ......................... 168-174
The Continental Small Company Series ............................ 175-185
The DFA International Value Series .............................. 186-193
The Emerging Markets Series ..................................... 194-200
The DFA One-Year Fixed Income Series ............................ 201-202
The DFA Two-Year Corporate Fixed Income Series .................. 203
The DFA Two-Year Government Series .............................. 204
The DFA Two-Year Global Fixed Income Series ..................... 205-207
Statements of Operations ............................................. 208-210
Statements of Changes in Net Assets .................................. 211-215
Financial Highlights ................................................. 216-220
Notes to Financial Statements ........................................ 221-228
Report of Independent Accountants .................................... 229
ii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. 9-10 Small Company Portfolio
CRSP 9-10 Index
December 1986-November 1996
The following reflects the growth of a $10,000 investment.
U.S. 9-10 Small
Company Portfolio CRSP 9-10 Index
----------------- ---------------
Nov-86 10000.00 10000
Dec-86 9738.00 9636
Jan-87 10656.29 10687.28
Feb-87 11518.38 11503.79
Mar-87 11786.76 11816.69
Apr-87 11417.84 11524.82
May-87 11373.31 11462.59
Jun-87 11675.84 11631.09
Jul-87 12100.84 11879.99
Aug-87 12448.13 12048.69
Sep-87 12347.30 11840.25
Oct-87 8743.12 8469.33
Nov-87 8396.02 8015.37
Dec-87 8832.61 8271.86
Jan-88 9323.71 8898.87
Feb-88 10032.31 9498.66
Mar-88 10441.63 9899.50
Apr-88 10659.86 10040.07
May-88 10469.05 9776.02
Jun-88 11005.06 10291.21
Jul-88 10977.55 10273.72
Aug-88 10707.50 10050.78
Sep-88 10950.56 10198.53
Oct-88 10815.87 10035.35
Nov-88 10343.22 9658.02
Dec-88 10750.74 9919.75
Jan-89 11185.07 10394.91
Feb-89 11277.90 10471.83
Mar-89 11681.65 10713.73
Apr-89 12007.57 10985.86
May-89 12442.25 11300.05
Jun-89 12193.40 11184.79
Jul-89 12689.67 11527.05
Aug-89 12844.49 11757.59
Sep-89 12844.49 11777.58
Oct-89 12068.68 11020.28
Nov-89 12007.13 10926.61
Dec-89 11846.23 10735.39
Jan-90 10941.18 10050.47
Feb-90 11145.78 10192.18
Mar-90 11555.95 10400.11
Apr-90 11248.56 10076.66
May-90 11879.60 10478.72
Jun-90 12050.67 10548.93
Jul-90 11590.33 10090.05
Aug-90 10088.23 8788.43
<PAGE>
Sep-90 9251.91 7965.84
Oct-90 8722.70 7437.70
Nov-90 9115.22 7727.77
Dec-90 9292.06 7726.22
Jan-91 10073.52 8520.48
Feb-91 11194.70 9758.51
Mar-91 11955.94 10539.19
Apr-91 11996.59 10685.68
May-91 12397.28 10968.85
Jun-91 11796.01 10538.88
Jul-91 12276.11 10909.84
Aug-91 12596.52 11242.59
Sep-91 12636.83 11385.38
Oct-91 13037.41 11648.38
Nov-91 12677.58 11243.01
Dec-91 13439.50 11714.10
Jan-92 14955.48 13338.84
Feb-92 15631.47 14056.47
Mar-92 15242.24 13726.14
Apr-92 14627.98 13082.39
May-92 14607.50 13098.09
Jun-92 13849.37 12416.99
Jul-92 14361.80 12813.09
Aug-92 14034.35 12450.48
Sep-92 14218.20 12648.44
Oct-92 14586.45 12996.27
Nov-92 15877.35 14256.91
Dec-92 16577.55 14763.03
Jan-93 17477.71 15617.81
Feb-93 17163.11 15180.51
Mar-93 17659.12 15622.27
Apr-93 17118.75 15142.66
May-93 17704.21 15718.08
Jun-93 17636.94 15746.38
Jul-93 17929.71 15990.45
Aug-93 18537.53 16668.44
Sep-93 19123.32 17181.83
Oct-93 20024.02 17984.22
Nov-93 19673.60 17489.65
Dec-93 20055.27 17694.28
Jan-94 21294.69 18573.69
Feb-94 21245.71 18503.11
Mar-94 20298.15 17603.86
Apr-94 20419.94 17431.34
May-94 20395.44 17417.4
Jun-94 19861.07 16955.83
Jul-94 20226.52 17040.61
Aug-94 20908.15 17802.33
Sep-94 21127.69 18088.95
Oct-94 21370.66 18195.67
Nov-94 20673.97 17493.32
Dec-94 20678.11 17286.90
Jan-95 21263.30 17772.66
Feb-95 21799.13 18344.94
Mar-95 22115.22 18686.15
Apr-95 22893.68 19201.89
May-95 23575.91 19616.65
Jun-95 24915.02 20754.42
Jul-95 26522.04 22070.25
Aug-95 27471.53 22957.47
Sep-95 28007.22 23503.86
Oct-95 26643.27 22288.71
Nov-95 27154.82 22698.82
Dec-95 27803.82 23046.12
Jan-96 27881.67 23368.76
Feb-96 28910.51 24090.86
Mar-96 29569.67 24758.17
Apr-96 32077.18 26852.72
May-96 34479.76 28745.83
Jun-96 32473.03 27072.83
Jul-96 29410.83 24720.20
Aug-96 30810.78 25886.99
Sep-96 31707.38 26697.25
Oct-96 31152.50 26109.91
Nov-96 32049.69 26775.72
<PAGE>
Annualized One Five Ten
Total Return (%) Year Years Years
- ----------------------------------------------------------------------------
18.03 20.38 12.35
* The portfolio seeks to capture premium returns and diversification benefits
by investing in a broad cross-section of small companies on a market
cap-weighted basis. The U.S. 9-10 Small Company Portfolio provides access to
publicly traded U.S. small companies with market capitalization of
approximately $150 million or less.
* This portfolio's returns in fiscal 1996 reflected the performance of decile
9-10 companies in the U.S.
Past performance is not predictive of future performance.
CRSP 9-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. 6-10 Small Company Portfolio
CRSP 6-10 Index
April 1992-November 1996
The following reflects the growth of a $10,000 investment.
U.S. 6-10 Small
Company Portfolio CRSP 6-10 Index
----------------- ---------------
31-Mar/92 10000 10000
30-Apr/92 9588 9606
30-May/92 9566.9064 9677.0844
30-Jun/92 9102.91144 9289.033316
30-Jul/92 9505.260125 9648.518905
30-Aug/92 9309.451767 9383.184635
30-Sep/92 9463.988666 9586.799742
30-Oct/92 9763.050708 9891.659973
30-Nov/92 10670.03812 10729.48357
30-Dec/92 11078.70058 11096.43191
30-Jan/92 11454.26853 11510.32882
28-Feb/92 11193.11121 11228.32577
30-Mar/92 11453.9107 11579.77236
30-Apr/93 11098.83947 11230.06324
30-May/93 11547.23258 11742.15412
30-Jun/93 11495.27003 11786.77431
30-Jul/93 11579.1855 11927.03692
30-Aug/93 11975.19365 12476.87332
30-Sep/93 12287.7462 12836.20727
30-Oct/93 12548.24642 13232.84608
30-Nov/93 12239.55956 12825.27442
30-Dec/93 12592.05888 13213.88023
30-Jan/93 12969.82064 13669.7591
28-Feb/93 12872.54699 13589.10752
30-Mar/93 12246.9412 12848.50116
30-Apr/94 12268.9857 12797.10716
30-May/94 12203.96007 12681.93319
30-Jun/94 11847.60444 12353.47112
30-Jul/94 12020.57946 12567.18618
30-Aug/94 12592.75905 13286.02922
30-Sep/94 12656.98212 13333.85893
30-Oct/94 12700.01586 13320.52507
30-Nov/94 12266.94532 12805.02075
30-Dec/94 12422.73552 12972.76652
30-Jan/94 12496.02966 12994.82023
28-Feb/94 12908.39864 13469.13116
30-Mar/94 13151.07653 13756.02366
30-Apr/95 13575.85631 14115.05587
30-May/95 13854.16136 14366.30387
30-Jun/95 14556.56734 15162.1971
30-Jul/95 15453.25189 16129.54528
30-Aug/95 15889.03359 16547.3005
30-Sep/95 16179.80291 16901.41273
30-Oct/95 15343.3071 16039.44068
30-Nov/95 15794.40033 16608.84083
30-Dec/95 16171.88649 16974.23533
30-Jan/95 16210.69902 17086.26528
29-Feb/95 16752.13637 17663.78105
30-Mar/95 17113.98251 18062.9825
30-Apr/96 18250.35095 19421.31878
30-May/96 19192.06906 20359.36848
30-Jun/96 18314.99151 19439.12502
30-Jul/96 16791.18421 17644.89378
30-Aug/96 17771.78937 18680.64905
30-Sep/96 18326.2692 19412.93049
30-Oct/96 18055.04042 19044.08481
30-Nov/96 18751.96498 19636.35585
<PAGE>
Annualized One From
Total Return(%) Year April 1992
- ----------------------------------------------------------------------------
18.73 14.42
* The portfolio seeks to capture premium returns and diversification benefits
by investing in the U.S. 6-10 Small Company Series of the DFA Investment
Trust Company which in turn invests in a broad cross-section of U.S. small
companies on a market cap-weighted basis.
* This portfolio's returns in fiscal 1996 reflected the performance of decile
6-10 companies in the U.S.
Past performance is not predictive of future performance.
CRSP 6-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. Large Company Portfolio vs.
S&P 500 Index
January 1991-November 1996
The following reflects the growth of a $10,000 investment.
U.S. Large
Company Portfolio S&P 500 Index
----------------- -------------
12/31/90 10000 10000
1/31/91 10440 10442
2/28/91 11180.196 11189.6472
3/31/91 11440.69457 11455.9608
4/30/91 11461.28782 11488.03749
5/31/91 11954.12319 11979.7255
6/30/91 11409.01518 11432.25204
7/31/91 11936.11168 11967.28144
8/31/91 12220.19113 12248.51255
9/30/91 12007.55981 12047.63695
10/31/91 12170.86262 12209.07528
11/30/91 11680.37686 11715.82864
12/31/91 13011.93982 13054.94785
1/31/92 12773.82132 12812.12582
2/29/92 12938.60362 12976.12103
3/31/92 12690.18243 12721.78906
4/30/92 13053.12164 13091.99312
5/31/92 13126.21913 13162.68989
6/30/92 12928.01322 12971.83088
7/31/92 13439.96254 13494.59567
8/31/92 13168.4753 13222.00484
9/30/92 13314.64537 13374.05789
10/31/92 13357.25224 13422.2045
11/30/92 13810.06309 13874.53279
12/31/92 13963.35479 14056.28917
1/31/93 14069.47629 14158.90008
2/28/93 14249.56558 14350.04523
3/31/93 14545.95655 14658.57121
4/30/93 14183.76223 14299.43621
5/31/93 14556.79517 14685.52099
6/30/93 14590.2758 14733.98321
7/31/93 14526.07859 14664.73349
8/31/93 15063.5435 15223.45983
9/30/93 14956.59234 15110.80623
10/31/93 15258.7155 15417.5556
11/30/93 15116.80945 15272.63057
12/31/93 15305.76957 15460.48393
1/31/94 15800.14593 15978.41014
2/28/94 15371.96197 15546.99307
3/31/94 14710.96761 14870.69887
4/30/94 14909.56567 15064.01795
5/31/94 15140.66394 15309.56145
6/30/94 14774.25987 14931.41528
7/31/94 15251.46846 15425.64512
8/31/94 15872.20323 16053.46888
9/30/94 15503.96811 15666.58028
10/31/94 15838.85383 16025.34497
11/30/94 15274.99063 15437.21481
12/31/94 15502.58799 15662.59815
1/31/95 15897.90398 16069.8257
2/28/95 16517.92224 16693.33493
3/31/95 16995.29019 17187.45765
4/30/95 17481.35549 17687.61267
5/31/95 18184.10598 18386.27337
6/30/95 18605.97724 18818.35079
7/31/95 19219.97449 19445.00187
8/31/95 19254.57044 19497.50338
9/30/95 20076.7406 20314.44877
<PAGE>
10/31/95 19996.43364 20243.3482
11/30/95 20856.28029 21134.05552
12/31/95 21250.46398 21525.03555
1/31/96 21979.3549 22265.49677
2/29/96 22163.98148 22479.24554
3/31/96 22381.1885 22695.04629
4/30/96 22705.71573 23028.66348
5/31/96 23273.35862 23622.80299
6/30/96 23366.45206 23719.65648
7/31/96 22326.64494 22664.13177
8/31/96 22804.43514 23144.61136
9/30/96 24072.36174 24445.33852
10/31/96 24727.12998 25115.1408
11/30/96 26586.61015 27021.37999
Annualized One Five From
Total Return(%) Year Years January 1991
- ----------------------------------------------------------------------------
27.48 17.88 17.97
* The portfolio provides access to U.S. large companies by investing in the
U.S. Large Company Series of the DFA Investment Trust Company which in turn
invests primarily in the securities comprising the S&P 500 Index.
* This portfolio's returns in fiscal 1996 were reflective of the performance of
the S&P 500 Index.
Past performance is not predictive of future performance.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Enhanced U.S. Large Company Portfolio vs.
S&P 500 Index
August 1996-November 1996
The following reflects the growth of a $10,000 investment.
Enhanced U.S. Large
Company Portfolio S&P 500 Index
------------------- -------------
7/31/96 10000 10000
8/31/96 10203 10212
9/30/96 10801.9161 10785.9144
10/31/96 11167.02086 11081.44845
11/30/96 12010.13094 11922.53039
Annualized From
Total Return(%) August 1996
- --------------------------------------------
20.10
* The portfolio invests in the Enhanced U.S. Large Company Series, which in
turn seeks to capture return premiums associated with an enhanced cash
portfolio in combination with the S&P 500 Index futures and swaps.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. Small Cap Value Portfolio vs.
Fama-French Small Cap Value Index
March 1993-November 1996
The following reflects the growth of a $10,000 investment.
U.S. Small Cap Fama-French
Value Portfolio Small Cap Value Index
--------------- ---------------------
Feb-93 10000 10000
Mar 93 10343 10372
Apr 93 10123.7284 10047.3564
May 93 10395.04432 10456.28381
Jun 93 10395.04432 10443.73626
Jul 93 10707.93516 10588.9042
Aug 93 11051.65987 10927.74913
Sep 93 11437.3628 11125.54139
Oct 93 11822.80193 11570.56305
Nov 93 11613.53834 11386.5911
Dec 93 11845.8091 11675.81051
Jan 94 12457.05285 12229.24393
Feb 94 12414.69887 12155.86846
Mar 94 12003.77234 11652.61551
Apr 94 12087.79875 11737.6796
May 94 12119.22702 11698.94526
Jun 94 11897.44517 11457.94699
Jul 94 12097.32225 11740.95828
Aug 94 12508.6312 12162.45868
Sep 94 12466.10186 12110.16011
Oct 94 12286.58999 11904.28739
Nov 94 11865.15995 11509.06505
Dec 94 11988.55762 11604.59029
Jan 95 12106.04548 11792.58465
Feb 95 12533.38889 12271.36358
Mar 95 12682.53622 12413.7114
Apr 95 13131.498 12803.50194
May 95 13493.92734 13076.21653
Jun 95 14028.28686 13507.73168
Jul 95 14785.81436 14050.74249
Aug 95 15256.00325 14501.77132
Sep 95 15448.22889 14743.95091
Oct 95 14689.72085 14086.3707
Nov 95 15236.17847 14482.19771
Dec 95 15499.76436 14709.56822
Jan 96 15445.51518 14916.97313
Feb 96 15783.77196 15149.67791
Mar 96 16219.40407 15660.22205
Apr 96 17059.5692 16200.49971
May 96 17724.8924 16837.17935
Jun 96 17354.44215 16569.4682
Jul 96 16274.99585 15686.31555
Aug 96 17017.13566 16335.72901
Sep 96 17583.80628 16752.2901
Oct 96 17713.92644 16703.70846
Nov 96 18553.56656 17468.73831
<PAGE>
Annualized One From
Total Return(%) Year March 1993
- ----------------------------------------------------------------------------
21.77 17.92
* The portfolio seeks to capture return premiums associated with high
book-to-market ratios by investing in the U.S. Small Cap Value Series of the
DFA Investment Trust Company which in turn invests on a market cap-weighted
basis in companies that have market caps of approximately $600 million or
less and book-to-market ratios in the upper 30% of publicly traded U.S.
companies.
* This portfolio's returns in fiscal 1996 reflected the performance of small
U.S. companies with high book-to-market ratios.
Past performance is not predictive of future performance.
Fama-French Small Cap Value Index courtesy of
Fama-French and CRSP, University of Chicago.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
U.S. Large Cap Value Portfolio vs.
Fama-French Large Cap Value Index
March 1993-November 1996
The following reflects the growth of a $10,000 investment.
U.S. Large Cap Fama-French Large Cap
Value Portfolio Value Index
--------------- ---------------------
2/28/93 10000 10000
3/31/93 10109 10302
4/30/93 10079.6839 10247.3994
5/31/93 10188.54449 10333.47755
6/30/93 10396.39079 10500.87989
7/31/93 10545.05918 10622.6901
8/31/93 10802.35863 10979.61249
9/30/93 10614.39759 10868.7184
10/31/93 10742.8318 10906.75891
11/30/93 10633.25491 10742.06685
12/31/93 10894.83298 11018.13797
1/31/94 11197.70934 11241.80617
2/28/94 10693.81242 10748.29088
3/31/94 10260.71302 10273.21643
4/30/94 10421.80621 10418.06878
5/31/94 10350.93793 10290.96834
6/30/94 10135.63842 10097.49813
7/31/94 10574.51156 10541.78805
8/31/94 10881.1724 10821.14543
9/30/94 10563.44216 10422.92728
10/31/94 10769.42929 10620.9629
11/30/94 10285.88191 10372.43237
12/31/94 10400.0552 10403.54967
1/31/95 10639.25647 10809.2881
2/28/95 11242.50231 11311.92
3/31/95 11419.0096 11354.9053
4/30/95 11826.66824 11718.26226
5/31/95 12442.83766 12346.36112
6/30/95 12715.3358 12550.07608
7/31/95 13272.26751 12926.57836
8/31/95 13661.14495 13163.13475
9/30/95 14133.82056 13694.92539
10/31/95 13552.92054 13395.00652
11/30/95 14295.62058 13886.60326
12/31/95 14389.97168 14233.76835
1/31/96 14800.08587 14571.10866
2/29/96 15016.16713 14568.19443
3/31/96 15534.22489 14807.11282
4/30/96 15793.64645 14823.40065
5/31/96 16052.66225 15047.234
6/30/96 15582.31925 15044.22455
7/31/96 14885.78958 14212.27893
8/31/96 15484.19832 14675.59923
9/30/96 15784.59176 14961.77341
10/31/96 16297.591 15413.61897
11/30/96 17477.53658 16281.40572
<PAGE>
Annualized One From
Total Return(%) Year March 1993
- ----------------------------------------------------------------------------
22.26 16.05
* The portfolio seeks to capture return premiums associated with high
book-to-market ratios by investing in the U.S. Large Cap Value Series of the
DFA Investment Trust Company which in turn invests on a market cap-weighted
basis in companies that have market caps of approximately $600 million or
more and book-to-market ratios in the upper 30% of publicly traded companies.
* This portfolio's returns in fiscal 1996 reflected the performance of large
U.S. companies with high book-to-market ratios.
Past performance is not predictive of future performance.
Fama-French Small Cap Value Index courtesy of
Fama-French and CRSP, University of Chicago.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DFA/AEW Real Estate Securities Portfolio vs.
S&P 500 Index
January 1993-November 1996
The following reflects the growth of a $10,000 investment.
DFA/AEW
Real Estate S&P
Securities Portfolio 500 Index
- ----------------------------------------------------
12/31/92 10000 10000
1/31/93 10370 10073
2/28/93 10419.776 10208.9855
3/31/93 10779.25827 10428.47869
4/30/93 10339.46453 10172.98096
5/31/93 10349.804 10447.65145
6/30/93 10660.29812 10482.1287
7/31/93 10940.66396 10432.86269
8/31/93 11341.09226 10830.35476
9/30/93 11851.44141 10750.21013
10/31/93 11691.44695 10968.4394
11/30/93 11109.21289 10865.33607
12/31/93 11545.80496 10998.9797
1/31/94 11800.96725 11367.44552
2/28/94 11739.60222 11060.52449
3/31/94 11096.27202 10579.39168
4/30/94 11065.20246 10716.92377
5/31/94 11004.34384 10891.60963
6/30/94 10729.23525 10622.58687
7/31/94 10760.35003 10974.1945
8/31/94 10944.35202 11420.84421
9/30/94 10587.56614 11145.60187
10/31/94 10148.18215 11400.83615
11/30/94 9804.158771 10982.42546
12/31/94 10576.72648 11142.76887
1/31/95 10278.4628 11432.48086
2/28/95 10449.08528 11876.06112
3/31/95 10428.18711 12227.59253
4/30/95 10375.00335 12583.41547
5/31/95 10791.04099 13080.46039
6/30/95 11015.49464 13387.8512
7/31/95 11143.27438 13833.66665
8/31/95 11217.93432 13871.01755
9/30/95 11409.76099 14452.21319
10/31/95 11046.93059 14401.63044
11/30/95 11178.38907 15035.30218
12/31/95 11853.56377 15313.45527
1/31/96 11967.35798 15840.23813
2/29/96 12114.55648 15992.30442
3/31/96 12125.45958 16145.83054
4/30/96 12114.54667 16383.17425
5/31/96 12375.00942 16805.86014
6/30/96 12601.4721 16874.76417
7/31/96 12658.17872 16123.83716
8/31/96 13111.34152 16465.66251
9/30/96 13394.54649 17391.03274
10/31/96 13722.71288 17867.54704
11/30/96 14334.74588 19223.69386
<PAGE>
Annualized One From
Total Return (%) Year January 1993
- -----------------------------------------------
28.24 9.63
* This portfolio invests in equity REITs. The portfolio invests on a market
cap-weighted basis.
* This portfolio's returns in fiscal 1996 reflected the performance of U.S.
Equity REITs.
* The portfolio does not purchase health care REITs.
The index to which the DFA/AEW Real Estate Securities Portfolio is compared
has been changed from the NAREIT Index (excluding Health Care REITs) to the
S&P 500 Index. There are two reasons for this change:
1) The S&P 500 Index is a broad-based index, whereas the NAREIT Index is
composed of securities mainly within one particular industry;
2) The NAREIT Index cannot be obtained in a timely manner in order to compare
the portfolio to the index for the fiscal year.
Past performance is not predictive of future performance.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Japanese Small Company Portfolio vs.
Japanese Large Company Stocks
December 1986-November 1996
The following reflects the growth of a $10,000 investment.
Japanese Small Japanese Large
Company Portfolio Company Stocks
----------------- --------------
11/30/86 10000 10000
12/31/86 10094 10629
1/31/87 10819.7586 12240.3564
2/28/87 10986.38288 12425.18578
3/31/87 11887.26628 13820.53414
4/30/87 12639.73023 15957.18872
5/31/87 13898.64737 15928.46578
6/30/87 14490.72974 14749.75932
7/31/87 14848.65077 14220.24296
8/31/87 16906.67376 15956.53462
9/30/87 16803.54305 15431.56463
10/31/87 16470.8329 14288.08569
11/30/87 17309.1983 14876.75482
12/31/87 18934.53202 15079.07869
1/31/88 19601.02754 15828.5089
2/29/88 20867.25392 17077.37825
3/31/88 22209.01835 18306.94949
4/30/88 23608.18651 18493.68037
5/31/88 25123.83208 17678.10907
6/30/88 24176.66361 17055.83963
7/31/88 22728.48146 17744.89555
8/31/88 21912.52898 16479.6845
9/30/88 21978.26656 17282.24513
10/31/88 23138.71904 18536.93613
11/30/88 25552.08743 20353.55587
12/31/88 25079.37382 20408.51047
1/31/89 26890.10461 20371.77515
2/28/89 27403.7056 20828.10291
3/31/89 27063.89965 20105.36774
4/30/89 28622.78027 20109.38882
5/31/89 27752.64775 19079.78811
6/30/89 26856.23723 18095.27104
7/31/89 29772.82459 20505.56115
8/31/89 28641.45726 18988.14962
9/30/89 32473.68424 20330.6118
10/31/89 31769.00529 19789.81752
11/30/89 33379.69386 20797.11924
12/31/89 34738.2474 20851.19175
1/31/90 34116.43277 19510.46012
2/28/90 32946.23913 17518.44214
3/31/90 27823.09894 14153.1494
4/30/90 25363.537 14287.60432
5/31/90 30289.13588 16326.44546
6/30/90 30567.79593 15536.2455
7/31/90 32007.53912 15379.32942
8/31/90 27171.19996 13832.16888
9/30/90 22750.44573 11577.52535
10/31/90 29821.28426 14458.01366
11/30/90 23660.20693 12653.65356
12/31/90 23149.14646 13306.58208
1/31/91 22102.80504 13692.47296
2/28/91 27131.19319 15320.508
3/31/91 26393.22473 14350.71984
4/30/91 27332.82353 14822.85852
5/31/91 26890.03179 14705.75794
6/30/91 25074.95465 13646.94337
7/31/91 25007.25227 14098.65719
8/31/91 22243.95089 13310.54226
9/30/91 25084.50342 14473.88365
10/31/91 26908.14682 15180.20917
11/30/91 24039.73837 14038.65744
12/31/91 24794.58615 14480.87515
1/31/92 23924.29618 13832.13194
2/29/92 22799.85426 12667.46643
3/31/92 20228.0307 11296.84657
4/30/92 18223.43286 10605.47956
5/31/92 20718.22082 11469.82614
6/30/92 18801.78539 10421.48403
<PAGE>
7/31/92 17354.04791 10283.92044
8/31/92 19712.46303 12118.57185
9/30/92 19546.87834 11822.8787
10/31/92 18401.43127 11290.84915
11/30/92 18508.15957 11585.54032
12/31/92 18323.07797 11423.34275
1/31/93 17930.9641 11354.8027
2/28/93 18886.68449 11851.00757
3/31/93 21914.22001 13521.99964
4/30/93 25736.05998 15872.12318
5/31/93 29135.79351 16324.47869
6/30/93 27536.23844 16100.83333
7/31/93 28590.87638 17189.24967
8/31/93 29042.61222 17567.41316
9/30/93 27494.64099 16669.71835
10/31/93 25242.8299 16626.37708
11/30/93 20272.51669 13894.66332
12/31/93 20917.18272 14285.10336
1/31/94 25090.16067 16690.71477
2/28/94 26347.17772 17403.40829
3/31/94 26866.21712 16668.98446
4/30/94 27924.74608 17329.07625
5/31/94 28203.99354 17732.84372
6/30/94 30592.87179 18642.53861
7/31/94 29491.52841 17967.67871
8/31/94 29137.63007 18093.45246
9/30/94 27820.60919 17619.404
10/31/94 28557.85533 18146.22418
11/30/94 26270.37112 17228.02524
12/31/94 27084.75262 17451.98957
1/31/95 26161.16256 16321.10064
2/28/95 24424.06136 15620.92543
3/31/95 25828.44489 17034.61918
4/30/95 26750.52038 17891.46052
5/31/95 23973.81636 16757.14193
6/30/95 22698.40933 16003.07054
7/31/95 24555.13921 17174.4953
8/31/95 24577.23884 16595.71481
9/30/95 23729.3241 16615.62967
10/31/95 22891.67896 15788.17131
11/30/95 24551.32568 16714.93697
12/31/95 26117.70026 17592.47116
1/31/96 26676.61905 17340.89882
2/29/96 26183.10159 17037.43309
3/31/96 27102.12846 17628.63202
4/30/96 29937.0111 18649.32981
5/31/96 28712.58734 17700.07893
6/30/96 28393.87762 17781.49929
7/31/96 26173.47639 16970.66292
8/31/96 25440.61905 16215.46842
9/30/96 25539.83747 16765.1728
10/31/96 23744.38689 15660.34791
11/30/96 23010.68534 15965.7247
<PAGE>
Annualized One Five Ten
Total Return(%) Year Years Years
- ----------------------------------------------------------------------------
-6.28 -0.87 8.69
* The portfolio's objective is to capture premium returns and diversification
benefits by investing in the Japanese Small Company Series which in turn
invests in a broad cross-section of small companies on a market cap-weighted
basis. The Japanese Small Company Portfolio provides access to publicly
traded small companies listed on the lower half of companies on the first
section of Tokyo Stock Exchange. Currently, these companies have market
capitalization of approximately $780 million or less.
* Prior to August 9, 1996, the portfolio invested directly in the Japanese
Small Company Stock.
* This portfolio's returns in fiscal 1996 reflected the performance of small
cap companies in Japan.
Past performance is not predictive of future performance.
Japanese Large Company Stocks courtesy of Morgan Stanley Capital International.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Pacific Rim Small Company Portfolio vs.
Pacific Rim Large Company Stocks
February 1993-November 1996
The following reflects the growth of a $10,000 investment.
Pacific Rim Pacific Rim
Small Company Large Company
Portfolio Stocks
------------------- -----------------
1/31/93 10000 10000
2/28/93 0741 10770
3/31/93 11294.1615 10953.09
4/30/93 12400.98933 11511.69759
5/31/93 13419.11055 11949.1421
6/30/93 13043.37546 11590.66784
7/31/93 13280.76489 11996.34121
8/31/93 13626.06478 12908.06314
9/30/93 14179.28301 13153.31634
10/31/93 16016.91808 15284.15359
11/30/93 16374.09536 14825.62898
12/31/93 19034.88585 17909.35981
1/31/94 17986.06364 17425.80709
2/28/94 18176.71592 16571.94255
3/31/94 16257.25472 14782.17275
4/30/94 16676.69189 15462.1527
5/31/94 16686.6979 15972.40374
6/30/94 16226.14504 15269.61797
7/31/94 16685.34494 16078.90773
8/31/94 17654.76349 17156.19454
9/30/94 18255.02544 16710.13348
10/31/94 18415.66967 16977.49562
11/30/94 17073.16735 15619.29597
12/31/94 16738.53327 15385.00653
1/31/95 14952.53177 14061.89597
2/28/95 15493.81342 15369.65229
3/31/95 15548.04177 15538.71847
4/30/95 15299.2731 15740.72181
5/31/95 15830.15787 16811.09089
6/30/95 15895.06152 16491.68017
7/31/95 16923.472 17167.83905
8/31/95 16610.38777 16721.47524
9/30/95 16751.57607 16938.85442
10/31/95 16242.32815 16633.95504
11/30/95 16005.19016 16783.66063
12/31/95 16259.67269 17438.2234
1/31/96 17383.21607 18589.14614
2/29/96 17485.77704 18867.98333
3/31/96 17760.30374 19113.26712
4/30/96 19181.12804 19648.4386
5/31/96 18630.62967 19451.95421
6/30/96 18114.56123 19082.36708
7/31/96 17507.72343 18128.24873
8/31/96 18011.94586 18944.01992
9/30/96 18287.52863 19436.56444
10/31/96 18483.20519 19961.35168
11/30/96 19056.18455 21039.26467
<PAGE>
Annualized One From
Total Return (%) Year February 1993
- ---------------------------------------------------------------------
19.06 18.32
* The portfolio's objective is to capture premium returns and diversification
benefits by investing in the Pacific Rim Small Company Series which in turn
invests in a broad cross-section of small companies on a market cap-weighted
basis. The Pacific Rim Small Company Portfolio provides access to publicly
traded small companies listed on the major exchanges of Hong Kong, Singapore,
Australia, Korea and Malaysia. Currently, these companies have market
capitalization of approximately $625 million or less.
* Prior to August 9, 1996, the portfolio invested directly in the Pacific Rim
Small Company Stocks.
* This portfolio's returns in fiscal 1996 reflected the performance of small
companies in the Pacific Rim Region.
Past performance is not predictive of future performance.
Pacific Rim Large Company Stocks courtesy of Morgan Stanley Capital
International.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
United Kingdom Small Company Portfolio vs.
United Kingdom Large Company Stocks
December 1986-November 1996
The following reflects the growth of a $10,000 investment.
United Kingdom United Kingdom
Small Company Portfolio Large Company Stocks
----------------------- ---------------------
11/30/86 10000 10000
12/31/86 10642 10610
1/31/87 11767.9236 11734.66
2/28/87 13251.85877 13095.88056
3/31/87 14614.14985 13868.53751
4/30/87 15654.67732 14700.64976
5/31/87 16584.56515 15494.48485
6/30/87 18000.88701 16207.23115
7/31/87 19345.55327 16661.03363
8/31/87 18968.31498 16357.80281
9/30/87 19753.60322 17214.95168
10/31/87 16322.40234 13434.54829
11/30/87 14744.02604 12860.89308
12/31/87 16116.69486 14534.09527
1/31/88 16000.65466 14359.68613
2/29/88 15967.05328 14187.36989
3/31/88 17282.73847 15130.82999
4/30/88 17714.80694 15634.68663
5/31/88 17773.2658 15287.59659
6/30/88 17135.20556 14894.70535
7/31/88 17457.34742 14964.71047
8/31/88 16413.39805 14011.45841
9/30/88 16639.90294 14662.99123
10/31/88 17859.60782 15673.27132
11/30/88 18232.87363 15956.95754
12/31/88 17195.42312 15553.24651
1/31/89 18221.98988 17187.89272
2/28/89 18755.89418 16962.73132
3/31/89 18680.8706 17005.13815
4/30/89 18693.94721 17295.92601
5/31/89 17420.88941 16176.8796
6/30/89 17140.41309 16183.35035
7/31/89 18816.74549 18552.59284
8/31/89 17633.1722 18027.55447
9/30/89 17934.69944 18087.0454
10/31/89 15520.6889 16377.81961
11/30/89 15424.46063 17201.62393
12/31/89 16118.56135 18686.12408
1/31/90 16953.50283 19020.6057
2/28/90 16539.83736 18469.00813
3/31/90 15740.96322 17926.0193
4/30/90 14765.0235 16771.58365
5/31/90 15918.17183 19067.61345
6/30/90 17086.56565 20213.57702
7/31/90 18024.6181 21185.85008
8/31/90 16213.14398 19842.66718
9/30/90 14549.67541 18058.8114
10/31/90 15281.52408 19467.39869
11/30/90 15081.33612 20242.20116
12/31/90 15043.63278 20260.41914
1/31/91 14614.88924 20823.65879
2/28/91 16124.6073 22441.65708
3/31/91 16148.79421 21157.9943
4/30/91 16100.34783 21141.0679
5/31/91 15718.76959 20986.73811
6/30/91 14464.41177 19379.15397
7/31/91 15139.8998 21528.30214
8/31/91 15680.39423 22025.60592
9/30/91 17333.10778 23038.78379
10/31/91 17173.64319 23299.12205
11/30/91 16974.42893 21561.00755
12/31/91 17264.69166 23389.38099
1/31/92 17035.07126 23249.0447
2/29/92 16953.30292 22832.8868
3/31/92 16100.55178 21296.23352
4/30/92 17895.76331 24222.336
5/31/92 19436.58853 25632.07596
6/30/92 18657.18133 24827.22877
<PAGE>
7/31/92 16789.59748 23675.24536
8/31/92 16223.78804 23637.36497
9/30/92 15329.85732 23360.8078
10/31/92 13585.31956 21487.27101
11/30/92 13420.93719 21753.71317
12/31/92 14854.29328 22695.64895
1/31/93 15788.62833 22380.17943
2/28/93 15499.69643 21914.6717
3/31/93 16739.67215 23472.80486
4/30/93 17886.33969 24249.7547
5/31/93 18108.1303 24421.92796
6/30/93 17793.04883 23987.21764
7/31/93 17487.00839 23958.43298
8/31/93 18922.69178 25630.7316
9/30/93 18854.57009 25353.9197
10/31/93 18914.90472 26253.98385
11/30/93 18309.62776 26169.9711
12/31/93 19402.71254 28245.24981
1/31/94 22035.66063 29784.61592
2/28/94 21940.90729 28417.50205
3/31/94 20677.11103 27022.2027
4/30/94 21421.48703 27846.37988
5/31/94 20755.27878 26626.70844
6/30/94 20122.24278 26794.45671
7/31/94 20615.23773 28337.81741
8/31/94 21334.70953 29706.53399
9/30/94 21048.82442 28200.41272
10/31/94 21446.6472 29951.65835
11/30/94 20479.40341 28801.51467
12/31/94 20303.28054 28772.71316
1/31/95 20242.3707 28352.63154
2/28/95 19924.56548 28565.27628
3/31/95 20755.41986 30579.12826
4/30/95 21286.75861 31254.92699
5/31/95 22021.15178 31958.16285
6/30/95 21959.49256 31990.12101
7/31/95 22905.94668 33733.58261
8/31/95 22878.45955 33143.24491
9/30/95 23338.31659 34260.17227
10/31/95 23020.91548 34404.06499
11/30/95 22199.0688 34393.74377
12/31/95 22485.43679 35325.81423
1/31/96 22584.37271 35265.76034
2/29/96 23383.8595 35812.37963
3/31/96 24085.37529 36020.09143
4/30/96 25231.83915 36949.40979
5/31/96 26160.37083 37581.24469
6/30/96 25922.31146 37359.51535
7/31/96 25053.91402 37393.13891
8/31/96 25913.26327 39236.62066
9/30/96 26099.83877 39840.86462
10/31/96 27355.24101 41856.81237
11/30/96 28134.86538 43928.72458
<PAGE>
Annualized One Five Ten
Total Return(%) Year Years Years
- ----------------------------------------------------------------------------
26.74 10.63 10.90
* The portfolio's objective is to capture premium returns and diversification
benefits by investing in the U.K. Small Company Series which in turn invests
in a broad cross-section of small companies on a market cap-weighted basis.
The United Kingdom Small Company Portfolio provides access to publicly traded
small companies in the lower half by market cap of companies traded on the
London Stock Exchange. Currently these companies have market capitalization
of approximately $550 million or less.
* Prior to August 9, 1996, the portfolio invested directly in the United
Kingdom Small Company Stocks.
* This portfolio's returns in fiscal 1996 reflected the performance of small
companies in the United Kingdom.
Past performance is not predictive of future performance.
United Kingdom Large Company Stocks courtesy of Morgan Stanley Capital
International.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Continental Small Company Portfolio vs.
Continental Large Company Stocks
July 1988-November 1996
The following reflects the growth of a $10,000 investment.
Continental Small Continental Large
Company Portfolio Company Stocks
----------------- -----------------
6/30/88 10000 10000
7/31/88 9841 9978
8/31/88 9791.795 9678.66
9/30/88 10437.07429 10244.86161
10/31/88 11399.37254 11288.81301
11/30/88 11905.50468 11444.59863
12/31/88 12045.98964 11675.77952
1/31/89 12255.58986 11569.52993
2/28/89 12315.64225 11556.80344
3/31/89 12475.7456 11655.03627
4/30/89 13285.42148 12089.76913
5/31/89 13005.09909 11617.05915
6/30/89 13465.4796 12332.67
7/31/89 14475.39057 13557.30413
8/31/89 14495.65612 13489.51761
9/30/89 15755.32863 13909.0416
10/31/89 15196.01447 13235.84399
11/30/89 16145.76537 13994.25785
12/31/89 17429.35372 15558.81588
1/31/90 17347.43575 15446.7924
2/28/90 17049.05986 15113.14169
3/31/90 17831.61171 15684.41844
4/30/90 18273.83568 15576.19596
5/31/90 18789.15784 16355.00576
6/30/90 19437.38379 16732.80639
7/31/90 20630.83915 17438.93082
8/31/90 18285.11274 15290.45454
9/30/90 16370.66144 13246.12077
10/31/90 17328.34513 14401.1825
11/30/90 16711.45604 14173.64382
12/31/90 16719.81177 13915.6835
1/31/91 16248.31308 14356.81067
2/28/91 17362.94736 15681.94429
3/31/91 15949.60344 14493.25291
4/30/91 15949.60344 14374.40824
5/31/91 16013.40186 15019.81917
6/30/91 15081.42187 13771.6722
7/31/91 15413.21315 14322.53908
8/31/91 15413.21315 14520.19012
9/30/91 15874.06822 14886.09891
10/31/91 15370.86026 14627.08079
11/30/91 15189.48411 14532.00477
12/31/91 16030.98153 15605.91992
1/31/92 15766.47033 15710.47958
2/29/92 15686.06134 15933.56839
3/31/92 15489.98557 15605.33689
4/30/92 15420.28063 15856.58281
5/31/92 16017.04549 16768.33632
6/30/92 16085.91879 16684.49464
7/31/92 15683.77082 16118.89027
8/31/92 15741.80077 16067.30982
9/30/92 14833.49887 15826.30017
10/31/92 13661.65246 14829.24326
11/30/92 13086.49689 14710.60932
12/31/92 12850.93994 14872.42602
1/31/93 13253.17436 15140.12969
2/28/93 13253.17436 15670.03423
3/31/93 13962.21919 16281.16556
4/30/93 14576.55684 16574.22654
5/31/93 14599.87933 16806.26571
6/30/93 13831.92568 16520.5592
7/31/93 13772.4484 16652.72367
8/31/93 15273.64527 18301.34331
9/30/93 15308.77465 18337.946
10/31/93 15426.65222 19144.81562
11/30/93 15082.63788 18455.60226
12/31/93 16102.2242 19858.22803
1/31/94 17316.3319 20950.43058
<PAGE>
2/28/94 17544.90748 20384.76895
3/31/94 18109.8535 20262.46034
4/30/94 18807.08286 21174.27105
5/31/94 18530.61874 20390.82302
6/30/94 18350.87174 20044.17903
7/31/94 18807.80845 21086.47634
8/31/94 18999.64809 21487.11939
9/30/94 18579.75587 20713.58309
10/31/94 18590.90373 21459.27208
11/30/94 17826.81758 20708.19756
12/31/94 17874.94999 20894.57134
1/31/95 17753.40033 20831.88763
2/28/95 18081.83824 21498.50803
3/31/95 18349.44944 22186.46029
4/30/95 18714.60349 23118.29162
5/31/95 19019.65152 23580.65745
6/30/95 19276.41682 23910.78666
7/31/95 19752.54431 25130.23677
8/31/95 18790.59541 23974.24588
9/30/95 18801.86976 24717.44751
10/31/95 18192.68918 24569.14282
11/30/95 17590.51117 24765.69596
12/31/95 17878.99555 25632.49532
1/31/96 18247.30286 25914.45277
2/29/96 19035.58635 26536.39964
3/31/96 19338.25217 27093.66403
4/30/96 19338.25217 27147.85136
5/31/96 19784.96579 27310.73847
6/30/96 19955.1165 27829.6425
7/31/96 19522.09047 27245.22
8/31/96 19600.17883 27762.87918
9/30/96 19337.53644 28318.13677
10/31/96 19679.81083 28657.95441
11/30/96 20047.82329 30033.53622
Annualized One Five From
Total Return(%) Year Years July 1988
- ----------------------------------------------------------------------------
13.97 5.71 8.61
* The portfolio's objective is to capture premium returns and diversification
benefits by investing in the Continental Small Company Series which in turn
invests in a broad cross-section of small companies on a market cap-weighted
basis. The Continental Small Company Portfolio provides access to publicly
traded small companies listed on the major exchanges of France, Germay,
Italy, Switzerland, the Netherlands, Belgium and Spain. Currently, these
companies have market capitalization of approximately $750 million or less.
* Prior to August 9, 1996, the portfolio invested directly in the Continental
Small Company Stock.
* This portfolio's returns in fiscal 1996 reflected the performance of small
companies in Continental Europe.
Past performance is not predictive of future performance.
Continental Large Company Stocks courtesy of Morgan Stanley Capital
International.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
International Small Company Portfolio vs.
EAFE Index
October 1996-November 1996
The following reflects the growth of a $10,000 investment.
International Small
Company Portfolio EAFE Index
------------------- ----------
9/30/96 10000 10000
10/31/96 9910 9900
11/30/96 9959.55 10296
Annualized From
Total Return(%) October 1996
- --------------------------------------------
-0.40
* The portfolio invests in four international series of the DFA Investment
Trust Company. The portfolio invests 35% in the Japanese Small Company
Series, 15% in the Pacific Rim Small Company Series, 35% in the Continental
Small Company Series, and 15% in the United Kingdom Small Company Series.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
RWB/DFA International High Book to Market Portfolio vs.
EAFE Index
July 1993-November 1996
The following reflects the growth of a $10,000 investment.
RWB/DFA
International High Book
to Market Portfolio EAFE Index
----------------------- ----------
6/30/93 10000 10000
7/31/93 10383 10350
8/31/93 10983.1374 10908.9
9/30/93 10776.65442 10668.9042
10/31/93 11046.07078 10999.64023
11/30/93 10290.51954 10042.67153
12/31/93 11110.67394 10765.74388
1/31/94 12045.08162 11680.83211
2/28/94 11921.01728 11645.78961
3/31/94 11599.14981 11145.02066
4/30/94 11983.08167 11624.25655
5/31/94 12056.17847 11554.51101
6/30/94 12191.20767 11716.27416
7/31/94 12430.15534 11833.43691
8/31/94 12616.60767 12117.43939
9/30/94 12169.97976 11741.79877
10/31/94 12678.68491 12141.01993
11/30/94 12010.51822 11558.25097
12/31/94 12084.98343 11627.60048
1/31/95 11601.58409 11185.75166
2/28/95 11570.25982 11152.1944
3/31/95 12252.90515 11854.78265
4/30/95 12631.51992 12305.26439
5/31/95 12558.2571 12157.60122
6/30/95 12432.67453 11950.922
7/31/95 13126.41777 12703.83008
8/31/95 12674.869 12221.08454
9/30/95 12748.38324 12465.50623
10/31/95 12506.16395 12128.93756
11/30/95 12845.081 12468.54782
12/31/95 13470.63644 12979.75828
1/31/96 13598.60749 13031.67731
2/29/96 13684.27872 13083.80402
3/31/96 13877.22705 13358.5639
4/30/96 14412.88801 13745.96226
5/31/96 14273.083 13498.53494
6/30/96 14325.8934 13579.52615
7/31/96 13940.52687 13185.71989
8/31/96 13993.50087 13212.09133
9/30/96 14239.78649 13568.81779
10/31/96 14100.23658 13433.12961
11/30/96 14720.64699 13970.4548
<PAGE>
Annualized One From
Total Return(%) Year July 1993
- ----------------------------------------------------------------------------
14.60 11.98
* This portfolio invests in the DFA International Value Series of the DFA
Investment Trust Company which in turn invests in companies with market
capitalization greater than $500 million and book-to-market ratios in the
upper 30% of large publicly traded international companies. Country
weightings reflect the EAFE Index market capitalization weight, with Japan
limited to 38%.
* This portfolio's returns in fiscal 1996 reflected the performance of large,
high book-to-market international companies.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Emerging Markets Portfolio vs.
MSCI Emerging Markets Free Equal-Weighted Index
The following reflects the growth of a $10,000 investment.
Emerging Markets MSCI Emerging Markets
Portfolio Free Equal-Weighted Index
----------------- -------------------------
4/30/94 10000 10000
5/31/94 10445 10455
6/30/94 10485.7355 10245.9
7/31/94 11245.95132 10947.74415
8/31/94 12253.58856 12330.44424
9/30/94 12377.34981 12450.04955
10/31/94 12007.26705 12296.91394
11/30/94 11617.03087 11787.8217
12/31/94 10773.63443 11164.24593
1/31/95 9775.99588 10046.70491
2/28/95 9714.407105 9808.598007
3/31/95 10136.01237 10233.3103
4/30/95 10629.63618 10974.20197
5/31/95 11380.08849 11643.62829
6/30/95 11441.54097 11626.16284
7/31/95 11893.48184 11905.19075
8/31/95 11441.52953 11305.16914
9/30/95 11225.28462 11141.24419
10/31/95 10834.64471 10771.35488
11/30/95 10690.54394 10578.54763
12/31/95 11004.84593 11017.55735
1/31/96 12182.36445 11984.89889
2/29/96 11924.09832 11830.29369
3/31/96 12017.10629 11883.53001
4/30/96 12358.3921 12270.93309
5/31/96 12358.3921 12210.80552
6/30/96 12451.08005 12417.16813
7/31/96 11386.5127 11467.25477
8/31/96 11706.47371 11759.66977
9/30/96 11954.65095 12046.60571
10/31/96 11685.6713 11734.59862
11/30/96 12099.34407 12137.09536
Annualized One From
Total Return(%) Year May 1994
- ----------------------------------------------------------------------------
13.18 7.66
* This portfolio invests in the Emerging Markets Series which in turn provides
access to non-U.S. large companies in "emerging market" countries including
Argentina, Brazil, Indonesia, Israel, Malaysia, Mexico, Portugal, Thailand,
Turkey and the Philippines. Investment is based on market capitalization,
with investments attempting to capture between 40% and 75% of the largest
companies in each country. The portfolio attempts to have equal
country-weighting.
* This portfolio's returns in fiscal 1996 reflected the performance of an
equally-weighted emerging markets country portfolio.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Equal-Weighted Index is created by equal-weighting
the MSCI country returns for the 10 countries that Dimensional is currently
invested in. Courtesy of Morgan Stanley Capital International.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
Large Cap International Portfolio vs.
EAFE Index
August 1991-November 1996
The following reflects the growth of a $10,000 investment.
Large Cap
International Portfolio EAFE Index
----------------------- ----------
7/31/91 10000 10000
8/31/91 9865 9799
9/30/91 10337.5335 10353.6234
10/31/91 10636.28822 10502.71558
11/30/91 10288.48159 10015.38957
12/31/91 10880.06929 10535.18829
1/31/92 10539.52312 10312.89582
2/29/92 10072.62224 9946.788018
3/31/92 9401.785601 9293.284046
4/30/92 9392.383815 9339.750466
5/31/92 9966.258467 9968.315672
6/30/92 9538.705978 9498.808004
7/31/92 9411.841189 9258.488162
8/31/92 10121.49401 9842.698765
9/30/92 9868.456664 9655.687488
10/31/92 9295.099332 9153.591739
11/30/92 9362.953557 9245.127656
12/31/92 9450.96532 9291.353294
1/31/93 9362.126246 9291.353294
2/28/93 9607.413954 9579.385246
3/31/93 10363.51743 10412.79176
4/30/93 11090 11402.00698
5/31/93 11326.217 11641.44913
6/30/93 11130.27345 11466.82739
7/31/93 11494.23339 11868.16635
8/31/93 12103.42776 12509.04733
9/30/93 11818.99721 12233.84829
10/31/93 12142.83773 12613.09759
11/30/93 11194.48211 11515.7581
12/31/93 11894.13724 12344.89268
1/31/94 12730.29509 13394.20856
2/28/94 12362.38956 13354.02593
3/31/94 12003.88026 12779.80282
4/30/94 12432.41879 13329.33434
5/31/94 12313.06757 13249.35833
6/30/94 12502.68881 13434.84935
7/31/94 12661.47295 13569.19784
8/31/94 12970.41289 13894.85859
9/30/94 12502.18099 13464.11797
10/31/94 13009.76954 13921.89799
11/30/94 12398.31037 13253.64688
12/31/94 12524.77313 13333.16876
1/31/95 12164.05967 12826.50835
2/28/95 12078.91125 12788.02883
3/31/95 12885.78252 13593.67464
4/30/95 13341.93922 14110.23428
5/31/95 13183.17015 13940.91147
6/30/95 12981.46764 13703.91597
7/31/95 13714.92056 14567.26268
8/31/95 13173.1812 14013.7067
9/30/95 13395.80796 14293.98083
10/31/95 13204.24791 13908.04335
11/30/95 13559.44218 14297.46856
12/31/95 14158.76952 14883.66477
1/31/96 14126.20435 14943.19943
2/29/96 14082.41312 15002.97223
3/31/96 14373.91907 15318.03465
4/30/96 14762.01489 15762.25765
5/31/96 14578.9659 15478.53701
6/30/96 14664.9818 15571.40823
7/31/96 14244.09682 15119.8374
8/31/96 14308.19526 15150.07707
9/30/96 14728.8562 15559.12915
10/31/96 14599.24227 15403.53786
11/30/96 15278.10703 16019.67937
<PAGE>
Annualized One Five From
Total Return(%) Year Years August 1991
- ----------------------------------------------------------------------------
12.67 8.23 8.27
* This portfolio provides access to non-U.S. large companies in Europe,
Australia and the Far East (currently 11 countries). Investment will be based
on market capitalization, with investments made in the largest 50% of
companies in each country. Country weighting is designed to reflect each
country's market capitalization relative to the overall index, adjusted to
reflect cross-ownership.
* This portfolio's returns in fiscal 1996 reflected the performance of its
strategy.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DFA International Small Cap Value Portfolio vs.
EAFE Index
January 1995-November 1996
The following reflects the growth of a $10,000 investment.
DFA International
Small Cap Value Portfolio EAFE Index
------------------------- ----------
12/31/94 10000 10000
1/31/95 9930 9620
2/28/95 9780.057 9591.14
3/31/95 10099.86486 10195.38182
4/30/95 10359.43139 10582.80633
5/31/95 10169.8538 10455.81265
6/30/95 9979.67753 10278.06384
7/31/95 10369.88292 10925.58186
8/31/95 10109.59886 10510.40975
9/30/95 9959.976797 10720.61794
10/31/95 9640.261542 10431.16126
11/30/95 9728.951948 10723.23377
12/31/95 10116.16424 11162.88636
1/31/96 10317.4759 11207.53791
2/29/96 10427.8729 11252.36806
3/31/96 10568.64918 11488.66779
4/30/96 11121.38953 11821.83915
5/31/96 11181.44504 11609.04605
6/30/96 11030.49553 11678.70032
7/31/96 10578.24521 11340.01801
8/31/96 10527.46963 11362.69805
9/30/96 10527.46963 11669.4909
10/31/96 10396.92901 11552.79599
11/30/96 10507.13646 12014.90783
Annualized One From
Total Return(%) Year January 1995
- ----------------------------------------------------------------------------
8.00 2.61
* This portfolio invests in companies with market caps less than $500 million
and book-to-market ratios in the upper 30% of small publicly traded
international companies. Country weightings reflect the EAFE Index market
capitalization weight, with Japan limited to 38%.
* This portfolio's returns in fiscal 1996 reflected the performance of its
strategy.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DFA Intermediate Government Fixed Income Portfolio vs.
Lehman Treasury Index
November 1990-November 1996
The following reflects the growth of a $10,000 investment.
DFA Intermediate Government
Fixed Income Portfolio Lehman Treasury Index
--------------------------- ---------------------
10/31/90 10000 10000
11/30/90 10263 10221
12/31/90 10449.7866 10380.4476
1/31/91 10573.09408 10491.51839
2/28/91 10649.22036 10547.12344
3/31/91 10680.1031 10600.91377
4/30/91 10794.3802 10717.52382
5/31/91 10862.3848 10757.17866
6/30/91 10827.62517 10741.04289
7/31/91 10971.63258 10866.71309
8/31/91 11233.8546 11118.82083
9/30/91 11509.08404 11353.42795
10/31/91 11636.83487 11454.47346
11/30/91 11796.25951 11569.0182
12/31/91 12213.84709 11969.30623
1/31/92 11969.57015 11777.79733
2/29/92 11985.13059 11823.73074
3/31/92 11901.23468 11752.78835
4/30/92 12035.71863 11826.83092
5/31/92 12243.93656 12044.44461
6/30/92 12486.36651 12219.08905
7/31/92 12862.20614 12530.67582
8/31/92 13034.5597 12649.71724
9/30/92 13256.14722 12834.40312
10/31/92 13017.53657 12645.73739
11/30/92 12940.7331 12620.44592
12/31/92 13142.60854 12834.9935
1/31/93 13459.3454 13110.94586
2/28/93 13783.71563 13374.47587
3/31/93 13869.17466 13418.61164
4/30/93 13981.51498 13523.27681
5/31/93 13973.12607 13508.40121
6/30/93 14293.11066 13810.98939
7/31/93 14334.56068 13892.47423
8/31/93 14652.78792 14202.27641
9/30/93 14772.94079 14257.66528
10/31/93 14802.48667 14310.41864
11/30/93 14602.6531 14153.00404
12/31/93 14671.28557 14208.20076
1/31/94 14875.21644 14404.27393
2/28/94 14536.0615 14094.58204
3/31/94 14182.83521 13778.8634
4/30/94 14005.54977 13671.38826
5/31/94 13988.74311 13654.9826
6/30/94 13943.97913 13624.94164
7/31/94 14185.20997 13872.91557
8/31/94 14232.02116 13875.69016
9/30/94 14004.30882 13681.4305
10/31/94 13986.10322 13673.22164
11/30/94 13914.77409 13645.87519
<PAGE>
12/31/94 13975.9991 13729.11503
1/31/95 14231.75988 13983.10366
2/28/95 14607.47834 14280.94377
3/31/95 14683.43723 14370.91371
4/30/95 14912.49885 14559.17268
5/31/95 15564.17505 15147.36326
6/30/95 15691.80129 15267.02743
7/31/95 15613.34228 15210.53943
8/31/95 15794.45705 15386.98169
9/30/95 15928.70994 15534.69671
10/31/95 16151.71188 15775.48451
11/30/95 16427.90615 16020.00452
12/31/95 16643.11172 16249.09058
1/31/96 16776.25661 16351.45985
2/29/96 16465.89587 16016.25493
3/31/96 16269.95171 15876.91351
4/30/96 16120.26815 15775.30126
5/31/96 16060.62316 15750.06078
6/30/96 16277.44157 15950.08655
7/31/96 16308.36871 15988.36676
8/31/96 16262.70528 15954.79119
9/30/96 16555.43397 16216.44977
10/31/96 16939.52004 16573.21166
11/30/96 17246.12535 16859.92822
Annualized One Five From
Total Return(%) Year Years November 1990
- -------------------------------------------------------------------------------
4.98 7.89 9.37
* The portfolio employs a buy and hold strategy investing in securities with a
maturity generally between five and fifteen years and ordinarily maintaining
an average weighted maturity of seven to ten years. The investment universe
includes obligations of the U.S. Government, U.S. Government Agencies and AAA
rated dollar denominated obligations of foreign securities and
supranationals. Performance is expected to match or exceed the returns of the
Lehman Treasury Index without exceeding the volatility of that index.
Portfolio turnover is estimated to be no more than 30%.
* This portfolio's returns in fiscal 1996 reflected the performance of its
strategy.
Past performance is not predictive of future performance.
Lehman Treasury Index courtesy of Lehman Brothers.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DFA One-Year Fixed Income Portfolio vs.
One Month CD's
December 1986-November 1996
The following reflects the growth of a $10,000 investment.
DFA One-Year
Fixed Income One Month
Portfolio CD's
-------------- ----------
11/30/86 10000 10000
12/31/86 10054 10054
1/31/87 10118.3456 10107.2862
2/28/87 10160.84265 10154.79045
3/31/87 10210.63078 10209.62631
4/30/87 10196.3359 10263.73733
5/31/87 10220.8071 10313.00327
6/30/87 10312.79437 10370.75609
7/31/87 10374.67113 10426.75817
8/31/87 10421.35715 10482.01999
9/30/87 10424.48356 10536.5265
10/31/87 10553.74716 10600.79931
11/30/87 10613.90352 10656.98354
12/31/87 10699.87613 10714.53125
1/31/88 10817.57477 10769.17536
2/29/88 10904.11537 10826.25199
3/31/88 10954.2743 10884.71375
4/30/88 10990.42341 10940.22579
5/31/88 11021.19659 11002.58508
6/30/88 11106.05981 11066.40008
7/31/88 11147.15223 11129.47856
8/31/88 11199.54384 11205.15901
9/30/88 11296.97987 11276.87203
10/31/88 11385.09632 11351.29938
11/30/88 11421.52862 11423.9477
12/31/88 11491.19995 11500.48815
1/31/89 11584.27867 11587.89186
2/28/89 11630.61578 11664.37194
3/31/89 11716.68234 11758.85336
4/30/89 11830.33416 11843.5171
5/31/89 11955.7357 11944.187
6/30/89 12058.55503 12034.96282
7/31/89 12159.84689 12126.42854
8/31/89 12242.53385 12214.95146
9/30/89 12324.55883 12296.79164
10/31/89 12423.1553 12395.16597
11/30/89 12510.11738 12478.21358
12/31/89 12593.93517 12555.57851
1/31/90 12687.13029 12645.97867
2/28/90 12764.52179 12721.85455
3/31/90 12846.21472 12803.27441
4/30/90 12925.86126 12889.05635
5/31/90 13037.02366 12975.41303
6/30/90 13136.10504 13057.15813
7/31/90 13256.95721 13145.94681
8/31/90 13336.49895 13232.71006
9/30/90 13416.51795 13312.10632
10/31/90 13523.85009 13406.62227
11/30/90 13621.22181 13492.42465
12/31/90 13738.36432 13580.12541
1/31/91 13833.15903 13667.03822
2/28/91 13918.92462 13740.84022
3/31/91 14005.22195 13810.91851
4/30/91 14104.65903 13886.87856
5/31/91 14192.10791 13953.53558
6/30/91 14246.03792 14014.93113
7/31/91 14347.18479 14087.80878
8/31/91 14463.39699 14152.6127
9/30/91 14584.88952 14217.71471
10/31/91 14673.85735 14280.27266
11/30/91 14794.18298 14335.96572
12/31/91 14937.68655 14390.44239
1/31/92 14986.98092 14443.68703
2/29/92 15036.43796 14484.12935
3/31/92 15068.01448 14530.47857
4/30/92 15167.46337 14575.52305
5/31/92 15244.81744 14614.87696
6/30/92 15345.43323 14658.72159
<PAGE>
7/31/92 15460.52398 14701.23189
8/31/92 15534.73449 14737.98497
9/30/92 15635.71027 14773.35613
10/31/92 15645.09169 14805.85751
11/30/92 15627.88209 14839.91099
12/31/92 15712.27266 14879.97875
1/31/93 15811.25998 14914.2027
2/28/93 15876.08614 14945.52252
3/31/93 15950.70375 14981.39178
4/30/93 16027.26712 15014.35084
5/31/93 16038.48621 15044.37954
6/30/93 16105.84785 15077.47718
7/31/93 16154.1654 15110.64762
8/31/93 16230.08997 15145.40211
9/30/93 16290.14131 15177.20746
10/31/93 16321.09258 15207.56187
11/30/93 16350.47054 15242.53927
12/31/93 16404.42709 15276.07285
1/31/94 16486.44923 15309.68021
2/28/94 16453.47633 15340.29957
3/31/94 16446.89494 15377.11629
4/30/94 16437.0268 15414.02137
5/31/94 16471.54456 15460.26344
6/30/94 16525.90066 15508.19025
7/31/94 16623.40347 15556.26564
8/31/94 16686.5724 15609.15694
9/30/94 16714.93958 15660.66716
10/31/94 16770.09888 15718.61163
11/30/94 16758.35981 15775.19863
12/31/94 16808.63489 15839.87695
1/31/95 16966.63606 15911.15639
2/28/95 17127.8191 15976.39214
3/31/95 17232.2988 16049.88354
4/30/95 17344.30874 16115.68806
5/31/95 17528.15841 16193.04336
6/30/95 17626.3161 16264.29275
7/31/95 17717.97294 16337.48207
8/31/95 17806.56281 16409.36699
9/30/95 17884.91168 16476.6454
10/31/95 17979.70171 16552.43797
11/30/95 18064.20631 16623.61345
12/31/95 18149.10808 16691.77027
1/31/96 18227.14925 16768.55241
2/29/96 18298.23513 16833.94976
3/31/96 18378.74736 16897.91877
4/30/96 18441.2351 16967.20024
5/31/96 18502.09118 17033.37232
6/30/96 18600.15226 17094.69246
7/31/96 18685.71296 17169.90911
8/31/96 18775.40439 17238.58874
9/30/96 18886.17927 17307.5431
10/31/96 19022.15976 17378.50403
11/30/96 19132.48829 17444.54234
Annualized One Five Ten
Total Return (%) Year Years Years
- -------------------------------------------------------------
5.91 5.28 6.70
* The portfolio maximizes expected returns by investing in the DFA One-Year
Fixed Income Series of the DFA Investment Trust Company which uses a strategy
of shifting maturities based on changes in the yield curve. Using current
prices, the strategy creates a matrix of expected returns from different
buy and sell strategies and identifies the optimal maturity range for the
highest expected returns. Issues which meet maturity and quality level are
further evaluated for business risk. Maturities are shifted if sufficient
premiums can be documented.
* This portfolio's returns in fiscal 1996 reflected the performance of its
strategy.
Past performance is not predictive of future performance.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DFA Five-Year Government Portfolio vs.
Lehman Intermediate Government Index
June 1987-November 1996
The following reflects the growth of a $10,000 investment.
DFA Five-Year Lehman Intermediate
Government Portfolio Government Index
- -------------------------------------------------------------------------------
5/31/87 10000 10000
6/30/87 10110 10121
7/31/87 10130.22 10144.2783
8/31/87 10087.67308 10117.90318
9/30/87 9949.471955 9986.370435
10/31/87 10265.86516 10271.98063
11/30/87 10326.43377 10337.72131
12/31/87 10448.28569 10446.26738
1/31/88 10765.91357 10713.69182
2/29/88 10877.87907 10832.6138
3/31/88 10800.64613 10791.44987
4/30/88 10771.48439 10773.10441
5/31/88 10723.01271 10725.70275
6/30/88 10876.35179 10896.24142
7/31/88 10844.81037 10873.35931
8/31/88 10839.38796 10889.66935
9/30/88 11019.3218 11079.1496
10/31/88 11182.40777 11229.82603
11/30/88 11062.756 11134.37251
12/31/88 11108.1133 11144.39345
1/31/89 11204.75389 11261.40958
2/28/89 11248.45243 11214.11166
3/31/89 11319.31768 11261.21093
4/30/89 11432.51085 11486.43515
5/31/89 11546.83596 11713.86656
6/30/89 11687.70736 12009.056
7/31/89 11796.40304 12255.24165
8/31/89 11828.25333 12097.14903
9/30/89 11883.84612 12154.00563
10/31/89 12011.00327 12411.67055
11/30/89 12095.0803 12529.58142
12/31/89 12161.60324 12564.66425
1/31/90 12230.92438 12484.2504
2/28/90 12299.41755 12530.44212
3/31/90 12344.9254 12546.7317
4/30/90 12378.2567 12502.81814
5/31/90 12554.02794 12777.88014
6/30/90 12661.99258 12949.10373
7/31/90 12801.2745 13129.09627
8/31/90 12739.82838 13075.26698
9/30/90 12855.76082 13175.94653
10/31/90 13062.73857 13328.78751
11/30/90 13270.43611 13531.38508
12/31/90 13477.45492 13716.76506
1/31/91 13608.18623 13856.67606
2/28/91 13677.58798 13967.52947
3/31/91 13726.8273 14062.50867
4/30/91 13884.68581 14215.79002
5/31/91 13955.49771 14302.50633
6/30/91 13924.79561 14312.51809
7/31/91 14115.56531 14472.81829
8/31/91 14400.69973 14749.24912
9/30/91 14681.51338 15002.93621
10/31/91 14862.09599 15173.96968
11/30/91 15053.81703 15348.47033
12/31/91 15448.22703 15722.97301
1/31/92 15262.84831 15579.89395
2/29/92 15296.42658 15640.65554
3/31/92 15204.64802 15579.65698
4/30/92 15377.981 15716.75796
5/31/92 15617.87751 15960.36771
6/30/92 15906.80824 16196.58115
7/31/92 16264.71143 16518.89312
8/31/92 16471.27326 16684.08205
9/30/92 16743.04927 16910.98557
10/31/92 16460.09174 16691.14275
11/30/92 16346.51711 16627.71641
12/31/92 16575.36835 16850.52781
<PAGE>
1/31/93 16898.58803 17177.42805
2/28/93 17158.82628 17448.83141
3/31/93 17230.89335 17518.62674
4/30/93 17380.80213 17658.77575
5/31/93 17304.3266 17619.92645
6/30/93 17577.73496 17896.55929
7/31/93 17583.00828 17939.51103
8/31/93 17917.08544 18224.74926
9/30/93 17985.17036 18299.47073
10/31/93 18026.53625 18348.8793
11/30/93 17894.94254 18246.12558
12/31/93 17952.20635 18330.05776
1/31/94 18169.42805 18533.5214
2/28/94 17842.37835 18259.22528
3/31/94 17530.13672 17957.94806
4/30/94 17353.08234 17835.83402
5/31/94 17379.11197 17848.3191
6/30/94 17368.6845 17809.0528
7/31/94 17603.16174 18065.50316
8/31/94 17654.21091 18121.50622
9/30/94 17474.13796 17954.78836
10/31/94 17470.64313 17952.99288
11/30/94 17336.11918 17872.20441
12/31/94 17386.39392 17934.75713
1/31/95 17584.59881 18236.06105
2/28/95 17770.99556 18613.54751
3/31/95 17859.85054 18719.64473
4/30/95 17990.22745 18951.76833
5/31/95 18324.84568 19524.11173
6/30/95 18429.2973 19654.92328
7/31/95 18503.01449 19656.88877
8/31/95 18639.9368 19835.76646
9/30/95 18731.27249 19978.58398
10/31/95 18862.39139 20200.34626
11/30/95 18956.70335 20464.9708
12/31/95 19047.69553 20679.85299
1/31/96 19139.12447 20857.69973
2/29/96 19215.68096 20613.66464
3/31/96 19273.32801 20508.53495
4/30/96 19311.87466 20436.75508
5/31/96 19367.8791 20420.40567
6/30/96 19542.19001 20636.86197
7/31/96 19600.81658 20698.77256
8/31/96 19640.01821 20715.33158
9/30/96 19875.69843 21003.27469
10/31/96 20169.85877 21375.03265
11/30/96 20385.67626 21657.18308
Annualized One Five From
Total Return(%) Year Years June 1987
- -------------------------------------------------------------------------------
7.54 6.25 7.78
* The portfolio maximizes expected returns by shifting maturities based on
changes in the yield curve. Using current prices, the strategy creates a
matrix of expected returns from different buy and sell strategies and
identifies the optimal maturity range for the highest expected returns.
Maturities are shifted if sufficient premiums can be documented. Investments
are made in U.S. government securities with a maximum maturity of five years.
* This portfolio's returns in fiscal 1996 reflected the performance of its
strategy.
Past performance is not predictive of future performance.
Lehman Intermediate Government Index courtesy of Lehman Brothers.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DFA Two-Year Global Fixed Income Portfolio vs.
Merrill Lynch Governments, U.S. Treasury, Short Term (1-2.99 Years)
March 1996-November 1996
The following reflects the growth of a $10,000 investment.
Merrill Lynch
Governments,
DFA Two-Year U.S. Treasury
Global Fixed Short Term
Income Portfolio (1-2.99 Years)
---------------- ---------------
2/28/96 10000 10000
3/31/96 10046 9991
4/30/96 10096.23 9998.9928
5/31/96 10146.71115 10019.99068
6/30/96 10184.25398 10092.13462
7/31/96 10255.54376 10131.49394
8/31/96 10357.07364 10165.94102
9/30/96 10428.53745 10258.45109
10/31/96 10520.30858 10374.37158
11/30/96 10591.84668 10454.25424
Annualized From
Total Return(%) March 1996
- ---------------------------------------------------------------------
5.92
* The portfolio invests in the DFA Two-Year Global Fixed Income Series, which
in turn seeks to maximize expected returns by shifting maturities based on
changes in the yield curve. Using current prices, the strategy creates a
matrix of expected returns from different buy and sell strategies and
identifies the optimal maturity range for the highest expected returns.
Maturities are shifted if sufficient premiums can be documented. Investments
are made in U.S. government securities, high-quality corporate securities and
currency hedged global bonds with a maximum maturity of two years.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
Merrill-Lynch Governments, U.S. Treasury, Short-Term
(1-2.99 Years) courtesy of Merrill-Lynch.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
DFA Global Fixed Income Portfolio vs.
Salomon World Fixed Income Index
December 1990-November 1996
The following reflects the growth of a $10,000 investment.
DFA Global Salomon World
Fixed Income Fixed Income
Portfolio Index
------------ --------------
11/30/90 10000 10000
12/31/90 10060 10126
1/31/91 10126.396 10276.8774
2/28/91 10185.1291 10374.50774
3/31/91 10213.64746 10404.59381
4/30/91 10319.86939 10490.95194
5/31/91 10427.19603 10540.25941
6/30/91 10425.11059 10507.58461
7/31/91 10529.3617 10621.06652
8/31/91 10706.25498 10806.93518
9/30/91 10871.1313 11012.26695
10/31/91 10993.97509 11094.85895
11/30/91 11099.51725 11170.304
12/31/91 11395.87436 11460.7319
1/31/92 11252.28634 11421.76541
2/29/92 11278.1666 11464.02594
3/31/92 11208.24197 11396.38819
4/30/92 11309.11614 11431.71699
5/31/92 11481.01471 11591.76103
6/30/92 11675.04386 11699.56441
7/31/92 11923.72229 11882.07761
8/31/92 12065.61459 11960.49933
9/30/92 12253.83818 12143.49497
10/31/92 12067.57984 12192.06895
11/30/92 11987.93381 12184.7537
12/31/92 12135.38539 12339.50008
1/31/93 12350.18172 12533.23023
2/28/93 12536.66946 12768.85496
3/31/93 12568.01113 12762.47053
4/30/93 12573.03834 12805.86293
5/31/93 12565.49452 12832.75524
6/30/93 12806.75201 13091.9769
7/31/93 12915.6094 13209.80469
8/31/93 13155.83974 13483.24765
9/30/93 13187.41375 13561.45048
10/31/93 13323.24411 13680.79125
11/30/93 13357.88455 13690.3678
12/31/93 13538.21599 13871.08065
1/31/94 13627.56822 13880.79041
2/28/94 13314.13415 13601.78652
3/31/94 12981.28079 13429.04383
4/30/94 12896.90247 13344.44086
5/31/94 12796.30663 13275.04977
6/30/94 12683.69913 13174.15939
7/31/94 12777.5585 13315.12289
8/31/94 12875.9457 13237.89518
9/30/94 12812.85357 13194.21013
10/31/94 12837.19799 13217.9597
11/30/94 12969.42113 13317.0944
12/31/94 12952.56088 13353.05056
<PAGE>
1/31/95 13057.47663 13537.32266
2/28/95 13249.42153 13748.50489
3/31/95 13513.08502 13972.60552
4/30/95 13696.86298 14180.79734
5/31/95 14032.43612 14675.70717
6/30/95 14059.09775 14697.72073
7/31/95 14181.4119 14797.66523
8/31/95 14282.09992 14921.96562
9/30/95 14483.47753 15127.88874
10/31/95 14631.209 15312.44899
11/30/95 14947.24312 15603.38552
12/31/95 15032.4424 15764.10039
1/31/96 15157.21168 15913.85934
2/29/96 14998.06095 15687.88254
3/31/96 15109.04661 15741.22134
4/30/96 15196.67908 15802.6121
5/31/96 15344.08686 15881.62516
6/30/96 15400.85998 16034.08876
7/31/96 15534.84747 16117.46603
8/31/96 15772.53063 16257.68798
9/30/96 16054.85893 16566.58405
10/31/96 16355.08479 16871.4092
11/30/96 16610.22412 17175.09456
Annualized One Five From
Total Return (%) Year Years December 1990
- ---------------------------------------------------------------------
11.13 8.40 8.82
* The portfolio invests in U.S. and international government bonds, debt
guaranteed by foreign governments, high quality corporate debt and debt of
supranational issuers with maturities of 10 years or less. Eligible countries:
United States, Canada, United Kingdom, Germany, Japan, France and Australia.
The portfolio is diversified across countries. Using current prices, the
strategy creates a matrix of expected horizon returns from different buy and
sell strategies and identifies the maturity range with the highest expected
returns. Maturities are shifted only if sufficient premiums warrant it.
Country weighting is increased or reduced based on expected returns. The
portfolio may be concentrated in the U.S. if international curves are
inverted.
* This portfolio's returns in fiscal 1996 reflected the performance of its
strategy.
Past performance is not predictive of future performance.
Salomon World Fixed Income Index courtesy of Salomon Brothers.
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULE OF INVESTMENTS
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1996
Shares Value+
--------- ------------
COMMON STOCKS - (98.3%)
*3 D Systems Corp. .................. 74,200 $ 759,391
*3D0 Co. ............................ 12,000 78,375
*4 Health, Inc. ..................... 1,900 10,688
*AAON, Inc. ......................... 39,490 207,323
ABC Bancorp ........................ 2,700 46,913
*ABC Rail Products Corp. ............ 47,000 922,375
*ACC Corp. .......................... 21,750 649,781
*ACT Manufacturing, Inc. ............ 13,200 324,225
ADAC Laboratories .................. 16,400 359,775
*AEP Industries, Inc. ............... 22,350 1,131,469
*AER Energy Resources, Inc. ......... 120,200 458,263
*AFC Cable Systems, Inc. ............ 37,300 746,000
*AG Services America, Inc. .......... 14,600 199,838
*AM International, Inc. ............. 8,500 38,250
*ARI Network Services, Inc. ......... 95,500 238,750
*ARV Assisted Living, Inc. .......... 55,000 567,188
*ATC Group Services, Inc. ........... 30,800 325,325
*ATS Medical, Inc. .................. 54,500 408,750
*AW Computer Systems, Inc. Class A ... 3,950 4,752
Aaron Rents, Inc. Class A .......... 41,500 601,750
Aaron Rents, Inc. Class B .......... 145,700 2,067,119
*#Aasche Transportation Services, Inc.. 12,700 46,831
*Abaxis, Inc. ....................... 74,800 254,788
Abington Savings Bank MA ........... 18,400 371,450
*Abiomed, Inc. ...................... 25,100 327,869
*Able Telcom Holding Corp. .......... 30,200 226,500
Abrams Industries, Inc. ............ 12,900 62,081
*Abraxas Petroleum Corp. ............ 50,000 387,500
*Accell International Corp. ......... 97,293 285,798
*Access Beyond, Inc. ................ 89,033 712,264
*Access Health Marketing, Inc. ...... 75,250 2,944,156
*#Ace Cash Express, Inc. ............. 14,100 217,669
Aceto Corp. ........................ 19,581 269,239
*Acme Electric Corp. ................ 19,484 141,259
*Acme Metals, Inc. .................. 98,500 2,043,875
*Acme United Corp. .................. 28,707 125,593
*Action Performance Companies, Inc. .. 86,800 1,475,600
*Active Voice Corp. ................. 4,500 52,875
*Activision, Inc. ................... 74,700 863,719
*Adage, Inc. ........................ 50,942 192,624
*#Adam Software, Inc. ................ 2,000 5,625
Adams Resources & Energy, Inc........ 74,150 732,231
*Adelphia Communications Corp. Class A 10,200 68,213
*Adept Technology, Inc. ............. 79,000 567,813
*Adflex Solutions, Inc. ............. 41,900 445,188
*Advanced Digital Information Corp. . 48,000 561,000
*Advanced Energy Industries, Inc. ... 70,000 463,750
*Advanced Logic Research, Inc. ...... 44,900 544,413
*Advanced Magnetics, Inc. ........... 45,550 768,656
*Advanced Marketing Services, Inc. .. 36,900 378,225
*Advanced Medical, Inc. ............. 58,100 196,088
*Advanced Photonix, Inc. Class A .... 90,950 250,113
*Advanced Polymer Systems, Inc. ..... 79,000 592,500
*Advanced Promotion Technologies, Inc.
(Private Placement) ................ 159,451 1,543
<PAGE>
Shares Value+
--------- ------------
*Advanced Technology Materials, Inc... 32,200 $ 444,763
Advantage Bancorp, Inc. ............ 7,925 254,591
*Advest Group, Inc. ................. 30,000 315,000
*Advocat, Inc. ...................... 50,700 373,913
*Aequitron Medical, Inc. ............ 55,700 546,556
*Aeroflex, Inc. ..................... 102,152 459,684
*Aerosonic Corp. DE ................. 200 675
*Aerovox, Inc. ...................... 41,800 235,125
*Aetrium, Inc. ...................... 30,100 364,963
Affiliated Community Bancorp ....... 3,600 81,225
*Agri-Nutrition Group, Ltd. ......... 16,800 23,363
*Air Methods Corp. .................. 30,300 65,334
*Air-Cure Environmental ............. 28,750 135,664
*Airsensors, Inc. ................... 21,200 173,575
*Airways Corp. ...................... 60,700 227,625
*Akorn, Inc. ........................ 29,900 57,931
*Alamco, Inc. ....................... 38,860 446,890
Alamo Group, Inc. .................. 40,000 665,000
*Alba-Waldensian, Inc. .............. 21,000 120,750
*Alcide Corp. ....................... 8,700 187,050
*Aldila, Inc. ....................... 58,700 264,150
*Alfin,Inc. ......................... 165 196
Alico, Inc. ........................ 55,700 1,141,850
*Alkermes, Inc. ..................... 136,000 1,938,000
*#All American Communications, Inc. ... 5,600 68,600
*All American Semiconductor, Inc. ... 38,400 49,800
*Allcity Insurance Co. .............. 200 1,550
Allen Organ Co. Class B ............ 200 7,975
*Alliance Entertainment Corp. ....... 113,000 268,375
*Alliance Gaming Corp. .............. 114,089 402,877
Allied Bankshares, Inc. ........... 22,950 272,531
*Allied Capital Advisers, Inc. ...... 58,500 356,484
Allied Capital Lending Corp. ....... 16,600 253,150
Allied Healthcare Products, Inc. ... 54,600 375,375
*Allied Holdings, Inc. .............. 66,435 539,784
Allied Life Financial Corp. ........ 20,000 350,000
Allied Products Corp. .............. 122,994 2,936,482
*Allied Research Corp. .............. 41,040 220,590
*Allou Health & Beauty Care, Inc.
Class A ........................... 29,200 191,625
*Allstate Financial Corp. ........... 11,500 76,188
*Alltrista Corp. .................... 15,274 391,396
*Allwaste, Inc. ..................... 38,200 167,125
*Aloette Cosmetics, Inc. ............ 7,200 21,150
*Alpha Beta Technology, Inc. ........ 108,000 985,500
*Alpha Industries, Inc. ............. 89,700 706,388
*Alpha Microsystems, Inc. ........... 48,600 81,253
*Alpha Technologies Group, Inc. ..... 107,200 495,800
*Alpine Group, Inc. ................. 159,544 1,076,922
*#Alpine Lace Brands, Inc. ........... 28,500 156,750
*Alta Gold Co. ...................... 106,843 417,355
*Alteon, Inc. ....................... 102,000 726,750
*Altris Software, Inc. .............. 46,650 300,309
*Amati Communications Corp. ......... 214,800 3,665,025
Amcast Industrial Corp. ............ 32,300 763,088
*AmeriLink Corp. .................... 7,000 35,875
*America Services Group, Inc. ....... 29,000 313,563
American Bancorpation Ohio ......... 200 4,975
American Bank of Connecticut ....... 4,600 134,550
*American Banknote Corp. ............ 93,800 457,275
8
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
American Biltrite, Inc. ............ 97,800 $2,004,900
*#American Biogenetic Sciences, Inc.
Class A .......................... 130,700 547,306
*American Buildings Co. ............. 50,000 1,075,000
*American Claims Evaluation, Inc. ... 3,100 5,134
*American Classic Voyages Co. ....... 100,200 920,588
American Eagle Group, Inc. ......... 54,500 218,000
*American Eagle Outfitters, Inc. .... 37,000 883,375
*American Ecology Corp. ............. 62,800 64,763
*American Educational Products,
Inc. .............................. 21,000 21,328
*American Exploration Co. ........... 29,300 479,788
American Federal Bank FSB
Greenville, SC .................... 34,300 658,131
American Filtrona Corp. ............ 20,200 848,400
*American Healthcorp, Inc. .......... 68,700 734,231
*American Homepatient, Inc. ......... 31,500 724,500
*American Homestar Corp. ............ 69,450 1,232,738
American Indemnity Financial Corp. .. 16,700 170,131
American List Corp. ................ 21,615 637,643
*American Locker Group, Inc. ........ 8,800 126,500
*American Media, Inc. Class A ...... 121,200 696,900
American Medical Electronics, Inc.
(Escrow-Bonus) .................... 102,100 0
American Medical Electronics, Inc.
(Escrow-Earnings) ................. 102,100 0
*American Oilfield Divers, Inc. ..... 48,600 625,725
*American Pacific Corp. ............. 73,500 505,313
*American Paging, Inc. .............. 147,200 855,600
*#American Phoenix Group, Inc. ....... 8,534 28,136
*American Physicians Services
Group, Inc. ....................... 46,800 280,800
American Precision Industries, Inc. . 160,375 2,926,844
American Recreation Centers, Inc. ... 15,900 80,494
*American Safety Razor Co. ........... 29,300 357,094
*#American Science & Engineering, Inc.. 75,000 871,875
*American Shared Hospital Services .. 14,800 21,275
*American Software, Inc. Class A .... 140,800 836,000
*American Studios, Inc. ............. 135,000 291,094
*American Superconductor Corp. ...... 34,400 371,950
*American Technical Ceramics Corp.... 14,500 87,000
*American Telecasting, Inc. ......... 12,000 95,250
*American United Global, Inc. ....... 12,400 123,225
*American Waste Services, Inc. Class A 123,800 263,075
American Woodmark Corp. ............ 44,329 487,619
Americana Bancorp, Inc. ............ 18,200 286,649
*Amerihost Properties, Inc. ......... 63,600 433,275
*Ameristar Casinos, Inc. ............ 126,350 663,338
*Ameriwood Industries International
Corp. .............................. 52,900 492,631
Ameron, Inc. ....................... 14,300 689,975
*Ames Department Stores, Inc. ....... 20,100 97,988
*Amistar Corp. ...................... 28,300 95,513
Ampco-Pittsburgh Corp. ............. 72,100 1,000,388
Amplicon, Inc. ..................... 29,000 592,688
*Amre, Inc. ......................... 47,600 130,900
*Amrep Corp. ........................ 63,610 310,099
*Amrion Corp. ....................... 18,900 434,700
*Amtech Corp. ....................... 84,800 641,300
*Amtran, Inc. ....................... 88,200 639,450
Amvestors Financial Corp. .......... 113,268 1,628,228
Amwest Insurance Group, Inc. ....... 46,850 588,553
<PAGE>
Shares Value+
--------- ------------
*Anadigics, Inc. .................... 8,100 $ 301,725
Analysis & Technology, Inc. ........ 26,800 386,925
*Analytical Surveys, Inc. ........... 4,900 46,244
*Anaren Microwave, Inc. ............. 41,700 255,413
Anchor Bancorp Wisconsin, Inc. ..... 10,100 356,025
*Andersen Group, Inc. ............... 15,000 82,500
Andover Bancorp, Inc. DE ........... 19,080 511,583
*Andrea Electronics Corp. ........... 13,000 157,625
*Anergen, Inc. ...................... 82,300 272,619
*Anesta Corp. ....................... 32,900 472,938
*Angeion Corp. ...................... 12,000 41,250
Angelica Corp. ..................... 16,900 325,325
*Anicom, Inc. ....................... 12,000 114,750
*Anuhco, Inc. ....................... 25,800 219,300
*Apertus Technologies, Inc. ......... 126,300 390,741
*Aphton Corp. ....................... 17,500 312,813
*Apogee, Inc. ....................... 31,600 179,725
*Appliance Recycling Centers of
America, Inc. ...................... 14,000 12,250
*Applied Digital Access, Inc. ....... 43,900 315,531
*Applied Extrusion Technologies, Inc.. 70,000 656,250
*Applied Innovation, Inc. ........... 61,600 415,800
*Applied Microbiology, Inc. ......... 124,200 376,481
*Applied Science & Technology, Inc.... 12,100 113,438
*Applied Signal Technologies, Inc..... 75,000 342,188
*Aquagenix, Inc. .................... 13,500 78,047
Aquarion Co. ....................... 23,900 603,475
*Arabian Shield Development Co. ..... 66,200 186,188
*Arbor Health Care Co. .............. 61,400 1,465,925
*Arch Communications Group, Inc. .... 40,200 437,175
*Arch Petroleum, Inc. ............... 31,926 87,797
*Arden Industrial Products, Inc. .... 22,400 116,200
*Argosy Gaming Corp. ................ 31,300 175,913
*Ariel Corp. ........................ 21,800 283,400
*Arizona Instrument Corp. ........... 100 259
*Ark Restaurants Corp. .............. 8,300 101,675
Arkansas Best Corp. ................ 151,500 766,969
*Aronex Pharmaceuticals, Inc. ....... 73,550 579,206
*Arrhythmia Research Technology, Inc.. 11,375 34,125
*Arris Pharmaceutical Corp. ......... 75,000 979,688
*Arrow Automotive Industries, Inc. .. 31,300 129,113
Arrow Financial Corp. .............. 14,914 357,004
*Arrow Transportation Co. ........... 1,000 531
*Artisoft, Inc. ..................... 54,400 375,700
*Artistic Greetings, Inc. ........... 14,900 69,844
*Artra Group, Inc. .................. 65,200 415,650
*Arts Way Manufacturing Co., Inc. ... 100 500
*Asante Technologies, Inc. .......... 32,500 184,844
*Aseco Corp. ........................ 20,100 193,463
*Ashworth, Inc. ..................... 102,200 638,750
Aspen Bancshares, Inc. ............. 4,137 79,637
*Astec Industries, Inc. ............. 98,100 870,638
Astro-Med, Inc. .................... 58,175 501,759
*Astronics Corp. .................... 22,850 109,966
*Astrosystems, Inc. ................. 44,100 245,306
*Astrotech International Corp. ...... 36,200 187,788
*Asyst Technologies, Inc. ........... 18,600 365,025
Atalanta Sosnoff Capital Corp. ..... 10,300 91,413
*Atchison Casting Corp. ............. 46,900 773,850
*Athey Products Corp. ............... 31,085 138,911
*Atkinson (Guy F.) of California .... 22,700 231,256
*Atlantic American Corp. ............ 112,825 373,733
*Atlantic Beverage, Inc. ............ 20,000 62,500
9
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Atlantic Coast Airlines, Inc. ...... 65,000 $ 832,813
*Atlantic Gulf Communities Corp. .... 74,300 325,063
*Atlantic Tele-Network, Inc. ........ 13,100 251,356
*Atlantis Plastics, Inc. ............ 15,700 135,413
Atrion Corp. ....................... 39,900 1,042,388
*Atrix Labs, Inc. ................... 39,906 401,554
*Atwood Oceanics, Inc. .............. 14,600 813,950
*Au Bon Pain, Inc. Class A .......... 64,900 498,919
*#Audiovox Corp. Class A ............. 33,700 176,925
*Audits & Surveys Worldwide, Inc. ... 52,922 138,920
Autocam Corp. ...................... 55,666 608,844
*Autoimmune, Inc. ................... 56,200 744,650
*Autoinfo, Inc. ..................... 73,413 206,474
*Autologic Information International,
Inc. ............................... 27,500 165,000
*Autote Corp. Class A ............... 247,000 293,313
*Avecor Cardiovascular, Inc. ........ 65,700 722,700
Avemco Corp. ....................... 67,100 1,040,050
*#Avert, Inc. ........................ 10,300 60,191
Aviall, Inc. ....................... 149,200 1,473,350
*Avigen, Inc. ....................... 8,000 43,500
*Aviva Petroleum, Inc. Deposit
Shares (Representing 5 Shares) ..... 5,000 20,000
*Avondale Industries, Inc. .......... 34,800 606,825
*Aydin Corp. ........................ 43,250 389,250
Aztec Manufacturing Co. ............ 55,826 397,760
*BCT International, Inc. ............ 7,100 25,294
*BEC Group, Inc. .................... 12,000 57,000
BEI Electronics, Inc. .............. 25,200 275,625
BGS Systems, Inc. .................. 12,800 310,400
BHA Group, Inc. Class A ............ 70,210 1,219,899
BHC Financial, Inc. ................ 52,050 832,800
*BI, Inc. ........................... 85,900 590,563
*BMC West Corp. ..................... 42,500 510,000
BMJ Financial Corp. ................ 56,750 1,404,563
*BNH Bancshares, Inc. ............... 6,000 58,875
*BOK Financial Corp. ................ 3,239 87,462
*BPI Packaging Technologies, Inc. ... 19,800 46,406
*BRC Holdings, Inc. ................. 20,400 833,850
BSB Bancorp, Inc. .................. 74,375 1,989,531
BT Financial Corp. ................. 12,095 455,074
*BTG, Inc. .......................... 6,000 120,000
*BTU International, Inc. ............ 26,000 88,563
*BWAY Corp. ......................... 55,700 1,006,081
*Back Bay Restaurant Group, Inc. .... 26,600 79,800
Badger Meter, Inc. ................. 12,000 469,500
Badger Meter, Inc. ................. 20,300 794,238
Badger Paper Mills, Inc. ........... 200 2,213
Bairnco Corp. ...................... 105,400 658,750
Baker (J.), Inc. ................... 114,000 705,375
*Baker (Michael) Corp. .............. 72,214 460,364
*Baker (Michael) Corp. Class B ...... 15,400 98,175
Balchem Corp. ...................... 5,200 43,550
*Baldwin Piano & Organ Co. .......... 37,900 487,963
*Baldwin Technology, Inc. Class A ... 135,000 354,375
*Ballantyne Omaha, Inc. ............. 5,500 83,875
*Baltek Corp. ....................... 21,562 164,410
*Bancinsurance Corp. ................ 16,200 63,788
Bancorp Connecticut, Inc. .......... 8,640 196,560
Bangor Hydro-Electric Co. .......... 52,600 526,000
*Bank United Financial Corp.
Class A ............................ 16,700 151,344
Bank of Southington ................ 210 3,137
BankAtlantic Bancorp, Inc. ......... 34,012 440,030
BankAtlantic Bancorp, Inc. Class A . 8,503 110,008
<PAGE>
Shares Value+
--------- ------------
*Banner Aerospace, Inc. ............. 158,100 $1,324,088
*Banyan System, Inc. ................ 155,000 639,375
Barefoot, Inc. ..................... 72,300 926,344
*Barnwell Industries, Inc. .......... 11,800 222,725
*Barra, Inc. ........................ 75,400 1,922,700
*Barrett Business Services, Inc. .... 49,800 740,775
*Barrister Information Systems Corp. 7,866 16,715
*Barry (R.G.) Corp. ................. 178,235 1,982,864
*Barrys Jewelers, Inc. .............. 192 486
*Base Ten Systems, Inc. Class A ..... 30,500 356,469
*Basin Exploration, Inc. ............ 87,000 538,313
*Bay Networks, Inc. ................. 39,922 1,067,914
*Bayou Steel Corp. Class A .......... 26,600 74,813
*Be Aerospace, Inc. ................. 130,900 3,018,881
*Beard Co. .......................... 26,533 73,795
Beauticontrol Cosmetics, Inc. ...... 23,300 321,831
*Beazer Homes USA, Inc. ............. 51,800 835,275
*Bel Fuse, Inc. ..................... 86,500 1,092,063
*Belden & Blake Corp. ............... 27,200 690,200
*Bell Industries, Inc. .............. 63,727 1,290,472
*Bell Microproducts, Inc. ........... 52,200 411,075
*Bell Sports Corp. .................. 119,112 751,895
*Bellwethwer Exporation Co. ......... 59,000 457,250
*Ben & Jerry's Homemade, Inc.
Class A ............................ 17,900 229,344
*Benchmark Electronics, Inc. ........ 44,100 1,306,463
*Benihana, Inc. ..................... 9,500 115,188
*Benihana, Inc. Class A ............. 1,400 12,600
*Bentley International, Inc. ........ 55 62
*#Bentley Pharmaceuticals, Inc. ...... 5,300 13,913
Berkshire Gas Co. .................. 7,200 115,200
*Berlitz International, Inc. ........ 67,100 1,291,675
*Bertuccis, Inc. .................... 46,500 252,844
*Bethlehem Corp. .................... 200 394
*Bettis Corp. ....................... 73,050 579,834
*Big Flower Press Holding, Inc. ..... 44 770
Bindley Western Industries, Inc. ... 37,400 663,850
Binks Manufacturing Co. ............ 61,300 1,716,400
*Bio Dental Technologies Corp. ...... 7,800 40,463
*Bio Technology General Corp. ....... 43,200 396,900
*Bio-Logic Systems Corp. ............ 23,400 62,888
*#Bio-Plexus, Inc. ................... 13,200 81,675
*Biocircuits Corp. .................. 25,250 71,805
*Biocryst Pharmaceuticals, Inc. ..... 76,900 1,086,213
*Biomatrix, Inc. .................... 86,400 1,279,800
*Biomerica, Inc. .................... 26,100 89,719
*Biosepra Inc. ...................... 14,500 37,609
*Biosource International, Inc. ...... 40,000 281,250
*Biospecifics Technologies Corp. .... 7,600 37,050
*Biospherics, Inc. .................. 36,600 285,938
*Biosys, Inc. ....................... 5,377 1,261
*Biowhittaker, Inc. ................. 77,200 627,250
*Bird Corp. ......................... 36,400 195,650
*Black Hawk Gaming &
Development, Inc. .................. 3,600 21,600
Blair Corp. ........................ 4,300 84,388
Blessings Corp. .................... 161,912 1,588,762
Blimpie International .............. 21,650 242,209
*Blowout Entertainment, Inc. ........ 6,271 23,908
*Bluegreen Corp. .................... 77,734 223,485
*Blyth Holdings, Inc. ............... 55,200 46,575
*#Boca Research, Inc. ................ 32,100 381,188
*Bombay Co., Inc. ................... 20,200 95,950
*Bon-Ton Stores, Inc. ............... 52,100 299,575
10
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Bone Care International, Inc. ...... 20,250 $ 126,563
*Bonray Drilling Corp. .............. 4,985 122,133
*Books-a-Million, Inc. .............. 140,000 953,750
*Boole & Babbage, Inc. .............. 35,350 1,003,056
*Boomtown, Inc. ..................... 74,000 485,625
*Borg-Warner Security Corp. ......... 48,800 512,400
*Borror Corp. ....................... 19,800 89,100
Boston Acoustics, Inc. ............. 37,300 676,063
Bowl America, Inc. Class A ......... 56,160 379,080
*Bowmar Instrument Corp. ............ 55,800 87,188
*Box Energy Corp. Class B ........... 129,100 1,105,419
*#Bradlees, Inc. ..................... 54,100 54,100
*Bradley Pharmaceuticals, Inc.
Class A ............................ 7,400 5,434
Branford Savings Bank CT ........... 610 2,440
*Brauns Fashions Corp. .............. 13,500 93,656
Brenton Banks, Inc. ................ 220 5,583
*Brewer (C.) Homes, Inc. Class A .... 39,300 73,688
Bridgford Foods Corp. .............. 60,200 477,838
*Brightpoint, Inc. .................. 17,150 621,688
*Brite Voice Systems, Inc. .......... 69,000 1,000,500
Broad National Bancorporation ...... 220 2,475
*Broadway & Seymour, Inc. ........... 66,600 620,213
*Brock International, Inc. .......... 34,700 110,606
#Brooke Group, Ltd. ................. 66,600 291,375
*Brookstone, Inc. ................... 57,800 596,063
*Brooktrout Technology, Inc. ........ 60,850 1,962,413
*Brothers Gourmet Coffees, Inc. ..... 58,600 153,825
*Brown & Sharpe Manufacturing Co.
Class A ............................ 70,675 1,015,953
Bryn Mawr Bank Corp. ............... 1,000 27,250
*Buckhead America Corp. ............. 3,500 21,438
*Buckle, Inc. ....................... 7,900 226,138
*Buffets, Inc. ...................... 30,888 289,575
*Buffton Corp. ...................... 15,800 36,044
*Builders Transport, Inc. ........... 52,100 156,300
*Bull Run Corp. GA .................. 171,700 386,325
Bush Industries, Inc. Class A ...... 56,950 1,032,219
*Butler International, Inc. ......... 23,727 231,338
Butler Manufacturing Co. ........... 15,600 497,250
*Buttrey Food & Drug Stores Co. ..... 51,000 420,750
*C-COR Electronics, Inc. ............ 43,700 663,694
*C-Phone Corp. ...................... 36,300 117,975
CB Bancshares, Inc. HI ............. 818 23,518
*CCA Industries, Inc. ............... 31,000 72,656
*CE Software Holdings, Inc. ......... 10,900 12,944
*CEM Corp. .......................... 41,500 363,125
*CFI Proservices, Inc. .............. 14,600 279,225
CFSB Bancorp, Inc. ................. 5,907 112,233
CFX Corp. .......................... 31,415 471,225
*CMC Industries, Inc. ............... 24,100 227,444
*#CMG Information Services, Inc. ..... 18,400 289,800
*CMI Corp. Class A .................. 264,699 1,257,320
CML Group, Inc. .................... 171,900 687,600
*CPAC, Inc. ......................... 27,553 378,854
CPB, Inc. .......................... 2,400 71,100
*CPI Aerostructures, Inc. ........... 2,500 6,094
*CSP, Inc. .......................... 59,300 481,813
*CTC Communications Corp. Class 1 .... 53,600 371,850
CTS Corp. .......................... 20,000 792,500
CU Bancorp ......................... 39,440 446,165
CVB Financial Corp. ................ 22,569 448,559
*Cache, Inc. ........................ 80,125 285,445
*Caci International, Inc. Class A ... 1,000 18,938
<PAGE>
Shares Value+
--------- ------------
*#Cadiz Land, Inc. ................... 122,800 $ 537,250
Cadmus Communications Corp. ........ 58,900 975,531
*Caere Corp. ........................ 50,000 428,125
Cagle's, Inc. Class A .............. 109,900 1,552,338
*Cairn Energy USA, Inc. ............. 12,000 142,500
*Calcomp Technology, Inc. ........... 19,600 55,738
*Calgene, Inc. ...................... 56,000 306,250
*#California Amplifier, Inc. ......... 51,400 427,263
*#California Culinary Academy, Inc. .. 17,300 150,294
California Financial Holding Corp. . 52,470 1,528,189
*California Micro Devices Corp. ..... 36,300 242,756
California State Bank .............. 11,959 200,313
*#Callon Petroleum Co. ............... 20,700 382,950
*Calumet Bancorp, Inc. .............. 3,950 132,819
*Cambex Corp. ....................... 82,300 210,894
*Cambridge Neuroscience, Inc. ....... 48,900 687,656
*Cambridge Soundworks, Inc. ......... 10,600 53,000
*Campo Eletronics, Appliances &
Computers, Inc. .................... 49,700 74,550
*Candela Laser Corp. ................ 28,200 190,350
*Candies, Inc. ...................... 11,600 25,375
*Canisco Resources, Inc. ............ 8,600 41,925
*Cannon Express, Inc. Class A ....... 3,250 27,219
*#Cannondale Corp. ................... 73,200 1,404,525
*Cantel Industries, Inc. Class B .... 26,000 204,750
*Canterbury Educational Services,
Inc. ............................... 12,100 12,856
*Canyon Resources Corp. ............. 226,000 579,125
Cape Cod Bank & Trust Co. .......... 29,600 697,450
*Capital Associates, Inc. ........... 21,050 68,413
*Capital Pacific Holdings, Inc. ..... 29,100 72,750
Capitol Bancorp, Ltd. .............. 4,840 78,045
Capitol Transamerica Corp. ......... 13,230 355,556
*Capstone Pharmacy Services, Inc. ... 31,900 342,925
Capsure Holdings Corp. ............. 6,000 57,000
Cardinal Health, Inc. .............. 12,230 1,022,734
*Cardinal Realty Services, Inc. ..... 10,200 212,925
*Cardiotech International, Inc. ..... 11,257 28,143
*Care Group, Inc. ................... 77,100 134,925
Carnegie Bancorp ................... 100 1,975
Carolina First Corp. ............... 45,942 892,998
*Carr-Gottstein Foods Co. ........... 71,766 260,152
*Carrington Laboratories, Inc. ...... 76,300 758,231
*Carver Corp. WA .................... 60,803 193,810
Cascade Corp. ...................... 40,100 581,450
Cascade Natural Gas Corp. .......... 38,200 654,175
Cash America International, Inc. ... 102,700 808,763
*Casino America, Inc. ............... 187,500 656,250
*Casino Data Systems ................ 13,500 178,031
*Casino Magic Corp. ................. 64,500 183,422
*#Casino Resource Corp. .............. 10,700 17,053
*Catalina Lighting, Inc. ............ 60,600 303,000
*Catalyst Semiconductor, Inc. ....... 58,300 178,544
*Catalytica, Inc. ................... 120,500 482,000
*Catherines Stores Corp. ............ 54,400 312,800
Cato Corp. Class A ................. 44,900 218,888
Cavalier Homes, Inc. ............... 69,930 786,713
*Cayenne Software, Inc. ............. 91,600 403,613
*Cel-Sci Corp. ...................... 23,700 102,947
*Celadon Group, Inc. ................ 69,000 694,313
*Celebrity, Inc. .................... 20,900 70,538
*Celeritek, Inc. .................... 28,000 435,750
*Celestial Seasonings, Inc. ......... 15,000 300,000
*Celgene Corp. ...................... 115,300 1,102,556
*Cell Genesys, Inc. ................. 140,318 955,916
11
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Cellpro, Inc. ...................... 18,600 $ 231,338
*#Cellstar Corp. ..................... 28,000 330,750
*Cellular Technical Services Co.,
Inc. ............................... 3,370 55,816
*Celtrix Pharmaceuticals, Inc. ...... 91,800 195,075
Cenfed Financial Corp. ............. 21,450 648,863
Cenit Bancorp, Inc. ................ 1,800 71,100
*Centennial Bancorp ................. 5,655 87,653
Center Banks, Inc. ................. 22,800 380,475
*Centigram Communications Corp. ..... 25,600 361,600
Central & Southern Holding Co. ..... 19,700 193,306
Central Co-Operative Bank
Somerville, MA ..................... 6,500 115,375
*Central Garden & Pet Co. ........... 5,950 129,784
Central Jersey Financial Corp. ..... 151 5,870
Central Reserve Life Corp. ......... 33,700 256,963
*Central Sprinkler Corp. ............ 41,600 774,800
*Central Tractor Farm & Country,
Inc. ............................... 38,100 533,400
Central Vermont Public Service
Corp. .............................. 41,500 518,750
*Centura Software Corp. ............. 48,100 165,344
Century Bancorp Income Class A ..... 1,000 13,500
*Ceradyne, Inc. ..................... 115,100 841,669
Cerberonics, Inc. Class A .......... 3,500 21,656
*#Cerplex Group, Inc. ................ 90,600 118,913
*Cerprobe Corp. ..................... 4,500 49,500
*Chad Therapeutics .................. 49,458 778,964
#Champion Industries, Inc. .......... 33,600 751,800
*Chart House Enterprises, Inc. ...... 72,900 391,838
Chart Industries, Inc. ............. 84,800 1,441,600
Charter Federal Savings Bank
(Escrow) ........................... 43,340 0
Charter Power Systems, Inc. ........ 35,800 962,125
*Chase Brass Industries, Inc. ....... 60,500 1,096,563
*Chattem, Inc. ...................... 23,800 220,150
*Chaus (Bernard), Inc. .............. 53,600 120,600
*Check Technology Corp. ............. 23,300 203,875
*Checkmate Electronics, Inc. ........ 24,000 285,000
*Chemfab Corp. ...................... 141,300 2,013,525
*Chempower, Inc. .................... 8,600 47,838
*#Chemtrak, Inc. ..................... 31,250 41,016
*Cherry Corp. Class A ............... 3,600 40,050
*Cherry Corp. Class B ............... 9,900 105,188
Chesapeake Utilities Corp. ......... 16,975 288,575
Chester Valley Bancorp ............. 730 14,053
*Chic by His, Inc. .................. 80,000 380,000
Chicago Rivet & Machine Co. ........ 10,000 312,500
*Chicos Fas, Inc. ................... 66,900 397,219
*Children's Comprehensive Services,
Inc. ............................... 27,000 425,250
*Children's Discovery Centers of
America, Inc. Class A .............. 52,100 293,063
*Chips & Technologies, Inc. ......... 13,500 283,500
Chittenden Corp. ................... 15,428 390,521
*Chock Full O' Nuts Corp. ........... 92,330 427,026
*Cholestech Corp. ................... 71,000 390,500
*Christiana Companies, Inc. ......... 22,100 546,975
*Chromcraft Revington, Inc. ......... 56,000 1,501,500
*Chronimed, Inc. .................... 63,800 933,075
*Chyron Corp. ....................... 46,661 174,979
*Cincinnati Microwave, Inc. ......... 113,700 95,934
*Cinergi Pictures Entertainment, Inc. 39,200 78,400
*Ciprico, Inc. ...................... 41,895 565,583
*Circon Corp. ....................... 42,322 685,087
<PAGE>
Shares Value+
--------- ------------
*Circuit Systems, Inc. .............. 20,000 $ 92,500
*Citadel Holding Corp. .............. 6,800 18,275
*Citation Computer System, Inc. ..... 30,000 298,125
*Citation Corp. ..................... 12,000 119,250
Citfed Bancorp, Inc. ............... 21,000 973,875
*Citizens, Inc. Class A ............. 39,600 373,725
City Holding Co. ................... 242 5,294
*Civic Bancorp ...................... 37,800 394,538
*Clark (Dick) Productions, Inc. ..... 11,600 129,050
*Clean Harbors, Inc. ................ 82,400 185,400
*Cliffs Drilling Co. ................ 39,400 2,038,950
*Coast Distribution System .......... 43,600 171,675
Coastal Bancorp, Inc. .............. 29,400 723,975
*Coastal Physician Group, Inc. ...... 55,000 206,250
*Coastcast Corp. .................... 32,200 503,125
*Cobra Electronic Corp. ............. 135,100 422,188
*Cobra Industries ,Inc. ............. 5,400 2,869
*Cocensys, Inc. ..................... 51,300 311,006
*Code Alarm, Inc. ................... 20,300 78,663
*Cognitronics Corp. ................. 57,450 244,163
*Coherent Communications Systems
Corp. .............................. 18,300 370,575
*Coho Energy, Inc. .................. 99,000 754,875
Cohu, Inc. ......................... 81,000 1,928,813
*Cold Metal Products, Inc. .......... 50,400 333,900
*Cole National Corp. Class A ........ 41,000 1,076,250
Collagen Corp. ..................... 48,000 963,000
*Collins Industries, Inc. ........... 86,325 488,276
#Colonial Gas Co. ................... 6,750 154,406
*#Columbia Banking System, Inc. ...... 11,480 180,810
*Columbia Laboratories, Inc. ........ 48,900 586,800
*Columbus Energy Corp. .............. 10,820 113,610
*Comarco, Inc. ...................... 47,200 826,000
*Comdial Corp. ...................... 151,433 1,050,566
*#Comforce Corp. ..................... 31,700 459,650
Commercial Bancshares, Inc. ........ 17,200 264,450
Commercial Intertech Corp. ......... 42,000 435,750
*Communications Central, Inc. ....... 22,000 158,125
Communications Systems, Inc. ....... 118,500 1,496,063
Community Bank System, Inc. ........ 26,800 1,048,550
Community Banks, Inc. .............. 220 5,335
Community Bankshares, Inc. NH ...... 3,400 68,000
Community First Bankshares, Inc. ... 6,800 185,300
*Comnet Corp. ....................... 30,300 276,488
*Competitive Technologies, Inc. ..... 109,100 1,091,000
*#Complete Management, Inc. .......... 2,099 32,010
*#Comprehensive Care Corp. ........... 3,320 39,840
*Compression Laboratories, Inc. ..... 66,100 272,663
*Comptek Research, Inc. ............. 59,300 303,913
*Compucom Systems, Inc. ............. 15,800 183,675
Computer Data Systems, Inc. ........ 104,700 3,376,575
Computer Language Research, Inc. ... 83,800 832,763
*Computer Network Technology Corp. . 37,100 227,238
*Computer Outsourcing Services, Inc. 13,800 43,125
*Computer Products, Inc. ............ 98,700 1,986,338
*Computrac, Inc. .................... 59,900 119,800
*Comshare, Inc. ..................... 63,150 927,516
*Comstock Resources, Inc. ........... 111,800 1,418,463
*Comtech Telecommunications Corp. .. 3,600 11,138
*Concentra Corp. .................... 20,600 180,250
*Concord Camera Corp. ............... 5,800 10,513
*#Concord Fabrics, Inc. Class A ...... 45,500 273,000
12
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Concord Fabrics, Inc. Class B ...... 45,700 $ 262,775
*Concurrent Computer Corp. .......... 7,780 15,560
*Conductus, Inc. .................... 32,000 254,000
*Congoleum Corp. Class A ............ 11,800 150,450
*Conmed Corp. ....................... 36,699 646,820
Connecticut Energy Corp. ........... 9,900 214,088
Connecticut Water Services, Inc. ... 42,350 1,222,856
*Consep, Inc. ....................... 49,700 166,184
*Consilium, Inc. .................... 50,700 316,875
*Conso Products Co. ................. 39,000 497,250
*Consolidated Graphics, Inc. ........ 22,200 1,007,325
*Consolidated Products, Inc. ........ 53,119 956,142
*Consolidated Stainless, Inc. ....... 16,150 75,703
Consolidated Tokoma Land Co. ....... 6,100 102,175
*Consumer Portfolio Services, Inc. .. 47,000 602,188
*Consumers Financial Corp. .......... 26,000 98,313
Consumers Water Co. ................ 29,000 536,500
*Continental Can, Inc. DE ........... 20,500 284,438
Continental Homes Holding Corp. .... 70,100 1,437,050
*Continental Materials Corp. ........ 9,700 206,125
*Continental Waste Industries, Inc. . 119,166 3,172,795
*Converse, Inc. ..................... 49,900 492,763
*Convest Energy Corp. ............... 11,000 66,000
Cooker Restaurant Corp. ............ 82,600 918,925
*Cooper Companies, Inc. ............. 42,033 614,733
*Cooper Development Co. ............. 6,800 8,500
*Cooperative Bankshares, Inc. ....... 1,500 30,563
*Copart, Inc. ....................... 12,000 209,250
*Cor Therapeutics, Inc. ............. 24,000 253,500
*Coram Healthcare Corp. ............. 136,400 596,750
*Corcom, Inc. ....................... 63,400 455,688
Core Industries, Inc. .............. 56,600 820,700
*Core, Inc. ......................... 17,200 167,700
*Cornerstone Imaging, Inc. .......... 54,900 487,238
Corpus Christi Bankshares, Inc. .... 2,400 42,900
*Correctional Services Corp. ........ 29,800 413,475
*Corrpro Companies, Inc. ............ 20,700 165,600
*Cortech, Inc. ...................... 114,300 196,453
*Corvas International, Inc. ......... 85,100 351,038
*Corvel Corp. ....................... 6,200 161,975
*Cosmetic Centers, Inc. Class A ..... 19,650 120,356
*Cosmetic Centers, Inc. Class B ..... 14,550 90,028
Cotton States Life Insurance Co. ... 6,400 71,200
Courier Corp. ...................... 31,700 431,913
*Covenant Transport, Inc. Class A ... 63,000 976,500
*Cover-All Technologies, Inc. ....... 83,445 101,699
Craftmade International, Inc. ...... 30,000 202,500
*Craig (Jenny), Inc. ................ 3,000 27,750
*Craig Corp. ........................ 43,900 631,063
*Crane Co. .......................... 4,376 204,578
*Creative Biomolecules, Inc. ........ 143,300 1,137,444
*Creative Technologies Corp. ........ 1,666 1,822
*Cree Research, Inc. ................ 90,600 911,663
*Criticare Systems, Inc. ............ 39,300 97,022
*Crop Growers Corp. ................. 31,400 217,838
Cross (A.T.) Co. Class A ........... 18,000 198,000
*Crosscomm Corp. .................... 29,650 174,194
*Crossman Communities, Inc. ......... 60,000 1,095,000
*Crowley, Milner & Co. .............. 12,200 126,575
*Crown Books Corp. .................. 11,900 121,975
*Crown Central Petroleum Corp.
Class A ............................ 18,100 257,925
*Crown Central Petroleum Corp.
Class B ............................ 16,000 209,000
Crown Crafts, Inc. ................. 35,500 328,375
<PAGE>
Shares Value+
--------- ------------
*Crown Resources Corp. .............. 87,700 $ 482,350
*Crown-Andersen, Inc. ............... 10,500 63,000
*Cruise America, Inc. ............... 37,100 201,731
*Cryenco Sciences, Inc. Class A ..... 30,900 65,663
*Cryolife, Inc. ..................... 73,400 1,064,300
*Cryomedical Sciences, Inc. ......... 27,800 15,638
*Crystal Oil Co. .................... 5,000 178,750
Cubic Corp. ........................ 28,650 605,231
*Culbro Corp. ....................... 40,300 2,297,100
Culp, Inc. ......................... 178,580 2,745,668
Cupertino National Bancorp ......... 220 3,603
*Curative Technologies, Inc. ........ 69,600 1,792,200
*Custom Chrome, Inc. ................ 26,300 504,631
*Cyberonics, Inc. ................... 6,000 17,625
*Cyberoptics Corp. .................. 29,600 342,250
*Cybex International, Inc. .......... 72,300 695,888
*Cygne Designs, Inc. ................ 10,000 9,375
*Cygnus, Inc. ....................... 5,200 63,700
*Cypros Pharmaceutical Corp. ........ 99,900 396,478
*Cyrk, Inc. ......................... 60,200 756,263
*Cytel Corp. ........................ 170,500 655,359
*Cytogen Corp. ...................... 54,200 290,478
*Cytotherapeutics, Inc. ............. 131,100 1,179,900
*Cytrx Corp. ........................ 27,700 96,084
*D&N Financial Corp. ................ 27,800 429,163
*DBA Systems, Inc. .................. 27,500 165,000
*DBT Online, Inc. ................... 10,919 352,138
*DDL Electronics, Inc. .............. 171,500 171,500
*DEP Corp. .......................... 92,850 232,125
*DH Technology, Inc. ................ 47,850 1,124,475
*DII Group, Inc. .................... 8,200 201,925
*DIY Home Warehouse, Inc. ........... 70,000 315,000
*DM Management Co. .................. 15,000 50,625
*DMX, Inc. .......................... 205,800 250,819
*DNAP Holding Corp. ................. 5,400 30,375
*DNX Corp. .......................... 70,000 328,125
*DRCA Medical Corp. ................. 45,000 151,875
DS Bancor, Inc. .................... 48,893 2,077,953
*DSP Group, Inc. .................... 45,700 414,156
*DSP Technology, Inc. ............... 6,000 28,500
DT Industries, Inc. ................ 72,000 2,515,500
*DVI, Inc. .......................... 73,100 950,300
*Daily Journal Corp. ................ 200 6,200
*Daka International, Inc. ........... 31,867 298,753
*Daktronics, Inc. ................... 12,200 54,900
*Damark International, Inc. Class A . 31,700 285,300
Daniel Industries, Inc. ............ 104,000 1,456,000
*Danielson Holding Corp. ............ 153 794
*Danskin, Inc. ...................... 18,900 48,431
*Darling International, Inc. ........ 17,800 594,075
Dart Group Corp. Class A ........... 200 19,450
*Data Broadcasting Corp. ............ 21,436 168,809
*Data I/O Corp. ..................... 65,600 315,700
*Data Race, Inc. .................... 21,100 357,381
*Data Research Association, Inc. .... 17,550 241,313
*Data Systems & Software, Inc. ...... 38,400 194,400
*Data Translation, Inc. ............. 82,600 929,250
*Data Transmission Network Corp. .... 23,800 517,650
*Dataflex Corp. ..................... 38,325 105,394
*Datakey, Inc. ...................... 11,100 47,869
*Datamarine International, Inc. ..... 200 1,500
*Datametrics Corp. .................. 56,000 73,500
*Datapoint Corp. .................... 117,600 117,600
*Dataram Corp. ...................... 14,300 110,825
*Dataware Technologies, Inc. ........ 46,000 166,750
13
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Datawatch Corp. .................... 58,600 $ 324,131
*Datron Systems, Inc. ................ 23,200 221,850
*Datum, Inc. ........................ 72,600 952,875
*Davco Restaurants, Inc. ............ 56,300 510,219
*Davel Communications Group, Inc. ... 12,100 222,338
*Davox Corp. ........................ 43,800 1,669,875
*#Daw Technologies, Inc. ............. 100,600 352,100
*Dawson Geophysical Co. ............. 44,700 413,475
*Daxor Corp. ........................ 46,000 621,000
*#Day Runner, Inc. ................... 23,550 568,144
Deb Shops, Inc. .................... 44,400 202,575
*Deckers Outdoor Corp. .............. 44,200 386,750
Decorator Industries, Inc. ......... 7,400 76,775
*Deeptech International, Inc. ....... 42,100 286,806
Defiance, Inc. ..................... 65,200 423,800
*Deflecta-Shield Corp. .............. 7,700 66,413
*Del Electronics Corp. .............. 57,298 504,939
Del Laboratories, Inc. ............. 92,768 2,609,100
*Delaware Ostego Corp. .............. 1,011 10,236
Delchamps, Inc. .................... 24,900 519,788
Delta Natural Gas Co., Inc. ........ 18,800 354,850
Delta Woodside Industries, Inc. .... 144,000 864,000
*Denamerica Corp. ................... 28,500 121,125
*Depotech Corp. ..................... 34,500 470,063
*Designs, Inc. ...................... 129,600 870,750
*Detection Systems, Inc. ............ 44,124 808,021
*Detrex Corp. ....................... 9,500 61,750
*Devcon International Corp. ......... 25,100 164,719
*Devlieg-Bullard, Inc. .............. 105,000 252,656
*Dewolfe Companies, Inc. ............ 4,400 23,650
*Diagnostic Health Services, Inc. ... 40,000 282,500
*#Diagnostic Retrieval Systems, Inc. . 20,900 216,838
*Diametrics Medical, Inc. ........... 113,300 453,200
*#Diana Corp. ........................ 6,930 238,219
*Dianon Systems, Inc. ............... 20,200 161,600
*Digi International, Inc. ........... 13,900 180,700
*Digital Biometrics, Inc. ........... 72,000 207,000
*Digital Communications Technology
Corp. .............................. 3,675 4,594
*Digital Link Corp. ................. 72,700 1,644,838
*Digital Microwave Corp. ............ 41,300 991,200
*Digital Sound Corp. ................ 17,900 36,359
*Digital Systems International, Inc. 96,900 1,471,669
Dime Financial Corp. ............... 20,100 359,288
*Diodes, Inc. ....................... 31,400 223,725
*#Discovery Zone, Inc. ............... 12,000 4,500
*Dixie Yarns, Inc. .................. 42,319 280,363
*Dixon Ticonderoga Co. .............. 27,450 195,581
*Dominion Bridge Corp. .............. 74,600 193,494
Donegal Group, Inc. ................ 13,900 269,313
Donnelly Corp. Class A ............. 47,800 1,027,700
*Donnkenny, Inc. .................... 12,200 48,800
*Dorsey Trailers, Inc. .............. 39,000 151,125
*Dotronix, Inc. ..................... 87,000 101,953
*Dravo Corp. ........................ 9,000 119,250
*Drew Industries, Inc. .............. 42,100 968,300
*Drexler Technology Corp. ........... 112,550 1,420,944
*Driver-Harris Co. .................. 23,498 185,047
*Drug Emporium, Inc. ................ 47,400 192,563
*Drypers Corp. ...................... 46,300 214,138
*Duckwall-Alco Stores, Inc. ......... 37,200 469,650
*Ducommun, Inc. ..................... 52,100 1,152,713
Duff & Phelps Credit Rating Co. .... 15,300 353,813
*Durakon Industries, Inc. ........... 54,500 660,813
*#Duramed Pharmaceuticals, Inc. ...... 98,000 692,125
<PAGE>
Shares Value+
--------- ------------
*Dwyer Group, Inc. .................. 14,700 $ 25,725
*Dycom Industries, Inc. ............. 100,700 1,032,175
Dyersburg Corp. .................... 94,500 567,000
Dynamics Corp. of America .......... 86,300 2,459,550
*Dynamics Research Corp. ............ 53,984 529,718
*E-Z-Em, Inc. Class A ............... 37,000 409,313
*E-Z-Em, Inc. Class B ............... 50,120 538,790
*EA Engineering Science &
Technology, Inc. ................... 78,975 157,950
*EA Industries, Inc. ................ 65,400 73,575
*ECC International Corp. ............ 139,750 1,135,469
*ECCS, Inc. ......................... 6,900 20,484
*EFI Electronics Corp. .............. 81,400 101,750
*EIP Microwave, Inc. ................ 3,140 13,738
*EIS International, Inc. ............ 83,300 723,669
*ELXSI Corp. ........................ 8,300 43,575
EMC Insurance Group, Inc. .......... 20,300 235,988
*ERLY Industries, Inc. .............. 26,213 237,555
*ERO, Inc. .......................... 80,000 530,000
*ESCO Electronics Corp. Trust
Receipts ........................... 96,076 936,741
*ESSEF Corp. ........................ 48,700 870,513
*EXX, Inc. Class A .................. 300 2,363
*EXX, Inc. Class B .................. 100 725
Eagle Bancshares, Inc. ............. 32,500 483,438
*Eagle Finance Corp. ................ 24,200 130,075
Eagle Financial Corp. .............. 8,955 269,769
*Eagle Food Centers, Inc. ........... 82,600 361,375
*Eastco Industrial Safety Corp. ..... 8 41
Eastern Bancorp, Inc. .............. 11,800 264,025
Eastern Co. ........................ 56,500 762,750
*Eastern Environment Services, Inc. . 18,600 176,700
*Eateries, Inc. ..................... 14,400 50,400
*Ecogen, Inc. ....................... 35,200 103,400
Ecology & Environment, Inc.
Class A ............................ 11,400 107,588
*Edelbrock Corp. .................... 47,200 755,200
*Edison Brothers Stores, Inc. ....... 24,300 33,413
*Edison Control Corp. ............... 7,000 36,750
*Edisto Resources Corp. ............. 114,200 1,042,075
*#Editek, Inc. ....................... 74,436 65,132
*Edmark Corp. ....................... 45,300 696,488
*Edo Corp. .......................... 51,200 371,200
*Education Alternatives, Inc. ....... 49,100 208,675
*Educational Development Corp. ...... 2,800 22,225
*Educational Insights, Inc. ......... 50,900 127,250
*Egghead, Inc. ...................... 74,700 462,206
Ekco Group, Inc. ................... 134,900 455,288
*El Chico Restaurants, Inc. ......... 84,400 654,100
Elcor Corp. ........................ 77,500 1,646,875
*Elcotel, Inc. ...................... 8,100 54,675
Eldorado Bancorp CA ................ 13,677 282,088
*Electric Fuel Corp. ................ 87,200 545,000
*Electro Rent Corp. ................. 131,325 3,086,138
*Electro Scientific Industries, Inc. 77,000 1,886,500
Electro Sensors, Inc. .............. 2,300 9,488
*Electro-Catheter Corp. ............. 30,300 27,459
*Electromagnetic Sciences, Inc. ..... 129,449 2,669,886
*Electronic Fab Technology, Inc. .... 36,100 124,094
*Electronic Retailing System
International, Inc. ................ 16,400 50,225
Electronic Tele Communications,
Inc. Class A ....................... 15,500 32,938
*Elek-Tek, Inc. ..................... 40,000 182,500
*Eljer Industries, Inc. ............. 25,800 309,600
14
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
Ellett Brothers, Inc. .............. 44,000 $ 228,250
*Eltron International, Inc. ......... 23,900 734,925
*Embrex, Inc. ....................... 123,200 816,200
*Emcon .............................. 71,450 276,869
Emerald Isle Corp. ................. 750 13,875
*#Emerson Radio Corp. ................ 77,100 110,831
*Emisphere Technologies, Inc. ....... 33,800 523,900
*Empi, Inc. ......................... 32,300 593,513
*Empire of Carolina, Inc. ........... 12,500 81,250
*Emulex Corp. ....................... 53,800 901,150
*Encad, Inc. ........................ 23,200 874,350
*Encore Computer Corp. .............. 318,300 427,716
*Encore Wire Corp. .................. 50,300 792,225
*Endosonics Corp. ................... 36,900 417,431
*Energy Biosystems Corp. ............ 89,000 578,500
*Energy Conversion Devices, Inc. .... 61,400 921,000
*Energy Research Corp. .............. 18,000 198,000
Energynorth, Inc. .................. 32,526 662,717
Engineered Support Systems, Inc. ... 22,000 229,625
*Engineering Measurements Co. ....... 28,400 103,838
#Engle Homes, Inc. .................. 26,000 214,500
*Enlighten Software Solutions, Inc. . 5,300 23,850
Ennis Business Forms, Inc. ......... 89,200 903,150
*Ensys Environmental Products, Inc. . 48,000 90,000
*#Envirogen, Inc. .................... 13,900 36,488
*Environmental Elements Corp. ....... 47,800 119,500
*Environmental Technologies Corp. ... 15,000 104,063
*Environmental Tectonics Corp. ...... 3,300 21,038
*Enviroq Corp. ...................... 1,008 1,449
*Envirosource, Inc. ................. 345,100 1,056,869
*Envirotest Systems Corp. Class A ... 70,000 159,688
*Enzon, Inc. ........................ 103,900 250,009
*Epitope, Inc. ...................... 36,300 444,675
*Equimed, Inc. ...................... 12,000 50,250
*Equinox Systems, Inc. .............. 14,400 168,300
*Equitex, Inc. ...................... 1,300 3,088
*Equitrac Corp. ..................... 12,300 129,150
*Equity Marketing, Inc. ............. 20,800 474,500
*Equity Oil Co. ..................... 109,700 359,953
Eskimo Pie Corp. ................... 27,000 283,500
Espey Manufacturing & Electronics
Corp. .............................. 21,000 354,375
*Essex Corp. ........................ 1,000 2,000
Essex County Gas Co. ............... 1,400 35,525
*Esterline Technologies Corp. ....... 32,400 822,150
*Evans & Sutherland Computer Corp. . 33,100 839,913
*Evans Systems, Inc. ................ 9,700 48,500
*Evans, Inc. ........................ 102,900 199,369
Evergreen Bancorp, Inc. DE ......... 23,100 371,044
*Evergreen Resources, Inc. .......... 22,100 145,031
*Exar Corp. ......................... 49,400 781,138
*Excalibur Technologies Corp. ....... 14,900 234,675
Excel Industries, Inc. ............. 91,500 1,372,500
*#Excel Technology, Inc. ............. 32,022 266,183
*Executive Telecard, Ltd. ........... 59,475 423,759
*Executone Information Systems, Inc. 122,000 316,438
*Exide Electronics Group, Inc. ...... 84,209 915,773
*Expert Software, Inc. .............. 50,000 225,000
*Express America Holdings Corp. ..... 42,000 273,000
*Ezcorp, Inc. Class A Non-Voting .... 59,900 460,481
F & M Bancorp (MD) ................. 5,100 118,575
F & M Bancorporation, Inc. ......... 9,350 288,681
FCB Financial Corp. ................ 12,400 235,600
<PAGE>
Shares Value+
--------- ------------
FDP Corp. .......................... 56,200 $ 793,825
FFLC Bancorp ....................... 4,000 79,500
*FFO Financial Group, Inc. .......... 6,000 17,250
FFY Financial Corp. ................ 18,300 470,081
*FLIR Systems, Inc. ................. 32,350 438,747
*FM Properties, Inc. ................ 39,700 116,619
*FNB Rochester Corp. ................ 10,800 132,975
*FPA Corp. .......................... 101,400 107,738
*FPA Medical Management, Inc. ....... 43,012 822,605
*FRP Properties, Inc. ............... 31,700 665,700
*FTP Software, Inc. ................. 12,000 94,500
Fab Industries, Inc. ............... 9,500 254,125
*Failure Group, Inc. ................ 73,000 428,875
*Fairchild Corp. Class A ............ 80,600 1,339,975
*Fairfield Communities, Inc. ........ 40,000 980,000
*Falcon Building Products, Inc.
Class A ............................ 10,300 127,463
Falcon Products, Inc. .............. 32,290 468,205
Family Bancorp ..................... 10,550 370,569
*Family Golf Centers, Inc. .......... 15,500 480,500
*Fansteel, Inc. ..................... 73,951 489,925
*Farah, Inc. ........................ 87,100 577,038
*Farr Co. ........................... 32,650 571,375
*Farragut Mortgage, Inc. ............ 39 0
Farrel Corp. ....................... 24,300 69,863
*Fastcomm Communications Corp. ...... 10,800 89,100
*Faulding Corp. ..................... 63,900 379,406
*Featherlite Manufacturing, Inc. .... 8,400 48,825
Fed One Bancorp .................... 2,500 39,219
Fedders Corp. Class A .............. 23,712 112,632
Federal Screw Works ................ 21,600 610,200
*Female Health Co. .................. 25,900 110,075
*Ferrofluidics Corp. ................ 36,700 334,888
*Fiberstars, Inc. ................... 10,100 48,606
Fidelity Bancorp, Inc. ............. 220 4,235
Fidelity Bancorp, Inc. Delaware .... 10,500 179,156
Fidelity Federal Bancorp ........... 16,500 169,125
Fidelity Financial Bankshares Corp. 210 5,329
Fidelity National Financial, Inc. .. 37,560 619,740
*Fieldcrest Cannon, Inc. ............ 50,000 718,750
*Fifty-Off Stores, Inc. ............. 11,400 1,959
*Filenes Basement Corp. ............. 111,050 544,839
*Financial Federal Corp. ............ 73,500 1,111,688
*Finish Line, Inc. Class A .......... 24,400 542,900
*Finishmaster, Inc. ................. 27,600 231,150
First Albany Companies, Inc. ....... 2,535 23,449
*First Alert, Inc. .................. 87,100 342,956
*First American Health Concepts, Inc.. 4,200 15,750
First Bancorp ...................... 400 7,050
*First Banks America, Inc. .......... 4,879 48,790
*First Cash, Inc. ................... 11,900 63,219
First Central Financial Corp. ...... 78,000 297,375
First Charter Corp. ................ 2,800 61,600
*First Citizens Financial Corp. ..... 9,410 175,261
First Defiance Financial Corp. ..... 12,192 149,352
First Essex Bancorp ................ 31,700 439,838
First Federal Capital Corp. ........ 49,900 1,172,650
First Federal Savings & Loan
Association of East Hartford, CT ... 24,100 554,300
First Financial Corp. of Western
Maryland ........................... 3,900 124,313
First Financial Holdings, Inc. ..... 42,200 996,975
First Home Bancorp, Inc. NJ ........ 200 3,700
First Indiana Corp. ................ 73,960 1,885,980
15
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
First Liberty Financial Corp. ...... 10,800 $ 225,450
*First Merchants Acceptance Corp. ... 29,100 605,644
First Merchants Corp. .............. 22,050 573,300
First Mutual Savings Bank .......... 264 4,884
First Northern Capital Corp. ....... 16,050 272,850
First Oak Brook Bancshares, Inc.
Class A ............................ 10,000 215,000
First Palm Beach Bancorp, Inc. ..... 16,900 425,669
*First Republic Bancorp, Inc. ....... 157,149 2,809,038
First Savings Bancorp, Inc. North
Carolina ........................... 4,900 90,650
*First Savings Bank ................. 10,500 194,250
First Southeast Financial Corp. .... 11,000 112,063
First State Financial Services, Inc. 300 4,669
*#First Team Sports, Inc. ............ 21,550 192,603
First Union Corp. .................. 28,872 2,205,099
First United Bancorp ............... 26,800 304,850
First Western Bancorp, Inc. ........ 32,050 861,344
First Years, Inc. .................. 34,000 546,125
*FirstFed Financial Corp. DE ........ 35,900 857,113
FirstFederal Financial Services
Corp. .............................. 12,826 487,388
Firstfed Bancshares, Inc. .......... 30,000 506,250
*Fischer Imaging Corp. .............. 25,800 172,538
Flag Financial Corp. ............... 200 2,275
*#Flagstar Companies, Inc. ........... 64,300 74,347
Flamemaster Corp. .................. 200 913
*Flanigan's Enterprises, Inc. ....... 10,300 59,225
Flexsteel Industries, Inc. ......... 61,800 795,675
Florida First Bancorp, Inc. ........ 300 3,469
*Florida Gaming Corp. ............... 6,850 49,663
Florida Public Utilities Co. ....... 4,500 89,719
*Florsheim Shoe Co. ................. 10,200 47,175
*Flow International Corp. ........... 158,200 1,334,813
*Fluor Daniel/GTI, Inc. ............. 4,008 34,569
*Foilmark, Inc. ..................... 15,500 38,750
*Fonar Corp. ........................ 171,950 451,369
*Foodarama Supermarkets, Inc. ....... 22,000 308,000
*Foodbrands America, Inc. ........... 80,551 1,067,301
*Foothill Independent Bancorp ....... 5,570 59,878
*Forest Oil Corp. ................... 5,693 88,953
*Fortune Petroleum Corp. ............ 41,907 125,721
*Fossil, Inc. ....................... 47,500 623,438
*Foster (L.B.) Co. Class A .......... 126,600 518,269
*#Fountain Oil, Inc. ................. 49,100 345,234
*Fountain Powerboat Industries, Inc. 10,200 149,813
*Four Kids Entertainment, Inc. ...... 19,900 27,363
*Fourth Shift Corp. ................. 34,600 192,463
*#Foxmeyer Health Corp. .............. 26,200 58,950
Franklin Bank National Associaton
Southfield, MI ..................... 8,835 107,677
*Franklin Electronic Publishers, Inc. 35,200 440,000
Frederick's of Hollywood, Inc.
Class A ............................ 31,639 174,015
Frederick's of Hollywood, Inc.
Class B ............................ 83,878 377,451
Freds, Inc. Class A ................ 60,000 543,750
*Frequency Electronics, Inc. ........ 41,693 427,353
*Fresh America Corp. ................ 12,600 210,263
*Fresh Choice, Inc. ................. 50,000 250,000
Friedman Industries, Inc. .......... 129,004 774,024
*Friedmans, Inc. Class A ............ 25,200 344,925
Frisch's Restaurants, Inc. ......... 64,568 871,673
Frontier Adjusters of America, Inc. 1,000 3,250
<PAGE>
Shares Value+
--------- ------------
Frozen Food Express Industries,
Inc. ............................... 100,000 $ 962,500
*Funco, Inc. ........................ 50,500 416,625
*Fuqua Enterprises, Inc. ............ 40,500 977,063
Furon Co. .......................... 43,100 878,163
*Fusion Systems Corp. ............... 15,600 292,500
*Future Healthcare, Inc. ............ 7,000 280
*G-III Apparel Group, Ltd. .......... 43,470 123,618
GBC Bancorp ........................ 56,700 1,608,863
*GMIS, Inc. ......................... 47,500 1,137,031
*GNI Group, Inc. .................... 76,800 499,200
*GRC International, Inc. ............ 131,600 1,957,550
*GTI Corp. .......................... 33,600 180,600
*GTS Duratek, Inc. .................. 44,800 568,400
*GZA Geoenvironmental
Technologies, Inc. ................. 15,800 49,375
*Galey & Lord, Inc. ................. 95,000 1,235,000
*Galileo Electro-Optics Corp. ....... 69,300 1,671,863
*Game Financial Corp. ............... 4,500 38,813
*Gametek, Inc. ...................... 5,000 3,673
Gamma Biologicals, Inc. ............ 39,200 122,500
*Gantos, Inc. ....................... 27,300 101,522
Garan, Inc. ........................ 32,900 588,088
*Gardner Denver Machinery, Inc. ..... 17,600 646,800
*Garnet Resources Corp. ............. 49,600 19,375
*Gasonics International, Inc. ....... 112,000 1,218,000
*Gateway Industries, Inc. ........... 11,120 37,530
*#Geerling & Wade, Inc. .............. 14,200 70,113
*Gehl Co. ........................... 19,000 159,125
*Gelman Sciences, Inc. .............. 42,175 1,339,056
Gencor Industries, Inc. ............ 5,500 71,500
*Genelabs Technologies, Inc. ........ 151,300 586,288
*Genemedicine, Inc. ................. 76,400 267,400
*General Communications, Inc.
Class A ............................ 24,000 172,500
General Employment Enterprises,
Inc. ............................... 8,614 92,601
*#General Host Corp. ................. 93,320 326,620
General Housewares Corp. ........... 34,830 348,300
General Magnaplate Corp. ........... 4,200 28,088
*General Microwave Corp. ............ 8,600 41,925
General Physics Corp. .............. 73,000 301,125
*Genesco, Inc. ...................... 124,000 1,255,500
Genesee Corp. Class B .............. 200 8,500
*#Geneva Steel Co. Class A ........... 34,300 120,050
*Genicom Corp. ...................... 109,900 436,166
*Genlyte Group, Inc. ................ 67,100 603,900
*Genome Therapeutics Corp. .......... 131,600 1,200,850
Genovese Drug Stores, Inc.
Class A ............................ 106,269 1,859,708
*Genrad, Inc. ....................... 14,600 323,025
*Gensia, Inc. ....................... 205,100 942,178
*#Genta, Inc. ........................ 21,800 13,284
*Genus, Inc. ........................ 104,100 715,688
*Genzyme Transgenics Corp. .......... 50,400 289,800
George Mason Bankshares, Inc. ...... 30,300 689,325
*Georgia-Bonded Fibres, Inc. ........ 2,200 8,663
Getty Petroleum Corp. .............. 25,900 414,400
*Giant Cement Holding, Inc. ......... 37,000 564,250
*Giant Group, Ltd. .................. 58,800 492,450
Giant Industries, Inc. ............. 67,500 1,029,375
*Gibraltar Packaging Group, Inc. .... 18,100 65,613
*Gibraltar Steel Corp. .............. 10,600 247,775
*Gibson Greetings, Inc. ............. 16,200 307,800
*Giga-Tronics, Inc. ................. 35,000 293,125
16
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
Gilbert Associates, Inc. Class A ... 45,000 $ 607,500
*Gish Biomedical, Inc. .............. 74,750 495,219
Glacier Bancorp, Inc. .............. 6,587 158,088
*Glacier Water Services, Inc. ....... 30,600 627,300
Gleason Corp. ...................... 116,700 3,442,518
*Global Village Communication, Inc. . 67,000 448,063
*Globalink, Inc. .................... 30,500 91,500
*Go Video, Inc. ..................... 86,400 113,400
Golden Enterprises, Inc. ........... 7,400 55,963
*Golden Oil Co. DE .................. 69 40
Golden Poultry Co., Inc. ........... 44,400 455,100
*Good Guys, Inc. .................... 114,500 923,156
GoodMark Foods, Inc. ............... 90,400 1,536,800
*Goodys Family Clothing, Inc. ....... 134,500 2,185,625
Gorman-Rupp Co. .................... 30,200 419,025
*Gottschalks, Inc. .................. 57,700 389,475
*#Government Technology Services,
Inc. ............................... 41,000 253,688
*Gradco Systems, Inc. ............... 146,411 521,589
*Graff Pay-per-View, Inc. ........... 71,600 107,400
*Graham Corp. ....................... 4,950 51,047
Graham-Field Health Products, Inc. . 59,500 483,438
Grand Premier Financial, Inc. ...... 1,450 15,406
Granite State Bankshares, Inc. ..... 6,500 143,813
*Grant Geophysical, Inc. ............ 26,500 5,797
Graphic Industries, Inc. ........... 35,400 320,813
Great Southern Bancorp, Inc. ....... 3,600 62,100
*Greater New York Savings Bank NY .. 124,200 1,645,650
Green (A.P.) Industries, Inc. ...... 123,100 1,215,613
Green Mountain Power Corp. ......... 38,500 957,688
Greenbrier Companies, Inc. ......... 111,000 1,068,375
Greenwich Air Services, Inc.
Class A ............................ 15,700 384,650
*Greenwich Air Services, Inc.
Class B ............................ 7,600 177,650
*Greyhound Lines, Inc. .............. 40,000 155,000
*Grist Mill & Co. ................... 60,450 358,922
*Grossmans, Inc. .................... 231,300 252,984
*Ground Round Restaurants, Inc. ..... 86,950 218,734
*Group 1 Software, Inc. ............. 31,400 298,300
*Group Technologies Corp. ........... 106,000 198,750
Grovebank for Savings .............. 12,700 623,888
*Grow Biz International, Inc. ....... 53,600 482,400
*Grubb & Ellis Co. .................. 39,552 173,040
*Gryphon Holdings, Inc. ............. 11,600 166,025
*Guest Supply, Inc. ................. 107,100 1,753,763
*Gulfmark International, Inc. ....... 25,800 1,419,000
*Gull Laboratories, Inc. ............ 16,900 105,625
*Gundle/SLT Environmental, Inc. ..... 137,600 877,200
*HD Vest, Inc. ...................... 9,300 39,525
*HEI, Inc. .......................... 10,200 88,613
HF Financial Corp. ................. 5,100 84,788
*HMG Worldwide Corp. ................ 62,500 87,891
HMI Industries, Inc. ............... 84,200 452,575
*HMN Financial, Inc. ................ 15,900 287,194
*HPR, Inc. .......................... 82,500 1,232,344
*HPSC, Inc. ......................... 103,400 652,713
*HS Resources, Inc. ................. 96,728 1,644,376
HUBCO, Inc. ........................ 8,478 207,711
*Ha-Lo Industries, Inc. ............. 3,150 122,063
Haggar Corp. ....................... 53,500 952,969
*Hahn Automotive Warehouse, Inc. .... 34,008 289,068
Halifax Corp. ...................... 4,700 85,188
*Hallwood Group, Inc. ............... 10,762 153,359
<PAGE>
Shares Value+
--------- ------------
*Halsey Drug Co., Inc. .............. 53,922 $ 266,240
*Hammons (John Q.) Hotels, Inc.
Class A ............................ 55,700 449,081
*Hampshire Group, Ltd. .............. 4,900 63,700
*Hampton Industries, Inc. ........... 39,440 207,060
Hancock Fabrics, Inc. .............. 175,000 1,618,750
*Handex Environmental Recovery, Inc. 57,400 681,625
Handleman Co. ...................... 232,000 1,914,000
*Hanger Orthopedic Group, Inc. ...... 39,200 235,200
*Harcor Energy, Inc. ................ 44,600 220,213
*Harding Lawson Associates Group,
Inc. ............................... 41,700 276,263
*Harken Energy Corp. ................ 62,000 182,125
Harleysville National Corp PA ...... 210 5,329
*Harlyn Products, Inc. .............. 42,581 26,613
Harmon Industries, Inc. ............ 54,300 943,463
*Harolds Stores, Inc. ............... 36,187 551,852
*Harris & Harris Group, Inc. ........ 31,600 126,400
Harris Savings Bank PA ............. 2,000 36,500
*Harry's Farmers Market, Inc.
Class A ............................ 14,300 50,944
*Hartmarx Corp. ..................... 239,200 1,255,800
*#Harvard Industries, Inc. ........... 12,900 66,919
*Harvey Entertainment Co. ........... 30,000 211,875
Harvey's Casino Resorts ............ 67,800 1,127,175
Haskel International, Inc. ......... 13,100 102,344
Hastings Manufacturing Co. ......... 8,800 224,400
*Hathaway Corp. ..................... 34,580 136,159
*Hauser Chemical Research, Inc. ..... 51,800 304,325
Haven Bancorp, Inc. ................ 16,100 449,794
Haverfield Corp. ................... 220 4,180
Haverty Furniture Co., Inc. ........ 74,200 973,875
Haverty Furniture Co., Inc. Class A 13,550 176,150
Hawkins Chemical, Inc. ............. 39,319 289,978
*Hawthorne Financial Corp. .......... 14,100 111,919
Health Images, Inc. ................ 33,300 520,313
*#Health Management, Inc. ............ 18,600 24,994
*Health O Meter Products, Inc. ...... 31,700 192,181
*Health Power, Inc. ................. 13,700 45,381
*Health Professionals, Inc. ......... 4,923 13,538
*Health Risk Management, Inc. ....... 34,700 513,994
*Health-Chem Corp. .................. 68,645 72,935
*Healthcare Services Group, Inc. .... 78,800 768,300
*Healthdyne Information Enterprises,
Inc. ............................... 16,800 76,650
*Healthdyne Technologies, Inc. ...... 95,931 875,370
*Healthy Planet Products, Inc. ...... 6,000 26,625
Hechinger Co. Class A .............. 4,700 12,631
Hechinger Co. Class B .............. 1,800 7,763
*Hector Communications Corp. ........ 21,300 159,750
Heico Corp. ........................ 121,086 2,421,720
*Hein-Werner Corp. .................. 37,052 233,891
*Heist (C.H.) Corp. ................. 10,600 87,450
Henry Jack & Associates, Inc. ...... 29,166 1,101,017
Heritage Financial Services, Inc. .. 10,300 218,875
*Herley Industries, Inc. ............ 11,500 146,625
*Hi-Lo Automotive, Inc. ............. 92,456 242,697
*Hi-Shear Technology Corp. .......... 15,200 91,200
*Hi-Tech Pharmacal, Inc. ............ 37,500 171,094
*High Plains Corp. .................. 137,576 735,172
Hilb Rogal Hamilton Co. ............ 4,000 53,250
*Hilite Industries, Inc. ............ 11,200 58,800
Hingham Institution for Savings MA . 1,900 33,963
*Hinsdale Financial Corp. ........... 18,750 515,625
17
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Hirsch International Corp. Class A . 15,100 $ 285,013
*Hitox Corp. ........................ 24,700 63,294
Hoenig Group, Inc. ................. 21,200 92,750
*Holiday RV Superstores, Inc. ....... 9,600 15,750
*Hollywood Casino Corp. Class A ..... 213,400 906,950
*Hologic, Inc. ...................... 51,930 1,278,776
*Holopak Technologies, Inc. ......... 32,000 104,000
*Holophane Corp. .................... 12,800 243,200
Home Federal Bancorp ............... 14,800 514,300
Home Port Bancorp, Inc. ............ 600 10,238
*Home State Holdings, Inc. .......... 60,000 461,250
*Homecorp, Inc. ..................... 200 3,775
*Homeowners Group, Inc. ............. 47,800 82,156
*Hondo Oil and Gas Co. .............. 16,600 201,275
Hooper Holmes, Inc. ................ 62,800 989,100
Horizon Bancorp, Inc. .............. 200 7,950
Horizon Financial Corp. ............ 23,573 321,182
*Hospital Staffing Services, Inc. ... 54,789 123,275
*Hosposable Products, Inc. .......... 500 2,531
*Hovnanian Enterprises, Inc.
Class A ............................ 74,800 439,450
#Howell Corp. ....................... 108,200 1,541,850
Howell Industries, Inc. ............ 14,400 586,800
*Howtek, Inc. ....................... 36,100 73,328
Hudson General Corp. ............... 25,300 917,125
*Hudson Technologies, Inc. .......... 13,000 78,000
Huffy Corp. ........................ 105,800 1,454,750
*Hugoton Energy Corp. ............... 37,000 402,375
Hunt Manufacturing Co. ............. 4,300 75,788
Huntco, Inc. Class A ............... 16,200 253,125
*Hurco Companies, Inc. .............. 46,900 252,088
*Hutchinson Technology, Inc. ........ 2,400 127,800
*Hycor Biomedical, Inc. ............. 69,316 246,938
*Hyde Athletic Industries, Inc.
Class A ............................ 70,700 362,338
*Hyde Athletic Industries, Inc.
Class B ............................ 63,800 313,019
Hydron Technologies, Inc. .......... 97,500 188,906
*Hyperion Software Corp. ............ 12,000 259,500
*I-Stat Corp. ....................... 3,600 88,200
*ICF Kaiser International, Inc. ..... 199,000 373,125
ICO, Inc. .......................... 171,518 1,125,587
*ICOS Corp. ......................... 48,100 372,775
*ICU Medical, Inc. .................. 72,550 584,934
*IDM Environmental Corp. ............ 8,000 17,625
*IEC Electronics Corp. .............. 39,800 308,450
*IFR Systems, Inc. .................. 62,935 955,825
*IGEN, Inc. ......................... 60,300 361,800
*IGI, Inc. .......................... 65,500 376,625
*II-VI, Inc. ........................ 15,600 411,450
*ILC Technology, Inc. ............... 54,600 658,613
IMCO Recycling, Inc. ............... 59,800 979,225
*IMP, Inc. .......................... 250,800 803,344
*IPC Information Systems, Inc. ...... 39,100 635,375
*IPL Systems, Inc. Class A .......... 16,500 32,484
*IQ Software Corp. .................. 17,200 408,500
*#IVI Publishing, Inc. ............... 65,000 229,531
IWC Resources Corp. ................ 10,900 245,250
*Ibah, Inc. ......................... 79,200 514,800
*Identix, Inc. ...................... 83,000 658,813
*Ikos Systems, Inc. ................. 29,150 564,781
*Illinois Superconductor Corp. ...... 15,200 254,600
*Image Entertainment, Inc. .......... 107,600 450,575
*Imatron, Inc. ...................... 62,100 218,320
*Imclone Systems, Inc. .............. 143,000 1,465,750
<PAGE>
Shares Value+
--------- ------------
*Immucor, Inc. ...................... 54,000 $ 556,875
*Immulogic Pharmaceutical Corp. ..... 43,500 369,750
*Immune Response Corp. DE ........... 140,100 1,112,044
*Immunogen, Inc. .................... 58,200 161,869
*Immunomedics, Inc. ................. 45,200 310,750
*Imo Industries, Inc. ............... 100,000 337,500
*Impact Systems, Inc. ............... 192,100 276,144
*Imperial Holly Corp. ............... 38,700 602,269
*In Focus Systems, Inc. ............. 5,800 121,800
*In Home Health, Inc. ............... 27,500 53,281
*Inacom Corp. ....................... 31,200 969,150
*Inbrand Corp. ...................... 33,300 799,200
*Incontrol, Inc. .................... 31,900 281,119
*Incstar Corp. ...................... 44,200 187,850
*Indenet, Inc. ...................... 42,750 88,172
Independence Holding Co. ........... 10,919 92,129
Independent Bank Corp. MA .......... 108,100 1,020,194
Independent Bank East .............. 5,735 195,707
#Independent Bankshares, Inc. ....... 786 12,478
Indiana Federal Corp. .............. 16,449 361,878
Industrial Acoustics Co., Inc. ..... 900 9,113
*#Industrial Holdings, Inc. .......... 12,700 120,650
*Industrial Scientific Corp. ........ 10,000 158,750
*Industrial Training Corp. .......... 13,300 59,850
*Infodata Systems, Inc. ............. 4,276 21,915
*Information Resource Engineering,
Inc. ............................... 25,300 268,813
*Inhale Therapeutic Systems ......... 41,500 617,313
*Innerdyne, Inc. .................... 77,300 236,731
*Innodata Corp. ..................... 8,350 12,003
*Innoserv Technologies, Inc. ........ 13,640 40,068
*#Innovative Gaming Corp of America .. 23,200 185,600
Innovex, Inc. ...................... 101,900 4,139,688
*Insite Vision, Inc. ................ 83,300 361,834
Insituform East, Inc. .............. 12,100 34,788
*Insituform Technologies, Inc.
Class A ............................ 7,000 55,125
Insteel Industries, Inc. ........... 59,944 479,552
Instron Corp. ...................... 118,200 1,536,600
*Insurance Auto Auctions, Inc. ...... 50,000 468,750
*Integramed America, Inc. ........... 62,200 106,906
*Integrated Circuit Systems, Inc. ... 41,000 435,625
*Integrated Silicon Solution, Inc. .. 10,600 106,497
*Integrated Waste Services, Inc. .... 12,500 14,063
*Intellicall, Inc. .................. 68,907 335,922
*Intellicorp, Inc. .................. 89,200 156,100
*Intellidate Technologies Corp. ..... 12,000 87,000
Intelligent Electronics, Inc. ...... 21,574 161,805
*Inter-Tel, Inc. .................... 41,200 736,450
Intercargo Corp. ................... 27,500 226,875
Interchange Financial Services
Corp. Saddle Brook ................. 14,280 337,365
*Interface Systems, Inc. ............ 29,800 167,625
*Interferon Sciences, Inc. .......... 210,000 321,563
*Interlake Corp. .................... 196,200 735,750
*Interleaf, Inc. .................... 143,100 317,503
*Interlink Electronics .............. 16,100 79,494
*Interlinq Software Corp. ........... 34,200 163,519
*Intermagnetics General Corp. ....... 158,941 2,125,836
*Intermedia Communications of
Florida, Inc. ...................... 80,700 2,370,563
*International Alliance Services,
Inc. ............................... 7,440 68,355
International Aluminum Corp. ....... 200 5,150
*International Imaging Materials,
Inc. ............................... 12,200 297,375
18
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*International Lottery & Totalizer
Systems, Inc. ...................... 76,900 $ 81,706
*International Lottery, Inc. ........ 10,800 79,650
*International Remote Imaging
Systems, Inc. ...................... 34,350 141,694
International Shipholding Corp. .... 53,950 950,869
*International Technology Corp. ..... 76,175 771,272
*International Thoroughbred
Breeders, Inc. ..................... 31,900 109,656
*Interphase Corp. ................... 33,500 374,781
*Interpore International ............ 50,000 237,500
*Interscience Computer Corp. ........ 6,500 21,938
*Intersolv, Inc. .................... 28,900 269,131
Interstate Johnson Lane, Inc. ...... 12,800 168,000
*Intersystems, Inc. ................. 52,700 60,934
*#Intertan, Inc. ..................... 71,900 413,425
*Intervisual Books, Inc. Class A .... 1,500 2,391
Interwest Bancorp, Inc. ............ 19,200 631,200
*Investors Insurance Group, Inc. .... 42,700 16,013
Investors Title Co. ................ 24,000 375,000
*Invivo Corp. ....................... 8,500 116,344
*Ion Laser Technology, Inc. ......... 5,200 63,700
Iroquois Bancorp ................... 400 6,650
Isco, Inc. ......................... 101,341 1,000,742
*Isis Pharmaceuticals, Inc. ......... 95,900 1,558,375
*Isolyser Co., Inc. ................. 10,560 85,800
*Isomedix, Inc. ..................... 51,100 702,625
*Iwerks Entertainment, Inc. ......... 60,924 392,198
*J & J Snack Foods Corp. ............ 40,000 437,500
*JG Industries, Inc. ................ 19,500 13,406
JLG Industries, Inc. ............... 16,300 293,400
*#JMAR Industries, Inc. .............. 8,000 19,875
*JPE, Inc. .......................... 5,500 41,938
*Jabil Circuit, Inc. ................ 60,000 1,533,750
Jackpot Enterprises, Inc. .......... 50,775 507,750
*Jaclyn, Inc. ....................... 23,227 123,393
*Jaco Electronics, Inc. ............. 14,973 131,950
Jacobson Stores, Inc. .............. 49,700 478,363
*Jalate, Ltd. ....................... 11,000 40,563
*Jan Bell Marketing, Inc. ........... 224,900 520,081
*Jason, Inc. ........................ 72,400 515,850
*Jean Philippe Fragrances, Inc. ..... 69,000 487,313
Jeffbanks, Inc. .................... 7,740 215,753
Jefferson Savings Bancorp, Inc. .... 40,000 945,000
*Jennifer Convertibles, Inc. ........ 41,000 94,177
*Johnson Worldwide Associates, Inc.
Class A ............................ 43,100 501,038
Johnston Industries, Inc. .......... 207,687 1,635,535
*Johnstown American Industries, Inc. 86,700 357,638
*Joseph A. Bank Clothiers, Inc. ..... 42,900 185,006
*Joule, Inc. ........................ 42,100 163,138
*Just Toys, Inc. .................... 28,300 45,988
K Swiss, Inc. Class A .............. 31,200 345,150
*K-Tel International, Inc. .......... 200 1,050
*K-Tron International, Inc. ......... 63,400 677,588
*K-V Pharmaceutical Co. Class A ..... 24,950 296,281
*K-V Pharmaceutical Co. Class B ..... 19,400 232,800
*KBK Capital Corp. .................. 5,000 23,125
*KLLM Transport Services, Inc. ...... 37,400 420,750
*KTI, Inc. .......................... 1,733 13,864
*Kaiser Ventures, Inc. .............. 78,900 779,138
Kaman Corp. Class A ................ 10,000 125,000
*Kaneb Services, Inc. ............... 61,700 215,950
Katy Industries, Inc. .............. 32,200 446,775
<PAGE>
Shares Value+
--------- ------------
Kaye Group, Inc. ................... 41,000 $ 233,188
Keithley Instruments, Inc. ......... 6,600 68,475
*Kelley Oil & Gas Corp. ............. 65,100 183,094
Kenan Transport Co. ................ 200 4,025
*Kent Financial Services, Inc. ...... 14,278 110,655
*Kentucky Electric Steel, Inc. ...... 15,700 110,881
*Kenwin Shops, Inc. ................. 500 1,500
*Kerr Group, Inc. ................... 73,300 201,575
*Kewaunee Scientific Corp. .......... 20,400 121,125
*#Key Energy Group, Inc. ............. 37,158 450,541
*Key Production Co., Inc. ........... 41,872 528,634
*Key Technology, Inc. ............... 27,000 604,125
*Key Tronic Corp. ................... 129,100 1,121,556
*Keystone Consolidated Industries,
Inc. ............................... 88,600 653,425
Keystone Heritage Group, Inc. ...... 29,600 680,800
*Kimmins Corp. ...................... 8,300 33,200
*Kinark Corp. ....................... 52,800 158,400
*Kinnard Investment, Inc. ........... 20,800 118,300
*Kit Manufacturing Co. .............. 12,000 132,750
*Klamath First Bancorp, Inc. ........ 12,000 177,750
*Kleer-Vu Industries, Inc. .......... 20,073 17,564
*Kleinert's, Inc. ................... 5,000 90,625
Knape & Vogt Manufacturing Co. ..... 64,599 1,033,584
*Knickerbocker (L.L.) Co., Inc. ..... 60,000 532,500
*Knight Transportation, Inc. ........ 9,100 211,006
*Knogo North America, Inc. .......... 72,800 423,150
*Koala Corp. ........................ 8,800 112,750
Kollmorgen Corp. ................... 35,100 399,263
*Koo Koo Roo, Inc. .................. 120,000 978,750
*Kopin Corp. ........................ 85,900 799,944
*Koss Corp. ......................... 52,000 328,250
*Krauses Furniture, Inc. ............ 2,933 4,033
*Krug International Corp. ........... 21,465 99,276
*Krystal Co. ........................ 56,900 337,844
Kuhlman Corp. ...................... 231,276 4,076,240
Kysor Industrial Corp. ............. 27,200 829,600
*#L.A. Gear, Inc. .................... 45,600 108,300
*LAT Sportswear, Inc. ............... 2,700 1,688
LCS Industries, Inc. ............... 14,460 187,980
LSB Bancshares, Inc. NC ............ 9,372 148,781
LSB Industries, Inc. ............... 108,900 503,663
LSI Industries, Inc. ............... 143,403 1,684,985
*LTX Corp. .......................... 75,000 440,625
*LXE, Inc. .......................... 17,000 255,000
*LXR Biotechnology, Inc. ............ 63,300 134,513
*La Jolla Pharmceutical Co. ......... 139,300 574,613
*LaBarge, Inc. ...................... 221,650 1,329,900
LaCrosse Footwear, Inc. ............ 13,300 151,288
*Laclede Steel Co. .................. 25,450 84,303
Ladd Furniture, Inc. ............... 46,333 622,600
*Lakeland Industries, Inc. .......... 4,700 15,422
*Lamson & Sessions Co. .............. 143,800 1,078,500
*Lancer Corp. ....................... 66,150 983,981
*Lancit Media Productions, Ltd. ..... 53,200 422,275
*Landair Services, Inc. ............. 50,100 532,313
Landauer, Inc. ..................... 71,000 1,482,125
*Laser Pacific Media Corp. .......... 10,000 9,219
*Lasermaster Technologies, Inc. ..... 96,700 525,806
*Laserscope ......................... 66,600 366,300
*Lawrence Savings Bank MA ........... 7,700 65,931
Lawyers Title Corp. ................ 34,300 651,700
*Layne, Inc. ........................ 3,900 54,113
*Lazare Kaplan International, Inc. .. 71,300 1,381,438
Learonal, Inc. ..................... 8,400 195,300
19
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Leasing Solutions, Inc. ............ 66,100 $1,896,244
*Leather Factory, Inc. .............. 200 213
*Lechters, Inc. ..................... 92,500 439,375
*Lectec Corp. ....................... 13,080 86,655
Lesco, Inc. ........................ 87,100 1,437,150
*Leslie Building Products, Inc. ..... 27,800 95,563
*Leslie's Poolmart .................. 45,992 597,896
*Levitz Furniture, Inc. ............. 100,200 363,225
Liberty Bancorp, Inc. Delaware ..... 7,800 189,150
Liberty Homes, Inc. Class A ........ 200 2,588
*Liberty Technologies, Inc. ......... 6,900 19,838
*Lidak Pharmaceuticals Class A ...... 93,000 129,328
*Life Medical Sciences, Inc. ........ 7,800 43,875
*Life Quest Medical, Inc. ........... 4,800 14,100
*Life USA Holdings, Inc. ............ 85,400 854,000
*Lifecore Biomedical, Inc. .......... 42,000 656,250
*Lifeline Systems, Inc. ............. 20,500 347,219
*Lifetime Hoan Corp. ................ 73,720 755,630
*Ligand Pharmaceuticals, Inc.
Class B ............................ 26,558 320,356
Lillian Vernon Corp. ............... 49,000 588,000
*Lindal Cedar Homes, Inc. ........... 40,777 152,914
Lindberg Corp. ..................... 53,200 525,350
Liqui Box Corp. .................... 3,400 111,775
Litchfield Financial Corp. ......... 22,863 297,219
*Littlefield, Adams & Co. ........... 16,500 53,625
*Liuski International, Inc. ......... 7,700 18,769
*#Live Entertainment, Inc. ........... 2,000 7,750
*Lodgenet Entertainment Corp. ....... 63,000 937,125
*#Logic Devices, Inc. ................ 49,300 158,684
*Logic Works, Inc. .................. 94,000 564,000
Lomak Petroleum, Inc. .............. 84,445 1,382,787
*Longhorn Steaks, Inc. .............. 66,562 1,322,920
*Loronix Information Systems, Inc. .. 15,900 72,544
Lufkin Industries, Inc. ............ 28,400 599,950
*Lunar Corp. ........................ 40,500 1,270,688
*Lund International Holdings, Inc. .. 15,800 197,500
*Luria & Son, Inc. .................. 79,297 227,979
*Lynch Corp. ........................ 29,600 1,968,400
M A R C, Inc. ...................... 13,838 300,977
*M-Wave, Inc. ....................... 10,600 34,450
MAF Bancorp, Inc. .................. 16,900 578,825
*MAI Systems Corp. .................. 11,207 75,647
#MDC Holdings, Inc. ................. 65,200 489,000
*MDL Information Systems, Inc. ...... 13,600 230,350
*MFB Corp. .......................... 2,000 32,750
*MFRI, Inc. ......................... 9,300 73,819
*MGI Pharma, Inc. ................... 137,700 679,894
*MHM Services, Inc. ................. 75 38
*MI Schottenstein Homes, Inc. ....... 30,800 304,150
*MK Gold Corp. ...................... 58,500 87,750
*#MK Rail Corp. ...................... 24,000 177,000
*MLX Corp. .......................... 22,645 294,385
*MRS Technology, Inc. ............... 47,500 112,813
*MTI Technology Corp. ............... 18,500 45,672
MTS Systems Corp. .................. 28,100 572,538
MYR Group, Inc. .................... 39,200 416,500
MacDermid, Inc. .................... 600 20,550
MacNeal-Schwendler Corp. ........... 123,500 1,080,625
*Macheezmo Mouse Restaurants, Inc. . 10,800 19,913
*Magainin Pharmaceuticals, Inc. ..... 61,800 517,575
Magna Bancorp ...................... 15,400 277,200
*Magnetic Technologies Corp. ........ 5,000 20,625
*Magnum Petroleum, Inc. ............. 5,400 25,988
<PAGE>
Shares Value+
--------- ------------
*Mail Boxes, Etc. ................... 27,500 $ 603,281
*Main Street & Main, Inc. ........... 2,850 5,255
Maine Public Service Co. ........... 32,700 617,213
Mainstreet Bankgroup, Inc. ......... 20,600 383,675
*Mallon Resources Corp. ............. 3,875 31,727
Managed Care Solutions, Inc. ....... 14,000 52,500
*Manatron, Inc. ..................... 115 208
*Manhattan Bagel Co., Inc. .......... 7,400 61,513
*Manugistic Group, Inc. ............. 21,250 795,547
*Mapinfo Corp. ...................... 23,000 253,000
*Marcam Corp. ....................... 41,100 475,219
*Marisa Christina, Inc. ............. 72,200 527,963
Maritrans, Inc. .................... 35,900 219,888
*Mark VII, Inc. ..................... 47,800 1,350,350
*Marlton Technologies, Inc. ......... 62,300 245,306
Marsh Supermarkets, Inc. Class A ... 14,400 172,800
Marsh Supermarkets, Inc. Class B ... 14,900 167,625
*Martek Biosciences Corp. ........... 7,200 126,000
*Marten Transport, Ltd. ............. 35,200 440,000
Maryland Federal Bancorp ........... 17,115 565,865
Massbank Corp. Reading, MA ......... 5,050 191,900
*Matec Corp. DE ..................... 23,800 71,400
*Mathsoft, Inc. ..................... 30,600 137,700
*Matlack Systems, Inc. .............. 75,650 529,550
*Matria Healthcare, Inc. ............ 102,000 631,125
*Matrix Pharmaceutical, Inc. ........ 97,500 840,938
*Matrix Service Co. ................. 83,600 491,150
*Matthews Studio Equipment Group .... 6,500 14,016
*Mattson Technology, Inc. ........... 123,000 1,283,813
*Maverick Tube Corp. ................ 45,000 708,750
*Max & Ermas Restaurants, Inc. ...... 6,557 44,260
*Maxco, Inc. ........................ 11,000 88,000
*Maxim Group, Inc. .................. 76,000 1,220,750
*Maxwell Technologies, Inc. ......... 29,246 1,312,414
*Maxxim Medical, Inc. ............... 69,479 885,857
Mayflower Co-Operative Bank
Middleboro ......................... 200 3,050
*Maynard Oil Co. .................... 103,200 1,528,650
*Mays (J.W.), Inc. .................. 2,100 21,263
*McClain Industries, Inc. ........... 91,066 540,704
McDonald & Co. Investment, Inc. .... 4,200 128,100
*McFarland Energy, Inc. ............. 52,000 581,750
McGrath Rent Corp. ................. 29,100 742,050
*McWhorter Technologies, Inc. ....... 11,000 218,625
*Measurement Specialties, Inc. ...... 3,500 10,063
*Mecklermedia Corp. ................. 9,900 202,950
Medalliance, Inc. Escrow ........... 25,000 0
*Medar, Inc. ........................ 105,500 501,125
*Medarex, Inc. ...................... 66,800 530,225
*Medco Research, Inc. ............... 41,000 410,000
Medex, Inc. ........................ 43,300 1,009,431
Medford Savings Bank MA ............ 37,900 1,013,825
*Media Arts Group, Inc. ............. 29,100 81,844
*Media Logic, Inc. .................. 21,800 95,375
*Medical Action Industries, Inc. .... 33,300 54,113
*Medical Graphics Corp. ............. 12,700 63,500
*Medical Resources, Inc. ............ 46,100 403,375
*Medicalcontrol, Inc. ............... 14,500 76,125
*Medicore, Inc. ..................... 47,500 161,055
Medicus Systems Corp. .............. 42,000 231,000
*Medimmune, Inc. .................... 70,000 1,067,500
*Mediq, Inc. ........................ 58,200 338,288
*Medplus, Inc. ...................... 47,000 331,938
*Medquist Inc. ...................... 19,300 373,938
*Medstone International, Inc. ....... 28,200 199,163
20
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Melamine Chemicals, Inc. ........... 74,100 $ 565,013
*Mem Co., Inc. ...................... 53,300 389,756
*Mercer International, Inc. ......... 25,800 307,988
Merchants Bancorp, Inc. ............ 10,000 307,500
*Merchants Bancshares, Inc. ......... 200 3,525
Merchants Group, Inc. .............. 11,200 201,600
Merchants New York Bancorp, Inc. ... 400 12,900
Mercury Air Group, Inc. ............ 18,383 135,575
*Mercury Interactive Corp. .......... 12,000 119,250
*Meridian Data, Inc. ................ 61,600 462,000
Meridian Diagnostics, Inc. ......... 116,754 1,284,294
Meridian Insurance Group, Inc. ..... 20,000 287,500
*Meridian Medical Technology, Inc. .. 17,900 162,219
*Meridian Sports, Inc. .............. 30,050 41,319
*Merisel, Inc. ...................... 240,800 451,500
*Merit Medical Systems, Inc. ........ 24,200 184,525
*Merix Corp. ........................ 48,000 792,000
Merrill Corp. ...................... 21,300 495,225
Merrimac Industries, Inc. .......... 12,332 127,174
*Mesa Labs, Inc. .................... 4,300 27,144
*Mesaba Holdings, Inc. .............. 78,700 1,042,775
*Mestek, Inc. ....................... 118,750 1,929,688
*Met-Coil Systems Corp. ............. 27,500 42,955
Met-Pro Corp. ...................... 151,665 2,142,268
*Metal Management, Inc. ............. 106,906 427,624
*Metalclad Corp. .................... 34,500 51,750
*Metatec Corp. Class A .............. 65,100 427,219
*Metricom, Inc. ..................... 34,700 459,775
*Metrocall, Inc. .................... 158,399 861,295
*Metrologic Instruments, Inc. ....... 57,300 780,713
*Metropolitan Bancorp Washington .... 7,200 140,400
Metrowest Bank MA .................. 52,100 234,450
*Michael Anthony Jewelers, Inc. ..... 74,300 232,188
*Micrel, Inc. ....................... 25,000 621,875
*Micrion Corp. ...................... 19,700 275,800
*Micro Bio-Medics, Inc. ............. 18,200 326,463
*Micro Linear Corp. ................. 91,000 582,969
*Microage, Inc. ..................... 102,700 2,310,750
*Microcom, Inc. ..................... 119,600 1,360,450
*Microdyne Corp. .................... 46,200 225,225
*Microfluidics International Corp. .. 5,600 9,013
*Micrografx, Inc. ................... 62,000 410,750
*Microlog Corp. ..................... 26,000 141,375
*Micronics Computers, Inc. .......... 107,600 299,263
*Micros Systems, Inc. ............... 16,800 498,750
*Micros to Mainframes, Inc. ......... 3,500 11,156
*Microsemi Corp. .................... 135,875 1,579,547
*Microtel International, Inc. ....... 21,501 49,721
*Microtest, Inc. .................... 57,900 571,763
*Microtouch Systems, Inc. ........... 29,000 723,188
Microwave Filter Co., Inc. ......... 5,894 6,815
*Microwave Power Dynamics, Inc. ..... 68,000 204,000
Mid America Banccorp ............... 31,072 582,600
Midconn Bank Kensington, CT ........ 45,200 915,300
*Middleby Corp. ..................... 65,200 378,975
Middlesex Water Co. ................ 15,000 264,375
*Midisoft Corp. ..................... 58,300 189,475
Midland Co. ........................ 14,700 542,063
Midland Financial Group, Inc. ...... 7,500 63,750
*Midwest Express Holdings, Inc. ..... 10,500 346,500
*Midwest Grain Products, Inc. ....... 5,400 87,750
*Mikohn Gaming Corp. ................ 46,650 320,719
*Miller Building Systems, Inc. ...... 72,800 536,900
*Miltope Group, Inc. ................ 50,500 145,188
Minntech Corp. ..................... 29,131 320,436
<PAGE>
Shares Value+
--------- ------------
Minuteman International, Inc. ...... 15,000 $ 133,125
*Mity-Lite, Inc. .................... 28,100 379,350
Mobile Gas Service Corp. ........... 34,100 848,238
*Mobile Mini, Inc. .................. 11,800 36,875
*Mobilemedia Corp. Class A .......... 107,100 123,834
Modern Controls, Inc. .............. 56,650 580,663
*Molecular Biosystems, Inc. ......... 62,400 436,800
*Molecular Dynamics, Inc. ........... 51,100 488,644
*Monaco Coach Corp. ................. 8,500 132,813
*Monaco Finance, Inc. Class A ....... 16,300 41,259
*Monarch Casino and Resort, Inc. .... 82,100 241,169
Monarch Machine Tool Co. ........... 39,761 332,998
*Monro Muffler Brake, Inc. .......... 32,082 493,261
*Monroc, Inc. ....................... 12,500 68,750
*Monterey Pasta Co. ................. 32,400 64,800
*Moog, Inc. Class A ................. 22,750 546,000
*Moog, Inc. Class B ................. 1,500 36,281
*Moore Handley, Inc. ................ 1,500 5,438
*Moore Medical Corp. ................ 25,100 263,550
*Moore Products Co. ................. 19,900 378,100
*Moovies, Inc. ...................... 87,200 446,900
*Morgan Products, Ltd. .............. 65,300 457,100
*Morningstar Group, Inc. ............ 57,100 977,838
*Morrison Knudsen Corp. ............. 48,900 440,100
*Morton's Restaurant Group, Inc. .... 54,900 837,225
Moscom Corp. ....................... 25,700 247,363
*Mother's Work, Inc. ................ 11,500 125,063
*Moto Photo, Inc. ................... 6,100 11,438
*Motor Car Parts & Accessories, Inc. 40,500 594,844
*Motor Club of America .............. 20,500 174,250
*Mountain Parks Financial Corp. ..... 11,650 399,741
*Mountasia Entertainment
International, Inc. ................ 50,200 160,013
Movado Group, Inc. ................. 8,400 214,200
*Moviefone, Inc. Class A ............ 25,100 111,381
Mueller (Paul) Co. ................. 26,700 1,041,300
*Multi Color Corp. .................. 7,600 45,600
*Musicland Stores Corp. ............. 210,600 315,900
*Mutual Savings Bank FSB Bay City,
MI ................................. 8,000 46,000
*My Software Co. .................... 14,000 53,375
*Mylex Corp. ........................ 1,600 20,300
*NABI, Inc. ......................... 7,850 71,631
*NAI Technologies, Inc. ............. 82,813 251,027
NBT Bancorp ........................ 10,815 204,133
*NBTY, Inc. ......................... 15,800 253,788
NN Ball & Roller, Inc. ............. 95,300 1,286,550
*NPC International, Inc. ............ 6,200 53,088
*NPS Pharmaceuticals, Inc. .......... 60,100 601,000
*NS Group, Inc. ..................... 118,700 408,031
*NSA International, Inc. ............ 30,500 51,469
NSC Corp. .......................... 79,800 154,613
*NTN Communications, Inc. ........... 161,500 767,125
NUI Corp. .......................... 24,200 484,000
*Nantucket Industries, Inc. ......... 28,135 94,956
*Napco Security Systems, Inc. ....... 64,100 232,363
Nash Finch Co. ..................... 17,300 330,863
*Nashua Corp. ....................... 26,700 423,863
*Nathans Famous, Inc. ............... 16,500 62,906
*National Beverage Corp. ............ 7,800 66,300
*National City Bancorp .............. 12,152 247,597
*National Dentex Corp. .............. 6,500 112,938
*National Energy Group, Inc. ........ 180,200 647,594
National Gas & Oil Co. ............. 134,794 1,246,845
21
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*National Home Centers, Inc. ........ 60,000 $ 127,500
*National Home Health Care Corp. .... 15,422 99,279
*National Insurance Group ........... 45,200 237,300
*National Mercantile Bancorp. ....... 2,300 2,516
*National Patent Development Corp. .. 26,050 221,425
*National Picture and Frame Co. ..... 31,600 314,025
*National RV Holdings, Inc. ......... 15,000 218,438
*National Record Mart, Inc. ......... 4,000 5,500
National Sanitary Supply Co. ....... 200 2,725
National Security Group, Inc. ...... 10,500 141,750
*National Standard Co. .............. 96,500 663,438
National Technical Systems, Inc. ... 47,184 113,537
*National Techteam, Inc. ............ 68,100 1,481,175
*National Vision Association, Ltd. .. 123,800 557,100
*National Western Life Insurance Co.
Class A ............................ 3,200 272,800
*Natural Alternatives International,
Inc. ............................... 47,000 364,250
*Natural Microsystems Corp. ......... 29,600 760,350
*Natural Wonders, Inc. .............. 25,900 140,831
*Navarre Corp. ...................... 54,200 210,025
*Navigators Group, Inc. ............. 20,520 402,705
Nelson (Thomas), Inc. .............. 73,000 917,063
*Neogen Corp. ....................... 13,600 95,200
*Neoprobe Corp. ..................... 55,000 790,625
*Neorx Corp. ........................ 130,700 628,994
*Nestor, Inc. ....................... 21,400 53,500
*Netframe Systems, Inc. ............. 87,200 267,050
*Netrix Corp. ....................... 83,200 426,400
*Network Computing Devices, Inc. .... 130,000 1,088,750
*Network Imaging Corp. .............. 66,600 233,100
*Network Peripherals, Inc. .......... 41,600 660,400
*Network Six, Inc. .................. 3,100 1,938
*Neurex Co. ......................... 81,000 1,053,000
*New Brunswick Scientific Co., Inc. . 34,125 234,609
New England Community Bancorp, Inc.
Class A ............................. 4,100 61,500
New Hampsire Thrift BancShares,
Inc. ............................... 200 2,538
*New Image Industries, Inc. ......... 43,763 55,388
*New Jersey Steel Corp. ............. 29,800 124,788
*New Mexico & Arizona Land Co. ...... 30,042 360,504
*New World Power Corp. .............. 12,000 9,375
Newcor, Inc. ....................... 82,025 712,592
Newmil Bancorp, Inc. ............... 44,200 403,325
#Newport Corp. ...................... 74,600 652,750
*Nexthealth, Inc. ................... 21,100 62,641
*Nichols Research Corp. ............. 64,150 1,579,694
Nitches, Inc. ...................... 10,194 56,704
*Nobility Homes ..................... 7,050 90,769
*Noel Group, Inc. ................... 43,600 283,400
Noland Co. ......................... 500 11,063
*Noodle Kidoodle, Inc. .............. 65,000 369,688
*Norand Corp. ....................... 15,100 254,813
*Nord Resources Corp. ............... 125,700 534,225
*Norstan, Inc. ...................... 90,400 1,469,000
*Nortek, Inc. ....................... 32,900 505,838
North Carolina Natural Gas Corp. ... 10,300 299,988
North Side Savings Bank NY ......... 15,638 819,040
*North Star Universal, Inc. ......... 27,800 224,138
Northern Technologies International 11,500 77,625
*Northfield Laboratories, Inc. ...... 33,800 437,288
Northland Cranberries, Inc. Class A 16,300 366,750
*Northstar Health Services, Inc. .... 25,000 43,750
*Northwest Teleproductions, Inc. .... 15,800 64,188
<PAGE>
Shares Value+
--------- ------------
*Northwestern Steel & Wire Co. ...... 45,500 $ 221,813
*Norton McNaughton, Inc. ............ 55,000 460,625
Norwich Financial Corp. ............ 23,800 465,588
*Norwood Promotional Products, Inc. 31,200 503,100
*Novametrix Medical Systems, Inc. ... 59,700 354,469
*Novavax, Inc. ...................... 65,500 229,250
*Noven Pharmaceuticals, Inc. ........ 20,300 275,319
*Novitron Internarional, Inc. ....... 12,850 13,653
*Nu Horizons Electronics Corp. ...... 65,054 601,750
*Nuclear Metals, Inc. ............... 71,300 1,149,713
*Numar Corp. ........................ 24,850 383,622
Numerex Corp. Class A .............. 11,500 46,719
*Nutramax Products, Inc. ............ 44,000 390,500
*Nview Corp. ........................ 16,650 63,478
*O Charleys, Inc. ................... 60,650 727,800
O'Sullivan Corp. ................... 51,600 554,700
*O'Sullivan Industries Holdings, Inc. 131,400 1,461,825
*O.I. Corp. ......................... 13,800 46,575
*OEC Medical Systems, Inc. .......... 62,100 869,400
*OHM Corp. .......................... 19,500 165,750
*ON Technology Corp. ................ 25,000 151,563
*OTR Express, Inc. .................. 16,600 74,700
*Oak Hill Sportswear Corp. .......... 21,600 29,700
*#Odwalla, Inc. ...................... 17,300 265,988
Oglebay Norton Co. ................. 25,000 1,096,875
Ohio Art Co. ....................... 1,000 17,625
Oil-Dri Corp. of America ........... 60,900 867,825
*Old America Stores, Inc. ........... 13,400 63,650
*Old Dominion Freight Lines, Inc. ... 68,600 625,975
Old National Bancorp ............... 122 4,514
*Olympic Steel, Inc. ................ 64,000 1,556,000
*#Omega Environmental, Inc. .......... 88,600 211,809
*#Omni Multimedia Group, Inc. ........ 6,700 19,681
*On Assignment, Inc. ................ 12,400 365,800
*Oncogene Science, Inc. ............. 132,400 926,800
*Oncor, Inc. ........................ 185,800 731,588
*One Price Clothing Stores, Inc. .... 65,600 182,450
Oneida, Ltd. ....................... 25,700 436,900
*Oneita Industries, Inc. ............ 59,020 221,325
*Onyx Acceptance Corp. .............. 8,500 66,938
*Opal, Inc. ......................... 50,500 924,781
*Opinion Research Corp. ............. 15,500 64,906
*Opta Food Ingredients, Inc. ........ 86,100 634,988
*Opti, Inc. ......................... 43,200 228,150
Optical Coating Laboratory, Inc. ... 53,092 597,285
*Option Care, Inc. .................. 43,400 214,288
Orange Co., Inc. ................... 91,747 699,571
*Orbit International Corp. .......... 27,600 50,025
*Oregon Metallurgical Corp. ......... 15,500 554,125
*Oriole Homes Corp. Class A
Convertible ........................ 66,500 498,750
*Oriole Homes Corp. Class B ......... 23,000 169,625
*Oroamerica, Inc. ................... 45,200 231,650
*Ortel Corp. ........................ 28,300 643,825
*Orthologic Corp. ................... 72,700 440,744
*Osborn Communications Corp. ........ 79,800 1,192,013
Oshkosh Truck Corp. Class B ........ 43,200 507,600
*Oshman's Sporting Goods, Inc. ...... 50,200 276,100
*Osmonics, Inc. ..................... 19,111 406,109
*Osteotech, Inc. .................... 54,100 324,600
*#Ostex International, Inc. .......... 100,500 603,000
*Outlook Group Corp. ................ 37,900 177,656
*Owen Healthcare, Inc. .............. 65,000 1,665,625
Owosso Corp. ....................... 20,000 122,500
22
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
Oxford Industries, Inc. ............ 79,400 $1,449,050
*#Oxis International, Inc. ........... 89,800 120,669
*P&F Industries, Inc. Class A ....... 600 2,306
*PAM Transportation Services, Inc. .. 11,750 60,953
*PC Quote, Inc. ..................... 54,100 229,925
PCA International, Inc. ............ 28,000 493,500
*PLM International, Inc. ............ 22,900 74,425
*PMR Corp. .......................... 15,200 395,200
*PPT Vision, Inc. ................... 5,400 44,888
*PRI Automation, Inc. ............... 11,700 551,363
*PSC, Inc. .......................... 32,400 255,150
*PST Vans, Inc. ..................... 7,800 21,450
PXRE Corp. ......................... 25,200 607,950
*Pacific Rehabilitation & Sports
Medicine, Inc. ..................... 23,600 148,975
*Pacific Rim Holding Corp. .......... 32,050 94,648
Pacific Scientific Co. ............. 26,300 302,450
*Pacific Sunwear of California, Inc. 67,500 1,814,063
*Pages, Inc. ........................ 31,000 75,563
*Palatin Technologies, Inc. ......... 3,500 5,415
Palfed, Inc. ....................... 18,250 262,344
*Palmer (Arnold) Golf Co. ........... 33,700 179,031
*Pamida Holdings Corp. .............. 52,000 110,500
Pamrapo Bancorp, Inc. .............. 11,000 211,750
*Panaco, Inc. ....................... 9,800 49,613
Panatech Research and
Development Corp. .................. 13,900 85,572
Pancho's Mexican Buffet, Inc. ...... 47,600 96,688
*Par Technology Corp. ............... 81,800 1,104,300
*Paracelsus Healthcare Corp. ........ 10,400 36,400
*Parallel Petroleum Corp. ........... 74,200 379,116
*Parcplace Systems, Inc. ............ 40,300 113,344
*Paris Business Forms, Inc. ......... 200 475
*Park-Ohio Industries, Inc. ......... 141,225 2,056,589
*Parkervision, Inc. ................. 34,300 392,306
Parkvale Financial Corp. ........... 44,285 1,140,339
*Parlex Corp. ....................... 19,900 218,900
*Parlux Fragrances, Inc. ............ 84,200 331,538
*Patina Oil & Gas Corp. ............. 53,989 485,901
Patrick Industries, Inc. ........... 45,250 678,750
*Patterson Energy, Inc. ............. 24,800 682,000
*Paul Harris Stores, Inc. ........... 55,675 1,009,109
*Paul-Son Gaming Corp. .............. 12,500 100,781
*Payless Cashways, Inc. ............. 212,000 371,000
*Peak Technologies Group, Inc. ...... 18,800 217,375
*Pediatric Services of America, Inc. 51,200 963,200
Peerless Manufacturing Co. ......... 9,250 117,938
*Penederm, Inc. ..................... 60,000 525,000
Penn Engineering & Manufacturing
Corp. Class A ...................... 33,600 676,200
Penn Engineering & Manufacturing
Corp. Non-voting ................... 100,800 1,877,400
*Penn National Gaming, Inc. ......... 31,000 1,201,250
*Penn Traffic Co. ................... 87,800 449,975
*Penn Treaty American Corp. ......... 44,400 1,087,800
Penn Virginia Corp. ................ 26,100 1,053,788
Penn-America Group, Inc. ........... 8,800 139,700
Penney (J.C.) Co., Inc. ............ 18,724 1,006,415
Pennfirst Bancorp, Inc. ............ 200 2,775
Penobscot Shoe Co. ................. 32,000 184,000
*Pentech International, Inc. ........ 9,200 6,756
Penwest, Ltd. ...................... 20,900 376,200
Peoples Bancorp .................... 200 4,025
Peoples Bancshares, Inc.
Massachusetts ...................... 12,545 127,802
<PAGE>
Shares Value+
--------- ------------
*Peoples Choice TV Corp. ............ 80,596 $ 528,911
Peoples Savings Financial Corp. .... 8,800 242,000
*Peoples Telephone Co., Inc. ........ 55,800 205,763
*Perceptron, Inc. ................... 16,750 579,969
*Performance Food Group Co. ......... 107,150 1,299,194
*Perfumania, Inc. ................... 43,700 139,294
*Perini Corp. ....................... 39,000 351,000
*#Perseptive Biosystems, Inc. ........ 87,300 600,188
*Pet Food Warehouse, Inc. ........... 28,900 128,244
*Petrocorp, Inc. .................... 30,000 294,375
*#Petroleum Development Corp. ........ 19,500 101,156
Petroleum Heat & Power Co., Inc.
Class A ............................ 49,300 354,344
*#Pharmaceutical Marketing Services,
Inc. ............................... 79,100 756,394
*Pharmaceutical Products
Development Service Co. ............ 20,918 449,737
*Pharmaceutical Resources, Inc. ..... 64,055 368,316
*Pharmchem Laboratories, Inc. ....... 47,800 188,959
*Pharmos Corp. ...................... 88,000 122,375
*Phildelphia Consolidated Holding
Corp. .............................. 27,000 624,375
*Phoenix Gold International, Inc. ... 13,000 89,375
*Phoenix Network, Inc. .............. 68,700 270,506
*Phoenix Technologies, Ltd. ......... 12,000 202,500
*Photo Control Corp. ................ 1,000 3,688
*Physicians Health Services, Inc.
Class A ............................ 10,900 160,775
Piccadilly Cafeterias, Inc. ........ 60,100 540,900
*Pico Holdings, Inc. ................ 27,259 103,073
*Pico Products, Inc. ................ 34,400 55,900
Pillowtex Corp. .................... 38,700 672,413
*Pinkertons, Inc. ................... 12,900 319,275
Pinnacle Bank Jasper, AL ........... 200 3,525
Pinnacle Financial Services, Inc. .. 9,800 230,300
*#Pinnacle Micro, Inc. ............... 29,700 165,206
*Pinnacle Systems, Inc. ............. 65,900 683,713
#Pioneer Financial Services, Inc. ... 62,100 1,148,850
Pitt-Des Moines, Inc. .............. 24,300 1,008,450
*Pittencrieff Communications, Inc. .. 68,000 278,375
Pittston Co. Minerals Group ........ 72,200 956,650
*Plains Resources, Inc. ............. 133,100 2,162,875
*Planar Systems, Inc. ............... 64,100 669,044
*Plasma & Materials Technologies,
Inc. ............................... 13,000 201,500
*Plasti-Line, Inc. .................. 10,000 102,500
*Platinum Software Corp. ............ 61,800 795,675
Plenum Publishing Corp. ............ 9,500 339,625
*Plexus Corp. ....................... 22,700 408,600
Ply-Gem Industries, Inc. DE ........ 85,000 1,115,625
*Plymouth Rubber, Inc. Class A ...... 100 831
*Plymouth Rubber, Inc. Class B
non-voting ......................... 5 39
*Polk Audio, Inc. ................... 5,000 53,125
*Pollo Tropical, Inc. ............... 69,300 190,575
*Polymedica Industries, Inc. ........ 28,650 123,553
*#Polyphase Corp. .................... 46,000 253,000
*Pomeroy Computer Resource, Inc. .... 16,295 443,020
*#Ponder Industries, Inc. ............ 20,750 40,852
*Pool Energy Services Co. ........... 47,700 706,556
*#Porta Systems Corp. ................ 12,640 29,230
*Portec, Inc. ....................... 37,237 377,025
Portsmouth Bank Shares, Inc. ....... 26,761 393,052
Positive Response Television, Inc.
Escrow ............................. 9,750 0
23
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Positron Corp. ..................... 12,600 $ 27,956
*Possis Medical, Inc. ............... 97,800 1,680,938
Poughkeepsie Savings Bank FSB NY .. 43,800 232,688
*Powell Industries, Inc. ............ 44,000 440,000
*Pratt Hotel Corp. .................. 15,000 50,625
*Precision Standard, Inc. ........... 1,000 1,094
*Premenos Technology Corp. .......... 11,100 113,081
*Premiere Radio Networks, Inc. ...... 12,200 138,775
*Premiere Radio Networks, Inc. Class
A ................................... 3,650 41,063
*Premiumwear, Inc. .................. 6,045 53,649
*President Casinos, Inc. ............ 121,000 98,313
*Presley Companies Class A .......... 8,900 9,178
*Price Communications Corp. ......... 71,257 578,963
Prima Energy Corp. ................. 10,200 196,988
Prime Bancorp, Inc. ................ 15,042 300,840
*Prime Medical Services, Inc. ....... 93,200 1,071,800
Primesource Corp. .................. 21,843 166,553
*Printronix, Inc. ................... 67,050 951,272
*#Procept, Inc. ...................... 70,800 82,969
*Procyte Corp. ...................... 45,700 99,969
*Professional Bancorp, Inc. ......... 10,720 105,860
Progress Financial Corp. ........... 9,600 82,200
*Progress Software Corp. ............ 56,000 1,123,500
Progressive Bank, Inc. ............. 29,100 1,003,950
Proler International Corp. ......... 44,900 404,100
*Pronet, Inc. ....................... 44,800 226,800
*Proteon, Inc. ...................... 58,150 223,514
*Protocol Systems, Inc. ............. 63,600 842,700
Provena Foods, Inc. ................ 200 513
Providence & Worcester Railroad Co. 2,500 18,438
Providence Energy Corp. ............ 61,950 1,091,869
Provident Bankshares Corp. ......... 50,804 1,959,129
*Proxim, Inc. ....................... 17,600 331,100
*Proxima Corp. ...................... 53,600 740,350
*Psychemedics Corp. ................. 105,577 633,462
*Pubco Corp. ........................ 50 406
*Publicker Industries, Inc. ......... 142,100 215,424
Pulaski Furniture Corp. ............ 15,400 259,875
*Pure Tech International, Inc.
(Private Placement) ................ 140,000 265,781
*Pure World, Inc. ................... 66,300 138,816
*Q Logic Corp. ...................... 53,800 1,002,025
*#Q-Med, Inc. ........................ 48,300 498,094
*QMS, Inc. .......................... 72,300 424,763
*Quad Systems Corp. ................. 14,000 145,250
Quaker Chemical Corp. .............. 25,000 421,875
*Quaker City Bancorp, Inc. .......... 7,100 122,031
*Quaker Fabric Corp. ................ 72,300 750,113
*Quality Dining, Inc. ............... 53,200 1,210,300
*Quality Semiconductor, Inc. ........ 19,200 146,400
*Quality Systems, Inc. .............. 44,500 406,063
*Quarterdeck Office Systems, Inc. ... 12,000 78,750
Quest Medical, Inc. ................ 98,928 711,045
*Quickresponse Services, Inc. ....... 10,000 315,000
*Quickturn Design Systems, Inc. ..... 115,550 1,971,572
*Quidel Corp. ....................... 105,100 380,988
*Quiksilver, Inc. ................... 63,400 1,264,038
*Quipp, Inc. ........................ 1,800 18,788
Quixote Corp. ...................... 67,600 616,850
*R & B, Inc. ........................ 68,600 561,663
*RF Monolithics, Inc. ............... 19,500 226,688
RLI Corp. .......................... 8,650 274,638
<PAGE>
Shares Value+
--------- ------------
*RPC Energy Services, Inc. .......... 77,100 $1,195,050
*RTI, Inc. .......................... 5,890 21,351
*Racotek, Inc. ...................... 72,600 326,700
*Radius, Inc. ....................... 149,550 121,509
*Rag Shops, Inc. .................... 32,000 66,000
*Ragan (Brad), Inc. ................. 40,900 1,267,900
*Rainbow Technologies, Inc. ......... 48,800 951,600
*Rally's Hamburgers, Inc. ........... 25,300 106,734
Ramapo Financial Corp. ............. 25,800 132,225
*Ramsay Health Care, Inc. ........... 36,166 97,196
*Ramsay Managed Care, Inc. .......... 8 5
*Ramtron International Corp. ........ 66,650 499,875
Raritan Bancorp, Inc. DE ........... 750 17,438
Raven Industries, Inc. ............. 99,150 2,100,741
*Rawlings Sporting Goods, Inc. ...... 64,700 509,513
Raymond Corp. ...................... 97,003 1,721,803
*Raytech Corp. DE ................... 27,795 104,231
*Readicare, Inc. .................... 182,800 1,668,050
*Reading Entertainment, Inc. ........ 16,300 159,944
*Recoton Corp. ...................... 87,916 1,307,751
*Recovery Engineering, Inc. ......... 15,100 120,800
*#Redhook Ale Brewery, Inc. .......... 45,000 630,000
*Redwood Empire Bancorp ............. 9,900 106,425
*Reeds Jewelers, Inc. ............... 11,495 80,465
Refac Technology Development Corp. 45,597 299,230
*Reflectone, Inc. ................... 5,300 101,363
*Regency Health Services, Inc. ...... 44,200 464,100
Regis Corp. ........................ 38,200 945,450
*Rehabcare Corp. .................... 18,600 331,313
*Rehabilicare, Inc. ................. 12,600 36,619
*Reliability, Inc. .................. 85,000 584,375
Reliv International, Inc. .......... 31,600 213,300
*#Reno Air, Inc. ..................... 41,200 327,025
*Rent-Way, Inc. ..................... 20,500 199,875
*Rentrak Corp. ...................... 52,300 199,394
*Repligen Corp. ..................... 54,000 62,438
*Reptron Electronics, Inc. .......... 22,700 458,256
*Republic Automotive Parts, Inc. .... 39,200 627,200
Republic Bancorp, Inc. ............. 39,903 478,830
*Republic Engineered Steels, Inc. ... 173,000 389,250
Republic Gypsum Co. ................ 101,640 1,854,930
Republic Savings Financial Corp. ... 16,432 94,484
*Res-Care, Inc. ..................... 67,800 1,093,275
*Research Industries Corp. .......... 30,400 628,900
Research, Inc. ..................... 20,200 106,050
*Resound Corp. ...................... 111,900 979,125
Resource America, Inc. ............. 560 9,030
*Response Oncology, Inc. ............ 26,900 260,594
*Retirement Care Association, Inc. .. 43,035 258,210
*Retix, Inc. ........................ 82,800 595,125
*Rex Stores Corp. ................... 71,600 698,100
Rexene Corp. ....................... 8,800 116,600
*Rexhall Industries, Inc. ........... 10,500 81,375
*Rexworks, Inc. ..................... 6,000 15,750
*Rheometrics, Inc. .................. 110 234
*Rhodes, Inc. ....................... 52,900 370,300
*Ribi Immunochem Research, Inc. ..... 88,200 292,163
Richardson Electronics, Ltd. ....... 41,700 396,150
*Richton International Corp. ........ 1,500 6,938
*Riddell Sports, Inc. ............... 28,282 129,920
*Ride, Inc. ......................... 10,600 84,138
*Right Management Consultants, Inc. 23,750 477,969
*Right Start, Inc. .................. 18,600 104,625
24
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Rightchoice Managed Care, Inc.
Class A ............................ 25,100 $ 229,038
*Rimage Corp. ....................... 29,000 119,625
*Ringer Corp. ....................... 76,600 126,869
Riser Foods, Inc. Class A .......... 104,800 3,196,400
Rival Co. .......................... 23,000 514,625
*River Oaks Furniture, Inc. ......... 41,500 132,281
Riverside Group, Inc. .............. 1,300 3,575
Riverside National Bank CA ......... 19,300 341,369
*Roadmaster Industries, Inc. ........ 301,000 338,625
Roanoke Electric Steel Corp. ....... 33,000 457,875
Robbins & Myers, Inc. .............. 64,200 1,492,650
*Roberds, Inc. ...................... 4,200 42,000
*Robertson-Ceco Corp. ............... 38,957 311,656
Robinson Nugent, Inc. .............. 42,100 205,238
*Robotic Vision Systems, Inc. ....... 23,335 306,272
*Rock Bottom Restaurants, Inc. ...... 45,700 431,294
*Rocky Mountain Chocolate Factory ... 25,000 173,438
*Rocky Shoes & Boots, Inc. .......... 20,000 181,250
*Rodman & Renshaw Capital Group,
Inc. ............................... 19,000 28,500
*Rogers Corp. ....................... 128,800 3,542,000
*Rollins Environmental Services,
Inc. ............................... 436,200 872,400
*#Ross Systems, Inc. ................. 116,437 815,059
Rotonics Manufacturing, Inc. ....... 11,300 16,950
*Rottlund, Inc. ..................... 18,150 93,019
Rowe Furniture Corp. ............... 47,062 364,731
*Royal Appliance Manufacturing Co. .. 180,000 1,417,500
Royal Bancshares of Pennsylvania
Class A ............................ 224 2,520
*Royal Gold, Inc. ................... 114,700 1,505,438
*Royal Grip, Inc. ................... 8,500 21,250
*Royal International Optical Corp. .. 14 12,250
Ryan Beck & Co. .................... 210 932
*S&K Famous Brands, Inc. ............ 31,700 291,244
*SBE, Inc. .......................... 6,300 27,563
*SBM Industries, Inc. ............... 500 1,844
*SBS Technologies, Inc. ............. 5,900 159,300
*SC Bancorp ......................... 200 1,850
*SFX Broadcasting, Inc. Class A ..... 8,100 247,050
SI Handling, Inc. .................. 27,750 393,703
SJW Corp. .......................... 16,600 734,550
SL Industries, Inc. ................ 176,685 1,347,223
*SMC Corp. .......................... 11,600 101,500
*SMT Health Services, Inc. .......... 8,400 60,375
*SPSS, Inc. ......................... 40,700 1,187,931
*SSE Telecom, Inc. .................. 19,500 163,313
*STB Systems, Inc. .................. 16,900 377,081
*STM Wireless, Inc. Class A ......... 36,500 262,344
*STV Engineers, Inc. ................ 17,500 140,000
*Safeguard Health Enterprises, Inc. . 84,600 1,723,725
*Safety 1st, Inc. ................... 21,000 237,563
*Safety Components International,
Inc. ............................... 41,100 493,200
*Saga Communications, Inc.
Class A ............................ 54,062 1,060,967
Saint Francis Capital Corp. ........ 24,400 655,750
Saint Joseph Light & Power Co. ..... 52,500 800,625
Saint Mary Land & Exploration Co. .. 29,200 638,750
*Salant Corp. DE .................... 80,500 281,750
*Salton/Maxim Housewares, Inc. ...... 24,400 179,950
*Sam & Libby, Inc. .................. 6,100 610
*San Filippo (John B.) & Son, Inc. .. 67,400 349,638
*San Francisco Co. Class A .......... 1,090 382
<PAGE>
Shares Value+
--------- ------------
Sanderson Farms, Inc. .............. 25,900 $ 412,781
Sands Regent Casino Hotel .......... 42,210 129,268
Sandwich Co-Operative Bank MA ...... 15,400 446,600
*Sangstat Medical Corp. ............. 22,300 505,931
*Santa Fe Gaming Corp. .............. 22,450 33,675
Santa Monica Bank CA ............... 29,900 482,138
*Satcon Technology Corp. ............ 14,400 108,000
*Savoy Pictures Entertainment, Inc. . 49,000 159,250
*Scan-Optics, Inc. .................. 56,200 210,750
Schawk, Inc. Class A ............... 26,200 193,225
*Scherer Healthcare, Inc. ........... 200 650
*Schieb (Earl), Inc. ................ 74,400 511,500
*Schuler Homes, Inc. ................ 67,700 397,738
Schult Homes Corp. ................. 35,800 832,350
Schultz Sav-O Stores, Inc. ......... 40,000 580,000
*Sciclone Pharmaceuticals, Inc. ..... 125,800 1,022,125
Scientific Technologies, Inc. ...... 17,900 163,338
*Scios-Nova, Inc. ................... 257,700 1,465,669
Scope Industries, Inc. ............. 34,800 1,731,300
*Score Board, Inc. .................. 96,700 256,859
Scotsman Industries, Inc. .......... 23,600 548,700
*Scott's Liquid Gold, Inc. .......... 84,000 131,250
Seacoast Banking Corp. Class A ..... 21,600 558,900
Sealright Co., Inc. ................ 28,300 325,450
*Seattle Filmworks, Inc. ............ 67,050 1,294,903
Seaway Food Town, Inc. ............. 8,000 209,000
*Secom General Corp. ................ 14,000 38,500
Second Bancorp, Inc. ............... 300 9,263
*Security Capital Corp. ............. 5 13
*Seda Specialty Packaging Corp. ..... 17,000 321,938
*Seeq Technology, Inc. DE ........... 179,600 564,056
Selas Corp. of America ............. 29,800 484,250
*Selfix, Inc. ....................... 24,400 143,350
*Semiconductor Packaging Materials
Co., Inc. .......................... 49,100 540,100
*Semitool, Inc. ..................... 65,200 721,275
*Semtech Corp. ...................... 56,000 1,011,500
*Seneca Foods Corp. ................. 6,300 103,163
*Seneca Foods Corp. Class A ......... 200 3,150
*Sequana Therapeutics, Inc. ......... 9,900 158,400
*Sequoia Systems, Inc. .............. 70,900 156,202
*Seragen, Inc. ...................... 51,600 75,788
*Serv-Tech, Inc. .................... 56,300 165,381
*Servico, Inc. ...................... 29,900 463,450
*Servotronics, Inc. ................. 24,804 139,523
Sevenson Environmental Services,
Inc. ............................... 8,300 139,025
*Shaman Pharmaceuticals ............. 123,100 738,600
*Shared Technologies Fairchild, Inc. 69,000 603,750
*Sharper Image Corp. ................ 67,300 231,344
*Shaw Group, Inc. ................... 25,450 655,338
*Sheffield Medical Technologies, Inc. 39,100 153,956
Shelby Williams Industries, Inc. ... 39,600 509,850
*Sheldahl, Inc. ..................... 84,650 1,608,350
Shelter Components, Inc. ........... 52,608 657,600
*Sherwood Group, Inc. ............... 30,200 317,100
*Shiloh Industries, Inc. ............ 111,500 1,867,625
*Shoe Carnival, Inc. ................ 85,000 456,875
*Sholodge, Inc. ..................... 52,300 699,513
*Shoney's, Inc. ..................... 12,442 102,647
Shoreline Financial Corp. .......... 7,960 180,095
*Show Biz Pizza Time, Inc. .......... 125,550 2,040,188
*Showscan Corp. ..................... 44,350 235,609
*Shuffle Master, Inc. ............... 41,700 403,969
Sierrawest Bancorp ................. 200 3,050
25
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
Sifco Industries, Inc. ............. 46,275 $ 497,456
*Sight Resource Corp. ............... 28,200 151,575
*Sigma Circuits, Inc. ............... 14,000 91,875
*Sigma Designs, Inc. ................ 53,400 497,288
*Sigmatron International, Inc. ...... 4,500 59,625
*#Signal Apparel Co., Inc. Class A ... 62,100 221,231
*Signal Technology Corp. ............ 62,000 457,250
*Silicon Storage Technology, Inc. ... 92,000 730,250
*Silicon Valley Bancshares .......... 42,500 1,275,000
*Siliconix, Inc. .................... 11,500 261,625
*#Silver King Communications, Inc. ... 8,000 199,000
*#Silverado Foods, Inc. .............. 12,800 38,400
Simmons First National Corp.
Class A ............................ 4,900 196,000
Simpson Industries, Inc. ........... 122,400 1,269,900
*Simula, Inc. ....................... 77,250 1,178,063
*Sinter Metals, Inc. Class A ........ 24,300 607,500
*Sirena Apparel Group, Inc. ......... 15,400 43,794
*Sizzler International, Inc. ........ 218,400 627,900
*Skolniks, Inc. ..................... 23 1
Skywest, Inc. ...................... 87,300 1,238,569
*Sloane's Supermarkets, Inc. ........ 33,339 79,180
*Smith Environmental Technologies
Corp. .............................. 51,100 41,519
*Sodak Gaming, Inc. ................. 46,000 744,625
*Softdesk, Inc. ..................... 48,000 423,000
*Softech, Inc. ...................... 35,300 97,075
*Softnet Systems, Inc. .............. 13,700 66,788
*Softnet Systems, Inc. (Private
Placement) ......................... 21,136 92,734
*Software Publishing Corp. .......... 107,700 151,453
*Software Spectrum, Inc. ............ 36,100 1,114,588
*Somatix Therapies Corp. ............ 196,590 700,352
Somerset Group, Inc. ............... 250 4,188
*Somerset Savings Bank .............. 440 873
Sonesta International Hotels Corp.
Class A ............................ 200 1,988
*Sonic Solutions .................... 26,250 175,547
*Sound Advice, Inc. ................. 64,100 110,172
Southern California Water Co. ...... 40,000 935,000
*Southern Electronics Corp. ......... 22,600 234,475
*Southern Energy Homes, Inc. ........ 107,625 1,325,133
*Southwall Technologies, Inc. ....... 74,600 498,888
Southwest Bancorp, Inc. ............ 4,100 83,025
Southwest Bancshares, Inc. DE ...... 5,550 101,981
Southwest National Corp. ........... 6,000 246,750
Southwest Securities Group, Inc .... 20,400 261,375
Southwest Water Co. ................ 5,175 66,628
*Spacehab, Inc. ..................... 19,000 125,875
*Spacelabs Medical, Inc. ............ 29,000 583,625
*Spaghetti Warehouse, Inc. .......... 51,900 259,500
Span-American Medical System, Inc. 40,500 172,125
Spartan Motors, Inc. ............... 119,300 760,538
Spartech Corp. ..................... 29,405 312,428
*Sparton Corp. ...................... 69,200 553,600
*Spec's Music, Inc. ................. 44,866 50,474
*Special Devices, Inc. .............. 26,800 386,925
*Specialty Chemical Resources, Inc. . 37,800 66,150
*Specialty Paperboard, Inc. ......... 10,850 195,300
*Spectran Corp. ..................... 51,000 895,688
*Spectranetics Corp. ................ 61,702 273,803
*Spectrian Corp. .................... 42,600 415,350
*Spectrum Control, Inc. ............. 68,800 221,450
*Spectrum Holobyte, Inc. ............ 42,000 204,750
<PAGE>
Shares Value+
--------- ------------
*Speedfam International, Inc. ....... 49,200 $ 993,225
*Speizman Industries, Inc. .......... 28,900 159,853
*Spire Corp. ........................ 56,200 161,575
*Sport Chalet, Inc. ................. 55,000 185,625
*Sport Supply Group, Inc. ........... 24,400 143,350
*Sport-Haley, Inc. .................. 4,400 64,350
*#Sportmart, Inc. .................... 16,300 53,994
*Sportmart, Inc. Class A ............ 31,000 91,063
*Sports & Recreation, Inc. .......... 117,400 1,012,575
*Sports Club Co., Inc. .............. 19,200 50,400
*Square Industries, Inc. ............ 100 2,913
*Staar Surgical Co. ................. 56,175 631,969
*Stacey's Buffet, Inc. .............. 21,520 14,123
*Staff Builders, Inc. Class A ....... 40,000 97,500
*Staff Builders, Inc. Class B ....... 118,100 287,869
*Stage II Apparel Corp. ............. 14,600 36,500
*Standard Commercial Corp. .......... 45,071 608,462
*Standard Management Corp. .......... 16,665 78,117
*Standard Microsystems Corp. ........ 43,200 475,200
Standard Motor Products, Inc.
Class A ............................ 20,000 275,000
Standard Pacific Corp. DE .......... 21,900 128,663
*Stanford Telecommunications, Inc. .. 54,050 1,520,156
*Stanley Furniture, Inc. ............ 17,700 289,838
Stant Corp. ........................ 139,500 1,743,750
*Staodyn, Inc. ...................... 3,200 4,300
*Star Multi Care Services, Inc. ..... 3,929 22,592
*Starcraft Corp. .................... 8,300 31,644
Starret Housing Corp. .............. 102,300 1,138,088
Starrett (L.S.) Co. Class A ........ 13,500 374,625
*Starsight Telecast, Inc. ........... 76,900 552,719
*Starter Corp. ...................... 24,000 150,000
*State of the Art, Inc. ............. 48,300 618,844
*Steck-Vaughn Publishing Corp. ...... 27,400 308,250
Steel Technologies, Inc. ........... 44,700 564,338
*Steel of West Virginia, Inc. ....... 50,700 285,188
Stepan Co. ......................... 35,700 678,300
Stephan Co. ........................ 13,100 165,388
Sterling Bancorp ................... 150,400 2,237,200
Sterling Bancshares ................ 26,650 456,381
*Sterling Electronics Corp. ......... 52,815 752,614
*Sterling Financial Corp. WA ........ 6,450 87,478
*Sterling House Corp. ............... 43,500 369,750
*Stevens Graphics Corp. Class A ..... 59,800 82,225
Stewart Information Services Corp. . 23,350 491,809
Stifel Financial Corp. ............. 4,090 33,743
*Stimsonite Corp. ................... 30,900 183,469
*Stokely USA, Inc. .................. 92,200 172,875
*Storage Computer Corp. ............. 15,892 180,772
*Strategic Distribution, Inc. ....... 236,348 1,639,664
Strawbridge & Clothier Class A ..... 5,200 86,450
*Streamlogic Corp. .................. 137,800 206,700
*Strober Organization, Inc. ......... 29,100 170,963
*Strouds, Inc. ...................... 72,300 289,200
*Struthers Industries, Inc. ......... 28,000 57,316
*Stuart Entertainment, Inc. ......... 20,100 113,063
*Styles On Video, Inc. .............. 1,500 99
*#Submicron Systems Corp. ............ 102,700 474,988
*Substance Abuse Technologies, Inc. 91,400 171,375
*Successories, Inc. ................. 19,600 138,425
*Sudbury, Inc. ...................... 67,664 841,571
Suffolk Bancorp .................... 5,200 201,500
*Sugen, Inc. ........................ 51,800 650,738
*Sulcus Computer Corp. .............. 55,600 118,150
26
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
Sullivan Dental Products, Inc. ..... 82,500 $1,093,125
*Summa Four, Inc. ................... 43,300 386,994
*Summa Industries, Inc. ............. 200 1,113
*Summit Care Corp. .................. 33,400 492,650
*Summitt Medical Systems, Inc. ...... 9,000 74,250
*Sun City Industries, Inc. .......... 150 244
*Sun Coast Plastics, Inc. ........... 24,000 84,000
*Sun Sportswear, Inc. ............... 55,700 114,881
Sun Television and Appliances, Inc. 147,300 386,663
*Sunair Electronics, Inc. ........... 33,900 74,156
*Sunbelt Nursery Group, Inc. ........ 6,800 10,200
*Sundance Homes, Inc. ............... 50,000 150,000
*Sunrise Resources, Inc. ............ 19,600 84,525
*Superconductor Technologies, Inc. .. 21,250 92,969
*Superior Energy Services, Inc. ..... 12,000 35,625
Superior Surgical Manufacturing
Co., Inc. .......................... 90,100 1,160,038
*Supertex, Inc. ..................... 177,300 3,335,456
*Suprema Specialties, Inc. .......... 13,800 68,138
*Supreme Industries, Inc. ........... 58,529 307,277
*Supreme International Corp. ........ 19,100 305,600
*Surety Capital Corp. ............... 16,100 69,431
*Surgical Laser Technologies, Inc. .. 54,500 71,531
*Swift Energy Corp. ................. 7,320 231,495
*Swing-n-Slide Corp. ................ 24,194 78,631
*Swisher International, Inc. ........ 2,100 13,913
*Swiss Army Brands, Inc. ............ 65,500 917,000
*Sybron Chemicals, Inc. ............. 33,200 531,200
*Sylvan Foods Holdings, Inc. ........ 31,300 393,206
*Symix Systems, Inc. ................ 11,500 88,406
*Symmetricom, Inc. .................. 49,000 927,938
*Syms Corp. ......................... 75,900 664,125
Synalloy Corp. DE .................. 89,158 1,459,962
*Synbiotics Corp. ................... 19,000 68,875
*Syncor International Corp. DE ...... 35,200 354,200
*Syntellect, Inc. ................... 82,700 408,331
*Syquest Technology, Inc. ........... 83,600 412,775
*Systemix, Inc. ..................... 10,000 148,125
*Systems & Computer Technology Corp. 88,600 1,317,925
*Systemsoft Corp. ................... 27,700 507,256
*T Cell Sciences, Inc. .............. 142,300 266,813
*T-Netix, Inc. ...................... 12,300 161,438
*TBC Corp. .......................... 135,000 987,188
TCBY Enterprises, Inc. ............. 52,700 223,975
*TCC Industries, Inc. ............... 23,800 38,675
*TCI International, Inc. ............ 32,060 232,435
*TESSCO Technologies, Inc. .......... 15,300 560,363
*TFC Enterprises, Inc. .............. 101,000 239,875
*TII Industries, Inc. ............... 19,320 118,335
*TII Industries, Inc. Class B ....... 13,440 84,000
*TMBR/Sharp Drilling, Inc. .......... 21,900 202,575
*TPC Corp. .......................... 128,500 1,204,688
*TRC Companies, Inc. ................ 60,400 302,000
*TRM Copy Centers Corp. ............. 61,000 644,313
*TRO Learning, Inc. ................. 22,900 463,725
*TSF Communications Corp. ........... 500 12,688
TSI, Inc. MN ....................... 93,200 966,950
*TSR, Inc. .......................... 51,000 478,125
Tab Products Co. DE ................ 41,750 323,563
*Taco Cabana Inc. ................... 134,700 900,806
*Talley Industries, Inc. ............ 89,700 683,963
*Tandy Brand Accessories, Inc. ...... 55,977 356,853
*Tandy Crafts, Inc. ................. 138,200 915,575
*Tanknology Environmental, Inc. ..... 19,800 40,838
<PAGE>
Shares Value+
--------- ------------
*Targeted Genetics Corp. ............ 134,000 $ 519,250
Tasty Baking Co. ................... 53,200 778,050
*Team, Inc. ......................... 44,400 69,375
*Tech-Sym Corp. ..................... 67,300 1,960,113
Tech/Ops Sevcon, Inc. .............. 61,400 859,600
*Technical Communications Corp. ..... 7,300 70,263
Technitrol, Inc. ................... 150,300 5,410,800
Technology Research Corp. .......... 15,100 64,175
Tejon Ranch Co. .................... 5,100 82,875
*Tekelec ............................ 124,400 1,694,950
*Telco Systems, Inc. ................ 88,300 1,556,288
*Telemundo Group, Inc. Class A ...... 8,100 230,344
Telxon Corp. ....................... 25,000 301,563
*Temtex Industries, Inc. ............ 34,100 100,169
*Terex Corp. ........................ 36,700 325,713
*Tetra Technologies, Inc. ........... 107,500 2,734,531
*Texas Biotechnology Corp. .......... 105,000 315,000
*Texas Meridian Resources Corp. ..... 45,700 759,763
Texas Regional Banchshares, Inc.
Class A ............................ 12,600 428,400
*Texfi Industries, Inc. ............. 75,200 188,000
*Thackeray Corp. .................... 74,700 196,088
*Theragenics Corp. .................. 52,100 1,172,250
*Theratech, Inc. UT ................. 82,500 907,500
*Theratx, Inc. ...................... 77,000 808,500
*Thermo Power Corp. ................. 105,100 945,900
Thermo Remediation, Inc. ........... 71,600 733,900
*Thermo Terratech, Inc. ............. 3,600 35,100
*#Thermo Voltek Corp. ................ 120,450 1,309,894
*Thermwood Corp. .................... 4,600 7,475
*Thomas Group, Inc. ................. 38,300 330,338
Thomas Industries, Inc. ............ 50,000 1,012,500
Thomaston Mills, Inc. .............. 11,400 129,675
Thor Industries, Inc. .............. 25,800 615,975
*Thorn Apple Valley, Inc. ........... 49,900 636,225
Three D Department Stores, Inc.
Class A ............................ 16,300 10,188
Three D Department Stores, Inc.
Class B ............................ 11,100 6,938
*Three-Five Systems, Inc. ........... 23,900 289,788
*Timberland Co. Class A ............. 1,100 42,625
Timberline Software Corp. .......... 21,825 181,420
*Tipperary Corp. .................... 36,700 183,500
*Titan Corp. ........................ 138,200 414,600
Titan Holdings, Inc. ............... 60,085 901,275
Toastmaster, Inc. .................. 39,600 118,800
*#Todays Man, Inc. ................... 63,600 111,300
*Todd Shipyards Corp. ............... 37,400 257,125
Todd-AO Corp. Class A .............. 12,100 128,563
*Todhunter International, Inc. ...... 48,000 405,000
*Tokheim Corp. ...................... 64,800 583,200
Tolland Bank ....................... 200 2,513
Tompkins County Trustco, Inc. ...... 220 7,205
*Top Source Technologies, Inc. ...... 60,500 207,969
*Topps, Inc. ........................ 34,500 148,781
*#Tops Appliance City, Inc. .......... 27,900 45,338
*Toreador Royalty Corp. ............. 41,700 114,675
*Torotel, Inc. ...................... 24,235 30,294
*Total Telephone USA
Communications, Inc. ............... 4,000 84,500
Tower Air, Inc. .................... 129,000 391,031
*Tower Automotive, Inc. ............. 10,800 345,600
*Tracor, Inc. ....................... 5,900 129,431
*Tractor Supply Co. ................. 55,000 1,175,625
*Trak Auto Corp. .................... 92,000 1,529,500
27
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
Trans Financial, Inc. .............. 4,900 $ 104,431
*Trans World Entertainment Corp. .... 80,000 640,000
*TransNet Corp. ..................... 29,200 90,338
*Transaction Network Services, Inc. . 72,900 897,581
*Transamerica Waste Industries, Inc. 12,000 14,063
*Transcend Services, Inc. ........... 13,500 79,313
*Transmation, Inc. .................. 2,600 26,000
Transmedia Network, Inc. ........... 37,900 246,350
Transnational RE Corp. Class A ..... 2,900 72,681
*Transport Industries, Inc. ......... 1,000 5,250
Transport Leasing International,
Inc. ............................... 4,600 22,138
Transport Lux Corp. ................ 14,245 174,501
Transtechnology Corp. .............. 99,100 1,920,063
*Transwitch Corp. ................... 91,000 546,000
*Transworld Home Healthcare, Inc. ... 21,000 254,625
Tranzonic Companies Class A ........ 85,150 1,479,481
*Travel Ports of America, Inc. ...... 24,000 63,000
Treadco, Inc. ...................... 43,900 425,281
*Trend-Lines, Inc. Class A .......... 50,650 246,919
*Tri-Lite, Inc. ..................... 109 1
*Triad Guaranty, Inc. ............... 21,800 648,550
*Triad Systems Corp. ................ 111,100 930,463
Triangle Bancorp, Inc. ............. 32,600 517,525
*Tricord Systems, Inc. .............. 81,000 165,797
*Trident Microsystems, Inc. ......... 11,800 247,800
*Trident Rowan Group, Inc. .......... 7,000 63,875
*Tridex Corp. ....................... 39,300 466,688
*Trimark Holdings, Inc. ............. 6,400 32,800
*Trimedyne, Inc. .................... 39,800 138,056
*Trinitec Systems, Inc. Class A ..... 26,400 110,550
Trion, Inc. ........................ 67,550 312,419
*Triple S Plastics, Inc. ............ 5,500 45,031
*Triquint Semiconductor, Inc. ....... 70,600 1,588,500
*Trism, Inc. ........................ 35,900 136,869
*Tristar Corp. ...................... 3,300 23,306
*Triton Group, Ltd. ................. 68 60
*Truevision, Inc. ................... 102,700 272,797
*Tseng Laboratories, Inc. ........... 38,800 247,350
*Tuesday Morning Corp. .............. 36,000 783,000
*Tultex Corp. ....................... 74,000 527,250
*Turner Corp. ....................... 43,900 378,638
Tuscarora Plastics, Inc. ........... 9,900 222,750
Twin Disc, Inc. .................... 65,600 1,418,600
*Tyco Toys, Inc. .................... 43,700 516,206
*Tyler Corp. ........................ 152,800 248,300
U.S. Bancorp, Inc. ................. 11,525 466,775
*UFP Technologies, Inc. ............. 4,600 23,288
*UNC, Inc. .......................... 63,900 591,075
*URS Corp. .......................... 75,986 636,383
*US Can Corp. ....................... 11,300 187,863
*US Servis, Inc. .................... 23,500 63,891
*US Xpress Enterprises, Inc.
Class A ............................ 9,000 81,000
*USA Truck, Inc. .................... 5,600 49,000
*USCI, Inc. ......................... 10,200 49,088
*USData Corp. ....................... 32,900 224,131
*USMX, Inc. ......................... 36,600 54,900
USX-Delhi Group .................... 50,000 737,500
*#UTI Energy Corp. ................... 10,200 317,475
*Ultimate Electronics, Inc. ......... 41,200 123,600
*Ultra Pacific, Inc. ................ 15,200 61,750
*Ultradata Corp. .................... 18,000 87,750
*Ultradata Systems, Inc. ............ 2,400 19,950
<PAGE>
Shares Value+
--------- ------------
*Ultrak, Inc. ....................... 28,600 $ 875,875
*#Ultralife Batteries, Inc. .......... 29,700 282,150
*Unapix Entertainment, Inc. ......... 5,300 21,200
Uni-Marts, Inc. .................... 64,600 411,825
Unico American Corp. ............... 117,600 1,095,150
*Uniflex, Inc. ...................... 13,750 132,344
Uniforce Temporary Personnel, Inc. . 92,200 1,659,600
*#Unigene Laboratories, Inc. ......... 204,400 443,931
*Unilab Corp. ....................... 600 338
*Unimed, Inc. ....................... 32,300 216,006
*Union Corp. DE ..................... 20,700 463,163
*Union Switch & Signal, Inc. ........ 56,000 416,500
*Unique Mobility, Inc. .............. 33,200 130,725
*Uniroyal Technology Corp. .......... 33,400 96,025
*Unit Corp. ......................... 180,400 1,510,850
*Unit Instruments, Inc. ............. 30,180 303,686
*United American Healthcare Corp. ... 52,350 333,731
*United Capital Corp. ............... 50,754 456,786
United Financial Corp. MN .......... 700 13,563
*United Foods, Inc. Class A ......... 27,900 48,825
*United Foods, Inc. Class B ......... 102,300 191,813
*United Guardian, Inc. .............. 41,020 83,322
United Industrial Corp. ............ 100,800 592,200
United National Bancorp ............ 4,081 144,365
*United Retail Group, Inc. .......... 42,200 126,600
*United States Energy Corp. ......... 23,970 328,089
United States Facilities Corp. ..... 54,100 1,048,188
*United States Homecare Corp. ....... 17,400 12,506
United States Lime & Minerals, Inc. 14,300 121,550
*United States Long Distance Corp. .. 6,600 58,575
*Unitel Video, Inc. ................. 23,200 191,400
Unitil Corp. ....................... 39,552 771,264
Unitog Co. ......................... 2,550 69,169
*Universal American Financial Corp. . 500 1,125
*Universal Electronics, Inc. ........ 23,700 134,794
Universal Forest Products, Inc. .... 125,700 1,586,963
*Universal Hospital Services, Inc. .. 46,300 434,063
*Universal International, Inc. ...... 11,200 25,900
*Universal Seismic Association, Inc. 12,600 53,550
*Universal Standard Medical Labs,
Inc. ............................... 27,300 107,494
*University Genetics Co. Class A .... 76,100 0
*Uno Restaurant Corp. ............... 231,491 1,591,501
Upper Peninsula Energy Corp. ....... 20,400 341,700
*Uranuim Resources, Inc. ............ 41,600 384,800
*Urohealth Systems, Inc. Class A .... 76,000 641,250
*Uromed Corp. ....................... 17,000 157,250
*Utah Medical, Inc. ................. 34,900 486,419
*Utilx Corp. ........................ 144,800 529,425
*V Band Systems, Inc. ............... 5,300 10,600
*V Mark Software, Inc. .............. 27,864 207,239
*VTEL Corp. ......................... 49,800 510,450
*Valence Technology, Inc. ........... 170,100 738,872
*Vallen Corp. ....................... 61,400 1,036,125
Valley Forge Corp. ................. 2,350 30,403
Valley Resources, Inc. ............. 36,687 435,658
Vallicorp Holdings, Inc. ........... 28,000 565,250
*Valuevision International, Inc.
Class A ............................ 102,600 567,506
*Vans, Inc. ......................... 77,500 1,186,719
*Vari L Co., Inc. ................... 13,800 126,788
*Variflex, Inc. ..................... 51,100 261,888
#Varlen Corp. ....................... 21,628 435,264
Varsity Spirit Corp. ............... 4,700 72,850
*Vaughn Communications, Inc. ........ 10,000 81,875
28
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
*Vectra Technologies, Inc. .......... 34,500 $ 73,313
*Ventura County National Bancorp .... 9,209 44,894
*Venture Stores, Inc. ............... 150,800 490,100
*Venturian Corp. .................... 14,000 117,250
*Veritas DGC, Inc. .................. 38,966 832,898
Vermont Financial Services Corp. ... 15,013 529,208
*Vermont Teddy Bear, Inc. ........... 15,500 42,625
Versa Technologies, Inc. ........... 60,550 836,347
*Versar, Inc. ....................... 46,100 141,181
*Vertex Communications Corp. ........ 43,300 746,925
*Vical, Inc. ........................ 78,700 1,465,788
*Vicon Industries, Inc. ............. 46,250 101,172
*Vicorp Restaurants, Inc. ........... 64,300 900,200
*Video Display Corp. ................ 41,750 159,172
*Video Lottery Technologies, Inc. ... 49,000 217,438
*Videonics, Inc. .................... 5,400 48,938
*Vie de France Corp. ................ 211,800 436,838
*View Technology, Inc. .............. 2,900 18,125
*Viewlogic Systems, Inc. ............ 900 8,944
Virco Manufacturing Corp. .......... 69,327 1,143,896
Virginia Beach Federal Financial
Corp. .............................. 87,950 808,041
Virginia First Financial Corp. ..... 10,270 141,213
*Vision Sciences, Inc. .............. 20,450 29,397
*Vitronics Corp. .................... 64,800 76,950
*Voice Control Systems, Inc. ........ 2,000 15,250
*Volunteer Capital Corp. ............ 120,200 1,006,675
Vulcan International Corp. ......... 10,951 326,477
WCI Steel, Inc. .................... 194,000 1,940,000
*WPI Group, Inc. .................... 20,750 167,297
*WSFS Financial Corp. ............... 12,200 126,575
*WSMP, Inc. ......................... 2,375 17,664
*WTD Industries, Inc. ............... 48,040 114,095
Wackenhut Corp. Class A ............ 29,297 490,725
Wackenhut Corp. Class B
Non-Voting ......................... 80,092 1,121,288
*Wainoco Oil Corp. .................. 209,300 732,550
Wainwright Bank & Trust Co. ........ 200 1,225
Walbro Corp. ....................... 15,700 312,038
Walden Bancorp, Inc. ............... 46,500 1,607,156
*Walker Interactive Systems, Inc. ... 109,000 1,682,688
*Wall Data, Inc. .................... 33,450 505,931
*Wall Street Deli, Inc. ............. 11,400 61,988
Walshire Assurance Co. ............. 33,603 468,342
*Wandel & Goltermann
Technologies, Inc. ................. 900 18,788
*Warrantech Corp. ................... 45,800 655,513
Warren Bancorp, Inc. ............... 101,400 1,521,000
*Washington Homes, Inc. ............. 59,600 268,200
Washington Savings Bank FSB
Waldorf, MD ........................ 28,912 137,332
*Washington Scientific Industries,
Inc. ............................... 61,100 175,663
Waters Instruments, Inc. ........... 500 2,344
Watkins-Johnson Co. ................ 16,500 429,000
Watsco, Inc. Class B ............... 19,323 483,075
*Wave Technologies International,
Inc. ............................... 8,300 49,800
Waverly, Inc. ...................... 62,200 1,539,450
*Waxman Industries, Inc. ............ 22,100 96,688
*Waxman Industries, Inc. Class B .... 9,750 42,656
Webster Financial Corp. ............ 24,754 928,275
*Wegener Corp. ...................... 5,500 22,688
*Weirton Steel Corp. ................ 56,600 148,575
*Welcome Home, Inc. ................. 15,000 13,125
<PAGE>
Shares Value+
--------- ------------
*Wellcare Management Group, Inc. .... 15,700 $ 137,375
Wellco Enterprises, Inc. ........... 4,100 176,300
*Wells-Gardner Electronics Corp. .... 35,000 140,000
West Coast Bancorp ................. 4,000 70,000
*#Westbridge Capital Corp. ........... 10,800 87,750
Westco Bancorp, Inc. ............... 1,600 34,800
*Westerbeke Corp. ................... 20,000 53,750
Westerfed Financial Corp. .......... 7,400 136,900
*Western Beef, Inc. ................. 42,386 445,053
*Western Micro Technology, Inc. ..... 37,500 389,063
*Western Water Co. .................. 39,900 698,250
*Westmoreland Coal Co. .............. 50,500 126,250
*Weston (Roy F.), Inc. Class A ...... 23,000 86,250
Westport Bancorp, Inc. ............. 2,250 18,563
*Whitehall Corp. .................... 68,100 2,681,438
*Whitman Education Group, Inc. ...... 118,100 782,413
*Whittaker Corp. .................... 88,800 1,243,200
*Whole Foods Market, Inc. ........... 63,000 1,421,438
*Wholesome & Hearty Foods, Inc. ..... 55,200 372,600
*Wichita River Holding Corp. ........ 7,095 497
*Wickes Lumber Co. .................. 28,500 101,531
*Williams Clayton Energy, Inc. ...... 26,300 429,019
*Williams Controls, Inc. ............ 61,900 155,717
Wilshire Oil Co. of Texas .......... 137,311 738,047
Windmere Corp. ..................... 54,900 789,188
Winnebago Industries, Inc. ......... 73,000 547,500
*Winston Resources, Inc. ............ 3,900 11,944
Winthrop Resources Corp. ........... 25,200 727,650
Wireless Telecom Group, Inc. ....... 104,200 1,042,000
Wiser Oil Co. ...................... 45,000 781,875
Wolf (Howard B.), Inc. ............. 6,000 37,500
Wolohan Lumber Co. ................. 47,700 605,194
*Wonderware Corp. ................... 87,600 826,725
Woodhead Industries, Inc. .......... 176,550 2,284,116
*World Acceptance Corp. ............. 174,000 1,141,875
World Fuel Services Corp. .......... 41,647 796,499
*#Worldcorp, Inc. .................... 136,000 646,000
*Worldtex, Inc. ..................... 141,800 1,169,850
Worthington Foods, Inc. ............ 19,100 491,825
Wynns International, Inc. .......... 107,612 3,134,066
*Xicor, Inc. ........................ 79,700 762,131
*#Xoma Corp. ......................... 81,600 318,750
*Xpedite Systems, Inc. .............. 15,800 292,300
*Xytronyx, Inc. ..................... 28,200 45,825
*Yes Entertainment Corp. ............ 28,600 291,363
York Financial Corp. ............... 27,445 459,704
*York Research Corp. ................ 47,100 450,394
*#Youth Services International, Inc. . 10,500 134,531
*Zaring Homes, Inc. ................. 10,000 108,750
*Zemex Corp. ........................ 37,405 322,618
Ziegler Co., Inc. .................. 500 9,188
*Zing Technologies, Inc. ............ 12,700 116,681
*Zitel Corp. ........................ 126,200 2,847,388
*Zoll Medical Corp. ................. 21,600 274,050
*Zycad Corp. ........................ 170,800 309,575
*Zygo Corp. ......................... 16,850 661,363
*Zytec Corp. ........................ 31,200 341,250
________________
TOTAL COMMON STOCKS
(Cost $912,681,971) ................. 1,171,575,213
__________________
29
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
Shares Value+
--------- ------------
PREFERRED STOCKS - (0.1%)
*Alfin, Inc. Cumulative Redeemable .. 24 $ 0
*Alliance Gaming Corp. 15% Non-Voting
Senior Class B ...................... 512 48,352
Fedders Corp. Convertible .......... 130,650 767,569
*Fonar Corp. Class A ................ 34,390 0
------------
TOTAL PREFERRED STOCKS (Cost $483,533) 815,921
------------
RIGHTS/WARRANTS - (0.0%)
*Amvestors Financial Corp. Warrants
Class A 04/02/02 .................... 5,588 27,940
*Aquila Biopharmaceuticals Inc.
Rights 12/03/96 ..................... 44 0
*Buell Industries, Inc. Contingent
Payment Rights ...................... 59,800 0
*Krug International Corp. Warrants
01/31/98 ............................ 4,293 1,610
*Metrocall, Inc. Rights 11/15/97 .... 39,899 0
*National Mercantile Bancorp Warrants
06/02/99 ............................ 50 0
*Xytronix, Inc. Warrants 08/11/01 ... 492 0
------------
TOTAL RIGHTS/WARRANTS (Cost $0) ...... 29,550
------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS - (1.6%)
Repurchase Agreement, PNC Securities
Corp. 5.45%, 12/02/96 (Collateralized
by U.S. Treasury Bills 4.93%,
01/16/97) (Cost $18,930,000) ........ $ 18,930 18,930,000
-------------
TOTAL INVESTMENTS - (100.0%) (Cost
$932,095,504)++ ..................... $1,191,350,684
=============
- ------
+ See Note B to Financial Statements.
++The cost for federal income tax purposes is $933,041,164.
* Non-Income Producing Securities
# Securities on Loan
See accompanying Notes to Financial Statements.
30
<PAGE>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
November 30, 1996
Shares Value+
-------- -----------
Investment in The U.S. 6-10 Small Company Series of
The DFA Investment Trust Company.................. 18,654,946 $234,266,203
------------
Total Investments (100%) (Cost $165,356,232)++.... $234,266,203
============
_______________
++The cost for federal income tax purposes is $166,703,271.
THE U.S. LARGE COMPANY PORTFOLIO
November 30, 1996
Value+
-----------
Investment in The U.S. Large Company Series of
The DFA Investment Trust Company.................. $187,782,441
------------
Total Investments (100%) (Cost $129,345,452)++.... $187,782,441
============
_______________
++The cost for federal income tax purposes is $129,770,697.
THE ENHANCED U.S. LARGE COMPANY PORTFOLIO
November 30, 1996
Shares Value+
-------- -----------
Investment in The Enhanced U.S. Large Company Series
of The DFA Investment Trust Company................2,484,528 $29,212,419
------------
Total Investments (100%) (Cost $25,121,088)++....... $29,212,419
============
_______________
++Approximates the cost for federal income tax purposes.
THE U.S. SMALL CAP VALUE PORTFOLIO
November 30, 1996
Shares Value+
-------- --------------
Investment in The U.S. Small Cap Value Series of
The DFA Investment Trust Company.................. 72,848,341 $1,207,555,361
--------------
Total Investments (100%) (Cost $934,521,072)++.... $1,207,555,361
==============
_______________
++The cost for federal income tax purposes is $935,811,312.
THE U.S. LARGE CAP VALUE PORTFOLIO
November 30, 1996
Shares Value+
-------- -----------
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company.................. 34,876,970 $541,198,377
------------
Total Investments (100%) (Cost $418,811,040)++... $541,198,377
============
_______________
++The cost for federal income tax purposes is $420,282,949.
_______________
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
31
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
NOVEMBER 30, 1996
Shares Value+
--------- -------------
COMMON STOCKS - (97.5%)
AMLI Residential Properties Trust .. 13,200 $ 283,800
Agree Realty Corp. ................. 2,900 56,550
American Industrial Properties ..... 8,100 19,238
American Real Estate Investment
Corp. .............................. 1,400 11,375
American Realty Trust, Inc. ........ 6,800 82,875
Apartment Investment & Management
Co. Class A ........................ 13,000 321,750
Arbor Property Trust ............... 13,600 103,700
*Arden Realty Group, Inc. ........... 9,000 217,125
Associated Estates Realty Corp. .... 16,700 373,663
Avalon Properties, Inc. ............ 31,300 802,063
BRE Properties, Inc. Class A ....... 36,560 808,890
Bay Apartment Communities, Inc. .... 10,400 338,000
Beacon Properties Corp. ............ 32,700 1,034,138
Bedford Property Investors, Inc. ... 6,450 97,556
Berkshire Realty Co. ............... 28,100 263,438
Boddie-Noell Properties, Inc. ...... 3,300 41,663
*Boykin Lodging Trust, Inc. ......... 11,000 224,125
Bradley Real Estate, Inc. .......... 20,455 357,963
Burnham Pacific Properties, Inc. ... 20,900 269,088
CBL & Associates Properties, Inc. .. 20,600 504,700
Cali Realty Corp. .................. 22,000 621,500
*California Real Estate Investment
Trust .............................. 8,400 15,750
Camden Property Trust .............. 16,800 464,100
Carr Realty Corp. .................. 20,200 525,200
Centerpoint Properties Corp. ....... 16,600 450,275
Chateau Properties, Inc. ........... 6,800 165,750
Chelsea GCA Realty, Inc. ........... 12,900 406,350
Chicago Dock & Canal Trust III ..... 5,600 115,500
Clevetrust Realty Investors ........ 5,800 29,000
Colonial Properties Trust .......... 18,500 497,188
Columbus Realty Trust .............. 12,800 272,000
Commercial Net Lease Realty, Inc. .. 17,200 249,400
Cousins Properties, Inc. ........... 31,000 720,750
Crescent Real Estate Equities, Inc. 26,300 1,153,913
Crown American Realty Trust ........ 30,700 234,088
Developers Diversified Realty Corp. 23,700 796,913
Duke Realty Investments, Inc. ...... 29,600 1,061,900
*EQK Realty Investors ............... 8,900 12,794
Eastgroup Properties ............... 7,685 200,771
Equity Inns, Inc. .................. 23,600 280,250
Equity Residential Properties Corp. 43,800 1,757,475
Essex Property Trust ............... 8,600 236,500
Evans Withycombe Residential, Inc. . 20,300 413,613
Excel Realty Trust, Inc. ........... 16,300 368,788
FAC Realty, Inc. ................... 13,400 107,200
Federal Realty Investment Trust .... 48,300 1,255,800
Felcor Suite Hotels, Inc. .......... 21,200 755,250
First Industrial Realty Trust, Inc. 27,000 772,875
First Union Real Estate Equity &
Mortgage Investments ............... 18,600 202,275
First Washington Realty Trust, Inc. 3,200 70,000
Gables Residential Trust ........... 18,000 481,500
General Growth Properties .......... 43,900 1,218,225
Glimcher Realty Trust .............. 24,100 469,950
*HMG Courtland Properties, Inc. ..... 1,400 8,225
HRE Properties, Inc. ............... 6,000 93,750
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares Value+
--------- -------------
Haagen (Alexander) Properties, Inc. 13,400 $ 192,625
Highwood Properties, Inc. .......... 27,900 857,925
Home Properties of New York, Inc. .. 6,000 124,500
*Homestead Village, Inc. ............ 10,596 161,589
Horizon Group, Inc. ................ 21,200 413,400
Hospitality Properties Trust ....... 41,000 1,107,000
IRT Property Co. ................... 35,800 384,850
Innkeepers USA Trust ............... 22,100 276,250
Irvine Apartment Communities, Inc. . 31,300 762,938
JDN Realty Corp. ................... 12,100 311,575
JP Realty, Inc. .................... 17,900 436,313
Jameson Inns, Inc. ................. 8,100 93,656
Kimco Realty Corp. ................. 36,500 1,063,063
*Koger Equity, Inc. ................. 18,000 292,500
Kranzco Realty Trust, Inc. ......... 11,500 172,500
*Landsing Pacific Fund .............. 6,500 959
Lexington Corp. Properties, Inc. ... 11,200 144,200
Liberty Property Trust ............. 32,800 762,600
MGI Properties ..................... 11,600 233,450
Macerich Co. ....................... 21,900 509,175
Malan Realty Investors, Inc. ....... 3,600 53,100
Manufactured Home Communities, Inc. 28,500 570,000
Mark Centers Trust ................. 12,800 129,600
Merry Land & Investment Co., Inc. .. 37,200 744,000
Mid-America Apartment Communities,
Inc. ............................... 10,700 272,850
Mid-America Realty Investments, Inc. 8,300 79,888
Mid-Atlantic Realty Trust .......... 6,800 71,400
*Milestone Properties, Inc. ......... 4,200 3,675
Mills Corp. ........................ 18,900 392,175
Monmouth Real Estate Investment
Corp. Class A ...................... 3,600 21,825
National Golf Properties, Inc. ..... 11,900 336,175
National Income Realty Trust ....... 4,100 52,275
New Plan Realty Trust .............. 64,800 1,490,400
Oasis Residential, Inc. ............ 19,800 415,800
One Liberty Properties, Inc. ....... 1,200 15,150
*Pacific Gateway Properties, Inc. ... 4,300 15,319
Pacific Gulf Properties, Inc. ...... 7,500 142,500
Paragon Group, Inc. ................ 17,000 269,875
Parkway Properties, Inc. ........... 2,250 50,063
Partners Preferred Yield, Inc.
Class A ............................ 3,200 59,600
Partners Preferred Yield II, Inc.
Class A ............................ 3,600 72,000
Partners Preferred Yield III, Inc.
Class A ............................ 1,600 32,000
Patriot American Hospitality, Inc. . 18,300 693,113
Pennsylvania Real Estate Investment
Trust .............................. 9,400 215,025
Post Properties, Inc. .............. 22,000 849,750
Presidential Realty Corp. Class B .. 3,300 20,006
Price Real Estate Investment Trust,
Inc. Class B ....................... 9,300 323,175
Prime Retail, Inc. ................. 10,500 127,969
Property Capital Trust ............. 10,100 92,794
Public Storage, Inc. ............... 84,870 2,153,576
32
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares Value+
--------- -------------
Public Storage Properties XI, Inc.
Class A ............................ 2,000 $ 40,250
Public Storage Properties XIV, Inc.
Class A ............................ 2,500 49,688
Public Storage Properties XV, Inc.
Class A ............................ 2,400 48,900
Public Storage Properties XVI, Inc.
Class A ............................ 3,100 60,450
Public Storage Properties XVII, Inc.
Class A ............................ 3,200 61,600
Public Storage Properties XVIII,
Inc. Class A ....................... 1,900 37,050
Public Storage Properties XIX, Inc.
Class A ............................ 3,700 56,425
Public Storage Properties XX, Inc.
Class A ............................ 900 18,900
RFS Hotel Investors, Inc. .......... 24,500 410,375
ROC Communities, Inc. .............. 13,800 341,550
Realty Income Corp. ................ 25,300 600,875
Reckson Associates Realty Corp. .... 10,200 386,325
Regency Realty Corp. ............... 7,900 189,600
Saul Centers, Inc. ................. 13,400 204,350
Security Capital Industrial Trust .. 124,700 2,369,293
Security Capital Pacific Trust ..... 84,300 1,728,150
Shurgard Storage Centers, Inc.
Class A ............................ 16,500 453,750
Simon Debartolo Group, Inc. ........ 97,448 2,667,633
Sizeler Property Investors, Inc. ... 9,700 89,725
Smith (Charles E.) Residential
Realty, Inc. ....................... 9,900 249,975
South West Property Trust, Inc. .... 21,400 339,725
Sovran Self Storage, Inc. .......... 3,600 102,150
Spieker Properties, Inc. ........... 35,300 1,081,063
*Starwood Lodging Trust ............. 25,300 1,208,075
Storage Trust Realty ............... 9,600 230,400
Storage USA, Inc. .................. 21,900 826,725
Summit Properties, Inc. ............ 19,700 384,150
Sun Communities, Inc. .............. 15,200 484,500
Sunstone Hotel Investors, Inc. ..... 2,300 26,019
Tanger Factory Outlet Centers, Inc. 6,900 165,600
<PAGE>
THE DFA/AEW REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Shares Value+
--------- -------------
Town & Country Trust ............... 17,500 $ 255,938
Trinet Corporate Realty Trust, Inc. 15,200 518,700
United Dominion Realty Trust, Inc. . 68,100 1,004,475
United Mobile Homes, Inc. .......... 6,700 78,306
Urban Shopping Centers, Inc. ....... 14,800 390,350
Vornado Realty Trust ............... 26,700 1,204,838
Walden Residential Properties, Inc. 15,800 359,450
Washington Real Estate Investment
Trust .............................. 35,600 587,400
Weeks Corp. ........................ 12,200 346,175
Weingarten Realty Investors ........ 29,200 1,142,450
Wellsford Residential Property Trust 20,725 499,991
Western Investment Real Estate Trust 18,700 245,438
Winston Hotels, Inc. ............... 15,400 194,425
-------------
TOTAL COMMON STOCKS (Cost
$53,867,627) ....................... 62,503,871
-------------
RIGHTS/WARRANTS - (0.1%)
*Homestead Village, Inc. Warrants
10/29/97 (Cost $62,195) ............ 7,108 42,648
-------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS - (2.4%)
Repurchase Agreement, PNC Securities
Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97) (Cost
$1,513,000) ........................ $ 1,513 1,513,000
-------------
TOTAL INVESTMENTS - (100.0%) (Cost
$55,442,822)++ ..................... $64,059,519
=============
- ------
+See Note B to Financial Statements.
++The cost for federal income tax purposes is $53,668,669.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
33
<PAGE>
SCHEDULES OF INVESTMENT
THE JAPANESE SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Value+
--------------
<S> <C>
Investment in The Japanese Small Company Series of The DFA Investment
Trust Company ........................................................... $ 294,234,882
--------------
Total Investments (100%) (Cost $327,703,675)++ ......................... $ 294,234,882
==============
</TABLE>
- ------
++The cost for federal income tax purposes is $330,608,616.
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Value+
--------------
<S> <C>
Investment in The Pacific Rim Small Company Series of The DFA
Investment Trust Company ............................................. $ 215,615,157
--------------
Total Investments (100%) (Cost $185,352,495)++ ...................... $ 215,615,157
==============
</TABLE>
- ------
++Approximates cost for federal income tax purposes.
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Value+
--------------
<S> <C>
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company ........................................... $ 166,854,143
--------------
Total Investments (100%) (Cost $134,521,494)++ .................... $ 166,854,143
==============
</TABLE>
- ------
++Approximates cost for federal income tax purposes.
THE CONTINENTAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Value+
--------------
<S> <C>
Investment in The Continental Small Company Series of The DFA
Investment Trust Company ............................................. $ 299,408,189
--------------
Total Investments (100%) (Cost $271,060,270)++ ...................... $ 299,408,189
==============
</TABLE>
- ------
++Approximates cost for federal income tax purposes.
- ------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
34
<PAGE>
SCHEDULES OF INVESTMENTS
THE INTERNATIONAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Value+
-------------
<S> <C>
Investment in The Japanese Small Company Series of The DFA Investment
Trust Company (34%) (Cost $38,812,993) .................................. $ 35,482,590
Investment in The Pacific Rim Small Company Series of The DFA Investment
Trust Company (15%) (Cost $15,282,218) .................................. 15,865,314
Investment in The United Kingdom Small Company Series of The DFA
Investment Trust Company (15%) (Cost $14,713,127) ....................... 15,785,010
Investment in The Continental Small Company Series of The DFA Investment
Trust Company (35%) (Cost $35,356,241) .................................. 36,474,261
Temporary Cash Investments (1%)
Repurchase Agreement, PNC Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury Bills 4.93%, 01/16/97) (Cost $494,000) . 494,000
-------------
Total Investments (100%) (Cost $104,658,579)++ ........................ $104,101,175
=============
</TABLE>
- ------
++Approximates cost for federal income tax purposes.
THE RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Shares Value+
------------ ---------------
<S> <C> <C>
Investment in The DFA International Value Series of The DFA Investment
Trust Company ............................................................ 21,836,972 $257,369,130
---------------
Total Investments (100%) (Cost $218,562,964)++ .......................... $257,369,130
===============
</TABLE>
- ------
++Approximates cost for federal income tax purposes.
THE EMERGING MARKETS PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Value+
--------------
<S> <C>
Investment in The Emerging Markets Series of The DFA Investment Trust
Company .............................................................. $ 162,063,633
--------------
Total Investments (100%) (Cost $158,623,171)++ ...................... $ 162,063,633
==============
</TABLE>
- ------
++Approximates cost for federal income tax purposes.
- ------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
35
<PAGE>
SCHEDULE OF INVESTMENTS
THE LARGE CAP INTERNATIONAL PORTFOLIO
NOVEMBER 30, 1996
Shares Value+
--------- --------------
JAPAN -- (33.8%)
COMMON STOCKS -- (33.8%)
Ajinomoto Co., Inc. .............. 11,000 $ 124,692
All Nippon Airways Co., Ltd. ..... 24,000 205,624
Asahi Bank, Ltd. ................. 38,000 370,650
Asahi Chemical Industry Co., Ltd. 21,000 138,032
Asahi Glass Co., Ltd. ............ 17,000 173,286
Bank of Tokyo-Mitsubishi, Ltd. ... 73,200 1,498,735
Bank of Yokohama, Ltd. ........... 16,000 116,134
Bridgestone Corp. ................ 13,000 239,895
Canon, Inc. ...................... 14,000 295,255
Chiba Bank, Ltd. ................. 11,000 83,418
Chubu Electric Power Co., Ltd. ... 12,600 257,979
Chugoku Electric Power Co., Ltd. . 5,500 110,677
Dai Nippon Printing Co., Ltd. .... 11,000 201,054
Dai-Ichi Kangyo Bank, Ltd. ....... 52,000 845,343
Daiwa Bank, Ltd. ................. 23,000 133,392
Daiwa House Industry Co., Ltd. ... 7,000 97,188
Daiwa Securities Co., Ltd. ....... 22,000 237,786
Denso Corp. ...................... 13,000 302,724
Fanuc, Ltd. ...................... 3,500 114,104
Fuji Bank, Ltd. .................. 48,000 835,149
Fuji Photo Film Co., Ltd. ........ 8,000 250,967
Fujitsu, Ltd. .................... 31,000 296,924
*Hanwa Co., Ltd. .................. 5,000 15,246
Hitachi, Ltd. .................... 55,000 512,302
Hokkaido Takus Bank .............. 9,000 19,772
Honda Motor Co., Ltd. ............ 16,000 472,408
Industrial Bank of Japan ......... 42,120 832,777
Ito-Yokado Co., Ltd. ............. 7,000 353,691
Itochu Corp. ..................... 21,000 127,329
Kajima Corp. ..................... 13,000 103,954
Kansai Electric Power Co., Inc. .. 16,300 340,896
Kao Corp. ........................ 6,000 69,596
Kawasaki Steel Corp. ............. 47,000 147,443
Kinki Nippon Railway Co., Ltd. ... 24,000 157,329
Kirin Brewery Co., Ltd. .......... 15,000 151,582
*Kobe Steel, Ltd. ................. 42,000 97,803
Komatsu, Ltd. .................... 15,000 126,406
Kubota Corp. ..................... 20,000 113,708
Kyocera Corp. .................... 2,000 128,647
Kyushu Electric Power Co., Inc. .. 6,800 142,214
Long Terminal Credit Bank of
Japan, Ltd. ...................... 40,000 253,076
Marubeni Corp. ................... 22,000 99,561
Matsushita Electric Industrial
Co., Ltd. ........................ 35,000 605,887
Matsushita Electric Works, Ltd. .. 11,000 102,460
Mitsubishi Chemical Corp. ........ 32,000 121,195
Mitsubishi Corp. ................. 26,000 301,582
Mitsubishi Electric Corp. ........ 36,000 207,206
Mitsubishi Estate Co., Ltd. ...... 17,000 215,114
Mitsubishi Heavy Industries, Ltd. 56,000 457,645
Mitsubishi Trust & Banking Corp. . 21,000 337,698
Mitsui & Co., Ltd. ............... 26,000 221,160
Mitsui Trust & Banking Co., Ltd. . 20,000 191,564
NEC Corp. ........................ 26,000 315,290
*NKK Corp. ........................ 52,000 127,944
Nikko Securities Co., Ltd. ....... 24,000 223,550
Nintendo Co., Ltd., Kyoto ........ 1,000 70,387
<PAGE>
Shares Value+
--------- -------------
#Nippon Credit Bank, Ltd. ......... 26,000 $ 66,257
Nippon Express Co., Ltd. ......... 15,000 114,411
Nippon Oil Co., Ltd. ............. 15,000 84,754
Nippon Steel Corp. ............... 115,000 347,627
Nissan Motor Co., Ltd. ........... 42,000 298,576
Nomura Securities Co., Ltd. ...... 32,000 539,895
Osaka Gas Co., Ltd. .............. 37,000 114,121
Pioneer Electronic ............... 2,000 43,058
Sakura Bank, Ltd. ................ 57,000 520,914
Sankyo Co., Ltd. ................. 4,000 107,206
#Sanwa Bank, Ltd. ................. 48,000 792,970
Sanyo Electric ................... 33,000 154,561
Secom Co., Ltd. .................. 2,000 120,738
Sega Enterprises, Ltd. ........... 1,500 58,787
Seibu Railway Co., Ltd. .......... 7,000 342,004
Seksui House ..................... 12,000 128,647
Seven-Eleven Japan Co., Ltd. ..... 7,000 417,663
Sharp Corp. Osaka ................ 19,000 297,188
Shikoku Electric Power Co., Inc. . 4,200 84,517
Shimizu Corp. .................... 12,000 100,176
Shizuoka Bank, Ltd. .............. 11,000 125,659
Sony Corp. ....................... 6,200 397,170
Sumitomo Bank, Ltd. .............. 52,000 904,745
#Sumitomo Chemical Co., Ltd. ...... 21,000 91,529
Sumitomo Corp. ................... 15,000 127,197
Sumitomo Electric Industries, Ltd. 11,000 154,657
Sumitomo Metal Industries, Ltd.
Osaka ............................ 46,000 122,478
Sumitomo Trust & Banking Co., Ltd. 19,000 210,369
Taisei Corp. ..................... 15,000 83,436
Taisho Pharmaceutical Co., Ltd. .. 5,000 111,599
Takeda Chemical Industries, Ltd. . 14,000 274,341
Tohuku Electric Power Co., Inc. .. 7,600 155,606
Tokai Bank, Ltd. ................. 34,000 391,388
Tokio Marine & Fire Insurance Co.,
Ltd .............................. 26,000 287,873
Tokyo Electric Power Co., Ltd .... 22,500 508,128
Tokyo Gas Co., Ltd. .............. 44,000 129,912
Tokyu Corp. ...................... 17,000 113,533
Tonen Corp. ...................... 9,000 121,002
Toppan Printing Co., Ltd. ........ 10,000 131,810
Toray Industries, Inc. ........... 21,000 135,448
Toshiba Corp. .................... 54,000 347,821
Toyo Seikan Kaisha, Ltd .......... 3,000 95,167
Toyo Trust & Banking Co., Ltd. ... 12,000 103,656
Toyota Motor Corp. ............... 64,000 1,749,029
Yamaichi Secs Co. ................ 18,000 95,062
Yamanouchi Pharmaceutical Co.,
Ltd. ............................. 5,000 101,933
Yasuda Trust & Banking ........... 16,000 75,501
--------------
TOTAL COMMON STOCKS
(Cost $23,248,465) ................ 26,573,549
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $7,004) ....... 6,907
--------------
TOTAL -- JAPAN (Cost $23,255,469) .. 26,580,456
36
<PAGE>
Shares Value+
--------- --------------
UNITED KINGDOM -- (21.3%)
COMMON STOCKS -- (21.3%)
Abbey National P.L.C. ............ 27,800 $ 326,188
Allied Domecq P.L.C. ............. 22,202 167,574
Argyll Group P.L.C. .............. 24,008 156,990
BAT Industries P.L.C. ............ 61,556 489,957
BOC Group P.L.C. ................. 10,327 153,980
BTR P.L.C. ....................... 82,177 328,081
Barclays P.L.C ................... 31,438 542,477
Bass P.L.C. ...................... 18,400 242,494
Boots Co., P.L.C. ................ 20,298 217,180
British Gas P.L.C. ............... 92,200 339,424
British Petroleum Co., P.L.C. .... 115,729 1,339,411
British Telecommunications P.L.C. 133,400 848,769
Cable and Wireless P.L.C. ........ 44,747 359,550
Cadbury Schweppes P.L.C. ......... 21,512 184,967
General Electric Co. P.L.C. ...... 57,881 362,921
Glaxo Holdings P.L.C. ............ 71,414 1,175,259
Granada Group P.L.C. ............. 17,000 247,048
Grand Metropolitan P.L.C. ........ 51,554 403,413
Great Universal Stores P.L.C. .... 21,200 244,471
Guinness P.L.C. .................. 43,200 324,608
HSBC Holdings P.L.C. ............. 17,000 367,786
Hanson P.L.C. .................... 110,814 149,954
Imperial Chemical Industries
P.L.C. ............................ 15,800 205,174
*Imperial Tobacco Group P.L.C. .... 11,081 70,504
Lloyds TSB P.L.C. ................ 140,307 969,368
Marks & Spencer P.L.C. ........... 60,750 519,795
National Power P.L.C. ............ 23,900 185,613
National Westminster Bank P.L.C. . 38,463 447,098
Prudential Corp. P.L.C. .......... 43,309 354,912
RTZ Corp. P.L.C. ................. 34,241 577,894
Reuters Holdings P.L.C. .......... 34,200 416,516
Royal & Sun Alliance Insurance
Group, Inc. P.L.C. ................ 16,222 122,302
Sainsbury (J.) P.L.C. ............ 37,247 235,109
Shell Transport & Trading Co.,
P.L.C. ............................ 67,200 1,117,209
Smithkline Beecham P.L.C. ........ 35,257 486,582
Standard Chartered P.L.C. ........ 19,112 218,305
Tesco P.L.C. ..................... 46,378 265,069
Thorn EMI P.L.C. ................. 8,160 188,402
*Thorn P.L.C. ..................... 8,000 37,453
Unilever P.L.C. .................. 17,200 405,363
Vendome Luxury Group P.L.C. Units 15,100 136,053
Vodafone Group P.L.C. ............ 62,000 268,372
Whitbread P.L.C. ................. 10,000 128,849
Zeneca Group P.L.C. .............. 15,200 419,934
--------------
TOTAL COMMON STOCKS
(Cost $11,159,787) ................ 16,748,378
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $4,102) ..................... 4,282
--------------
TOTAL -- UNITED KINGDOM
(Cost $11,163,889) ................ 16,752,660
--------------
FRANCE -- (8.6%)
COMMON STOCKS -- (8.6%)
Accor SA ......................... 508 65,580
Air Liquide ...................... 700 111,415
*Air Liquide Prime Fidelite 1997 .. 1,471 232,723
*Air Liquide Prime Fidelite 1998 .. 355 56,164
<PAGE>
Shares Value+
--------- -------------
Alcatel Alsthom Cie Generale
d'Electricite SA .................. 5,100 $ 463,210
Axa SA ........................... 6,356 382,504
Banque Nationale de Paris ........ 2,200 87,562
C.S.F. (Thomson-Csf) ............. 2,324 75,004
Canal Plus SA .................... 475 109,174
Carrefour Supermarche SA ......... 900 560,755
Compagnie De Suez SA (Ex Compagnie
Financiere De Suez) ............... 3,202 138,113
Elf Aquitaine .................... 5,127 447,790
*Euro Disney SCA .................. 15,150 31,339
Financiere de Paribas SA Series A 2,350 161,453
Generale des Eaux ................ 2,745 338,590
Generale des Establissements
Michelin SA Series B .............. 505 26,000
Groupe Danone .................... 2,346 346,890
Havas SA ......................... 955 67,679
L'Oreal .......................... 1,540 563,670
LVMH (Louis Vuitton Moet Hennessy) 2,016 514,329
LaFarge Coppee SA ................ 1,887 120,138
Lyonnais des Eaux SA ............. 1,193 114,022
Pechiney International ........... 1,600 28,807
Pernod-Ricard .................... 1,260 69,987
Peugeot SA ....................... 950 116,817
Pinault Printemps Redoute SA ..... 200 79,640
*Rhone-Poulenc SA Series A ........ 3,700 119,625
Saint-Gobain ..................... 1,946 278,799
Sanofi SA ........................ 2,414 217,126
Schneider SA ..................... 2,519 119,654
Societe Generale ................. 1,736 189,527
Total SA (Ex Total Cie Francaise
Des Petroles) ..................... 5,485 444,179
UAP SA ........................... 3,342 89,039
--------------
TOTAL COMMON STOCKS
(Cost $4,923,112) ................. 6,767,304
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $205) ........ 201
--------------
TOTAL -- FRANCE
(Cost $4,923,317) ................. 6,767,505
--------------
GERMANY -- (8.1%)
COMMON STOCKS -- (8.1%)
#BASF AG .......................... 15,000 555,386
Bayer AG ......................... 14,000 563,918
#Bayerische Hypotheken und
Wechselbank AG .................... 1,600 50,244
Bayerische Motorenwerke AG BMW,
Muenchen .......................... 481 312,110
#Commerzbank AG ................... 7,740 190,415
Daimler-Benz AG .................. 10,450 683,178
Deutsche Bank AG ................. 9,800 467,517
Dresdner Bank .................... 8,680 257,886
Hochtief AG ...................... 1,510 59,948
Hoechst AG ....................... 12,000 525,610
Mannesmann AG .................... 743 310,208
#RWE AG ........................... 13,250 586,397
SAP AG (Systeme Anwendungen
Produkte in der Datenverarbeitung) 400 54,800
#Siemens AG ....................... 11,000 530,491
Thyssen .......................... 650 116,674
Veba AG .......................... 12,000 702,506
37
<PAGE>
Shares Value+
--------- --------------
Viag AG .......................... 425 $ 161,121
*Viag AG Em 96 .................... 121 44,888
Volkswagen ....................... 550 220,680
--------------
TOTAL COMMON STOCKS
(Cost $3,681,923) ................. 6,393,977
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $7,729) ....... 7,678
--------------
TOTAL -- GERMANY
(Cost $3,689,652) ................. 6,401,655
--------------
SWITZERLAND -- (6.4%)
COMMON STOCKS -- (6.4%)
ABB AG, Baden .................... 186 232,821
CS Holding, Zuerich (Namen) ...... 3,575 380,684
Ciba-Geigy SA, Basel (Namen) ..... 543 672,186
Financiere Richemont AG
Units --A- ........................ 106 156,600
Nestle SA, Cham et Vevey ......... 853 926,320
Roche Holding AG, Basel .......... 79 939,148
SBG (Schweizerische
Bankgesellschaft) ................ 556 523,997
*SBV (Schweizerischer Bankverein)
(Namen) ........................... 1,546 305,522
Sandoz AG, Basel ................. 755 878,420
--------------
TOTAL COMMON STOCKS
(Cost $2,458,663) ................. 5,015,698
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $6,376) ....... 6,227
--------------
TOTAL -- SWITZERLAND
(Cost $2,465,039) ................. 5,021,925
--------------
NETHERLANDS -- (5.1%)
COMMON STOCKS -- (5.1%)
ABN AMRO Holding NV .............. 1,447 93,753
Aegon NV ......................... 929 52,324
Heineken NV ...................... 200 35,905
Ing Groep NV ..................... 20,196 707,563
Philips Electronics NV ........... 1,100 44,472
Polygram NV ...................... 600 28,921
Royal Dutch Petroleum Co.,
Den Haag ......................... 13,300 2,243,410
Unilever NV ...................... 4,800 830,812
--------------
TOTAL COMMON STOCKS
(Cost $2,273,707) ................. 4,037,160
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $47) ... 47
--------------
TOTAL -- NETHERLANDS
(Cost $2,273,754) ................. 4,037,207
--------------
HONG KONG -- (4.3%)
COMMON STOCKS -- (4.3%)
Cathay Pacific Airways, Ltd. ..... 61,000 100,608
China Light & Power Co., Ltd. .... 35,500 152,461
Citic Pacific, Ltd. .............. 24,000 125,115
Hang Seng Bank, Ltd. ............. 39,000 470,442
Henderson Land Development Co.,
Ltd. ............................. 18,000 181,036
Hong Kong Telecommunications, Ltd. 225,200 390,360
HongKong Electric Holdings, Ltd. . 30,500 97,846
Hutchison Whampoa, Ltd. .......... 73,000 564,226
<PAGE>
Shares Value+
--------- -------------
New World Development Co. Ltd .... 31,000 $ 209,527
Sung Hungkai Properties, Ltd. .... 47,000 583,662
Swire Pacific, Ltd. Series A ..... 27,000 255,837
Wharf Holdings, Ltd. ............. 41,000 212,147
--------------
TOTAL COMMON STOCKS
(Cost $2,595,636) ................. 3,343,267
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $17,039) . 17,036
--------------
TOTAL -- HONG KONG
(Cost $2,612,675) ................. 3,360,303
--------------
AUSTRALIA -- (3.4%)
COMMON STOCKS -- (3.4%)
Amcor, Ltd. ...................... 12,538 77,335
Australia & New Zealand Banking
Group Ltd ......................... 28,625 188,223
Boral Ltd ........................ 22,543 58,962
Brambles Industries, Ltd. ........ 3,950 69,197
Broken Hill Proprietary Co., Ltd. 38,518 565,550
CRA, Ltd. ........................ 12,510 209,062
Coca-Cola Amatil, Ltd. ........... 4,988 56,412
Coles Myer, Ltd. ................. 20,899 78,161
Commonwealth Bank of Australia ... 10,388 101,401
#Csr Ltd. ......................... 16,243 53,204
Fosters Brewing Group, Ltd. ...... 34,148 63,717
Mim Holdings ..................... 48,036 68,495
#National Australia Bank .......... 34,321 427,861
News Corp., Ltd. ................. 19,448 103,635
Pacific Dunlop, Ltd. ............. 19,238 44,204
Western Mining Corp. Holdings,
Ltd. ............................. 29,471 187,302
Westpac Banking Corp. ............ 49,144 294,314
Woodside Petroleum, Ltd. ......... 6,666 46,874
--------------
TOTAL COMMON STOCKS
(Cost $1,754,497) ................. 2,693,909
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australia Dollar (Cost $10,873) .. 11,200
--------------
TOTAL -- AUSTRALIA
(Cost $1,765,370) ................. 2,705,109
--------------
ITALY -- (3.1%)
COMMON STOCKS -- (3.1%)
Alleanza Assicurazioni SpA ....... 12,375 93,641
Alleanza Assicurazioni SpA (Risp) 113 611
Assicurazioni Generali SpA,
Trieste .......................... 18,452 372,090
Banca Commerciale Italiana SpA ... 34,000 62,493
*Banca Nazionale dell'Agricoltura
SpA ............................... 3,000 1,993
*Banca di Roma .................... 66,500 61,114
Banco Ambrosiano Veneto SpA ...... 12,000 26,737
*Campart SpA ...................... 38,769 15,405
#Credito Italiano ................. 39,000 42,803
Fiat SpA ......................... 69,000 202,095
*Gemina SpA, Milano ............... 20,000 10,301
Ifil Finanziaria Partecipazioni
SpA, Torino ...................... 8,000 23,537
*Istituto Bancario San Paolo Torino
SpA .............................. 18,500 116,198
Istituto Mobiliare Italiano IMI
SpA .............................. 13,500 113,668
Italcementi Fabbriche Riunite
Cemento SpA, Bergamo .............. 1,500 8,782
La Fondiara Assicurazioni SpA .... 4,200 16,328
38
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
Shares Value+
--------- --------------
*Montedison SpA ................... 73,260 $ 52,021
#RAS SpA (Riunione Adriatica di
Sicurta) ......................... 7,465 74,033
RAS SpA (Riunione Adriatica di
Sicurta) (Risp) .................. 371 1,965
SAI SpA (Sta Assicuratrice
Industriale SpA) .................. 2,000 17,461
#Sirti SpA ........................ 4,000 24,251
Stet SpA Station Finanziaria
Telefonica Torino ................ 86,000 366,175
Telecom Italia Mobile SpA ........ 134,740 317,586
Telecom Italia SpA ............... 163,740 386,481
#Toro Assicurazioni Cia Anonima
d'Assicurazione di Torino SpA .... 1,000 14,083
--------------
TOTAL COMMON STOCKS (Cost
$1,825,600) ....................... 2,421,852
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $5,113) ....... 5,110
--------------
TOTAL -- ITALY (Cost $1,830,713) ... 2,426,962
--------------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.9%)
*AGA AB Series A .................. 2,900 44,924
*AGA AB Series B .................. 2,500 38,169
Asea AB Series A ................. 1,300 150,458
Asea AB Series B ................. 500 57,496
Astra AB Series A ................ 11,200 537,186
Astra AB Series B ................ 2,300 108,088
*Diligentia AB .................... 1,030 16,493
*Naeckebro AB ..................... 420 7,570
Sandvik AB Series A .............. 3,200 78,648
Sandvik AB Series B .............. 1,300 31,951
Skandinaviska Enskilda Banken
Series A ......................... 10,300 95,889
Skanska/Frueher AB Skanska
Cementgjuteriet Series B ......... 2,400 106,174
Svenska Handelsbanken Series A ... 4,200 115,111
*Swedish Match AB (Frueher Svenska
Taendsticks AB) .................. 8,800 28,837
Sydkraft AB Series C ............. 2,400 47,546
*Telefon AB L.M. Ericsson Series A 1,500 47,591
Telefon AB L.M. Ericsson Series B 18,300 564,251
Volvo AB Series A ................ 2,200 48,172
Volvo AB Series B ................ 6,600 145,006
--------------
TOTAL COMMON STOCKS
(Cost $1,726,896) ................. 2,269,560
--------------
<PAGE>
Shares Value+
--------- -------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $2,020) ...... $ 1,983
--------------
TOTAL -- SWEDEN
(Cost $1,728,916) ................. 2,271,543
--------------
SPAIN -- (2.3%)
COMMON STOCKS -- (2.3%)
Banco Bilbao Vizcaya SA .......... 4,400 222,462
Banco Popular Espanol SA ......... 500 96,874
Banco Santander SA ............... 3,100 167,981
Empresa Nacional de Electricidad
SA ............................... 5,100 344,462
Gas Natural SDG SA ............... 700 145,187
Iberdrola SA ..................... 18,200 210,027
Repsol SA ........................ 5,900 218,375
*Telefonica de Espana SA .......... 18,500 405,558
--------------
TOTAL COMMON STOCKS
(Cost $1,574,521) ................. 1,810,926
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $130) ....... 6,035
--------------
TOTAL -- SPAIN (Cost $1,580,666) ... 1,816,961
--------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
*Millennium Chemicals, Inc.
(Cost $53,343) .................... 1,583 32,651
--------------
Face
Amount Value+
--------- --------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97) (Cost
$538,000) ......................... $538 $ 538,000
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$57,880,803)++ .................... $78,712,937
==============
- ------
+See Note B to Financial Statements.
++The cost for federal income tax purposes is $58,409,912
* Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
39
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
NOVEMBER 30, 1996
Shares Value+
------------ -------------
JAPAN -- (36.1%)
COMMON STOCKS -- (34.7%)
*ASK Corp., Yokohama ................ 13,000 $ 52,777
Aica Kogyo Co., Ltd. ............... 75,000 434,315
Aichi Corp. ........................ 126,500 1,111,599
*Amada Wasino Co., Ltd. ............. 300,000 941,125
Ando Corp. ......................... 294,000 1,252,988
Araya Industrial Co., Ltd. ......... 194,000 687,012
Asahi Kogyosha Co., Ltd. ........... 114,000 646,134
Asanuma Corp. ...................... 288,000 1,321,054
Bank of Okinawa, Ltd. .............. 35,700 1,336,397
Bank of the Ryukyus, Ltd. .......... 36,300 1,266,353
Bunka Shutter Co., Ltd. ............ 110,000 723,989
Cabin Co., Ltd. .................... 164,000 765,237
Calpis Food Industry Co., Ltd. ..... 71,000 462,935
*Central Finance Co., Ltd. .......... 289,000 985,343
*#Chisan Tokan Co., Ltd. ............. 165,000 572,715
#Chugoku Marine Paints, Ltd. ........ 21,000 89,499
Chuo Spring Co., Ltd., Nagoya ...... 222,000 1,219,244
Dai Nippon Construction ............ 186,000 982,302
Dai-Ichi Hotel, Ltd., Tokyo ........ 121,000 733,656
*#Dai-Ichi Katei Denki Co., Ltd. ..... 225,000 925,308
#Dai-Ichi Kogyo Seiyaku Co., Ltd. ... 9,000 48,163
#Daidoh, Ltd. ....................... 135,000 978,691
#Daiichi Cement Co., Ltd. ........... 77,000 368,084
#Descente, Ltd. ..................... 139,000 786,608
*Dijet Industrial Co., Ltd. ......... 10,000 33,216
Eagle Industry Co., Ltd. ........... 35,000 272,188
#Fujirebio, Inc. .................... 144,000 1,140,105
Fukuda Corp. ....................... 151,000 1,121,221
#Gastec Service, Inc. ............... 98,000 608,840
*#Graphtec Corp. ..................... 99,000 691,608
Gun-Ei Chemical Industry Co., Ltd. . 128,000 529,772
*Gunze Sangyo, Inc., Tokyo .......... 222,000 877,856
Harima Chemicals, Inc. ............. 83,000 736,643
#Hisaka Works, Ltd. ................. 101,000 994,025
Hisamitsu Pharmaceutical Co., Inc. . 58,000 486,731
#Hochiki Corp. ...................... 9,000 61,529
Hokkai Can Co., Ltd., Tokyo ........ 216,000 1,419,754
#Hokkaido Gas Co., Ltd. ............. 8,000 33,392
#Hokko Chemical Industry Co., Ltd. .. 12,000 65,905
Hokuriku Electrical Construction
Co., Ltd. .......................... 81,000 489,701
#Horiba, Ltd. ....................... 101,000 1,189,279
Ichikawa Co., Ltd. ................. 117,000 485,272
Idec Izumi Corp. ................... 130,000 1,130,931
#Ikegami Tsushinki Co., Ltd. ........ 129,000 861,511
Inabata and Co., Ltd., Osaka ....... 157,000 1,082,996
#Intec, Inc. ........................ 21,000 287,873
Ishizuka Glass Co., Ltd. ........... 119,000 551,081
Itoki Crebio Corp. ................. 118,000 933,216
#Iwasaki Electric Co., Ltd. ......... 21,000 90,791
#JMS Co., Ltd. ...................... 135,000 848,199
Japan Oil Transportation Co., Ltd. . 8,000 36,977
Japan Transcity Corp. .............. 14,000 73,199
Japan Vilene Co., Ltd. ............. 148,000 771,213
Joban Kosan Co., Ltd. .............. 22,000 97,241
*#Jujiya Co., Ltd. ................... 12,000 40,914
Kamei Corp. ........................ 131,000 1,507,996
Kanaden Corp. ...................... 11,000 87,381
<PAGE>
Shares Value+
--------- -------------
#Kanematsu Electronics, Ltd. ........ 73,000 $ 631,213
#Kansei Corp. ....................... 179,000 1,506,872
#Kanto Auto Works, Ltd., Yokosuka ... 161,000 1,222,355
Kanto Bank, Ltd. ................... 30,700 847,083
#Kanto Natural Gas Development Co.,
Ltd. ............................... 198,000 1,578,084
#Kasumi Co., Ltd. ................... 43,000 337,425
Kato Works Co., Ltd. ............... 201,000 1,137,469
Kawada Industries, Inc. ............ 181,000 1,336,028
*Kawashima Textile Manufacturers,
Ltd. ................................ 306,000 924,991
*Kawasho Corp. ...................... 414,000 1,466,098
Kinseki, Ltd. ...................... 110,000 1,411,248
*Kinsho-Mataichi Corp. .............. 51,000 168,058
*#Kioritz Corp. ...................... 237,000 755,984
Kita-Nippon Bank, Ltd. ............. 26,490 1,326,828
#Kokune Corp. ....................... 99,000 347,979
Kokusai Kogyo Co., Ltd. ............ 118,000 1,337,610
Komai Tekko, Inc. .................. 126,000 930,053
Komatsu Forklift Co., Ltd., Tochigi 28,000 177,399
*Kyotaru Co., Ltd. .................. 161,000 919,596
Kyowa Leather Cloth Co., Ltd. ...... 75,000 698,594
#Kyushu Bank, Ltd. .................. 314,000 1,216,819
Life Corp. ......................... 14,000 123,023
Magara Construction Co., Ltd. ...... 12,000 55,677
Maruwn Corp. ....................... 89,000 484,886
Matsui Construction Co., Ltd. ...... 90,000 642,970
#Matsuo Bridge Co., Ltd. ............ 70,000 378,295
Meito Sangyo Co., Ltd. ............. 90,000 1,178,383
#Mitsuba Corp. ...................... 97,000 963,181
Mitsubishi Pencil Co., Ltd. ........ 41,000 371,090
Mitsuuroko Co., Ltd. ............... 44,000 308,928
#Miyuki Keori Co., Ltd. ............. 124,000 986,116
Morita Fire Pump Manufacturing Co.,
Ltd. ............................... 168,000 934,482
*Morozoff, Ltd., Osaka .............. 119,000 508,207
Mory Industries, Inc. .............. 12,000 57,996
*Mutoh Industries, Ltd. ............. 147,000 755,668
Mutow Co., Ltd. .................... 89,000 492,707
Naigai Co., Ltd. ................... 269,000 1,113,348
Nakamuraya Co., Ltd. ............... 8,000 44,429
Nakano Corp. ....................... 157,000 558,743
Neturen Co., Ltd., Tokyo ........... 126,000 809,367
Nichia Steel Works, Ltd. ........... 142,000 964,552
*Nichimo Co., Ltd. .................. 127,000 484,341
Nichimo Corp. ...................... 209,000 841,142
Nihon Kohden Corp. ................. 160,000 1,282,250
#Nihon Matai Co., Ltd. .............. 119,000 669,244
#Nihon Parkerizing Co., Ltd. ........ 228,000 1,222,144
Nihon Tokushu Toryo Co., Ltd. ...... 79,000 348,489
Niigata Chuo Bank, Ltd. ............ 321,000 902,636
Nikko Co., Ltd., Akashi ............ 82,000 569,965
Nippon Chemiphar Co., Ltd. ......... 115,000 643,717
#Nippon Conlux Co., Ltd. ............ 78,000 712,830
*#Nippon Conveyor Co., Ltd. .......... 52,000 246,292
Nippon Hume Pipe Co., Ltd. ......... 95,000 551,801
Nippon Synthetic Chemical Industry
Co., Ltd. ........................... 28,000 134,833
Nippon Valqua Industries, Ltd. ..... 294,000 1,167,733
Nittoc Construction Co., Ltd. ...... 147,000 1,088,937
40
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
Obayashi Road Corp. ................ 152,000 $ 874,868
#Ohki Corp. ......................... 168,000 804,569
Okabe Co., Ltd. .................... 98,000 843,937
*Oki Electric Cable Co., Ltd. ....... 10,000 45,694
Okura Industrial Co., Ltd. ......... 222,000 1,316,784
*Ono Sokki Co., Ltd. ................ 9,000 58,128
Pacific Industrial Co., Ltd. ....... 187,000 870,914
#Parco Co., Ltd. .................... 28,000 258,348
#Pokka Corp. ........................ 110,000 1,014,938
Renown Look, Inc. .................. 114,000 673,181
Rheon Automatic Machinery Co., Ltd. 93,000 735,501
*Rhythm Watch Co., Ltd. ............. 120,000 420,738
Ryoden Trading Co., Ltd. ........... 170,000 1,266,784
S.T. Chemical Co., Ltd. ............ 115,000 933,743
Sagami Co., Ltd. ................... 141,000 944,130
Sakai Chemical Industry Co., Ltd. .. 4,000 20,422
Sakai Heavy Industries, Ltd. ....... 43,000 279,613
Sankei Building Co., Ltd. .......... 18,000 152,478
Sanyo Industries, Ltd., Tokyo ...... 121,000 611,380
Sata Construction Co., Ltd., Gumma . 134,000 612,302
Sato Shoji Corp. ................... 49,000 327,241
*Seikitokyu Industries Co., Ltd. .... 211,000 769,464
*Seiren Co., Ltd. ................... 196,000 1,136,731
Sekisui Plastics Co., Ltd. ......... 112,000 551,142
Shibuya Kogyo Co., Ltd. ............ 61,000 825,483
Shin Nippon Air Technologies Co.,
Ltd. ............................... 81,200 1,063,159
#Shinko Shoji Co., Ltd. ............. 80,000 1,012,302
Sintokogio, Ltd., Nagoya ........... 99,000 829,930
Soda Nikka Co., Ltd. ............... 82,000 438,822
#Sotetsu Rosen Co., Ltd. ............ 5,000 36,467
Star Micronics Co., Ltd. ........... 32,000 228,049
Sumisho Computer Systems Corp. ..... 86,000 1,224,253
*Sumitomo Corporation's Leasing, Ltd. 85,000 385,413
#Sumitomo Precision Products Co.,
Ltd., Amagasaki City ............... 16,000 127,241
Sun Telephone Co., Ltd. ............ 157,000 1,005,738
*Suzutan Co., Ltd. .................. 154,000 626,555
Tada Construction Co., Ltd. ........ 136,000 503,128
*Taiheiyo Bank, Ltd. ................ 150,000 1,318
Taiheiyo Securities Co., Ltd. ...... 368,000 1,248,225
#Taisei Prefab Construction Co., Ltd. 242,000 1,263,163
*Taka-Q Co., Ltd. ................... 196,000 649,315
Takada Kiko Co., Ltd. .............. 73,000 609,402
Takara Co., Ltd. ................... 97,000 721,960
Takiron Co., Ltd. .................. 277,000 1,504,271
Tamura Corp. ....................... 21,000 123,638
#Tasaki Shinju Co., Ltd. ............ 130,000 1,042,970
*Tayca Corp. ........................ 169,000 519,772
Teikoku Hormone Manufacturing Co.,
Ltd. ............................... 76,000 941,652
Teikoku Tsushin Kogyo Co., Ltd. .... 13,000 76,538
*Titan Kogyo Kabushiki Kaisha ....... 86,000 405,062
*Toa Wool Spinning & Weaving Co.,
Ltd. ................................ 185,000 549,473
Tobu Store Co., Ltd. ............... 168,000 1,071,775
Tochigi Fuji Industrial Co., Ltd. .. 125,000 782,074
#Toda Kogyo Corp. ................... 156,000 1,124,077
Tohto Suisan Co., Ltd. ............. 135,000 549,253
*Tokai Maruman Securities Co., Ltd. . 100,000 456,942
*#Tokai Senko K.K. Nagoya ............ 118,000 510,158
<PAGE>
Shares Value+
--------- -------------
Tokushu Paper Manufacturing Co.,
Ltd. ............................... 42,000 342,127
#Tokuyo City Bank, Ltd. ............. 275,000 444,640
Tokyo Denki Komusho Co., Ltd. ...... 128,000 1,001,054
*Tokyo Nissan Auto Sales Co., Ltd. .. 34,000 191,810
*Tokyo Tekko Co., Ltd. .............. 161,000 738,506
*Tokyu Tourist Corp. ................ 54,000 180,791
Topcon Corp. ....................... 93,000 739,587
Topre Corp. ........................ 184,000 1,398,595
Torishima Pump Manufacturing Co.,
Ltd., Osaka ......................... 93,000 740,404
Totenko Co., Ltd. .................. 83,000 425,940
Totetsu Kogyo Co., Ltd. ............ 85,000 416,784
Toyo Information System Co., Ltd. .. 95,000 1,076,890
*Toyo Securities Co., Ltd. .......... 267,000 884,525
#Toyoda Boshoku Corp. ............... 71,000 258,295
Tsudakoma Corp. .................... 237,000 1,330,783
Tsugami Corp. ...................... 224,000 757,821
Tsurumi Manufacturing Co., Ltd. .... 7,000 70,123
Uchida Yoko Co., Ltd. .............. 202,000 1,077,453
Ueki Corp. ......................... 113,000 487,548
Yahagi Construction Co., Ltd. ...... 130,000 901,319
Yamato International, Inc. ......... 72,000 313,814
Yokohama Reito Co., Ltd. ........... 8,000 89,982
Yomeishu Seizo Co., Ltd. ........... 9,000 72,047
Yondenko Corp. ..................... 133,000 1,192,092
-------------
TOTAL COMMON STOCKS
(Cost $149,649,180) ................. 134,319,810
-------------
INVESTMENT IN CURRENCY -- (1.4%)
*Japanese Yen (Cost $5,563,265) ..... 5,505,865
-------------
TOTAL -- JAPAN
(Cost $155,212,445) ................. 139,825,675
-------------
UNITED KINGDOM -- (18.9%)
COMMON STOCKS -- (18.4%)
600 Group P.L.C. ................... 44,000 175,665
ABI Leisure Group P.L.C. ........... 65,000 89,051
APTA Healthcare P.L.C. ............. 108,000 30,409
APV P.L.C. ......................... 386,881 478,005
ASDA Property Holdings P.L.C. ...... 111,000 306,942
ASW Holdings P.L.C. ................ 404,000 247,880
Abbeycrest P.L.C. .................. 70,000 186,507
Acatos & Hutcheson P.L.C. .......... 60,404 280,248
Adam & Harvey Group P.L.C. ......... 8,000 42,361
Adscene Group P.L.C. ............... 60,000 159,863
Adwest Group P.L.C. ................ 150,000 361,835
Airflow Streamlines P.L.C. ......... 19,305 61,009
Alexanders Holdings P.L.C. ......... 71,000 14,919
Alexandra Workwear P.L.C. .......... 46,000 63,021
Allders P.L.C. ..................... 167,000 422,494
Allied London Properties P.L.C. .... 183,000 224,565
Allied Textile Companies P.L.C. .... 102,000 325,778
Amec P.L.C. ........................ 288,571 472,961
Amstrad P.L.C. ..................... 196,000 504,098
Anglo Eastern Plantations P.L.C. ... 57,195 110,086
Apollo Metals P.L.C. ............... 20,000 44,042
Appleyard Group P.L.C. ............. 139,000 178,749
Applied Distribution Group P.L.C. .. 48,000 23,803
Arcadian International P.L.C. ...... 80,000 61,188
Arlen P.L.C. ....................... 100,000 82,369
*Ascot Holdings P.L.C. .............. 52,000 284,089
Associated Nursing Services P.L.C. . 35,000 86,782
Austin Reed Group P.L.C. ........... 55,000 199,703
41
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
Avesco P.L.C. ...................... 24,000 $ 124,461
Avon Rubber P.L.C. ................. 26,973 312,857
*Avonside Group P.L.C. .............. 75,000 36,562
BM Group P.L.C. .................... 200,000 92,455
BSG International P.L.C. ........... 552,500 889,281
BSM Group P.L.C. ................... 50,000 161,796
Babcock International Group P.L.C. . 300,000 375,704
Baggeridge Brick P.L.C. ............ 72,000 134,951
Baird (William) P.L.C. ............. 236,500 771,260
Baldwin P.L.C. ..................... 30,000 65,559
Bandt P.L.C. ....................... 326,334 106,971
Banks (Sidney C.) P.L.C. ........... 37,000 182,237
Barcom P.L.C. ...................... 70,000 58,835
Bardon Group P.L.C. ................ 904,536 482,767
Barr & Wallace Arnold Trust P.L.C. . 40,000 148,264
Barr Transport P.L.C. .............. 7,500 40,659
Beales Hunter P.L.C. ............... 6,000 17,651
Bellway P.L.C. ..................... 50,000 255,932
*Bellwinch P.L.C. ................... 240,000 66,568
Bentalls P.L.C. .................... 102,000 220,329
Bett Brothers P.L.C. ............... 14,000 40,831
Bibby (J.) & Sons P.L.C. ........... 204,000 466,377
Bilton P.L.C. ...................... 205,000 754,685
Birkby P.L.C. ...................... 63,000 197,509
*Birse Group P.L.C. ................. 435,278 149,999
Black Arrow Group P.L.C. ........... 35,000 35,301
Blagden Industries P.L.C. .......... 168,000 597,293
Blockleys P.L.C. ................... 45,000 32,906
Booker P.L.C. ...................... 27,048 189,146
Boot (Henry) & Sons P.L.C. ......... 50,000 193,315
Bourne End Properties P.L.C. ....... 245,042 165,796
Boustead P.L.C. .................... 67,000 18,583
Brasway P.L.C. ..................... 100,000 42,445
Breedon P.L.C. ..................... 16,000 24,879
Bridon P.L.C. ...................... 99,000 170,579
Bridport-Gundry P.L.C. ............. 10,000 21,937
*Bridport-Gundry P.L.C. Issue 96 .... 7,500 16,390
Bristol Evening Post P.L.C. ........ 61,511 444,620
*British Building and Engineering
Appliances, Ltd. ................... 20,000 15,970
British Dredging P.L.C. ............ 42,000 85,428
British Fittings Group P.L.C. ...... 76,000 114,342
British Mohair Holdings P.L.C. ..... 10,000 18,659
*Brown & Jackson P.L.C. ............. 600,000 146,247
Bruntcliffe Aggregates P.L.C. ...... 76,000 26,190
Bryant Group P.L.C. ................ 235,999 533,581
Budgens P.L.C. ..................... 223,000 170,563
Bullough P.L.C. .................... 235,000 278,500
Burn Stewart Distillers P.L.C. ..... 65,000 77,578
Burndene Investments P.L.C. ........ 113,903 60,313
Burtonwood Brewery P.L.C. .......... 29,580 85,774
CLS Holdings P.L.C. ................ 247,000 465,032
Cala P.L.C. ........................ 175,000 289,762
*Calderburn P.L.C. .................. 150,000 66,820
Camas P.L.C. ....................... 399,000 449,382
Cape P.L.C. ........................ 225,000 614,616
Capital & Regional Properties P.L.C 64,000 225,926
Carclo Engineering Group P.L.C. .... 100,000 426,974
*Carlisle Group P.L.C. .............. 215,000 37,045
Carr's Milling Industries P.L.C. ... 11,000 58,062
Cater Allen Holdings P.L.C. ........ 61,500 391,299
*Cathay International P.L.C. ........ 920,000 266,775
Charles Sidney P.L.C. .............. 59,000 78,351
Chesterfield Properties P.L.C. ..... 27,000 246,224
Chime Communications P.L.C. ........ 100,000 56,314
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
Chloride Group P.L.C. .............. 316,000 $ 188,575
Church & Co. P.L.C. ................ 24,000 194,660
Clarke, Nickolls & Coombs P.L.C. ... 248,000 32,309
Clarkson (Horace) P.L.C. ........... 59,305 108,166
Clinton Cards P.L.C. ............... 31,000 97,187
*Clubhaus P.L.C. .................... 18,200 25,546
Clyde Blowers P.L.C. ............... 8,000 41,016
*Clyde Blowers P.L.C. Issue 96 ...... 5,333 27,343
Clyde Petroleum P.L.C. ............. 780,000 1,048,944
Colefax & Fowler Group P.L.C. ...... 96,000 142,818
Community Hospitals Group P.L.C. ... 67,000 374,485
Concentric P.L.C. .................. 100,000 310,985
Conrad Ritblat Group P.L.C. ........ 32,590 126,003
Cook (D.C.) Holdings, Ltd. ......... 50,000 47,909
Cook (William) P.L.C. .............. 39,000 211,756
Cornwell Parker P.L.C. ............. 13,333 36,646
Cosalt P.L.C. ...................... 20,000 72,451
*Costain Group P.L.C. ............... 73,000 56,448
Countryside Property P.L.C. ........ 129,660 130,775
Courtaulds Textiles P.L.C. ......... 89,000 371,778
Courts P.L.C. ...................... 50,000 817,386
Cradley Group Holdings P.L.C. ...... 38,466 39,443
*Cray Electronic Holdings P.L.C. .... 800,000 484,128
Crest Nicholson P.L.C. ............. 310,000 346,538
Crest Packaging P.L.C. ............. 75,000 91,404
Crestacare P.L.C. .................. 427,000 181,241
Cropper (James) P.L.C. ............. 14,000 81,898
Cussins Property Group P.L.C. ...... 25,000 28,997
DRS Data Research Services P.L.C ... 51,000 21,004
Daejan Holdings P.L.C. ............. 27,000 583,223
Dagenham Motors Group P.L.C. ....... 41,000 66,164
Dawson Group P.L.C. ................ 68,000 180,035
Dawson International P.L.C. ........ 590,000 565,320
Debenham Tewson & Chinnocks Holdings
P.L.C. .............................. 42,423 43,144
Delyn Group P.L.C. . ............... 18,000 21,483
Dencora P.L.C. ..................... 20,000 55,473
Derwent Valley Holdings P.L.C. ..... 61,000 450,155
Development Securities P.L.C. ...... 70,000 229,457
Dixon Motors P.L.C. ................ 40,000 165,747
Dolphin Packaging P.L.C. ........... 21,000 69,719
Domino Printing Sciences P.L.C. .... 88,000 466,713
Dwyer Estates P.L.C. ............... 50,000 38,663
EIS Group P.L.C. ................... 192,400 1,114,197
Eleco Holdings P.L.C. .............. 68,900 12,740
Electronic Data Processing P.L.C. .. 25,000 27,106
Emess P.L.C. ....................... 200,000 85,731
English & Overseas Properties P.L.C. 50,000 17,230
Etam P.L.C. ........................ 95,000 213,193
Eurodollar (Holdings) P.L.C. ....... 63,000 126,025
European Motor Holdings P.L.C. ..... 250,000 378,225
Evans Halshaw Holdings P.L.C. ...... 60,000 239,543
Evans of Leeds P.L.C. .............. 210,000 450,088
Ewart P.L.C. ....................... 10,000 9,161
Ex-Lands Properties P.L.C. ......... 182,000 39,772
Excalibur Group P.L.C. ............. 75,000 17,335
Exco P.L.C. ........................ 200,000 183,229
Eyecare Products P.L.C. ............ 88,988 44,129
FII Group P.L.C. ................... 20,000 36,982
Faber Prest P.L.C. ................. 24,000 120,023
Fenchurch P.L.C. ................... 115,000 112,123
Fenner P.L.C. ...................... 175,000 463,326
Finlay (James) P.L.C. .............. 180,000 239,038
Fiscal Properties P.L.C. ........... 75,000 73,124
42
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
Five Oaks Investments P.L.C. ....... 168,000 $ 74,132
French (Thomas) & Sons P.L.C. ...... 17,000 17,289
Friendly Hotels P.L.C. ............. 35,538 90,804
Frogmore Estates P.L.C. ............ 81,039 709,740
Frost Group P.L.C. ................. 196,000 466,209
GEI International P.L.C. ........... 50,000 100,860
Galliford P.L.C. ................... 160,000 49,758
Geest P.L.C. ....................... 40,000 174,824
Gent (S.R.) P.L.C. ................. 77,000 73,132
Gerrard & National Holdings P.L.C. . 63,450 289,047
Gleeson (M.J.) Group P.L.C. ........ 14,300 211,176
Goldsborough Healthcare P.L.C. ..... 86,000 206,007
Grainger Trust, Ltd. ............... 42,000 234,752
*Greenwich Resources P.L.C. ......... 156,000 32,124
Greycoat P.L.C. .................... 232,000 637,637
Hall Engineering (Holdings) P.L.C. . 81,000 435,715
Hamlet Group P.L.C. ................ 42,000 55,070
Hampden Group P.L.C. ............... 25,000 34,671
Hampson Industries P.L.C. .......... 67,620 76,727
Hardy Oil & Gas P.L.C. ............. 169,000 805,392
Hardys & Hansons P.L.C. ............ 72,500 360,743
Harris (Philip) P.L.C. ............. 35,000 147,970
Hartstone Group P.L.C. ............. 1,167,000 210,886
Hazlewood Foods P.L.C. ............. 395,500 618,297
Healthcall Group P.L.C. ............ 72,000 91,984
Heath (C.E.) P.L.C. ................ 107,000 140,296
*Helene P.L.C. ...................... 282,000 33,183
Helical Bar P.L.C. ................. 23,000 150,786
Hemingway Properties P.L.C. ........ 300,000 168,941
*Hi-Tech Sports P.L.C. .............. 61,000 39,478
*Hickson International P.L.C. ....... 741,000 772,285
Higgs & Hill P.L.C. ................ 87,000 110,416
Hill & Smith Holdings P.L.C. ....... 56,639 69,027
*Hollas Group P.L.C. ................ 100,000 10,506
Holt (Joseph) P.L.C. ............... 5,878 271,725
Hopkinsons Group P.L.C. ............ 312,000 146,852
*Horace Small Apparel P.L.C. ........ 48,000 72,619
How Group P.L.C. ................... 66,000 42,159
Hunters Armley Group P.L.C. ........ 59,394 89,857
Hunting P.L.C. ..................... 155,000 419,494
*Huntingdon International Holdings
P.L.C. ............................. 107,000 169,974
IAF Group P.L.C. ................... 66,500 136,938
Ibstock P.L.C. ..................... 733,000 788,591
Iceland Group P.L.C. ............... 416,000 559,437
Independent Insurance Group P.L.C .. 69,000 704,633
Inveresk P.L.C. .................... 20,000 47,236
Ipeco Holdings P.L.C. .............. 56,000 64,483
JLI Group P.L.C. ................... 114,000 116,897
Jacobs (John I.) P.L.C. ............ 117,419 149,023
*Jeyes Group P.L.C. ................. 39,000 81,621
Johnson & Firth Brown P.L.C. ....... 275,511 383,243
Johnson Group Cleaners P.L.C. ...... 37,000 168,554
Johnston Group P.L.C. .............. 14,000 110,610
Jones & Shipman P.L.C. ............. 35,000 24,417
Joseph (Leopold) Holdings P.L.C. ... 9,000 70,350
Kalamazoo Computer Group P.L.C. .... 12,200 23,277
Kelsey Industries P.L.C. ........... 3,000 19,037
Kenwood Appliances P.L.C. .......... 100,000 370,661
King & Shaxson Holdings P.L.C. ..... 17,000 52,439
Kunick P.L.C. ...................... 299,000 111,833
Laing (John) P.L.C. ................ 70,541 321,350
Lambert Howarth Group P.L.C. ....... 15,073 29,138
Leeds Group P.L.C. ................. 57,000 125,520
Leigh Interests P.L.C. ............. 121,100 247,336
<PAGE>
Shares Value+
------------ -------------
Lilleshall P.L.C. .................. 29,000 $ 32,906
Linton Park P.L.C. ................. 30,500 182,523
London Industrial P.L.C. ........... 30,000 173,479
London Merchant Securities P.L.C. .. 335,000 532,163
Lookers P.L.C. ..................... 43,000 82,403
*Lovell (Y.J.) Holdings P.L.C. ...... 29,000 3,900
M & W P.L.C. ....................... 10,000 18,743
MS International P.L.C. ............ 49,000 20,180
MTM P.L.C. ......................... 66,000 102,625
Mackie International Group P.L.C. .. 9,500 21,559
Malaya Group P.L.C. ................ 250,000 50,430
Mallett P.L.C. ..................... 25,000 32,359
Manders P.L.C. ..................... 51,900 170,126
Mansfield Brewery P.L.C. ........... 151,000 824,951
Marshalls P.L.C. ................... 195,800 439,402
Marston Thompson & Evershed P.L.C. . 142,000 677,914
Martin International Holdings P.L.C. 62,000 31,267
Matthews (Bernard) P.L.C. .......... 195,000 422,856
Maunders (John) Group P.L.C. ....... 52,000 155,156
McAlpine (Alfred) P.L.C. ........... 101,000 222,413
McCarthy & Stone P.L.C. ............ 155,000 246,224
*McDonnell Information Systems Group
P.L.C. ............................. 138,000 90,471
McKay Securities P.L.C. ............ 24,000 61,928
*Mentmore Abbey P.L.C. .............. 31,200 46,940
*Merchant Retail Group P.L.C. ....... 153,000 57,868
Merrydown P.L.C. ................... 55,000 85,521
*Micro Focus Group P.L.C. ........... 19,500 296,654
Mid-States P.L.C. .................. 50,000 35,301
Midland Independent Newspapers
P.L.C. .............................. 217,000 479,681
Moorfield Estates P.L.C. ........... 220,000 112,795
Morland & Co. P.L.C. ............... 73,800 728,840
Mowlem (John) & Co. P.L.C. ......... 402,744 781,950
Mucklow (A & J) Group P.L.C. ....... 133,000 305,177
NSM P.L.C. ......................... 84,000 24,711
Neepsend P.L.C. .................... 43,000 29,997
Nightfreight P.L.C. ................ 75,000 81,318
Nobo Group P.L.C. .................. 14,000 22,475
Norcor Holdings P.L.C. ............. 20,000 28,745
*Norcros P.L.C. ..................... 262,000 385,369
OGC International P.L.C. ........... 10,000 13,028
*OMI International P.L.C. ........... 99,000 35,780
*Oliver Group P.L.C. ................ 43,000 27,829
PSIT P.L.C. ........................ 257,001 658,828
Panther Securities P.L.C. .......... 40,000 64,214
Parkland Group P.L.C. .............. 60,000 183,061
Partridge Fine Arts P.L.C. ......... 33,000 41,605
Paterson Zochonis P.L.C. ........... 35,000 262,992
Peel Holdings P.L.C. ............... 115,000 821,588
Perry Group P.L.C. ................. 59,000 188,936
Persimmon P.L.C. ................... 70,000 241,812
Phoenix Timber Group P.L.C. ........ 76,623 21,253
Photo-Me International P.L.C. ...... 94,000 189,617
Pifco Holdings P.L.C. .............. 10,000 47,572
Pittards P.L.C. .................... 39,000 46,875
*Pittencrieff Resources P.L.C. ...... 54,394 37,489
Plantation & General Investment
P.L.C. .............................. 24,000 18,155
Plysu P.L.C. ....................... 100,000 269,801
Premier Consolidated Oilfields P.L.C 1,615,000 889,101
Property Partnerships P.L.C. ....... 10,000 41,016
Prowting P.L.C. .................... 101,261 171,922
QS Holdings P.L.C. ................. 102,000 66,013
43
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
*Quadrant Group P.L.C. .............. 118,000 $ 22,811
Quality Care Homes P.L.C. .......... 41,500 224,981
Quality Software Products Holdings
P.L.C. ............................. 11,000 43,454
Quick Group P.L.C. ................. 71,732 177,858
RCO Holdings P.L.C. ................ 20,000 75,645
REA Holdings P.L.C. ................ 39,384 188,683
Raglan Property P.L.C. ............. 300,000 122,293
*Raine P.L.C. ....................... 338,000 78,124
Ransom (William) & Son P.L.C. ...... 75,000 68,081
Rea Brothers Group P.L.C. .......... 67,906 70,202
Readicut International P.L.C. ...... 305,810 226,189
Record Holdings P.L.C. ............. 69,000 65,534
Ricardo Group P.L.C. ............... 95,000 171,672
Richards P.L.C. .................... 62,000 46,379
Richardsons Westgarth P.L.C. ....... 24,000 34,091
Ropner P.L.C. ...................... 21,000 40,067
Roskel P.L.C. ...................... 12,000 16,138
Rowe Evans Investments P.L.C. ...... 66,400 121,106
Royal Doulton P.L.C. ............... 78,000 366,475
Ruberoid P.L.C. .................... 150,000 276,104
Rugby Estates P.L.C. ............... 16,000 28,913
Russell (Alexander) P.L.C. ......... 40,000 64,214
SEP Industrial Holdings P.L.C. ..... 170,000 147,172
Saville (J.) Gordon Group P.L.C. ... 150,000 134,900
Savills P.L.C. ..................... 66,000 95,968
Scholl P.L.C. ...................... 20,000 100,356
Scottish Metropolitan Property P.L.C 380,400 559,521
*Seafield Resources P.L.C. .......... 70,000 68,837
Shaftesbury P.L.C. ................. 150,000 402,179
Sharpe & Fisher P.L.C. ............. 14,293 50,456
Sherwood Group P.L.C. .............. 202,000 202,039
*ShopRite Group P.L.C. .............. 146,000 46,631
Sidlaw Group P.L.C. ................ 88,000 167,898
*Signet Group P.L.C. ................ 438,700 188,051
Silentnight Holdings P.L.C. ........ 40,000 198,358
Simon Engineering P.L.C. ........... 175,847 101,982
Sinclair (William) Holdings P.L.C. . 20,000 66,736
Sirdar P.L.C. ...................... 55,000 72,115
Sketchley P.L.C. ................... 84,000 139,086
Smart (J.) & Co. (Contractors) P.L.C 5,000 16,810
Smith (James) Estates P.L.C. ....... 50,000 93,716
Southend Property Holdings P.L.C. .. 216,000 107,113
Specialty Shops P.L.C. ............. 18,000 32,225
*Spring Ram Corp. P.L.C. ............ 846,888 192,189
St. James Beach Hotels P.L.C. ...... 28,853 67,903
St. Modwen Properties P.L.C. ....... 166,000 175,799
Stanley Leisure Organisation P.L.C. 152,932 656,835
Stoddard Sekers International P.L.C 98,000 28,417
Stratagem Group P.L.C. ............. 47,000 61,230
*Tadpole Technology P.L.C. .......... 20,000 11,767
*Tandem Group P.L.C. ................ 72,000 10,288
Tay Homes P.L.C. ................... 92,000 173,984
Telemetrix P.L.C. .................. 126,000 131,320
Tomkinsons P.L.C. .................. 10,000 36,982
Tops Estates P.L.C. ................ 63,315 161,245
Town Centre Securities P.L.C. ...... 240,000 338,890
Trafford Park Estates P.L.C. ....... 102,721 213,252
Transport Development Group P.L.C .. 265,900 779,975
Tring International Group P.L.C. ... 60,000 15,633
*Ugland International Holdings P.L.C.
Issue 96 ........................... 102,666 107,863
Ugland International Holdings P.L.C 44,000 48,816
Union P.L.C. ....................... 50,000 78,587
United Industries P.L.C. ........... 58,000 51,186
<PAGE>
Shares Value+
------------ -------------
Vardon P.L.C. ...................... 110,000 $ 147,003
Vaux Group P.L.C. .................. 43,906 185,991
Vert (Jacques) P.L.C. .............. 20,000 12,608
Vibroplant P.L.C. .................. 185,000 209,915
*Villiers Group P.L.C. .............. 167,000 27,371
Wainhomes P.L.C. ................... 86,000 144,566
Ward Holdings P.L.C. ............... 145,000 88,967
Warner Estate Holdings P.L.C. ...... 99,000 316,196
Warnford Investments P.L.C. ........ 12,000 41,958
*Wates City of London Properties
P.L.C. ............................. 281,099 401,647
Watts, Blake, Bearne & Co. P.L.C. .. 53,000 385,327
Westbury P.L.C. .................... 127,050 482,671
Westminster Health Care Holdings
P.L.C. ............................. 37,500 175,559
Wew Group .......................... 217,000 94,842
Whessoe P.L.C. ..................... 80,000 127,756
Wholesale Fittings P.L.C. .......... 15,000 119,771
Wilson (Connolly) Holdings P.L.C. .. 238,400 595,114
Wilson Bowden P.L.C. ............... 39,700 298,642
Wintrust P.L.C. .................... 24,000 128,092
Wyevale Garden Centres P.L.C. ...... 50,000 197,518
Yorklyde P.L.C. .................... 14,000 44,715
Yorkshire Chemicals P.L.C. ......... 107,500 413,819
Yorkshire Food Group P.L.C. ........ 70,000 20,004
Young & Co's Brewery P.L.C.
Class A ............................. 5,000 51,481
Young (H.) Holdings P.L.C. ......... 29,000 64,105
-------------
TOTAL COMMON STOCKS
(Cost $66,082,364) .................. 71,283,231
-------------
INVESTMENT IN CURRENCY -- (0.5%)
*British Pound Sterling
(Cost $1,702,583) ................... 1,758,962
-------------
RIGHTS/WARRANTS -- (0.0%)
*Arcadian International P.L.C.
Rights Open Expiration .............. 26,666 784
*Carlisle Group P.L.C. Warrants
06/25/01 ............................ 43,000 3,795
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ........................... 4,579
-------------
TOTAL -- UNITED KINGDOM
(Cost $67,784,947) .................. 73,046,772
-------------
GERMANY -- (8.2%)
COMMON STOCKS -- (7.9%)
Aachener und Muenchener
Lebensversicherung AG ............... 1,333 598,614
Ackermann
Vermoegensverwaltungs AG ............ 2,850 346,860
BDAG Balcke-Duerr AG ............... 870 140,706
*Barmag AG .......................... 5,600 521,185
Bayerische Handelsbank AG .......... 420 104,419
*Bremer Woll-Kaemmerei AG ........... 3,730 209,987
Brillant AG ........................ 388 70,454
*DLW AG ............................. 7,200 468,597
DSL Holding AG ..................... 11,550 1,285,421
Deutsche Hypotheken Bank AG,
Hannover/Berlin ..................... 4,745 1,139,541
Deutsche Kontinentale
Rueckversicherungs AG ............... 415 53,749
Deutsche Verkehrs-Bank AG .......... 1,908 226,005
*Dierig Holding AG .................. 1,250 85,421
Dyckerhoff & Widmann AG ............ 12,224 1,551,370
44
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
Escada AG .......................... 4,559 $ 759,586
*Ex-Cell-O Holding AG ............... 780 86,046
Felten & Guilleaume Energietechnik
AG ................................. 7,300 807,680
Flender (A. Friedrich) AG .......... 7,832 494,438
Fuchs Petrolub AG Oel & Chemie ..... 3,517 436,048
Harpener AG ........................ 1,256 212,535
Heilit & Woerner Bau AG ............ 6,642 559,804
*#Herlitz AG ......................... 11,135 1,253,729
*Honsel-Werke AG .................... 2,178 116,944
*Hutschenreuther AG ................. 1,978 128,734
Iwka AG ............................ 3,900 861,731
KM Europa Metal AG ................. 11,005 888,852
KM Europa Metal AG Em 95 ........... 1,484 110,105
*KSB AG ............................. 3,445 488,780
*Kaufhalle AG ....................... 12,007 1,312,838
*Kaufring AG ........................ 9,600 493,589
*Kloeckner-Werke AG ................. 10,500 382,688
*Leffers AG, Bielefeld .............. 1,875 333,144
Lehnkering-Montan-Transport AG ..... 480 63,261
Leonische Drahtwerke AG ............ 150 43,833
*Linotype-Hell AG ................... 6,900 574,813
Mauser Waldeck AG .................. 1,151 123,602
*Mueller-Weingarten AG .............. 389 69,623
*Neue Baumwoll-Spinnerei und Weberei
Hof AG ............................. 1,473 47,167
Norddeutsche Steingutfabrik AG ..... 715 11,122
Nuernberger Hypothekenbank AG ...... 1,486 415,867
*Orenstein & Koppel AG .............. 13,550 251,334
*Otto Reichelt AG ................... 9,538 145,879
Phoenix AG, Hamburg ................ 18,540 222,021
Rheinboden Hypothekenbank AG ....... 3,900 634,559
Rheinmetall Berlin AG .............. 9,450 1,193,166
*Rosenthal AG ....................... 2,782 201,883
Salamander AG, Kornwesteim ......... 10,449 1,054,081
*Sinn AG ............................ 2,340 441,653
Sixt AG ............................ 650 236,902
Stern-Brauerei Carl Funke AG ....... 300 16,206
Stoehr & Co. AG .................... 3,507 351,499
*Strabag AG ......................... 12,400 968,838
Sueddeutsche Bodencreditbank AG .... 4,002 1,062,685
*Triton-Belco AG, Hamburg ........... 1,907 107,979
*Tucher Braeu AG .................... 1,047 59,420
*Varta AG ........................... 5,611 1,073,631
Verseidag AG ....................... 1,205 92,149
Voegele (Joseph) AG ................ 1,259 181,906
WMF (Wuerttembergische
Metallwarenfabrik AG) .............. 5,272 844,069
Walter Bau AG ...................... 4,427 654,038
*Wanderer-Werke AG .................. 200 17,826
Weru AG ............................ 950 388,285
Westag & Getalit ................... 1,520 318,542
Wuerttembergische AG ............... 2,474 1,690,661
*Zanders Feinpapiere AG ............. 8,193 522,560
-------------
TOTAL COMMON STOCKS
(Cost $35,416,799) .................. 30,610,660
-------------
INVESTMENT IN CURRENCY -- (0.3%)
*German Marks (Cost $1,290,660) ..... 1,282,268
-------------
TOTAL -- GERMANY
(Cost $36,707,459) .................. 31,892,928
-------------
FRANCE -- (6.9%)
COMMON STOCKS -- (6.6%)
<PAGE>
Shares Value+
------------ -------------
Agricole de la Crau ................ 200 $ 19,307
Airfeu SA .......................... 690 20,485
Alain Manoukian SA ................. 4,249 68,443
Arbel SA ........................... 1,583 29,441
Bains de Mer et du Cercle des
Etrangers a Monaco ................. 4,342 400,851
Bazar de l'Hotel de Ville SA ....... 6,375 598,305
*Burelle SA ......................... 7,475 360,077
CCMX ............................... 6,126 50,454
*CFPI (Cie Francaise, de Produits
Industriels SA) .................... 4,750 292,042
Caisse Regionale de Credit Agricole
Mutuel de la Brie ................... 3,944 255,933
Caoutchoucs de Padang .............. 1,240 273,128
Cofigeo (Cie Financiere Geo) ....... 205 49,120
*Compagnie Financiere pour
l'Immobilier d'Enterprise Fidei .... 12,787 76,658
Conflandey SA ...................... 1,046 50,086
Continentale d'Entreprises SA ...... 6,284 219,657
*Continentale d'Equipements
Electriques ........................ 1,300 44,072
DMC (Dollfus Mieg et Cie) .......... 26,200 579,602
*Desquenne et Giral SA .............. 2,761 45,479
*Devanlay SA ........................ 5,100 449,339
Dietrich et Cie .................... 22,475 920,782
Financiere Moncey SA ............... 642 329,546
Fonciere du Chateau d'Eau de Paris . 12,000 418,081
Fonderies Franco Belge ............. 561 59,904
Francaise de Signalisation SA ...... 3,757 74,766
Francaise des Ferrailles ........... 4,855 311,516
Frankoparis SA ..................... 22,850 306,359
*Galeries Lafayette SA .............. 4,722 1,632,486
Gantois Series ..................... 465 96,188
Gascogne SA ........................ 6,564 570,783
*Gel 2000 SA ........................ 4,551 61,889
Genefim-Societe Immobiliere pour le
Commerce et l'Industrie SA .......... 9,854 156,086
Generale de Transport et d'Industrie 1,663 73,897
Gevelot ............................ 1,200 229,841
Groupe Zannier SA .................. 18,461 371,978
Groupe du Louvre SA ................ 42,932 1,167,658
ICBT Groupe SA ..................... 1,010 38,690
Immeubles de France ................ 25,189 1,514,910
Immobanque ......................... 6,560 797,855
Immobiliere Complexes
Commerciaux SA ...................... 3,078 64,850
Intertechnique SA .................. 4,014 668,872
*Lille-Bonnieres & Colombes ......... 10,590 922,901
*Locindus (Cie Financiere pour la
Location d'Immeubles Industrials et
Commerciaux) ........................ 2,669 393,628
Maire (Henri) ...................... 1,252 16,786
Metal Deploye ...................... 300 22,237
*Mors ............................... 9,078 12,171
*NAF NAF SA ......................... 26,500 229,420
*Nordon & Cie ....................... 1,200 80,444
PSB Industries SA .................. 1,791 116,290
*Pier Import Europe SA .............. 9,000 66,539
Plastic Omnium ..................... 10,600 875,246
Primisteres Reynoird SA ............ 3,622 188,350
Reunion (Banque de la) ............. 126 28,381
*Rochette ........................... 98,374 444,671
Rougier SA ......................... 1,767 114,393
*Rouleau-Guichard SA ................ 1,561 102,851
45
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
Rue Imperiale de Lyon .............. 1,496 $ 1,369,637
*SEDIVER (Societe Europeene
d'Isolateurs en Verre et Composite). 5,560 95,098
SFIM (Societe de Fabrication
d'Instruments de Mesure) ........... 2,721 546,702
*Sabeton ............................ 1,357 187,656
Salins du Midi & des Salines de
l'Est ............................... 9,575 815,553
Securidev SA ....................... 11,150 166,577
*Selectibanque SA ................... 34,189 474,101
Signaux et d'Equipements
Electroniques SA ................... 5,124 228,867
*Societe Financiere Immobail SA ..... 7,015 134,496
Societe Financiere Interbail SA .... 19,717 811,942
Societe d'Etudes et de Realizations
pour les Industries du Bois Seribo . 3,175 116,759
*Sofco SA ........................... 2,308 22,324
Taittinger SA ...................... 2,562 704,170
Teisseire France SA ................ 889 28,265
*Teleflex Lionel-Dupont ............. 500 9,194
Tivoly SA .......................... 1,000 25,666
Touax SA ........................... 1,425 32,752
*Trouvay et Cauvin SA ............... 5,443 91,638
Vallourec (Usines a Tubes de
Lorraine Escaut et Vallourec
Reunies) ............................ 31,210 1,698,287
*Via Banque ......................... 20,308 633,628
-------------
TOTAL COMMON STOCKS
(Cost $27,446,632) .................. 25,557,036
-------------
INVESTMENT IN CURRENCY -- (0.3%)
*French Francs
(Cost $998,991) ..................... 977,876
-------------
RIGHTS/WARRANTS -- (0.0%)
*Derichebourg Finances Warrants
07/15/98 (Cost $57,964) ............. 4,855 41,845
-------------
TOTAL -- FRANCE
(Cost $28,503,587) .................. 26,576,757
-------------
NETHERLANDS -- (4.7%)
COMMON STOCKS -- (4.5%)
ACF Holding NV (Certificate) ....... 36,671 593,458
Athlon Groep NV .................... 6,810 333,785
Bam Groep NV ....................... 10,679 591,557
Beers NV ........................... 6,330 238,660
Begemann Groep NV .................. 32,400 554,408
*Beleggingsfonds Het
Zonnespectrum NV ................... 6,600 40,963
Cindu International NV ............. 1,790 98,637
Crown Van Gelder NV ................ 5,724 519,609
Econosto NV ........................ 21,724 393,149
Gamma Holding NV ................... 38,890 1,804,639
Geveke NV .......................... 2,357 82,030
Grand Hotel Krasnapopski NV ........ 945 156,769
Kas-Associatie NV .................. 16,350 720,766
Koninklijke Ten Cate NV ............ 24,944 1,245,753
Landre & Glinderman NV ............. 3,095 105,381
MacIntosh NV ....................... 39,710 914,436
NKF Holding NV ..................... 29,258 1,052,202
Nagron Nationaal Grondbezit NV ..... 518 47,714
Nedlloyd Groep NV, Rotterdam ....... 88,800 2,256,055
Norit NV ........................... 69,168 938,823
<PAGE>
Shares Value+
------------ -------------
Polynorm NV ........................ 9,300 $ 776,798
Roto Smeets de Boer NV ............. 14,100 603,585
Sphinx NV .......................... 36,562 445,361
*Textielgroep Twenthe NV ............ 1,200 25,058
Tulip Computers NV ................. 30,793 307,216
Ubbink NV .......................... 900 26,624
Van Dorp Groep NV .................. 7,550 106,418
Van der Giessen de Noord ........... 7,250 174,942
Volker Stevin NV ................... 18,605 1,683,515
Vredestein NV ...................... 46,334 575,144
-------------
TOTAL COMMON STOCKS
(Cost $16,243,323) .................. 17,413,455
-------------
INVESTMENT IN CURRENCY -- (0.2%)
*Netherlands Guilder
(Cost $832,540) ..................... 829,436
-------------
TOTAL -- NETHERLANDS
(Cost $17,075,863) .................. 18,242,891
-------------
HONG KONG -- (4.1%)
COMMON STOCKS -- (4.0%)
*Allied Group, Ltd. ................. 3,740,000 391,876
*Allied Industries International,
Ltd. ................................ 989,000 80,599
Allied Properties (Hong Kong), Ltd. 2,296,000 362,347
*Applied International Holdings, Ltd. 230,000 13,389
*Asia Commercial Holdings, Ltd. ..... 1,798,000 28,608
*Asia Securities International, Ltd. 708,000 163,938
#Asia Standard International Group,
Ltd. ................................ 1,614,000 474,982
Associated International Hotels,
Ltd. ................................ 438,000 351,284
Beauforte Investors Corp., Ltd. .... 19,000 31,951
Burlingame International Co., Ltd. . 330,000 75,558
CNT Group, Ltd. .................... 1,428,000 131,153
Century City International Holdings,
Ltd. ................................ 1,827,008 638,112
Cheuk Nang Properties (Holdings),
Ltd. ................................ 89,000 25,904
Chevalier Construction Holdings,
Ltd. ................................ 42,857 3,437
Chevalier Development
International, Ltd. ................. 608,000 112,469
Chevalier International Holdings,
Ltd. ................................ 911,299 159,143
*China Aerospace International
Holdings, Ltd. ...................... 1,360,800 356,461
China Everbright International, Ltd. 275,000 43,044
China Foods Holdings, Ltd. ......... 704,000 109,281
*China Investments Holdings, Ltd. ... 475,000 48,541
Chow Sang Sang Holdings
International, Ltd. ................. 342,000 109,495
*Chuang's China Investments, Inc. ... 1,905,000 87,481
Chuang's Consortium International,
Ltd. ................................ 1,250,779 187,686
*Continental Mariner Investment Co.,
Ltd. ................................ 515,000 94,599
Crocodile Garments, Ltd. ........... 752,000 61,285
*Culturecom Holdings, Ltd. .......... 1,326,000 42,711
Dransfield Holdings, Ltd. .......... 292,000 20,397
Dynamic Holdings, Ltd. ............. 134,000 29,468
*Emporer (China Concept)
Investments, Ltd. ................... 330,000 46,103
Emporer International Holdings, Ltd. 424,000 134,377
46
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
*Fairwood Holdings, Ltd. ............ 675,000 $ 41,039
Far East Consortium International,
Ltd. ............................... 949,815 174,470
*Far East Holdings International,
Ltd. ............................... 264,000 30,052
Furama Hotel Enterprises, Ltd. ..... 155,029 268,726
*Glynhill International, Ltd. ....... 1,112,000 94,938
Grande Holdings, Ltd. .............. 200,000 79,555
#Great Wall Electronic International,
Ltd. ............................... 839,547 119,462
*Group Sense (International), Ltd. .. 820,000 41,899
*Hanny Holdings, Ltd. ............... 353,700 50,787
Harbour Centre Development, Ltd. ... 230,000 336,201
*Hong Kong Parkview Group, Ltd. ..... 648,000 215,846
Hop Hing Holdings, Ltd. ............ 310,000 39,299
Huey Tai International, Ltd. ....... 794,233 354,454
Hwa Kay Thai Holdings, Ltd. ........ 1,225,600 110,979
International Tak Cheung Holdings,
Ltd. ............................... 260,145 92,542
K Wah International Holdings, Ltd. . 213,249 51,309
*KTP Holdings, Ltd. ................. 920,000 38,678
*Kader Holdings Co., Ltd. ........... 470,000 57,150
Keck Seng Investments
(Hong Kong), Ltd. .................. 80,000 25,354
King Fook Holdings, Ltd. ........... 338,000 31,918
Kwong Sang Hong International, Ltd. 738,000 310,265
Lai Sun Garment (International),
Ltd. ............................... 292,000 468,379
*Lam Soon (Hong Kong), Ltd. ......... 591,000 99,386
*Lam Soon Food Industries, Ltd. ..... 780,000 53,476
Lane Crawford International, Ltd.
Series A ........................... 63,000 97,794
Laws International Holdings, Ltd. .. 460,000 73,191
Leefung-Asco Printers Holdings, Ltd. 128,000 14,240
*Linkful International Holdings, Ltd. 582,000 28,985
Lippo, Ltd. ........................ 534,000 366,108
Liu Chong Hing Investment, Ltd. .... 464,000 573,210
*Luks Industrial Co., Ltd. .......... 986,000 102,037
*Magnificent Estates, Ltd. .......... 2,742,600 117,076
*Megga (S.) International Holdings,
Ltd. ............................... 508,000 23,657
Melbourne Enterprises, Ltd. ........ 30,500 220,943
Min Xin Holdings, Ltd. ............. 360,000 176,961
Mingly Corp., Ltd. ................. 2,314,000 853,101
National Electronics Holdings, Ltd. 1,106,000 62,951
Ocean-Land Development, Ltd. ....... 34,000 30,347
#Onfem Holdings, Ltd. ............... 342,000 145,993
*Orient Telecom & Technology
Holdings, Ltd. ..................... 20,000 7,373
Pacific Concord Holding, Ltd. ...... 2,286,000 591,424
Pokfulam Development Co., Ltd. ..... 92,000 66,645
*Poly Investments Holdings, Ltd. .... 1,428,000 65,577
Prestige Properties Holdings, Ltd. . 806,000 168,905
Rivera Holdings, Ltd. .............. 1,120,000 34,916
Ryoden Development, Ltd. ........... 1,100,000 313,046
San Miguel Brewery Hong Kong, Ltd. . 306,000 149,428
Sea Holdings, Ltd. ................. 660,000 443,956
Seapower Resources International,
Ltd. ............................... 895,000 103,040
Shaw Brothers Hong Kong, Ltd. ...... 158,000 200,298
Shougang Concord Century
Holdings, Ltd. ...................... 528,000 44,396
<PAGE>
Shougang Concord International
Enterprises Co., Ltd. ............... 1,344,000 $ 212,104
*Shun Ho Construction (Holdings),
Ltd. ................................ 453,600 68,652
Silver Grant International
Industries, Ltd. .................... 160,000 66,749
Sincere Co., Ltd. .................. 559,000 83,881
Singamas Container Holdings, Ltd. .. 360,000 25,147
South China Holdings, Ltd. ......... 62,000 13,474
South China Industries, Ltd. ....... 646,000 89,415
#Starlight International Holdings,
Ltd ................................. 240,000 29,804
#Stelux Holdings International, Ltd. 1,292,000 307,520
*Sun Fook Kong Holdings, Ltd. ....... 1,018,000 57,942
Swank International Manufacturing
Co., Ltd. ........................... 226,000 36,836
Tai Sang Land Development, Ltd. .... 319,000 175,376
Tak Sing Alliance Holdings, Ltd. ... 107,467 42,748
Tak Wing Investment Holdings, Ltd. . 200,000 31,563
Tern Properties Co., Ltd. .......... 140,000 47,086
Tian An China Investments Co., Ltd. 694,000 96,058
Tian Teck Land, Ltd. ............... 578,000 160,752
*Top Form International, Ltd. ....... 494,000 20,129
Tse Sui Luen Jewellry
(International), Ltd. ............... 205,840 63,239
USI Holdings, Ltd. ................. 355,999 146,212
Uniworld Holdings, Ltd. ............ 24,240,000 109,746
Winfoong International, Ltd. ....... 499,000 80,687
Wing On Co. International, Ltd. .... 347,000 428,671
Wing Shan International, Ltd. ...... 298,000 39,320
Winsor Industrial Corp., Ltd. ...... 110,000 26,040
*Winsor Properties Holdings, Ltd. ... 55,000 82,886
*Wo Kee Hong (Holdings), Ltd. ....... 802,000 70,547
Wong's International (Holdings), Ltd 186,000 59,550
Yaohan International Holdings, Ltd. 1,206,000 132,605
Yau Lee Holdings, Ltd. ............. 500,000 22,961
-------------
TOTAL COMMON STOCKS
(Cost $11,773,560) .................. 15,505,141
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars
(Cost $412,271) .................... 412,301
-------------
RIGHTS/WARRANTS -- (0.0%)
*Asia Securities International, Ltd.
Rights 12/13/96 ..................... 354,000 24,270
-------------
TOTAL -- HONG KONG
(Cost $12,185,831) .................. 15,941,712
-------------
ITALY -- (3.5%)
COMMON STOCKS -- (3.5%)
*#Ansaldo Trasporti SpA .............. 497,000 579,970
#Attivita Immobiliari ............... 310,000 343,306
*Banca Nazionale dell'Agricoltura SpA 1,637,500 1,088,058
#Banco di Chiavari e della Riviera
Ligure SpA, Chiavari ............... 172,500 319,339
*#Banco di Napoli .................... 1,430,000 554,131
#Bassetti SpA ....................... 59,000 200,893
#CEMENTIR (Cementarie del Tirreno
SpA), Roma ......................... 375,000 248,430
#Caltagirone SpA .................... 1,040,000 726,797
*Cantoni ITC SpA .................... 37,500 50,207
*Cementerie Siciliane SpA ........... 57,500 179,058
47
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
----------- -------------
*Cementerie di Sardegna SpA ......... 37,500 $ 106,612
Cia Assicuratrice Unipol SpA ....... 196,728 616,523
*Cogefar-Impresit Costruzioni
Generali SpA ....................... 335,000 268,221
#Comau Finanziara SpA ............... 591,000 761,950
#Costa Crociere SpA ................. 480,000 920,331
#Ericsson SpA ....................... 128,500 1,488,475
*FONSPA (Credito Fondiaro e
Industriale Istituto per i
Finanziamenti a Medio e Lungo
Termine SpA) ....................... 527,000 937,276
*Gabetti Holding SpA ................ 110,000 72,000
*Grassetto SpA ...................... 110,000 29,469
*Istituto Finanziario Pro Arte SpA
Finarte ............................ 221,640 107,706
*Linificio & Canapificio Nazionale
SpA ................................ 185,000 78,281
#Maffei SpA ......................... 58,000 84,364
Magona d'Italia SpA, Firenze ....... 9,000 29,752
Marangoni SpA, Rovereto ............ 25,000 79,339
Milano Assicurazioni SpA ........... 61,000 171,405
Montefibre SpA, Milano ............. 262,464 142,295
*Necchi SpA ......................... 50,000 24,628
*Premafin Finanziaria SpA ........... 2,615,000 1,004,505
Riva Finanziaria SpA ............... 43,000 179,107
SISA (Societa Imballaggi Speciali
Asti SpA) .......................... 60,000 40,066
*SMI STA Metallurgica Italiana SpA .. 169,600 71,092
SOPAF (Societa Partecipazioni
Finanziarie SpA) ................... 580,000 674,909
*Saffa SpA, Milano .................. 172,060 302,029
*Stefanel SpA ....................... 522,500 443,909
Vianini Industria SpA .............. 255,000 134,876
#Vianini Lavori SpA ................. 142,500 244,959
Zucchi (Vincenzo) SpA .............. 32,000 139,636
-------------
TOTAL COMMON STOCKS
(Cost $13,548,898) .................. 13,443,904
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $808) ........... 814
-------------
RIGHTS/WARRANTS -- (0.0%)
*Unipol SpA Warrants 12/31/99
(Cost $82,659) ..................... 56,208 18,024
-------------
TOTAL -- ITALY
(Cost $13,632,365) .................. 13,462,742
-------------
SWITZERLAND -- (3.3%)
COMMON STOCKS -- (3.3%)
Attisholz Holding AG, Attisholz .... 1,070 423,730
*Biber Holding AG, Biberist ......... 22,500 90,656
Bucher Holding AG,
Niederweningen ..................... 2,125 1,541,155
*CIE Vaudoise D'Electricite SA ...... 7 13,296
Calida Holding AG, Oberkirch ....... 100 71,757
Canon (Schweiz) AG, Dietlikon ...... 9,900 623,024
Carlo Gavazzi Holding AG, Baar
Series B ........................... 230 174,751
Daetwyler Holding AG, Atldorf ...... 940 1,569,071
*Feldschloesschen-Huerlimann
Holding AG ......................... 1,225 432,464
*Financiere Tradition, Lausanne ..... 30 12,663
GZB Genossenschaftliche
Zentralbank AG, Basel .............. 370 239,094
<PAGE>
Shares Value+
------------ -------------
Galenica Holding AG, Bern Series B . 3,115 $ 1,183,365
Golay-Buchel Holding SA,
Lausanne ........................... 125 81,543
*Industrieholding Cham AG, Cham ..... 325 189,563
Keramik Holding AG Laufen, Laufen .. 990 511,335
Kuehne & Nagel International AG .... 440 236,378
*Maag Holding AG, Zuerich ........... 1,900 386,416
Magazine Zum Globus, Zuerich ....... 2,175 1,181,811
Porst Holding AG, Jegenstorf ....... 1,500 216,424
*Sibra Holding SA, Fribourg Series A 535 89,098
*Sibra Holding SA, Fribourg
Series B ........................... 2,050 341,404
*Sihl Zuercher Papierfabriek an der
Sihl, Zuerich ....................... 50 28,780
*Swisslog Holding AG, Aarau ......... 1,360 364,267
UMS Schweizerische Metallwerke
Holding AG, Bern ................... 2,100 149,885
Unigestion Holding, Geneve ......... 3,800 202,686
Vaudoise Assurances Holding,
Lausanne ........................... 20 44,513
*Von Moos Holding AG, Luzern ........ 1,800 103,607
*WMH Walter Meier Holding AG, Staefa 100 41,059
Zellweger Luwa AG, Uster ........... 380 256,639
*Zschokke Holding SA, Geneve ........ 1,950 426,516
*Zueblin Holding AG, Zuerich ........ 3,300 215,272
Zuercher Ziegeleien Holding,
Zuerich ............................. 2,000 1,105,142
-------------
TOTAL COMMON STOCKS
(Cost $14,277,038) .................. 12,547,364
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $103,678) ....... 102,165
-------------
RIGHTS/WARRANTS -- (0.0%)
*Feldschloesschen-Huerlimann
Holding AG Warrants 12/15/98 (Cost
$20,613) ............................ 12,250 15,512
-------------
TOTAL -- SWITZERLAND
(Cost $14,401,329) .................. 12,665,041
-------------
AUSTRALIA -- (3.2%)
COMMON STOCKS -- (3.1%)
A.P. Eagers, Ltd. .................. 5,100 14,170
AAPC, Ltd. ......................... 765,761 517,874
Aberfoyle, Ltd. .................... 124,736 317,102
#Adelaide Brighton, Ltd. ............ 206,951 286,661
Aerodata Holdings, Ltd. ............ 52,987 48,355
Ashton Mining, Ltd. ................ 246,656 391,903
Atkins Carlyle, Ltd. ............... 40,465 123,641
#Australian Chemical Holdings, Ltd. . 36,844 112,577
*Australian Oil & Gas Corp., Ltd. ... 60,837 65,433
Australian Resources, Ltd. ......... 296,363 171,449
*Awa, Ltd. .......................... 295,133 230,856
Ballarat Brewing Co. Ltd. .......... 19,400 39,518
Bridgestone Australia, Ltd. ........ 26,822 69,935
Caltex Australia, Ltd. ............. 26,200 94,784
#Capral Aluminium, Ltd. ............. 141,174 425,607
Central Equity, Ltd. ............... 86,419 80,273
Centro Properties, Ltd. ............ 148,233 272,964
*Consolidated Rutile, Ltd. .......... 77,018 158,769
Country Road, Ltd. ................. 53,633 78,661
Coventry Group, Ltd. ............... 43,852 167,935
48
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
Crane (G.E) Holdings, Ltd. ......... 55,161 $ 471,926
*Cudgen RZ, Ltd. .................... 39,685 64,671
*Datacraft, Ltd. .................... 116,991 77,213
Defiance Mills, Ltd. ............... 43,700 42,728
*Denehurst, Ltd. .................... 78,163 8,916
*Devex, Ltd. ........................ 155,340 56,324
*Dominion Mining, Ltd. .............. 116,119 85,153
Eltin, Ltd. ........................ 99,215 233,630
FAI Insurances, Ltd. ............... 401,047 245,081
Fai Life, Ltd. ..................... 146,617 107,518
Finemore Holdings, Ltd. ............ 38,076 93,384
Foodland Associated, Ltd. .......... 153,508 725,457
*Forrestania Gold NL ................ 26,887 60,684
*Gold Mines of Australia, Ltd. ...... 399,336 69,957
Gowing Bros., Ltd. ................. 29,415 105,457
Gwalia Consolidated, Ltd. .......... 83,313 193,469
Ipoh, Ltd. ......................... 22,423 38,368
Jupiters, Ltd. ..................... 311,350 761,067
#Kalamazoo Holdings, Ltd. ........... 72,534 174,348
Kurts (Peter) Properties, Ltd. ..... 95,367 108,010
McIntosh Securities, Ltd. .......... 88,399 96,517
#Metal Manufactures, Ltd. ........... 281,927 689,145
#Mirvac, Ltd. ....................... 197,935 403,195
National Consolidated, Ltd. ........ 260,155 214,095
#National Foods, Ltd. ............... 402,170 527,580
*Orbital Engine Corp., Ltd. ......... 165,000 122,343
*#Peptide Technology, Ltd. ........... 153,432 72,510
*Permanent Trustee Co., Ltd. ........ 11,963 48,737
#QUF Industries, Ltd. ............... 112,424 234,505
Savage Resources, Ltd. ............. 697,677 784,489
Schaffer Corp., Ltd. ............... 14,106 25,286
Sea World Property Trust ........... 61,000 70,081
Spicers Paper, Ltd. ................ 161,639 298,969
Thakral Holdings Group ............. 136,820 95,874
*Ticor, Ltd. ........................ 324,754 256,672
*Walker Corp., Ltd. ................. 75,120 50,191
*Wesfi, Ltd. ........................ 62,600 117,315
White (Joe) Maltings, Ltd. ......... 24,325 100,091
*Wills (W.D. & H.O.) Holdings, Ltd. . 176,529 302,056
*Wiluna Mines, Ltd. ................. 181,894 127,459
-------------
TOTAL COMMON STOCKS
(Cost $9,575,260) ................... 12,028,938
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar (Cost $217,841) .. 220,835
-------------
TOTAL -- AUSTRALIA
(Cost $9,793,101) ................... 12,249,773
-------------
SWEDEN -- (2.8%)
COMMON STOCKS -- (2.6%)
Alma Industri & Handel AB
Series B ........................... 8,000 139,421
Angpannefoereningen AB Series B .... 7,650 119,647
*Arcona AB Series A ................. 218,800 148,289
*Arcona AB Series B ................. 39,000 25,038
*Argonaut AB Series A ............... 88,100 173,221
*Argonaut AB Series B ............... 186,600 375,229
B & N Bylock & Nordsjoefrakt AB
Series B ............................ 64,300 646,496
*BPA AB Series A .................... 64,900 188,508
*BPA AB Series B .................... 49,700 141,397
*Benima Ferator Engineering AB ...... 10,600 62,209
Berg (C.F.) & Co. AB Series B ...... 8,200 45,193
<PAGE>
Shares Value+
------------ -------------
*Bilspedition AB Series A ........... 43,400 $ 149,332
*Bilspedition AB Series B ........... 67,200 234,227
Bongs Fabriker AB Series B ......... 7,500 64,795
Boras Waefveri AB Series B ......... 8,900 76,890
*Concordia Maritime AB Series B ..... 62,500 165,711
FFNS Gruppen AB Series B ........... 20,700 169,584
*Fastighits AB Celtica .............. 6,200 27,705
Forcenergy AB Series B ............. 40,700 494,087
*Frontline AB ....................... 159,500 553,564
Geveko AB Series B ................. 10,400 108,438
ICB Shipping AB Series B ........... 73,100 805,750
JP Bank Series A ................... 24,700 112,214
JP Bank Series B ................... 12,400 56,150
*Jacobson and Widmark AB ............ 17,500 93,841
Klippans Finpappersbruk ............ 19,100 112,378
*Kloevern Foervaltnings AB
Series B ........................... 109,100 367,269
M2 Fastigheter AB .................. 15,400 256,915
NH Nordiska Holding AB ............. 53,700 85,587
Nolato AB Series B ................. 8,600 116,571
*Nordstroem & Thulin AB Series B .... 225,300 583,931
*Piren AB ........................... 640,700 146,969
*Platzer Bygg AB Series B ........... 77,200 208,136
Sandblom & Stohne AB Series B ...... 5,800 45,788
Scandiaconsult AB .................. 15,500 105,973
Siab AB Series A ................... 112,900 689,491
Siab AB Series B ................... 34,200 208,863
*Sifab Fastignets AB ................ 35,500 205,169
Skrinet AB Series B ................ 8,000 102,480
*Solitair Kapital AB ................ 89,300 79,144
Spendrups Bryggeri AB Series B ..... 23,600 154,673
Stena Line AB Series B ............. 196,800 853,039
Swepart Mecan AB Series B .......... 29,700 194,653
VBB Gruppen AB Series B ............ 40,500 135,734
Westergyllen AB Series B ........... 4,500 70,381
*#Wihlborg & Son AB Series B ......... 117,000 254,443
-------------
TOTAL COMMON STOCKS
(Cost $8,812,669) ................... 10,154,523
-------------
INVESTMENT IN CURRENCY -- (0.2%)
*Swedish Krona
(Cost $883,070) ..................... 873,538
-------------
TOTAL -- SWEDEN
(Cost $9,695,739) ................... 11,028,061
-------------
SPAIN -- (2.5%)
COMMON STOCKS -- (2.3%)
*Algodonera de San Antonio SA ....... 17,800 148,391
*BAMI SA (Inmobiliara de
Construcciones y Terrenos) ......... 24,300 33,575
Banco Guipuzcoano SA ............... 16,847 543,577
Banco Pastor SA .................... 12,700 745,041
Banco Zaragozano SA ................ 51,800 1,061,590
*Banco de Vitoria SA ................ 3,678 33,501
Conservera Campofrio SA ............ 15,392 570,294
Construcciones Lain SA ............. 201,400 233,192
Cubiertas y Mzov SA ................ 14,700 1,167,603
*EPPIC (European Paper and
Packaging Investment Corporation SA)
(In Liquidation) ................... 43,400 19,430
ERZ (Electricas Reunidas de
Zaragoza) .......................... 32,850 1,103,030
ESSA (Estacionamientos
Subterraneos SA) ................... 9,400 138,587
49
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
Shares Value+
------------ -------------
*Empresa Nacional de Celulosa SA .... 16,500 $ 204,419
*Europistas Concesionaria Espanola SA 22,200 198,780
*Filo SA ............................ 57,300 131,805
Grupo Anaya SA ..................... 9,400 181,397
*Grupo Fosforera SA ................. 12,060 37,702
*Huarte SA .......................... 12,900 18,023
*Inmobiliaria Urbis SA .............. 126,200 508,502
*Inmobiliaria Zabalburu SA .......... 7,501 93,799
*Nueva Montana Quijano SA
Series B ........................... 122,740 113,692
OCP Construcciones SA .............. 17,600 445,604
Sarrio SA .......................... 189,515 582,223
Tableros de Fibras SA Series B ..... 27,000 261,560
Unipapel SA ........................ 15,379 272,442
*Uralita SA ......................... 26,700 197,854
-------------
TOTAL COMMON STOCKS
(Cost $8,701,432) ................... 9,045,613
-------------
INVESTMENT IN CURRENCY -- (0.2%)
*Spanish Peseta
(Cost $830,206) ..................... 822,655
-------------
TOTAL -- SPAIN
(Cost $9,531,638) ................... 9,868,268
-------------
SINGAPORE -- (1.5%)
COMMON STOCKS -- (1.4%)
Apollo Enterprises, Ltd. ........... 85,000 80,577
Auric Pacific Group, Ltd. .......... 88,000 123,564
Bonvests Holdings, Ltd. ............ 175,000 162,153
*CK Tang, Ltd. ...................... 26,000 32,431
Carnaudmetalbox Asia, Ltd. ......... 52,000 140,841
Chuan Hup Holdings, Ltd. ........... 192,000 132,060
Cosco Investment (Singapore), Ltd. . 61,000 63,043
*Creative Technology, Ltd. .......... 28,200 167,833
Focal Finance, Ltd. ................ 24,000 43,792
*General Magnetics, Ltd. ............ 49,000 18,860
Haw Par Brothers International, Ltd. 152,000 346,686
Hind Hotels International, Ltd. .... 54,000 68,510
Hong Kok Corp., Ltd. ............... 96,000 135,481
Hotel Grand Central, Ltd. .......... 133,700 117,214
Hotel Plaza, Ltd. .................. 332,000 215,339
Hwa Hong Corp., Ltd. ............... 103,000 165,916
Insurance Corp. of Singapore, Ltd. . 30,000 78,689
Intraco, Ltd. ...................... 68,000 106,144
Isetan (Singapore), Ltd. ........... 24,000 49,266
Jack Chia-MPH, Ltd. ................ 208,000 176,422
LC Development, Ltd. ............... 108,000 102,381
Lee Kim Tah Holdings, Ltd. ......... 39,000 31,967
Liang Court Holdings, Ltd. ......... 339,600 237,212
Lim Kah Ngam, Ltd. ................. 107,000 119,736
Low Keng Huat Singapore, Ltd. ...... 86,000 37,391
Metro Holdings, Ltd. ............... 86,800 304,388
Pacific Carriers, Ltd. ............. 213,000 154,854
Prima, Ltd. ........................ 26,000 93,585
Republic Hotels and Resorts, Ltd. .. 114,000 143,008
Robinson & Co., Ltd. ............... 49,000 211,297
SNP Corp., Ltd. .................... 19,000 13,001
Scotts Holdings, Ltd. .............. 173,000 154,134
Shangri-La Hotel, Ltd. ............. 60,000 213,827
Singapura Building Society, Ltd. ... 27,000 29,252
Singmarine Industries, Ltd. ........ 152,000 212,344
Steamers Maritime Holding, Ltd. .... 164,000 142,609
<PAGE>
Shares Value+
------------ -------------
Tibs Holdings, Ltd. ................ 32,500 $ 59,765
Times Publishing, Ltd. ............. 88,000 196,949
Tuan Sing Holdings, Ltd. ........... 283,000 105,898
United Engineers, Ltd. ............. 128,000 218,958
United Overseas Finance, Ltd. ...... 60,000 81,254
WBL Corp., Ltd. .................... 82,000 167,741
-------------
TOTAL COMMON STOCKS
(Cost $5,777,609) ................... 5,456,372
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars (Cost $166,613) .. 166,440
-------------
TOTAL -- SINGAPORE
(Cost $5,944,222) ................... 5,622,812
-------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
Banque Belgo-Zairoise Belgolaise SA 83 30,411
Banque Nationale de Belgique ....... 20 29,627
Belge des Betons ................... 626 291,646
*Belvuco NV ......................... 500 113,708
Bernheim-Comofi SA ................. 5,981 319,264
CFE (Compagnie Francois
d'Entreprises) ..................... 2,996 756,097
Credit General SA de Banque,
Bruxelles ........................... 2,273 408,508
Fabrique de Fer de Charleroi ....... 220 479,469
Floridienne NV ..................... 1,900 73,816
*Forges de Clabecq SA ............... 1,760 10,173
*Franki NV (Cie Internationale des
Pieux Armes Frankignoul SA) ........ 1,800 32,975
*Immobel (Cie Immobiliere de
Belgique SA) ....................... 16,880 1,130,310
Metiers Automatiques Picanol ....... 100 54,011
*Papeteries de Catala SA ............ 450 63,961
*Recticel SA ........................ 58,686 609,845
SIPEF (Societe Internationale de
Plantations & de Finance), Anvers .. 1,105 164,040
Sait Radioholland .................. 1,500 34,586
Sapec SA ........................... 6,401 283,051
Ter Beke NV ........................ 1,600 166,267
*Uco Textiles NV .................... 2,000 150,347
-------------
TOTAL COMMON STOCKS
(Cost $5,271,978) ................... 5,202,112
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs
(Cost $111,956) ..................... 112,097
-------------
TOTAL -- BELGIUM
(Cost $5,383,934) ................... 5,314,209
-------------
UNITED STATES -- (0.0%)
COMMON STOCKS -- (0.0%)
*Western Star Truck Holdings
(Cost $85,961) ...................... 2,862 83,714
-------------
50
<PAGE>
<TABLE>
<CAPTION>
Face
Amount Value+
--------- -------------
<S> <C> <C>
(000)
TEMPORARY CASH INVESTMENTS -- (3.0%)
Repurchase Agreement, PNC Securities Corp.
5.45%, 12/02/96 (Collateralized by U.S. Treasury Bills 4.93%,
01/16/97)
(Cost $11,494,000) .................................................. $11,494 $ 11,494,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $397,432,421)++ .................. $387,315,355
=============
</TABLE>
- ------
+See Note B to Financial Statements.
++The cost for federal income tax purposes is $397,817,673.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
51
<PAGE>
SCHEDULE OF INVESTMENTS
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
NOVEMBER 30, 1996
Face
Amount Value+
-------- --------------
(000)
AGENCY OBLIGATIONS - (52.5%)
Farm Credit System Financial
Assistance Corp. .................
9.375% , 07/21/03 ................ $2,000 $ 2,346,632
8.800% , 06/10/05 ................ 1,000 1,165,117
Federal Farm Credit Bank ..........
6.320% , 09/09/02 ................ 1,000 1,010,313
7.030% , 06/24/03 ................ 2,000 2,092,600
7.160% , 05/19/10 ................ 3,000 3,156,300
Federal Home Loan Bank ............
7.190% , 04/27/01 ................ 8,000 8,379,464
6.290% , 07/03/02 ................ 3,100 3,132,938
5.930% , 03/07/03 ................ 4,000 3,957,896
5.440% , 10/15/03 ................ 1,000 957,760
Federal Home Loan Mortgage Corp. ..
7.350% , 03/22/05 ................ 2,000 2,136,774
6.130% , 02/27/06 ................ 1,000 987,742
Federal National Mortgage
Association ......................
7.050% , 11/12/02 ................ 2,000 2,093,718
6.800% , 01/10/03 ................ 6,000 6,205,980
6.710% , 05/21/03 ................ 2,000 2,060,137
6.050% , 06/30/03 ................ 3,000 2,982,447
5.450% , 10/10/03 ................ 2,000 1,916,894
7.400% , 07/01/04 ................ 1,000 1,068,523
7.375% , 03/28/05 ................ 1,000 1,072,000
6.220% , 03/13/06 ................ 3,070 3,027,634
Student Loan Marketing Association
5.850% , 06/01/07 ................ 1,000 957,515
Tennessee Valley Authority ........
6.375% , 06/15/05 ................ 5,000 5,028,855
--------------
TOTAL AGENCY OBLIGATIONS (Cost
$54,021,399) ..................... 55,737,239
--------------
<PAGE>
Face
Amount Value+
-------- --------------
(000)
U.S. TREASURY OBLIGATIONS - (45.6%)
U.S. Treasury Bonds
11.750% , 02/15/01 ............... 2,000 2,441,876
13.125% , 05/15/01 ............... 4,500 5,782,500
13.375% , 08/15/01 ............... 2,000 2,616,562
11.625% , 11/15/02 ............... 5,340 6,873,584
10.750% , 02/15/03 ............... 2,000 2,495,938
11.125% , 08/15/03 ............... 2,000 2,564,688
11.875% , 11/15/03 ............... 1,000 1,332,186
12.000% , 05/15/05 ............... 5,000 6,948,440
10.750% , 08/15/05 ............... 2,000 2,627,188
9.375% , 02/15/06 ................ 4,000 4,935,624
U.S. Treasury Notes
15.750% , 11/15/01 ............... 1,750 2,491,290
14.250% , 02/15/02 ............... 3,750 5,155,665
7.500% , 05/15/02 ................ 2,000 2,153,438
--------------
TOTAL U.S. TREASURY
OBLIGATIONS (Cost $47,071,076) ... 48,418,979
--------------
SUPRANATIONAL OBLIGATIONS -- (1.1%)
European Investment Bank
(Cost $1,111,014)
9.125% , 06/01/02 ................ 1,000 1,143,000
--------------
TEMPORARY CASH INVESTMENTS --
(0.8%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97)
(Cost $920,000) .................. 920 920,000
--------------
TOTAL INVESTMENTS - (100.0%) (Cost
$103,123,489)++ .................. $106,219,218
==============
- ------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
See accompanying Notes to Financial Statements.
52
<PAGE>
SCHEDULES OF INVESTMENTS
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Shares Value+
------------ ---------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA
Investment Trust Company ............................................. 85,195,967 $854,572,687
---------------
Total Investments (100%) (Cost $845,720,665)++ ...................... $854,572,687
===============
</TABLE>
- ------
++ The cost for federal income tax purposes is $849,395,787.
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Face
Amount Value+
-------- -------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (98.8%)
U.S. Treasury Notes
6.875%, 07/31/99 .......................................................... $ 7,000 $ 7,204,533
8.000%, 08/15/99 .......................................................... 2,000 2,115,626
7.125%, 09/30/99 .......................................................... 2,000 2,074,376
7.500%, 10/31/99 .......................................................... 50,000 52,390,650
7.875%, 11/15/99 .......................................................... 47,000 49,753,918
7.750%, 11/30/99 .......................................................... 44,000 46,447,500
7.750%, 12/31/99 .......................................................... 6,000 6,340,314
7.125%, 02/29/00 .......................................................... 3,000 3,121,875
-------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $166,216,701) ........................ 169,448,792
-------------
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Securities Corp. 5.45%, 12/02/96 (Collateralized
by U.S. Treasury Bills 4.93%, 01/16/97) (Cost $2,026,000) ............. 2,026 2,026,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $168,242,701)++ ...................... $171,474,792
=============
</TABLE>
- ------
++ Approximates cost for federal income tax purposes.
THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Shares Value+
------------ ---------------
<S> <C> <C>
Investment in The DFA Two-Year Global Fixed Income Series of The DFA
Investment Trust Company ............................................... 30,862,945 $319,272,260
---------------
Total Investments (100%) (Cost $309,709,472)++ ........................ $319,272,260
===============
</TABLE>
- ------
++ Approximates cost for federal income tax purposes.
- ------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
53
<PAGE>
SCHEDULE OF INVESTMENTS
THE DFA GLOBAL FIXED INCOME PORTFOLIO
NOVEMBER 30, 1996
Face
Amount@ Value+
--------- ------------
(000)
CANADA -- (21.3%)
BONDS -- (21.3%)
British Columbia (Province of)
10.150%, 08/29/01 ............... 6,000 $ 5,363,293
Canadian (Government of)
8.500%, 04/01/02 ................ 13,000 11,069,040
General Electric Capital Canada,
Inc.
8.250%, 12/29/00 ................ 6,684 5,514,238
Kansai International Airport Co.,
Ltd.
8.000%, 07/02/03 ................ 7,000 5,781,683
State Bank of New South Wales
7.500%, 09/22/03 ................ 4,000 3,238,265
Victoria (Treasury Corp.)
7.250%, 11/24/03 ................ 3,850 3,079,714
------------
TOTAL -- CANADA
(Cost $31,486,527) ............... 34,046,233
------------
GERMANY -- (19.9%)
BONDS -- (19.9%)
Belgium (Kingdom of)
7.000%, 05/30/02 ................ 7,000 4,944,419
Germany (Federal Republic of)
8.250%, 09/20/01 ................ 13,000 9,737,520
8.000%, 01/21/02 ................ 8,000 5,960,039
KFW International Finance, Inc.
6.250%, 10/15/03 ................ 6,000 4,100,618
LKB Baden-Wuerttemberg Finance NV
6.625%, 08/20/03 ................ 3,500 2,432,802
World Bank (International Bank for
Reconstruction and Development)
6.125%, 09/27/02 ................ 7,000 4,774,487
------------
TOTAL -- GERMANY
(Cost $32,294,343) ............... 31,949,885
------------
JAPAN -- (19.3%)
BONDS -- (19.3%)
Asian Development Bank
5.625%, 02/18/02 ................ 400,000 4,147,627
5.000%, 02/05/03 ................ 800,000 8,151,142
Austria (Republic of)
6.250%, 10/16/03 ................ 500,000 5,535,589
European Investment Bank
4.625%, 02/26/03 ................ 600,000 6,002,636
Export-Import Bank of Japan
4.375%, 10/01/03 ................ 600,000 6,001,582
World Bank (International Bank for
Reconstruction and Development)
4.500%, 03/20/03 ................ 100,000 1,009,930
------------
TOTAL -- JAPAN
(Cost $31,308,327) ............... 30,848,506
------------
<PAGE>
Face
Amount@ Value+
--------- ------------
(000)
FRANCE -- (19.1%)
BONDS -- (19.1%)
Abbey National Treasury Services
P.L.C.
6.000%, 02/17/04 ................ 25,000 4,911,415
Credit Locale de France SA
7.000%, 05/12/03 ................ 31,000 6,539,035
Europe Coal and Steel
7.000%, 05/14/03 ................ 10,000 2,091,170
France (Republic of)
6.750%, 10/25/03 ................ 34,000 7,042,904
Regie Autonome des Transports
Parisiens SA
6.000%, 09/24/03 ................ 28,000 5,556,024
SNCF (Societe Nationale des
Chemins de Fer Francais)
9.000%, 04/02/03 ................ 20,000 4,569,240
------------
TOTAL -- FRANCE
(Cost $29,810,049) ............... 30,709,788
------------
UNITED KINGDOM -- (7.0%)
BONDS -- (4.7%)
Nippon Telegraph & Telephone Corp.
10.875%, 05/10/01 ............... 2,000 3,778,888
Tokyo Electric Power Co., Ltd.
11.000%, 06/05/01 ............... 2,000 3,802,422
------------
TOTAL BONDS (Cost $6,929,305) ..... 7,581,310
------------
INVESTMENT IN CURRENCY -- (2.3%)
*British Pound Sterling
(Cost $3,736,526) ................ 3,736,608
------------
TOTAL -- UNITED KINGDOM
(Cost $10,665,831) ............... 11,317,918
------------
NETHERLANDS -- (5.9%)
BONDS -- (5.9%)
Bank Voor Nederlandsche
7.625%, 12/16/02 ................ 5,000 3,220,708
Netherlands (Kingdom of)
6.500%, 04/15/03 ................ 10,000 6,168,794
------------
TOTAL BONDS (Cost $9,330,696) ..... 9,389,502
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $358) . 357
------------
TOTAL -- NETHERLANDS
(Cost $9,331,054) ................ 9,389,859
------------
U.S. TREASURY OBLIGATIONS -- (5.3%)
U.S. Treasury Notes
8.000%, 08/15/99 ................ 5,000 5,289,063
7.500%, 10/31/99 ................ 3,000 3,143,438
------------
54
<PAGE>
<TABLE>
<CAPTION>
Face
Amount@ Value+
--------- --------------
<S> <C> <C>
(000)
TOTAL U.S. TREASURY OBLIGATIONS (Cost $8,342,052) . $ 8,432,501
--------------
AUSTRALIA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollars (Cost $176) .................. 183
--------------
TEMPORARY CASH INVESTMENTS -- (2.2%)
Repurchase Agreement, PNC Securities Corp. 5.45%,
12/02/96 (Collateralized by U.S. Treasury Bills
4.93%, 01/16/97) (Cost $3,412,000) .............. 3,412 $ 3,412,000
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $156,650,359)++ $160,106,873
==============
</TABLE>
- ------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
*Non-Income Producing Securities
[@00de]nominated in Local Currency
See accompanying Notes to Financial Statements
55
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
The U.S. The U.S. The U.S. The Enhanced
9-10 Small 6-10 Small Large U.S. Large
Company Company Company Company
Portfolio Portfolio Portfolio Portfolio
------------- ------------ ----------- --------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 1,191,351 $ 234,266 $ 187,782 $ 29,212
Receivables
Dividends and Interest .................. 746 -- -- --
Investment Securities Sold .............. 931 60 -- 7
Fund Shares Sold ........................ 713 227 540 --
Prepaid Expenses and Other Assets ............ 44 11 20 30
------------- ------------ ----------- --------------
Total Assets ....................... 1,193,785 234,564 188,342 29,249
------------- ------------ ----------- --------------
LIABILITIES:
Payable for Investment Securities Purchased .. 11,303 219 525 --
Payable for Fund Shares Redeemed ............. 22 68 15 7
Accrued Expenses and Other Liabilities ....... 656 83 45 6
------------- ------------ ----------- --------------
Total Liabilities .................. 11,981 370 585 13
------------- ------------ ----------- --------------
NET ASSETS ................................... $ 1,181,804 $ 234,194 $ 187,757 $ 29,236
============= ============ =========== ==============
SHARES OUTSTANDING $.01 PAR VALUE ............ 97,378,438 16,116,501 8,261,148 2,471,512
============= ============ =========== ==============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE . $ 12.14 $ 14.53 $ 22.73 $ 11.83
============= ============ =========== ==============
PUBLIC OFFERING PRICE PER SHARE .............. $ 12.14 $ 14.53 $ 22.73 $ 11.83
============= ============ =========== ==============
Investments at Cost .......................... $ 932,096 $ 165,356 $ 129,345 $ 25,121
============= ============ =========== ==============
</TABLE>
<TABLE>
<CAPTION>
The U.S. The U.S. The DFA/AEW
Small Large Real Estate
Cap Value Cap Value Securities
Portfolio Portfolio Portfolio
------------ ------------ -------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 1,207,555 $ 541,198 $ 64,060
Receivables
Dividends and Interest .................. -- -- 132
Fund Shares Sold ........................ 583 603 236
Prepaid Expenses and Other Assets ............ 41 24 10
------------ ------------ -------------
Total Assets ....................... 1,208,179 541,825 64,438
------------- ------------ -------------
LIABILITIES:
Payable for Investment Securities Purchased .. 433 571 --
Payable for Fund Shares Redeemed ............. 150 32 --
Accrued Expenses and Other Liabilities ....... 298 73 48
------------ ------------ -------------
Total Liabilities .................. 881 676 48
------------ ------------ -------------
NET ASSETS ................................... $ 1,207,298 $ 541,149 $ 64,390
============ ============ =============
SHARES OUTSTANDING $.01 PAR VALUE ............ 71,001,934 33,858,700 5,090,700
============ ============ =============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE .$ 17.00 $ 15.98 $ 12.65
============ ============ =============
PUBLIC OFFERING PRICE PER SHARE .............. $ 17.00 $ 15.98 $ 12.65
============ ============ =============
Investments at Cost .......................... $ 934,521 $ 418,811 $ 55,443
============ ============ =============
</TABLE>
See accompanying Notes to Financial Statements
56
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
The
The Japanese Pacific Rim The United
Small Small Kingdom Small
Company Company Company
Portfolio Portfolio Portfolio
-------------- ------------- ---------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 294,235 $ 215,615 $ 166,854
Receivable for Fund Shares Sold .............. 83 39 34
Prepaid Expenses and Other Assets ............ 11 13 9
-------------- ------------- ---------------
Total Assets ....................... 294,329 215,667 166,897
-------------- ------------- ---------------
LIABILITIES:
Payable for Investment Securities Purchased .. 71 38 32
Payable for Fund Shares Redeemed ............. 12 1 2
Accrued Expenses and Other Liabilities ....... 126 86 74
-------------- ------------- ---------------
Total Liabilities .................. 209 125 108
-------------- ------------- ---------------
NET ASSETS ................................... $ 294,120 $ 215,542 $ 166,789
============== ============= ===============
SHARES OUTSTANDING $.01 PAR VALUE ............ 13,985,241 12,961,459 5,857,666
============== ============= ===============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 21.03 $ 16.63 $ 28.47
============== ============= ===============
PUBLIC OFFERING PRICE PER SHARE .............. $ 21.14 $ 16.80 $ 28.47
============== ============= ===============
Investments at Cost .......................... $ 327,704 $ 185,352 $ 134,521
============== ============= ===============
</TABLE>
<TABLE>
<CAPTION>
The The The RWB/DFA
Continental International International
Small Small High Book
Company Company to Market
Portfolio Portfolio Portfolio
------------- --------------- ---------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C>
ASSETS:
Investments at Value ......................... $ 299,408 $ 104,101 $ 257,369
Cash ......................................... -- 7 --
Receivable for Fund Shares Sold .............. 61 157 225
Prepaid Expenses and Other Assets ............ 19 38 44
------------- --------------- ---------------
Total Assets ....................... 299,488 104,303 257,638
------------- --------------- ---------------
LIABILITIES:
Payable for Investment Securities Purchased .. 57 157 188
Payable for Fund Shares Redeemed ............. 4 -- 37
Accrued Expenses and Other Liabilities ....... 102 28 42
------------- --------------- ---------------
Total Liabilities .................. 163 185 267
------------- --------------- ---------------
NET ASSETS ................................... $ 299,325 $ 104,118 $ 257,371
============= =============== ===============
SHARES OUTSTANDING $.01 PAR VALUE ............ 19,610,266 10,449,565 18,705,489
============= =============== ===============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $ 15.26 $ 9.96 $ 13.76
============= =============== ===============
PUBLIC OFFERING PRICE PER SHARE .............. $ 15.41 $ 10.03 $ 13.76
============= =============== ===============
Investments at Cost .......................... $ 271,060 $ 104,659 $ 218,563
============= =============== ===============
</TABLE>
See accompanying Notes to Financial Statements
57
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
The DFA The DFA
The The International Intermediate
Emerging Large Cap Small Cap Government
Markets International Value Fixed Income
Portfolio Portfolio Portfolio Portfolio
------------ --------------- --------------- --------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value ....................... $ 162,064 $ 78,713 $ 387,315 $ 106,219
Cash ....................................... -- 139 1,911 --
Receivables
Investment Securities Sold ............ -- -- 5,211 --
Dividends and Interest ................ -- 315 1,116 1,716
Fund Shares Sold ...................... 289 324 306 31
Prepaid Expenses and Other Assets .......... 25 3 50 10
------------ --------------- --------------- --------------
Total Assets ..................... 162,378 79,494 395,909 107,976
------------- --------------- --------------- --------------
LIABILITIES:
Payable for Investment Securities Purchased 284 108 20,125 --
Payable for Fund Shares Redeemed ........... 5 7 3 --
Accrued Expenses and Other Liabilities ..... 64 57 293 32
------------ --------------- --------------- --------------
Total Liabilities ................ 353 172 20,421 32
------------ --------------- --------------- --------------
NET ASSETS ................................. $ 162,025 $ 79,322 $ 375,488 $ 107,944
============ =============== =============== ==============
SHARES OUTSTANDING $.01 PAR VALUE .......... 13,840,258 5,593,101 35,921,254 9,618,319
============ =============== =============== ==============
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE .................................... $ 11.71 $ 14.18 $ 10.45 $ 11.22
============ =============== =============== ==============
PUBLIC OFFERING PRICE PER SHARE ............ $ 11.77 $ 14.18 $ 10.52 $ 11.22
============ =============== =============== ==============
Investments at Cost ........................ $ 158,623 $ 57,881 $ 397,432 $ 103,123
============ =============== =============== ==============
</TABLE>
<TABLE>
<CAPTION>
The DFA
The DFA The DFA Two-Year The DFA
One-Year Five-Year Global Fixed Global
Fixed Income Government Income Fixed Income
Portfolio Portfolio Portfolio Portfolio
-------------- ------------ -------------- --------------
(Amounts in thousands, except share amounts)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value ........................ $ 854,573 $ 171,475 $ 319,272 $ 160,107
Cash ........................................ -- -- -- 454
Receivables
Dividends and Interest ................. -- 2,681 -- 4,197
Fund Shares Sold ....................... 616 274 94 290
Unrealized Gain on Forward Currency Contracts -- -- -- 812
Prepaid Expenses and Other Assets ........... 31 14 100 11
-------------- ------------ -------------- --------------
Total Assets ...................... 855,220 174,444 319,466 165,871
-------------- ------------ -------------- --------------
LIABILITIES:
Payable for Investment Securities Purchased . 239 -- 89 1
Payable for Fund Shares Redeemed ............ 377 10 5 11
Accrued Expenses and Other Liabilities ...... 83 48 29 87
-------------- ------------ -------------- --------------
Total Liabilities ................. 699 58 123 99
-------------- ------------ -------------- --------------
NET ASSETS .................................. $ 854,521 $ 174,386 $ 319,343 $ 165,772
============== ============ ============== ==============
SHARES OUTSTANDING $.01 PAR VALUE ........... 83,412,070 16,737,308 30,809,424 15,013,314
============== ============ ============== ==============
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE ..................................... $ 10.24 $ 10.42 $ 10.37 $ 11.04
============== ============ ============== ==============
PUBLIC OFFERING PRICE PER SHARE ............. $ 10.24 $ 10.42 $ 10.37 $ 11.04
============== ============ ============== ==============
Investments at Cost ......................... $ 845,721 $ 168,243 $ 309,709 $ 156,650
============== ============ ============== ==============
</TABLE>
See accompanying Notes to Financial Statements
58
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR (OR PERIOD) ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. The U.S. The Enhanced
9-10 Small 6-10 Small U.S. Large U.S. Large
Company Company Company Company
Portfolio Portfolio Portfolio Portfolio(1)
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income
Dividends .................................... $ 7,254 -- -- --
Interest ..................................... 1,456 -- -- --
Income from Securities Lending ............... 393 -- -- --
Income Distributions Received ................ -- $ 2,483 $ 1,215 $ 332
Net Investment Income from the DFA Investment
Trust Company .............................. -- -- 1,587 --
------------ ------------ ------------ ------------
Total Investment Income ................. 9,103 2,483 2,802 332
------------ ------------ ------------ ------------
Expenses
Investment Advisory Services ................. 5,511 -- -- --
Administrative Services ...................... -- 728 279 13
Accounting & Transfer Agent Fees ............. 724 19 62 8
Custodian's Fee .............................. 199 -- -- --
Legal Fees ................................... 35 1 8 1
Audit Fees ................................... 64 1 2 1
Filing Fees .................................. 55 35 33 6
Shareholders' Reports ........................ 45 1 7 1
Directors' Fees and Expenses ................. 24 1 1 --
Other ........................................ 38 2 1 2
------------ ------------ ------------ ------------
Total Expenses .......................... 6,695 788 393 32
Less: Expenses Reimbursed .................... -- -- (320) --
------------ ------------ ------------ ------------
Net Expenses ................................. 6,695 788 73 32
------------ ------------ ------------ ------------
Net Investment Income ........................ 2,408 1,695 2,729 300
------------ ------------ ------------ ------------
Net Realized and Unrealized Gain (Loss) on
Investments
Capital Gain Distributions Received ............... -- 10,281 685 --
Net Realized Gain (Loss) on Investment Securities . 112,062 (840) 83 1
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ........................... 61,134 25,253 30,957 4,091
------------ ------------ ------------ ------------
Net Gain on Investment Securities ............ 173,196 34,694 31,725 4,092
------------ ------------ ------------ ------------
Net Increase in Net Assets Resulting from
Operations ...................................... $175,604 $36,389 $34,454 $4,392
============ ============ ============ ============
</TABLE>
(1) For the period July 3, (commencement of operations) to November 30, 1996.
See accompanying Notes to Financial Statements
59
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. The U.S. The DFA/AEW
Small Cap Large Cap Real Estate
Value Value Securities
Portfolio Portfolio Portfolio
----------- ----------- -------------
<S> <C> <C> <C>
Investment Income
Dividends ...................................... -- -- $ 3,829
Interest ....................................... -- -- 73
Income Distributions Received .................. $ 10,255 $ 9,199 --
----------- ----------- -------------
Total Investment Income ................... 10,255 9,199 3,902
----------- ----------- -------------
Expenses
Investment Advisory Services ................... -- -- 251
Administrative Services ........................ 2,825 591 --
Accounting & Transfer Agent Fees ............... 19 19 64
Custodian's Fee ................................ -- -- 8
Legal Fees ..................................... 1 1 4
Audit Fees ..................................... 1 1 5
Filing Fees .................................... 90 29 13
Shareholders' Reports .......................... 10 4 4
Directors' Fees and Expenses ................... 1 1 2
Other .......................................... 8 8 4
----------- ----------- -------------
Total Expenses ............................ 2,955 654 355
----------- ----------- -------------
Net Investment Income .......................... 7,300 8,545 3,547
----------- ----------- -------------
Net Realized and Unrealized Gain (Loss) on
Investments
Capital Gain Distributions Received ................. 15,384 7,389 --
Net Realized Loss on Investment Securities .......... (917) (293) (381)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities ............................. 169,583 69,244 9,679
----------- ----------- -------------
Net Gain on Investment Securities .............. 184,050 76,340 9,298
----------- ----------- -------------
Net Increase in Net Assets Resulting from Operations $191,350 $84,885 $12,845
=========== =========== =============
</TABLE>
See accompanying Notes to Financial Statements
60
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The Japanese The Pacific The United
Small Rim Small Kingdom
Company Company Company
Portfolio Portfolio Portfolio
-------------- ------------- ------------
<S> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld of $273,
$101 and $595, respectively) ..................... $ 1,552 $ 3,124 $ 3,529
Interest ........................................... 192 171 215
Income from Securities Lending ..................... 757 47 --
Net Investment Income From The DFA Investment Trust
Company .......................................... 800 1,569 1,491
-------------- ------------- ------------
Total Investment Income ....................... 3,301 4,911 5,235
-------------- ------------- ------------
Expenses
Investment Advisory Services ....................... 1,377 707 584
Administrative Services ............................ 403 252 201
Accounting & Transfer Agent Fees ................... 314 192 161
Custodian's Fee .................................... 154 195 54
Legal Fees ......................................... 26 20 16
Audit Fees ......................................... 2 2 2
Filing Fees ........................................ 66 20 20
Shareholders' Reports .............................. 40 16 13
Directors' Fees and Expenses ....................... 13 7 6
Other .............................................. 22 18 14
-------------- ------------- ------------
Total Expenses ................................ 2,417 1,429 1,071
-------------- ------------- ------------
Net Investment Income .............................. 884 3,482 4,164
-------------- ------------- ------------
Net Realized and Unrealized Gain (Loss) on Investments
and Foreign Currency
Net Realized Gain on Investment Securities .............. 17,037 11,893 8,116
Net Realized Loss on Foreign Currency Transactions ...... (141) (15) (13)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............ (31,890) 19,876 27,016
Translation of Foreign Currency Denominated Amounts ... (5) 8 26
-------------- ------------- ------------
Net Gain (Loss) on Investment Securities and Foreign
Currency ......................................... (14,999) 31,762 35,145
-------------- ------------- ------------
Net Increase (Decrease) in Net Assets Resulting from
Operations ............................................ ($ 14,115) $35,244 $39,309
============== ============= ============
</TABLE>
See accompanying Notes to Financial Statements
61
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The The The RWB/DFA
Continental International International
Small Small High Book
Company Company to Market
Portfolio Portfolio(1) Portfolio
------------- --------------- ---------------
<S> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld of $283, $0 and
$0, respectively) ..................................... $ 7,309 -- --
Interest ................................................. 282 $ 9 --
Income from Securities Lending ........................... 106 -- --
Income Distributions Received ............................ -- -- $ 4,540
Net Investment Income from the DFA Investment Trust
Company ............................................... 272 147 --
------- ----- -------
Total Investment Income ............................... 7,969 156 4,540
------- ----- -------
Expenses
Investment Advisory Services ............................. 1,158 -- --
Administrative Services .................................. 376 63 33
Accounting & Transfer Agent Fees ......................... 287 5 19
Custodian's Fee .......................................... 148 -- --
Client Service Fee ....................................... -- -- 295
Legal Fees ............................................... 24 2 1
Audit Fees ............................................... 2 1 1
Filing Fees .............................................. 25 10 35
Shareholders' Reports .................................... 30 1 3
Directors' Fees and Expenses ............................. 13 1 1
Other .................................................... 23 1 12
------- ----- -------
Total Expenses ........................................ 2,086 84 400
Less: Expenses Reimbursed ................................ -- (13) --
------- ----- -------
Net Expenses ............................................. 2,086 71 400
------- ----- -------
Net Investment Income .................................... 5,883 85 4,140
------- ----- -------
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Capital Gain Distributions Received ........................ -- -- 1,341
Net Realized Gain (Loss) on Investment Securities .......... 18,140 (75) (162)
Net Realized Gain (Loss) on Foreign Currency Transactions .. (82) 11 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ............... 18,297 (558) 23,232
Translation of Foreign Currency Denominated Amounts ...... (64) (7) --
------- ----- -------
Net Gain (Loss) on Investment Securities and Foreign
Currency .............................................. 36,291 (629) 24,411
------- ----- -------
Net Increase (Decrease) in Net Assets Resulting from
Operations ............................................... $42,174 ($ 544) $28,551
======= ===== =======
</TABLE>
(1) For the period October 1 (commencement of operations) to November 30, 1996.
See accompanying Notes to Financial Statements
62
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
The The International Intermediate
Emerging Large Cap Small Cap Government
Markets International Value Fixed Income
Portfolio Portfolio Portfolio Portfolio
----------- --------------- --------------- --------------
<S> <C> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes Withheld
of $0, $125, $520 and $0, respectively) -- $1,426 $ 5,934 --
Interest ................................. -- 135 777 $5,640
Income from Securities Lending ........... -- 15 112 --
Net Investment Income from the DFA
Investment Trust Company .............. $1,802 -- -- --
------ ------ ------ ------
Total Investment Income ............... 1,802 1,576 6,823 5,640
------ ------ ------ ------
Expenses
Investment Advisory Services ............. -- 183 1,877 131
Administrative Services .................. 443 -- -- --
Accounting & Transfer Agent Fees ......... 38 97 346 52
Custodian's Fee .......................... -- 62 396 11
Legal Fees ............................... 17 8 25 4
Audit Fees ............................... 2 6 35 4
Filing Fees .............................. 29 40 89 17
Shareholders' Reports .................... 4 6 33 2
Directors' Fees and Expenses ............. 2 4 10 2
Other .................................... 8 19 38 1
------ ------ ------ ------
Total Expenses ........................ 543 425 2,849 224
------ ------ ------ ------
Net Investment Income .................... 1,259 1,151 3,974 5,416
------ ------ ------ ------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Net Realized Gain (Loss) on Investment
Securities ............................... 42 553 10,843 (28)
Net Realized Gain (Loss) on Foreign Currency
Transactions ............................. (78) 5 8 --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 5,535 6,974 (3,936) (323)
Translation of Foreign Currency
Denominated Amounts ................... 8 1 (216) --
------ ------ ------ ------
Net Gain (Loss) on Investment Securities
and Foreign Currency .................. 5,507 7,533 6,699 (351)
------ ------ ------ ------
Net Increase in Net Assets Resulting from
Operations ............................... $6,766 $8,684 $10,673 $5,065
====== ====== ======= ======
</TABLE>
See accompanying Notes to Financial Statements
63
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR (OR PERIOD) ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
The DFA The DFA Two-Year The DFA
One Year Five-Year Global Global
Fixed Income Government Fixed Income Fixed Income
Portfolio Portfolio Portfolio(1) Portfolio
-------------- ------------ -------------- --------------
<S> <C> <C> <C> <C>
Investment Income
Interest ................................ -- $11,940 -- $ 8,054
Income Distributions Received ........... $42,385 -- $ 6,900 --
------- ------- ------- -------
Total Investment Income .............. 42,385 11,940 6,900 8,054
------- ------- ------- -------
Expenses
Investment Advisory Services ............ -- 402 -- 377
Administrative Fees ..................... 770 -- 216 --
Accounting & Transfer Agent Fees ........ 19 88 15 187
Custodian's Fee ......................... -- 25 -- 43
Legal Fees .............................. 1 6 1 7
Audit Fees .............................. 1 7 1 15
Filing Fees ............................. 61 54 20 45
Shareholders' Reports ................... 5 6 4 11
Directors' Fees and Expenses ............ 1 3 -- 7
Other ................................... 1 20 5 5
------- ------- ------- -------
Total Expenses ....................... 859 611 262 697
------- ------- ------- -------
Net Investment Income ................... 41,526 11,329 6,638 7,357
------- ------- ------- -------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency
Net Realized Gain (Loss) on Investment
Securities .............................. (278) (887) (24) 4,823
Net Realized Gain on Foreign Currency
Transactions ............................ -- -- -- 7,527
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ............................. 4,048 3,233 9,563 (1,894)
Translation of Foreign Currency
Denominated Amounts .................. -- -- -- (1,417)
------- ------- ------- -------
Net Gain on Investment Securities and
Foreign Currency ..................... 3,770 2,346 9,539 9,039
------- ------- ------- -------
Net Increase in Net Assets Resulting from
Operations .............................. $45,296 $13,675 $16,177 $16,396
======= ======= ======= =======
</TABLE>
(1) For the period February 9 (commencement of operations) to November 30, 1996.
See accompanying Notes to Financial Statements
64
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The Enhanced
The U.S. 9-10 The U.S. 6-10 The U.S. U.S. Large
Small Company Small Company Large Company Company
Portfolio Portfolio Portfolio Portfolio
--------------------------- ---------------------------------------------------- --------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended July 3,
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, to Nov. 30,
1996 1995 1996 1995 1996 1995 1996
------------- ------------ ------------ ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ...... $ 2,408 $ 3,611 $ 1,695 $ 1,298 $ 2,729 $ 1,724 $ 300
Capital Gain Distributions
Received ................. -- -- 10,281 3,702 685 -- --
Net Realized Gain (Loss) on
Investment Securities .... 112,062 75,321 (840) 6,412 83 120 1
Change in Unrealized
Appreciation (Depreciation)
of Investment
Securities ............... 61,134 137,059 25,253 27,538 30,957 21,406 4,091
---------- -------- -------- -------- -------- -------- -------
Net Increase in Net Assets
Resulting from
Operations .......... 175,604 215,991 36,389 38,950 34,454 23,250 4,392
---------- -------- -------- -------- -------- -------- -------
Distributions From:
Net Investment Income ...... (505) (3,238) (218) (1,307) (1,899) (1,728) --
Net Realized Gains ......... (63,526) (6,831) (5,838) (14,069) (32) (107) --
---------- -------- -------- -------- -------- -------- -------
Total Distributions ... (64,031) (10,069) (6,056) (15,376) (1,931) (1,835) --
---------- -------- -------- -------- -------- -------- -------
Capital Share Transactions (1):
Shares Issued .............. 244,685 109,270 72,430 45,619 84,328 40,956 25,636
Shares Issued in Lieu of Cash
Distributions ............ 59,632 9,373 5,852 13,251 1,569 1,534 --
Shares Redeemed ............ (159,560) (58,312) (61,065) (7,937) (27,774) (15,432) (792)
---------- -------- -------- -------- -------- -------- -------
Net Increase From Capital
Shares Transactions . 144,757 60,331 17,217 50,933 58,123 27,058 24,844
---------- -------- -------- -------- -------- -------- -------
Total Increase ........ 256,330 266,253 47,550 74,507 90,646 48,473 29,236
Net Assets
Beginning of Period ........ 925,474 659,221 186,644 112,137 97,111 48,638 --
---------- -------- -------- -------- -------- -------- -------
End of Period .............. $1,181,804 $925,474 $234,194 $186,644 $187,757 $ 97,111 $29,236
========== ======== ======== ======== ======== ======== =======
(1) Shares Issued and Redeemed:
Shares Issued .............. 21,310 11,210 5,343 4,106 4,258 2,610 2,543
Shares Issued in Lieu of Cash
Distribution ............. 5,684 863 469 1,242 80 94 --
Shares Redeemed ............ (13,545) (5,753) (4,459) (702) (1,436) (927) (71)
---------- -------- -------- -------- -------- -------- -------
13,449 6,320 1,353 4,646 2,902 1,777 2,472
========== ======== ======== ======== ======== ======== =======
</TABLE>
See accompanying Notes to Financial Statements
63
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA/AEW
The U.S. Small The U.S. Large Real Estate
Cap Value Cap Value Securities
Portfolio Portfolio Portfolio
----------------------------- ---------------------------- ----------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1995 1996 1995
------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ........... $ 7,300 $ 4,049 $ 8,545 $ 5,438 $ 3,547 $ 2,480
Capital Gain Distributions Received 15,384 6,400 7,389 3,499 -- --
Net Realized Gain (Loss) on
Investment Securities ........ (917) 1,089 (293) (1,296) (381) 18
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities ................... 169,583 104,890 69,244 61,756 9,679 2,018
---------- -------- -------- -------- -------- -------
Net Increase in Net Assets
Resulting from Operations . 191,350 116,428 84,885 69,397 12,845 4,516
---------- -------- -------- -------- -------- -------
Distributions From:
Net Investment Income ........... (761) (4,090) (6,174) (5,439) (628) (1,853)
Net Realized Gains .............. (2,190) (6,604) (22) (3,499) -- --
Tax Return of Capital ........... -- -- -- -- -- (433)
---------- -------- -------- -------- -------- -------
Total Distributions ........ (2,951) (10,694) (6,196) (8,938) (628) (2,286)
---------- -------- -------- -------- -------- -------
Capital Share Transactions (1):
Shares Issued ................... 503,665 195,639 254,835 109,335 21,011 13,000
Shares Issued in Lieu of Cash
Distributions ................ 2,393 7,554 4,665 6,778 571 2,071
Shares Redeemed ................. (97,109) (43,125) (77,955) (93,223) (12,844) (4,322)
---------- -------- -------- -------- -------- -------
Net Increase From Capital
Shares Transactions ..... 408,949 160,068 181,545 22,890 8,738 10,749
---------- -------- -------- -------- -------- -------
Total Increase ............. 597,348 265,802 260,234 83,349 20,955 12,979
Net Assets
Beginning of Period ............. 609,950 344,148 280,915 197,566 43,435 30,456
---------- -------- -------- -------- -------- -------
End of Period ................... $1,207,298 $609,950 $541,149 $280,915 $ 64,390 $43,435
========== ======== ======== ======== ======== =======
(1) Shares Issued and Redeemed:
Shares Issued ................... 33,774 15,322 17,878 9,379 1,878 1,279
Shares Issued in Lieu of Cash
Distribution ................. 169 550 329 544 54 209
Shares Redeemed ................. (6,426) (3,313) (5,490) (8,714) (1,184) (429)
---------- -------- -------- -------- -------- -------
27,517 12,559 12,717 1,209 748 1,059
========== ======== ======== ======== ======== =======
</TABLE>
See accompanying Notes to Financial Statements
66
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The Japanese The Pacific Rim
Small Company Small Company
Portfolio Portfolio
---------------------------- ----------------------------
Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................... $ 884 $ 864 $ 3,482 $ 4,533
Net Realized Gain on Investment
Securities ........................... 17,037 6,621 11,893 6,273
Net Realized Gain (Loss) on Foreign
Currency Transactions ................ (141) 46 (15) 9
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ............................. (31,890) (28,340) 19,876 (23,959)
Translation of Foreign Currency
Denominated Amounts .................. (5) (23) 8 3
--------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations .......... (14,115) (20,832) 35,244 (13,141)
--------- -------- -------- --------
Distributions From:
Net Investment Income ................... (81) (891) (223) (4,485)
Net Realized Gains ...................... (5,829) (8,541) (5,234) (3,585)
--------- -------- -------- --------
Total Distributions .................. (5,910) (9,432) (5,457) (8,070)
--------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued ........................... 60,653 103,808 37,822 21,624
Shares Issued in Lieu of Cash
Distributions ........................ 5,910 9,432 5,457 8,070
Shares Redeemed ......................... (123,531) (42,537) (50,661) (28,299)
--------- -------- -------- --------
Net Increase (Decrease) From Capital
Shares Transactions ................ (56,968) 70,703 (7,382) 1,395
--------- -------- -------- --------
Total Increase (Decrease) ............ (76,993) 40,439 22,405 (19,816)
Net Assets
Beginning of Period ..................... 371,113 330,674 193,137 212,953
--------- -------- -------- --------
End of Period ........................... $ 294,120 $371,113 $215,542 $193,137
========= ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued ........................ 2,514 4,585 2,370 1,426
Shares Issued in Lieu of Cash
Distribution ....................... 247 384 387 552
Shares Redeemed ...................... (5,069) (1,869) (3,225) (1,878)
--------- -------- -------- --------
(2,308) 3,100 (468) 100
========= ======== ======== ========
</TABLE>
<PAGE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
The United Kingdom
Small Company
Portfolio
-----------------------------
Year Ended Year Ended
Nov. 30, Nov. 30,
1996 1995
------------ ------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................... $ 4,164 $ 5,493
Net Realized Gain on Investment
Securities ........................... 8,116 16,821
Net Realized Gain (Loss) on Foreign
Currency Transactions ................ (13) (32)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ............................. 27,016 (1,683)
Translation of Foreign Currency
Denominated Amounts .................. 26 (3)
-------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations .......... 39,309 20,596
-------- -------
Distributions From:
Net Investment Income ................... (414) (5,241)
Net Realized Gains ...................... (10,649) (2,120)
-------- -------
Total Distributions .................. (11,063) (7,361)
-------- -------
Capital Share Transactions (1):
Shares Issued ........................... 23,463 29,396
Shares Issued in Lieu of Cash
Distributions ........................ 11,063 7,361
Shares Redeemed ......................... (63,713) (96,375)
-------- -------
Net Increase (Decrease) From Capital
Shares Transactions ................ (29,187) (59,618)
-------- -------
Total Increase (Decrease) ............ (941) (46,383)
Net Assets
Beginning of Period ..................... 167,730 214,113
-------- -------
End of Period ........................... $166,789 $167,730
======== ========
(1) Shares Issued and Redeemed:
Shares Issued ........................ 931 1,177
Shares Issued in Lieu of Cash
Distribution ....................... 485 302
Shares Redeemed ...................... (2,522) (3,746)
-------- -------
(1,106) (2,267)
======== =======
</TABLE>
See accompanying Notes to Financial Statements
67
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The RWB/DFA
The International
The Continental International High Book
Small Company Small Company to Market
Portfolio Portfolio Portfolio
---------------------------- --------------- --------------------------
October 1, Year Year
Year Ended Year Ended to Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1996 1995
------------ ------------ --------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ........................... $ 5,883 $ 6,005 $ 85 $ 4,140 $2,595
Capital Gain Distributions Received ............. -- -- -- 1,341 337
Net Realized Gain (Loss) on Investment Securities 18,140 16,669 (75) (162) (143)
Net Realized Gain (Loss) on Foreign Currency
Transactions ................................. (82) 466 11 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ...... 18,297 (26,692) (558) 23,232 6,730
Translation of Foreign Currency
Denominated Amounts .......................... (64) (49) (7) -- --
-------- -------- -------- -------- ------
Net Increase (Decrease) in Net Assets
Resulting from Operations .................. 42,174 (3,601) (544) 28,551 9,519
-------- -------- -------- -------- ------
Distributions From:
Net Investment Income ........................... (447) (6,257) -- (187) (2,601)
Net Realized Gains .............................. (16,253) (500) -- (33) (337)
-------- -------- -------- -------- ------
Total Distributions .......................... (16,700) (6,757) -- (220) (2,938)
-------- -------- -------- -------- ------
Capital Share Transactions (1):
Shares Issued ................................... 36,520 40,567 104,726 98,529 63,111
Shares Issued in Lieu of Cash Distributions ..... 16,700 6,757 -- 220 2,938
Shares Redeemed ................................. (93,485) (63,842) (64) (41,726) (13,565)
-------- -------- -------- -------- ------
Net Increase (Decrease) From Capital Shares
Transactions ............................... (40,265) (16,518) 104,662 57,023 52,484
-------- -------- -------- -------- ------
Total Increase (Decrease) .................... (14,791) (26,876) 104,118 85,354 59,065
Net Assets
Beginning of Period ............................. 314,116 340,992 -- 172,017 112,952
-------- -------- -------- -------- ------
End of Period ................................... $299,325 $314,116 $104,118 $257,371 $172,017
======== ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued ................................ 2,469 2,644 10,456 7,546 5,362
Shares Issued in Lieu of Cash Distribution ... 1,233 470 -- 17 245
Shares Redeemed .............................. (6,315) (4,198) (6) (3,173) (1,162)
-------- -------- -------- -------- ------
(2,613) (1,084) 10,450 4,390 4,445
======== ======== ======== ======== ======
</TABLE>
See accompanying Notes to Financial Statements
68
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
The Emerging The Large Cap International
Markets International Small Cap Value
Portfolio Portfolio Portfolio
---------------------------- --------------------------- -----------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Dec. 30, 1994
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, to Nov. 30,
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............. $ 1,259 $ 298 $ 1,151 $ 1,083 $ 3,974 $ 666
Net Realized Gain (Loss) on
Investment Securities .......... 42 (169) 553 (444) 10,843 124
Net Realized Gain (Loss) on
Foreign Currency Transactions .. (78) (57) 5 (120) 8 (13)
Change in Unrealized Appreciation
(Depreciation) of :
Investment Securities and
Foreign Currency ............. 5,535 (2,547) 6,974 4,369 (3,936) (6,181)
Translation of Foreign Currency
Denominated Amounts .......... 8 (3) 1 (5) (216) 190
-------- ------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets Resulting from
Operations ................ 6,766 (2,478) 8,684 4,883 10,673 (5,214)
-------- ------- -------- -------- -------- --------
Distributions From:
Net Investment Income ............. (19) (230) (93) (934) (69) (588)
Net Realized Gains ................ -- -- -- (1,072) (18) (114)
-------- ------- -------- -------- -------- --------
Total Distributions .......... (19) (230) (93) (2,006) (87) (702)
-------- ------- -------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued ..................... 116,568 39,528 32,545 30,608 231,671 154,664
Shares Issued in Lieu of Cash
Distributions .................. 19 230 93 2,006 87 702
Shares Redeemed ................... (10,646) (3,444) (29,847) (23,186) (13,981) (2,325)
-------- ------- -------- -------- -------- --------
Net Increase From Capital
Shares Transactions ....... 105,941 36,314 2,791 9,428 217,777 153,041
-------- ------- -------- -------- -------- --------
Total Increase ............... 112,688 33,606 11,382 12,305 228,363 147,125
Net Assets
Beginning of Period ............... 49,337 15,731 67,940 55,635 147,125 --
-------- ------- -------- -------- -------- --------
End of Period ..................... $162,025 $49,337 $ 79,322 $ 67,940 $375,488 $147,125
======== ======= ======== ======== ======== ========
(1) Shares Issued and Redeemed:
Shares Issued ..................... 10,008 3,674 2,443 2,502 22,038 15,363
Shares Issued in Lieu of Cash
Distribution .................. 1 23 7 166 9 73
Shares Redeemed ................... (935) (323) (2,249) (1,946) (1,330) (232)
-------- ------- -------- -------- -------- --------
9,074 3,374 201 722 20,717 15,204
======== ======= ======== ======== ======== ========
</TABLE>
69
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA
Intermediate Government The DFA One-Year The DFA Five-Year
Fixed Income Fixed Income Government
Portfolio Portfolio Portfolio
---------------------------- ---------------------------- ---------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ................ $ 5,416 $ 4,391 $ 41,526 $ 36,286 $11,329 $ 16,294
Net Realized Gain (Loss) on
Investment Securities ............. (28) 874 (278) (1,504) (887) (8,073)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities ........................ (323) 6,019 4,048 11,442 3,233 15,097
-------- -------- --------- --------- --------- --------
Net Increase in Net Assets
Resulting from Operations ....... 5,065 11,284 45,296 46,224 13,675 23,318
-------- -------- --------- --------- --------- --------
Distributions From:
Net Investment Income ................ (3,948) (4,374) (41,474) (36,352) (6,632) (16,191)
Net Realized gains ................... (311) (578) -- (405) -- --
-------- -------- --------- --------- --------- --------
Total Distributions ............. (4,259) (4,952) (41,474) (36,757) (6,632) (16,191)
-------- -------- --------- --------- --------- --------
Capital Share Transactions (1):
Shares Issued ........................ 39,452 30,310 671,259 357,430 92,309 128,212
Shares Issued in Lieu of Cash
Distributions ..................... 1,047 1,636 31,884 26,485 4,746 11,921
Shares Redeemed ...................... (11,448) (21,018) (557,394) (280,658) (230,633) (81,893)
-------- -------- --------- --------- --------- --------
Net Increase (Decrease) From
Capital Shares Transactions .. 29,051 10,928 145,749 103,257 (133,578) 58,240
-------- -------- --------- --------- --------- --------
Total Increase (Decrease) ....... 29,857 17,260 149,571 112,724 (126,535) 65,367
Net Assets
Beginning of Period .................. 78,087 60,827 704,950 592,226 300,921 235,554
-------- -------- --------- --------- --------- --------
End of Period ........................ $107,944 $ 78,087 $ 854,521 $ 704,950 $ 174,386 $300,921
======== ======== ========= ========= ========= ========
(1) Shares Issued and Redeemed: ........
Shares Issued ........................ 3,606 2,770 65,904 35,060 9,105 12,740
Shares Issued in Lieu of Cash
Distribution ..................... 97 150 3,139 2,620 479 1,190
Shares Redeemed ...................... (1,033) (1,920) (54,688) (27,540) (22,787) (8,160)
-------- -------- --------- --------- --------- --------
2,670 1,000 14,355 10,140 (13,203) 5,770
======== ======== ========= ========= ========= ========
</TABLE>
See accompanying Notes to Financial Statements.
70
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA Two-Year The DFA Global
Global Fixed Income Fixed Income
Portfolio Portfolio
------------------- ----------------------------
Feb. 9 Year Ended Year Ended
to Nov. 30, Nov. 30, Nov. 30,
1996 1996 1995
------------------- ------------ ------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ........................ $ 6,638 $ 7,357 $ 10,094
Net Realized Gain (Loss) on
Investment Securities ..................... (24) 4,823 2,020
Net Realized Gain on
Foreign Currency Transactions ............. -- 7,527 5,130
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency . 9,563 (1,894) 6,020
Translation of Foreign Currency Denominated
Amounts ................................. -- (1,417) 1,699
-------- --------- --------
Net Increase in Net Assets Resulting from
Operations ........................... 16,177 16,396 24,963
-------- --------- --------
Distributions From: ............................
Net Investment Income ........................ (6,015) (8,834) (13,843)
-------- --------- --------
Capital Share Transactions (1):
Shares Issued ................................ 338,432 73,085 95,850
Shares Issued in Lieu of Cash
Distributions ............................. 5,844 5,176 9,165
Shares Redeemed .............................. (35,095) (128,217) (43,498)
-------- --------- --------
Net Increase (Decrease) From Capital Shares
Transactions ......................... 309,181 (49,956) 61,517
-------- --------- --------
Total Increase (Decrease) ............... 319,343 (42,394) 72,637
Net Assets
Beginning of Period .......................... -- 208,166 135,529
-------- --------- --------
End of Period ................................ $319,343 $ 165,772 $208,166
======== ========= ========
(1) Shares Issued and Redeemed:
Shares Issued ................................ 33,694 7,056 9,380
Shares Issued in Lieu of Cash Distribution .. 580 286 890
Shares Redeemed .............................. (3,465) (12,144) (4,270)
-------- --------- --------
30,809 (4,802) 6,000
======== ========= ========
</TABLE>
See accompanying Notes to Financial Statements
71
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
The U.S. 9-10 Small Company Portfolio
---------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .. $ 11.03 $ 8.49 $ 8.69 $ 7.75 $ 6.33
---------- -------- ---------- --------- ---------
Income From Investment Operations
- ---------------------------------
Net Investment Income .............. 0.03 0.05 0.01 0.03 0.04
Net Gain (Losses) on Securities
(Realized and Unrealized) ....... 1.85 2.61 0.40 1.67 1.53
---------- -------- ---------- --------- ---------
Total From Investment Operations . 1.88 2.66 0.41 1.70 1.57
- ---------------------------------------------------------------------------------------------------------
Less Distributions
- -------------------
Net Investment Income .............. (0.01) (0.04) (0.03) (0.05) (0.05)
Net Realized Gains ................. (0.76) (0.08) (0.58) (0.71) (0.10)
---------- -------- ---------- --------- ---------
Total Distributions ............. (0.77) (0.12) (0.61) (0.76) (0.15)
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ....... $ 12.14 $ 11.03 $ 8.49 $ 8.69 $ 7.75
=========================================================================================================
Total Return ......................... 18.05% 31.37% 5.06% 23.91% 25.24%
- ---------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $1,181,804 $925,474 $659,221 $630,918 $651,313
Ratio of Expenses to Average Net
Assets ............................. 0.61% 0.62% 0.65% 0.70% 0.68%
Ratio of Net Investment Income to
Average Net Assets ................. 0.22% 0.45% 0.16% 0.26% 0.53%
Portfolio Turnover Rate .............. 23.68% 24.65% 16.56% 9.87% 9.72%
Average Commission Rate (1) .......... $ 0.0604 N/A N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1991 1990 1989 1988 1987
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .. $ 5.34 $ 7.74 $ 7.66 $ 7.50 $ 8.94
--------- --------- ---------- ---------- ----------
Income From Investment Operations
- ---------------------------------
Net Investment Income .............. 0.04 0.07 0.07 0.10 0.09
Net Gain (Losses) on Securities
(Realized and Unrealized) ....... 1.64 (1.77) 0.98 1.48 (1.53)
--------- --------- -------- --------- --------
Total From Investment Operations 1.68 (1.70) 1.05 1.58 (1.44)
- ---------------------------------------------------------------------------------------------------------
Less Distributions
- -------------------
Net Investment Income .............. (0.07) (0.08) (0.09) (0.11) --
Net Realized Gains ................. (0.62) (0.62) (0.88) (1.31) --
--------- --------- -------- --------- --------
Total Distributions ............. (0.69) (0.70) (0.97) (1.42) --
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ....... $ 6.33 $ 5.34 $ 7.74 $ 7.66 $ 7.50
=========================================================================================================
Total Return ......................... 39.08% (24.09)% 16.09% 24.36% (16.04)%
- ---------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $722,289 $561,102 $949,291 $912,518 $788,821
Ratio of Expenses to Average Net
Assets ............................. 0.64% 0.62% 0.62% 0.62% 0.61%
Ratio of Net Investment Income to
Average Net Assets ................. 0.75% 0.99% 0.86% 1.19% 0.92%
Portfolio Turnover Rate .............. 10.13% 3.79% 7.86% 25.98% 23.05%
Average Commission Rate (1) .......... N/A N/A N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(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
72
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. 6-10 Small Company Portfolio
---------------------------------------------------------
Year Year Year Year
Ended Ended Ended Ended March 20,
Nov. 30, Nov. 30, Nov. 30, Nov. 30, to Nov. 30,
1996 1995 1994 1993 1992
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ...................... $ 12.64 $ 11.08 $ 11.43 $ 10.35 $ 10.00
-------- -------- -------- --------- --------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income ...... 0.11 0.09 0.09 0.08 0.04
Net Gain (Losses) on
Securities (Realized and
Unrealized) ............. 2.20 2.81 (0.07) 1.43 0.31
-------- -------- -------- --------- --------
Total From Investment
Operations .............. 2.31 2.90 0.02 1.51 0.35
- ------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ...... (0.02) (0.14) (0.09) (0.11) --
Net Realized Gains ......... (0.40) (1.20) (0.28) (0.32) --
-------- -------- -------- --------- --------
Total Distributions ........ (0.42) (1.34) (0.37) (0.43) --
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 14.53 $ 12.64 $ 11.08 $ 11.43 $ 10.35
==========================================================================================
Total Return ................. 18.73% 28.75% 0.22% 14.72% 6.70%#
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................ $234,194 $186,644 $112,137 $136,863 $134,418
Ratio of Expenses to Average
Net Assets** ............... 0.48% 0.49% 0.53% 0.58% 0.48%*
Ratio of Net Investment
Income to Average Net
Assets .................. 0.75% 0.83% 0.72% 0.70% 0.96%*
Portfolio Turnover Rate .... N/A*** N/A*** N/A*** 1.81%*(b) 3.41%*
Average Commission Rate .... N/A*** N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The
Enhanced
U.S. Large
Company
The U.S. Large Company Portfolio Portfolio
---------------------------------------------------------------------- -----------
Year Year Year Year Year Dec. 31,
Ended Ended Ended Ended Ended 1990 July 3, to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, to Nov. 30, to Nov. 30,
1996 1995 1994 1993 1992 1991 1996
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ...................... $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44 $ 10.00 $ 10.00
--------- ------- -------- -------- ------- -------- ---------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income ...... 0.41 0.35 0.37 0.36 0.36 0.34 0.12
Net Gain (Losses) on
Securities (Realized and
Unrealized) ............. 4.52 4.57 (0.22) 0.87 1.69 1.34 1.71
-------- -------- -------- -------- -------- -------- ---------
Total From Investment
Operations .............. 4.93 4.92 0.15 1.23 2.05 1.68 1.83
- ---------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ...... (0.31) (0.36) (0.37) (0.44) (0.37) (0.24) --
Net Realized Gains ......... (0.01) (0.02) (0.11) -- -- -- --
-------- ------- -------- ------- -------- ------- ---------
Total Distributions ........ (0.32) (0.38) (0.48) (0.44) (0.37) (0.24) --
- ---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 22.73 $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44 $ 11.83
=====================================================================================================================
Total Return ................. 27.49% 36.54% 1.04% 9.48% 18.23% 16.80%# 18.30%#
- ---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................ $187,757 $97,111 $48,638 $37,830 $34,908 $22,279 $29,236
Ratio of Expenses to Average
Net Assets** ............... 0.21%(a) 0.24%(a) 0.24%(a) 0.24%(a) 0.11%(a) 0.00%*(a) 0.65%*(c)
Ratio of Net Investment
Income to Average Net
Assets .................. 2.10%(a) 2.29%(a) 2.75%(a) 2.48%(a) 2.86%(a) 3.42%*(a) 3.44%*(c)
Portfolio Turnover Rate .... N/A*** N/A*** N/A*** 27.67%*(b) 3.56% 0.97%* N/A***
Average Commission Rate .... N/A*** N/A N/A N/A N/A N/A N/A***
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series for the year ended
November 30, 1993 and subsequent years.
*** Refer to the respective Master Fund Series
# Non-Annualized
(a) Had certain waivers and reimbursements not been in effect the ratios of
expenses to average net assets for the periods ended November 30, 1996,
1995, 1994, 1993, 1992 and 1991 would have been 0.45%, 0.46%, 0.66%,
0.79%, 0.53% and 0.52%, respectively, and the ratios of net investment
income to average net assets for the periods ended November 30, 1996,
1995, 1994, 1993, 1992, and 1991 would have been 1.85 %, 2.23%, 2.64%,
2.28%, 2.44% and 2.90%, respectively.
(b) Portfolio turnover calculated for the period December 1, 1992 to February
2, 1993 and December 1, 1992 to February 7, 1993, respectively (through
date of Exchange transaction, see respective Master Fund Series for rate
subsequent to Exchange transaction.)
(c) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements.
73
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. Small Cap
Value Portfolio
------------------------------------------------
Year Year Year March 2
Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 14.03 $ 11.13 $ 11.04 $ 10.00
---------- -------- -------- -------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income . 0.11 0.10 0.14 0.11
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 2.93 3.06 0.10 1.03
---------- -------- -------- -------
Total From Investment
Operations ........ 3.04 3.16 0.24 1.14
- ------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income . (0.02) (0.10) (0.15) (0.10)
Net Realized Gain ..... (0.05) (0.16) -- --
Tax Return of Capital . -- -- -- --
---------- -------- -------- -------
Total Distributions ... (0.07) (0.26) (0.15) (0.10)
- ------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 17.00 $ 14.03 $ 11.13 $ 11.04
==============================================================================
Total Return ............ 21.70% 28.41% 2.19% 11.39%#
- ------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $1,207,298 $609,950 $344,148 $95,682
Ratio of Expenses to
Average Net Assets** .. 0.61% 0.64% 0.66% 0.70%*
Ratio of Net Investment
Income to Average Net
Assets ................ 0.78% 0.85% 1.69% 1.97%*
Portfolio Turnover Rate . N/A*** N/A*** N/A*** N/A***
Average Commission
Rate (1) .............. N/A*** N/A N/A N/A
- ------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA/AEW Real
The U.S. Large Cap Estate Securities
Value Portfolio Portfolio
------------------------------------------ -------------------------------------------
Year Year Year Feb. 19 Year Year Year Jan. 5
Ended Ended Ended to Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1996 1995 1994 1993
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 13.29 $ 9.91 $ 10.60 $ 10.00 $ 10.00 $ 9.28 $ 10.92 $ 10.00
-------- -------- -------- -------- -------- -------- ------- -------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income . 0.30 0.29 0.32 0.18 0.71 0.61 0.37 0.20
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 2.62 3.55 (0.68) 0.59 2.08 0.68 (1.65) 0.91
-------- -------- -------- -------- -------- -------- ------- -------
Total From Investment
Operations ........ 2.92 3.84 (0.36) 0.77 2.79 1.29 (1.28) 1.11
- ----------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income . (0.23) (0.29) (0.33) (0.17) (0.14) (0.46) (0.28) (0.19)
Net Realized Gain ..... -- (0.17) -- -- -- -- -- --
Tax Return of Capital . -- -- -- -- -- (0.11) (0.08) --
-------- -------- -------- -------- -------- -------- ------- -------
Total Distributions ... (0.23) (0.46) (0.33) (0.17) (0.14) (0.57) (0.36) (0.19)
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 15.98 $ 13.29 $ 9.91 $ 10.60 $ 12.65 $ 10.00 $ 9.28 $ 10.92
======================================================================================================================
Total Return ............ 22.20% 39.13% (3.27)% 7.59%# 28.24% 14.00% (11.76)% 11.08%#
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $541,149 $280,915 $197,566 $90,288 $64,390 $43,435 $30,456 $22,106
Ratio of Expenses to
Average Net Assets** .. 0.36% 0.42% 0.44% 0.47%* 0.71% 0.82% 0.90% 0.88%*
Ratio of Net Investment
Income to Average Net
Assets ................ 2.17% 2.49% 3.50% 3.38%* 7.08% 6.76% 3.90% 2.63%*
Portfolio Turnover Rate . N/A*** N/A*** N/A*** N/A*** 11.25% 0.66% 28.87% 0.55%*
Average Commission
Rate (1) .............. N/A*** N/A N/A N/A $0.0455 N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized.
** Represents the combined ratios for The U.S. Small Cap Value Portfolio and
The U.S. Large Cap Value Portfolio and their pro-rata shares of the
respective Master Fund Series.
*** Refer to the respective Master Fund Series
(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
74
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Japanese Small Company Portfolio
--------------------------------------------------------
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $ 22.78 $ 25.06 $ 19.96 $ 18.92 $ 25.05
--------- -------- -------- -------- --------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income (Loss) 0.07 0.06 0.05 0.04 0.04
Net Gain (Losses) on
Securities (Realized and
Unrealized) .............. (1.45) (1.65) 5.76 1.75 (5.69)
--------- -------- -------- -------- --------
Total From Investment
Operations ............... (1.38) (1.59) 5.81 1.79 (5.65)
- -------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ....... (0.01) (0.06) (0.04) (0.05) --
Net Realized Gains .......... (0.36) (0.63) (0.67) (0.70) (0.48)
--------- -------- -------- -------- --------
Total Distributions ......... (0.37) (0.69) (0.71) (0.75) (0.48)
- -------------------------------------------------------------------------------------------
Net Asset Value, End of Period . $ 21.03 $ 22.78 $ 25.06 $ 19.96 $ 18.92
===========================================================================================
Total Return .................. (6.28)% (6.54)% 29.59% 9.52% (23.01)%
- -------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................. $294,120 $371,113 $330,674 $209,244 $139,892
Ratio of Expenses to Average
Net Assets** ................ 0.72% 0.74% 0.76% 0.82% 0.78%
Ratio of Net Investment Income
to Average Net Assets ....... 0.24% 0.25% 0.10% 0.06% 0.10%
Portfolio Turnover Rate ....... 18.52%*(a) 7.79% 10.51% 9.36% 5.00%
Average Commission Rate (1) ... $ 0.0458(a) N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Year Year Year Year Year
Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1991 1990 1989 1988 1987
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $ 26.27 $ 38.33 $ 31.03 $ 24.87 $ 14.39
-------- --------- --------- -------- --------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income (Loss) (0.01) (0.03) (0.09) (0.05) (0.01)
Net Gain (Losses) on
Securities (Realized and
Unrealized) .............. 0.51 (10.74) 9.09 10.42 10.53
-------- --------- --------- -------- --------
Total From Investment
Operations ............... 0.50 (10.77) 9.00 10.37 10.52
- ------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ....... -- -- -- -- --
Net Realized Gains .......... (1.72) (1.29) (1.70) (4.21) (0.04)
-------- --------- --------- -------- --------
Total Distributions ......... (1.72) (1.29) (1.70) (4.21) (0.04)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 25.05 $ 26.27 $ 38.33 $ 31.03 $ 24.87
==========================================================================================
Total Return .................. 1.68% (29.12)% 30.63% 47.62% 73.09%
- ------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................. $159,475 $149,100 $168,820 $107,863 $60,450
Ratio of Expenses to Average
Net Assets** ................ 0.78% 0.83% 0.76% 0.76% 0.78%
Ratio of Net Investment Income
to Average Net Assets ....... (0.11)% (0.22)% (0.34)% (0.23)% (0.08)%
Portfolio Turnover Rate ....... 2.71% 10.26% 5.76% 9.14% 0.07%
Average Commission Rate (1) ... N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------
</TABLE>
* Annualized
(a) Portfolio turnover and average commission calculated for the period
December 1, 1995 to August 9, 1996, (through date of Transfer
transaction, see Master Fund Series for rates subsequent to Transfer 6
transaction).
(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.
** Represents the combined ratio for the portfolio and its pro-rata share of
its Master Fund Series for the year ended November 30, 1996.
See accompanying Notes to Financial Statements
75
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The United Kingdom
Small Company
The Pacific Rim Small Company Portfolio Portfolio
-------------------------------------------- ----------------------
Year Year Year Jan. 5 Year Year
Ended Ended Ended to Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1996 1995
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 14.38 $ 15.98 $ 16.45 $ 10.00 $ 24.09 $ 23.20
-------- -------- -------- -------- --------- --------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income . 0.27 0.34 0.23 0.11 0.72 0.84
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 2.40 (1.33) 0.47 6.46 5.31 1.12
-------- -------- -------- -------- --------- --------
Total From
Investment
Operations ....... 2.67 (0.99) 0.70 6.57 6.03 1.96
- -------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income . (0.02) (0.34) (0.23) (0.09) (0.06) (0.76)
Net Realized Gains .... (0.40) (0.27) (0.94) (0.03) (1.59) (0.31)
--------- -------- -------- -------- --------- --------
Total Distributions (0.42) (0.61) (1.17) (0.12) (1.65) (1.07)
- -------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 16.63 $ 14.38 $ 15.98 $ 16.45 $ 28.47 $ 24.09
=================================================================================================
Total Return ............ 19.06% (6.27)% 4.26% 65.71%# 26.76% 8.39%
- -------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $215,542 $193,137 $212,953 $164,623 $166,789 $167,730
Ratio of Expenses to
Average Net Assets** .. 0.84% 0.83% 0.95% 1.16%* 0.73% 0.72%
Ratio of Net Investment
Income to Average Net
Assets ................ 1.70% 2.22% 1.47% 1.27%* 2.49% 2.51%
Portfolio Turnover Rate . 7.05%*(a) 5.95% 26.05% 2.77%* 3.72%*(a) 7.82%
Average Commission
Rate (1) .............. $ 0.0094(a) N/A N/A N/A $ 0.0103(a) N/A
- -------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Year Year Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1994 1993 1992 1991 1990 1989 1988 1987
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 21.22 $ 16.38 $ 21.37 $ 20.41 $ 22.55 $ 28.29 $ 23.41 $ 16.29
-------- -------- -------- -------- -------- -------- -------- --------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income . 0.48 0.45 0.64 0.69 0.92 0.52 0.61 0.17
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 2.03 5.34 (4.98) 1.71 (1.34) (4.75) 5.18 7.35
-------- -------- -------- -------- -------- -------- -------- --------
Total From
Investment
Operations ....... 2.51 5.79 (4.34) 2.40 (0.42) (4.23) 5.79 7.52
- ---------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income . (0.53) (0.95) (0.65) (0.90) (0.75) (0.54) (0.28) (0.36)
Net Realized Gains .... -- -- -- (0.54) (0.97) (0.97) (0.63) (0.04)
-------- -------- -------- -------- -------- -------- -------- --------
Total Distributions (0.53) (0.95) (0.65) (1.44) (1.72) (1.51) (0.91) (0.40)
- ---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 23.20 $ 21.22 $ 16.38 $ 21.37 $ 20.41 $ 22.55 $ 28.29 $ 23.41
=====================================================================================================================
Total Return ............ 11.85% 36.42% (20.93)% 12.55% (2.22)% (15.40)% 23.66% 47.44%
- ---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $214,113 $181,789 $121,086 $146,873 $127,137 $119,385 $121,337 $82,197
Ratio of Expenses to
Average Net Assets** .. 0.74% 0.78% 0.76% 0.84% 0.83% 0.70% 0.71% 0.85%
Ratio of Net Investment
Income to Average Net
Assets ................ 1.95% 2.22% 3.19% 3.44% 4.34% 2.24% 2.58% 1.92%
Portfolio Turnover Rate . 10.75% 8.21% 4.41% 4.50% 10.86% 11.38% 12.55% 9.50%
Average Commission
Rate (1) .............. N/A N/A N/A N/A N/A N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series for the year ended
November 30, 1996.
(a) Portfolio turnover and average commission calculated for the period
December 1, 1995 to August 9, 1996, (through date of Transfer
transaction, see respective Master Fund Series for rates subsequent to
Transfer transaction).
(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
76
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Continental Small Company Portfolio
--------------------------------------------------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992 1991
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 14.13 $ 14.63 $ 12.62 $ 11.39 $ 14.18 $ 16.24
-------- --------- -------- --------- --------- ---------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income . 0.30 0.29 0.18 0.23 0.28 0.27
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 1.58 (0.48) 2.10 1.46 (2.11) (1.66)
-------- --------- -------- --------- --------- ---------
Total From
Investment
Operations ....... 1.88 (0.19) 2.28 1.69 (1.83) (1.39)
- ------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income . (0.02) (0.29) (0.19) (0.44) (0.26) (0.29)
Net Realized Gains .... (0.73) (0.02) (0.07) (0.02) (0.70) (0.38)
Tax Return of Capital . -- -- (0.01) -- -- --
-------- --------- -------- --------- --------- ---------
Total Distributions (0.75) (0.31) (0.27) (0.46) (0.96) (0.67)
- ------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 15.26 $ 14.13 $ 14.63 $ 12.62 $ 11.39 $ 14.18
================================================================================================
Total Return ............ 13.96% (1.33)% 18.19% 15.27% (13.85)% (9.11)%
- ------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $299,325 $314,116 $40,992 $266,175 $196,845 $214,054
Ratio of Expenses to
Average Net Assets .... **0.73% 0.74% 0.77% 0.83% 0.90% 0.86%
Ratio of Net Investment
Income to Average Net
Assets ................ 1.81% 1.69% 1.21% 1.61% 2.11% 1.68%
Portfolio Turnover Rate . 3.67%*(c) 9.79% 10.22% 8.99% 6.35% 7.69%
Average Commission Rate (1) $ 0.1030(c) N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The
International
Small
The Continental Company The RWB/DFA International
Small Company Portfolio Portfolio High Book to Market Portfolio
-------------------------------- ------------ ----------------------------------------------
Year Year April 15 Oct. 1 Year Year Year June 10
Ended Ended to to Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1990 1989 1988 1996 1996 1995 1994 1993
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period .... $ 16.15 $ 12.02 $ 10.00 $ 10.00 $ 12.02 $ 11.44 $ 9.92 $ 10.00
-------- -------- -------- ------------- -------- -------- ---------- -------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income . 0.25 0.12 0.17 0.01 0.22 0.19 0.14 0.06
Net Gain (Losses) on
Securities (Realized
and Unrealized) .... 0.31 4.10 1.85 (0.05) 1.53 0.60 1.52 (0.11)
-------- -------- -------- ------------- -------- -------- ---------- -------
Total From
Investment
Operations ....... 0.56 4.22 2.02 (0.04) 1.75 0.79 1.66 (0.05)
- --------------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income . (0.20) (0.09) -- -- (0.01) (0.19) (0.14) (0.03)
Net Realized Gains .... (0.27) -- -- -- -- (0.02) -- --
Tax Return of Capital . -- -- -- -- -- -- -- --
-------- -------- -------- ------------- -------- -------- ---------- -------
Total Distributions (0.47) (0.09) -- -- (0.01) (0.21) (0.14) (0.03)
- --------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period ................ $ 16.24 $ 16.15 $ 12.02 $ 9.96 $ 13.76 $ 12.02 $ 11.44 $ 9.92
==========================================================================================================================
Total Return ............ 3.50% 35.62% 20.01%# (0.40)%# 14.61% 6.95% 16.71% (0.50)%#
- --------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ........... $245,465 $199,065 $78,689 $104,118 $257,371 $172,017 $112,952 $63,235
Ratio of Expenses to
Average Net Assets .... 0.89% 0.82% 1.05%* **0.70%*(d) **0.54% **0.68% **0.69%(a) 0.65%*(a)
Ratio of Net Investment
Income to Average Net
Assets ................ 1.63% 1.41% 3.27%* 0.54%*(d) 1.88% 1.85% 1.39%(a) 1.40%*(a)
Portfolio Turnover Rate . 6.24% 5.70% 0.26%* N/A*** N/A*** N/A*** 0.15%*(b) 0.41%*
Average Commission Rate (1) N/A N/A N/A N/A*** N/A*** N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
*** Refer to the respective Master Fund Series.
(a) Had certain waivers not been in effect, the ratios of expenses to average
net assets for the periods ended November 30, 1994 and 1993 would have
been 0.73% and 0.82%, respectively, and the ratios of net investment
income to average net assets for the periods ended November 30, 1994 and
1993 would have been 1.38% and 1.23%, respectively.
(b) Portfolio turnover calculated for the period December 1, 1993 to February
15, 1994 (through date of Exchange transaction, see respective Master
Fund Series for rate subsequent to Exchange transaction).
(c) Portfolio turnover and average commission calculated for the period
December 1, 1995 to August 9, 1996 (through date of Transfer transaction,
see Master Fund Series for rates subsequent to Transfer transaction).
(d) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
Additionally, had certain waivers not been in effect, the ratio of
expenses to average net assets would have been 0.79%, and the ratio of
net investment income to average net assets would have been 0.45%.
(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
77
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Emerging
Markets Portfolio The Large Cap International Portfolio
-------------------------------------- -------------------------------------
Year Ended Year Ended April 25 to Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1996 1995 1994
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 10.35 $ 11.30 $ 10.00 $ 12.60 $ 11.91 $ 11.26
---------- ---------- ----------- ---------- ---------- ----------
Income From Investment Operations
- ---------------------------------
Net Investment Income (Loss) ...... 0.09 0.06 (0.02) 0.21 0.15 0.09
Net Gains (Losses) on Securities
(Realized and Unrealized) ...... 1.27 (0.96) 1.32 1.39 0.95 1.11
---------- ---------- ----------- ---------- ---------- ----------
Total From Investment Operations .. 1.36 (0.90) 1.30 1.60 1.10 1.20
- ----------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ............. -- (0.05) -- (0.02) (0.18) (0.09)
Net Realized Gains ................ -- -- -- -- (0.23) (0.46)
---------- ---------- ----------- ---------- ---------- ----------
Total Distributions ............... -- (0.05) -- (0.02) (0.41) (0.55)
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .... $ 11.71 $ 10.35 $ 11.30 $ 14.18 $ 12.60 $ 11.91
======================================================================================================================
Total Return ...................... 13.18% (7.96)% 13.00%# 12.68% 9.37% 10.74%
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ....................... $162,025 $49,337 $15,731 $79,322 $67,940 $55,635
Ratio of Expenses to Average Net
Assets** .......................... 1.15% 1.58% 2.43%* 0.58% 0.57% 0.66%
Ratio of Net Investment Income to
Average Net Assets ................ 1.14% 0.98% (0.44)%* 1.57% 1.84% 1.18%
Portfolio Turnover Rate ............. N/A*** N/A*** N/A*** 17.65% 24.44% 33.15%
Average Commission Rate (1) ......... N/A*** N/A N/A $0.0160 N/A N/A
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA
International
The Large Cap Small Cap Value
International Portfolio Portfolio
--------------------------------------- ----------------------
Dec. 30,
Year Ended Year Ended July 15, to Year Ended 1994 to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1993 1992 1991 1996 1995
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 9.63 $ 10.64 $10.00 $ 9.68 $ 10.00
---------- ---------- ----------- ---------- --------
Income From Investment Operations
- ---------------------------------
Net Investment Income (Loss) ...... 0.15 0.11 0.06 0.11 0.05
Net Gains (Losses) on Securities
(Realized and Unrealized) ...... 1.72 (1.04) 0.58 0.66 (0.32)
---------- ---------- ----------- ---------- --------
Total From Investment Operations .. 1.87 (0.93) 0.64 0.77 (0.27)
- -------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ............. (0.24) (0.07) -- -- (0.04)
Net Realized Gains ................ -- (0.01) -- -- (0.01)
---------- ---------- ----------- ---------- --------
Total Distributions ............... (0.24) (0.08) -- -- (0.05)
- -------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .... $ 11.26 $ 9.63 $10.64 $ 10.45 $ 9.68
=======================================================================================================
Total Return ...................... 19.55% (9.00)% 2.88%# 8.01% (2.73)%#
- -------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ....................... $78,472 $26,041 $4,360 $375,488 $147,125
Ratio of Expenses to Average Net
Assets** .......................... 0.55%(a) 0.50%(a) 0.50%*(a) 0.99% 1.23%*
Ratio of Net Investment Income to
Average Net Assets ................ 1.94%(a) 1.75%(a) 1.96%*(a) 1.38% 1.43%*
Portfolio Turnover Rate ............. 0.28% 0.20% 2.38%* 14.52% 1.62%*
Average Commission Rate (1) ......... N/A N/A N/A $ 0.0092 N/A
- -------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for The Emerging Markets Portfolio and its
pro-rata share of its Master Fund Series.
*** Refer to the respective Master Fund Series.
(a) Had certain fees and expenses not been waived or reimbursed, the ratios
of expenses to average net assets for the periods ended November 30,
1993, 1992 and 1991 would have been 0.66%, 1.35% and 2.31%, respectively,
and the ratios of net investment income to average net assets for the
periods ended November 30, 1993, 1992 and 1991 would have been 1.83%,
0.90% and 0.15%, respectively.
(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
78
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA Intermediate Government
Fixed Income Portfolio
-------------------------------
Year Ended Year Ended
Nov. 30, Nov. 30,
1996 1995
- ----------------------------------------------------------------------------
<S> <C> <C>
Net Asset Value, Beginning of Period . $ 11.24 $ 10.22
-------- -------
Income From Investment Operations
- ---------------------------------
Net Investment Income .............. 0.65 0.70
Net Gain (Losses) on Securities
(Realized and Unrealized) ....... (0.13) 1.11
-------- -------
Total From Investment Operations ... 0.52 1.81
- ----------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income .............. (0.50) (0.70)
Net Realized Gains ................. (0.04) (0.09)
-------- -------
Total Distributions ................ (0.54) (0.79)
- ----------------------------------------------------------------------------
Net Asset Value, End of Period ....... $ 11.22 $ 11.24
============================================================================
Total Return ......................... 4.98% 18.04%
- ----------------------------------------------------------------------------
Net Assets, End of Period (thousands) $107,944 $78,087
Ratio of Expenses to Average Net
Assets ............................. 0.26% 0.27%
Ratio of Net Investment Income to
Average Net Assets ................. 6.22% 6.44%
Portfolio Turnover Rate .............. 30.84% 40.79%
- ----------------------------------------------------------------------------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Year Ended Oct. 22 to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1994 1993 1992 1991 1990
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period . $ 11.59 $ 11.20 $ 11.02 $ 10.27 $ 10.00
--------- ---------- ---------- ---------- ----------
Income From Investment Operations
- ---------------------------------
Net Investment Income .............. 0.69 0.55 0.76 0.84 0.09
Net Gain (Losses) on Securities
(Realized and Unrealized) ....... (1.22) 0.66 0.26 0.63 0.18
--------- ---------- ---------- ---------- ----------
Total From Investment Operations ... (0.53) 1.21 1.02 1.47 0.27
- ------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income .............. (0.68) (0.73) (0.78) (0.72) --
Net Realized Gains ................. (0.16) (0.09) (0.06) -- --
--------- ---------- ----------- ---------- ----------
Total Distributions ................ (0.84) (0.82) (0.84) (0.72) --
- ------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ....... $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27
==================================================================================================================
Total Return ......................... (4.72)% 12.84% 9.70% 14.94% 2.63%#
- ------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $60,827 $53,051 $40,160 $29,393 $25,567
Ratio of Expenses to Average Net
Assets ............................. 0.29% 0.32% 0.29% 0.28% 0.23%*
Ratio of Net Investment Income to
Average Net Assets ................. 6.45% 6.41% 7.05% 7.86% 8.73%*
Portfolio Turnover Rate .............. 27.15% 16.91% 17.91% 19.72% 0.00%*
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(Restated to reflect 900% stock dividend as of January 2, 1996)
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements
79
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA One-Year Fixed Income Portfolio
---------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 10.21 $ 10.05 $ 10.28 $ 10.35 $ 10.33
---------- ---------- ---------- ---------- ----------
Income From Investment Operations
- ---------------------------------
Net Investment Income ............. 0.56 0.60 0.46 0.35 0.43
Net Gain (Losses) on Securities
(Realized and Unrealized) ...... 0.03 0.17 (0.21) 0.11 0.06
---------- ---------- ---------- ---------- ----------
Total From Investment Operations .. 0.59 0.77 0.25 0.46 0.49
- --------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ............. (0.56) (0.60) (0.46) (0.38) (0.44)
Net Realized Gains ................ -- (0.01) (0.02) (0.15) (0.03)
---------- ---------- ---------- ---------- ----------
Total Distributions ............... (0.56) (0.61) (0.48) (0.53) (0.47)
- --------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ...... $ 10.24 $ 10.21 $ 10.05 $ 10.28 $ 10.35
========================================================================================================
Total Return ........................ 5.94% 7.80% 2.48% 4.62% 5.64%
- --------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $854,521 $704,950 $592,226 $608,400 $561,879
Ratio of Expenses to Average Net
Assets** .......................... 0.21% 0.20% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to
Average Net Assets ................ 5.39% 5.86% 4.47% 3.38% 4.81%
Portfolio Turnover Rate ............. N/A*** N/A*** N/A*** 61.95%(a) 125.56%
- --------------------------------------------------------------------------------------------------------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1991 1990 1989 1988 1987
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 10.19 $ 10.16 $ 10.12 $ 10.12 $ 10.27
---------- ---------- ---------- ---------- ----------
Income From Investment Operations
- ---------------------------------
Net Investment Income ............. 0.68 0.83 0.82 0.78 0.69
Net Gain (Losses) on Securities
(Realized and Unrealized) ...... 0.16 0.04 0.03 (0.04) (0.08)
---------- ---------- ---------- ---------- ----------
Total From Investment Operations .. 0.84 0.87 0.85 0.74 0.61
- --------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ............. (0.70) (0.84) (0.81) (0.74) (0.68)
Net Realized Gains ................ -- -- -- -- (0.08)
---------- ---------- ---------- ---------- ----------
Total Distributions ............... (0.70) (0.84) (0.81) (0.74) (0.76)
- --------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period ...... $ 10.33 $ 10.19 $ 10.16 $ 10.12 $ 10.12
========================================================================================================
Total Return ........................ 8.61% 8.88% 9.53% 7.61% 6.14%
- --------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) $469,276 $412,907 $360,146 $341,551 $342,436
Ratio of Expenses to Average Net
Assets** .......................... 0.21% 0.21% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets ................ 6.75% 8.27% 8.77% 7.70% 6.82%
Portfolio Turnover Rate ............. 82.26% 96.30% 0.00% 80.74% 162.18%
- --------------------------------------------------------------------------------------------------------
</TABLE>
(Restated to reflect 900% stock dividend as of January 2, 1996)
** Represents the combined ratios for The DFA One-Year Fixed Income
Portfolio and its pro-rata share of its Master Fund Series for the year
ended November 30, 1993 and subsequent years.
*** Refer to the respective Master Fund Series
(a) Portfolio turnover calculated for period December 1, 1992 to February 7,
1993 (through date of Exchange transaction, see respective Master Fund
Series for rate subsequent to Exchange transaction).
See accompanying Notes to Financial Statements
80
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
The DFA Five-Year Government Portfolio (1)
---------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1992
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $ 10.05 $ 9.75 $ 10.55 $ 10.88 $ 11.25
---------- ---------- ---------- ---------- ----------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income ....... 0.65 0.59 0.48 0.47 0.57
Net Gain (Losses) on
Securities (Realized and
Unrealized) .............. 0.09 0.30 (0.80) 0.49 0.31
---------- ---------- ---------- ---------- ----------
Total From Investment
Operations ............... 0.74 0.89 (0.32) 0.96 0.88
- --------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ....... (0.37) (0.59) (0.48) (0.73) (0.76)
Net Realized Gains .......... -- -- -- (0.56) (0.49)
---------- ---------- ---------- ---------- ----------
Total Distributions ......... (0.37) (0.59) (0.48) (1.29) (1.25)
- --------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.42 $ 10.05 $ 9.75 $ 10.55 $ 10.88
==================================================================================================
Total Return .................. 7.51% 9.35% (3.13)% 9.46% 8.59%
- --------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................. $174,386 $300,921 $235,554 $164,504 $83,543
Ratio of Expenses to Average
Net Assets ** ............... 0.30% 0.28% 0.31% 0.31% 0.31%
Ratio of Net Investment Income
to Average Net Assets ....... 5.63% 6.14% 5.08% 4.75% 5.82%
Portfolio Turnover Rate ....... 211.97% 398.09% 52.39% 152.10% 218.60%
- --------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA
Two-Year
Global
Fixed
Income
Portfolio
----------
Year Ended Year Ended Year Ended Year Ended May 31, to Feb. 9 to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1991 1990 1989 1988 1987 1996
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period ....................... $ 10.64 $ 10.46 $ 10.42 $ 10.33 $ 10.00 $ 10.00
-------- -------- -------- -------- -------- ----------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income ....... 0.81 0.76 0.85 0.62 0.38 0.24
Net Gain (Losses) on
Securities (Realized and
Unrealized) .............. 0.54 0.20 0.05 0.09 (0.05) 0.35
-------- -------- -------- -------- -------- ---------
Total From Investment
Operations ............... 1.35 0.96 0.90 0.71 0.33 0.59
- ----------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ....... (0.74) (0.78) (0.86) (0.58) -- (0.22)
Net Realized Gains .......... -- -- -- (0.04) -- --
-------- -------- -------- -------- -------- ---------
Total Distributions ......... (0.74) (0.78) (0.86) (0.62) -- (0.22)
- ----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 11.25 $ 10.64 $ 10.46 $ 10.42 $ 10.33 $ 10.37
================================================================================================================
Total Return .................. 13.44% 9.72% 9.33% 7.13% 3.26%# 6.01%#
- ----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................. $56,971 $52,260 $53,039 $ 4,863 $ 4,258 $ 319,343
Ratio of Expenses to Average
Net Assets ** ............... 0.30% 0.30% 0.30% 0.28% 0.27%* 0.33%*(a)
Ratio of Net Investment Income
to Average Net Assets ....... 7.16% 7.91% 8.49% 7.97% 7.50%* 3.10%*(a)
Portfolio Turnover Rate ....... 223.18% 165.50% 312.59% 253.31% 100.85%* N/A***
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Restated to reflect a 900% stock dividend as of January 2, 1996.
* Annualized
# Non-annualized
* Represents the combined ratio for The DFA Two-Year Global Fixed Income
Portfolio and its pro-rata share of its Master Fund Series.
*** Refer to the respective Master Fund Series
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
81
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA Global Fixed Income
Portfolio
----------------------------
Year Ended Year Ended
Nov. 30, Nov. 30,
1996 1995
- ------------------------------------------------------------------------------
<S> <C> <C>
Net Asset Value, Beginning of Period ........ $ 10.51 $ 9.81
-------- --------
Income From Investment Operations
- ---------------------------------
Net Investment Income ..................... 0.50 0.39
Net Gain (Losses) on Securities (Realized
and Unrealized) ........................ 0.61 1.08
-------- --------
Total From Investment Operations .......... 1.11 1.47
- ------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ..................... (0.58) (0.77)
Net Realized Gains ........................ -- --
-------- --------
Total Distributions ....................... (0.58) (0.77)
- ------------------------------------------------------------------------------
Net Asset Value, End of Period .............. $ 11.04 $ 10.51
==============================================================================
Total Return ................................ 11.13% 15.23%
- ------------------------------------------------------------------------------
Net Assets, End of Period (thousands) ....... $165,772 $208,166
Ratio of Expenses to Average Net Assets ..... 0.46% 0.46%
Ratio of Net Investment Income to Average Net
Assets .................................... 4.88% 5.80%
Portfolio Turnover Rate ..................... 97.78% 130.41%
- ------------------------------------------------------------------------------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended Year Ended Nov. 6 to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1994 1993 1992 1991 1990
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ........ $ 10.56 $ 10.36 $ 10.47 $ 10.02 $10.00
-------- -------- ------- ------- ------
Income From Investment Operations
- ---------------------------------
Net Investment Income ..................... 0.35 0.40 0.54 0.66 0.04
Net Gain (Losses) on Securities (Realized
and Unrealized) ........................ (0.65) 0.73 0.26 0.26 (0.02)
-------- -------- ------- ------- -------
Total From Investment Operations .......... (0.30) 1.13 0.80 0.92 0.02
- ------------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ..................... (0.44) (0.45) (0.64) (0.47) --
Net Realized Gains ........................ (0.01) (0.48) (0.27) -- --
-------- -------- ------- ------- ------
Total Distributions ....................... (0.45) (0.93) (0.91) (0.47) --
- ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .............. $ 9.81 $ 10.56 $ 10.36 $ 10.47 $10.02
========================================================================================================================
Total Return ................................ (2.91)% 11.42% 8.00% 11.00% 0.22%#
- ------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) ....... $135,529 $101,528 $54,607 $31,647 $8,474
Ratio of Expenses to Average Net Assets ..... 0.49% 0.52% 0.58% 0.67% 0.51%*
Ratio of Net Investment Income to Average Net
Assets .................................... 5.75% 5.09% 5.52% 6.74% 6.92%*
Portfolio Turnover Rate ..................... 113.55% 139.57% 210.39% 194.25% 0.00%*
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
(Restated to reflect a 900% stock dividend as of January 2, 1996)
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements
82
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
At November 30, 1996, DFA Investment Dimensions Group Inc. (the "Fund")
consisted of twenty-nine portfolios: The U.S. 9-10 Small Company Portfolio,
The U.S. 6-10 Small Company Portfolio, The U.S. Large Company Portfolio, The
Enhanced U.S. Large Company Portfolio, The U.S. Small Cap Value Portfolio,
The U.S. Large Cap Value Portfolio, The DFA/AEW Real Estate Securities
Portfolio, The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The United Kingdom Small Company Portfolio, The
Continental Small Company Portfolio, The International Small Company
Portfolio, The RWB/DFA International High Book to Market Portfolio, The
Emerging Markets Portfolio, The Large Cap International Portfolio, The DFA
International Small Cap Value Portfolio, The DFA Intermediate Government
Fixed Income Portfolio, The DFA One-Year Fixed Income Portfolio, The DFA
Two-Year Corporate Fixed Income Portfolio, The DFA Two-Year Government
Portfolio, The DFA Five-Year Government Portfolio, The DFA Two-Year Global
Fixed Income Portfolio, The DFA Global Fixed Income Portfolio, (the
"Portfolios"), and VA Small Value Portfolio, VA Large Value Portfolio, VA
International Value Portfolio, VA International Small Portfolio, VA
Short-Term Fixed Portfolio and VA Global Bond Portfolio (the "VA
Portfolios"). The VA Portfolios are only available through a select group of
insurance products. At November 30, 1996, The DFA Two-Year Corporate Fixed
Income Portfolio and The DFA Two-Year Government Portfolio had not yet
commenced operations. These financial statements relate solely to the
Portfolios.
On June 1, 1996, pursuant to an amendment to the organization document of
the U.S. Large Company Series ("the Series") which resulted in the
reorganization of the Series from an entity taxed as a corporation to an
entity taxed as a partnership for income tax purposes, the U.S. Large Company
Portfolio ("this Portfolio") redeemed its shares invested in the Series in
exchange for the assets of the Series valued at $130,671,442. These assets
were immediately contributed to the Series from this Portfolio, along with a
nominal contribution from the Advisor, to create the partnership in exchange
for an interest in the Series. At the time of this event, this Portfolio had
$37,143,056 of unrealized appreciation on its investment in the Series.
Immediately following the reorganization, this Portfolio owned 99.9% of the
Series. This transaction is expected to be a tax-free event to the
shareholders of this Portfolio based on rulings obtained from the Internal
Revenue Service. Subsequent to the reorganization, an unrelated investment
company became a partner of the Series and reduced this Portfolio's
percentage of ownership to 36.6%.
On August 9, 1996, The Japanese Small Company Portfolio, The Pacific Rim
Small Company Portfolio, The United Kingdom Small Company Portfolio and The
Continental Small Company Portfolio each transferred their investable assets
in exchange for assets of a corresponding series of The DFA Investment Trust
Company (the "Transfer"). At the same time, the Advisor also made a nominal
contribution to each series. Each corresponding series (The Japanese Small
Company Series, The Pacific Rim Small Company Series, The United Kingdom
Small Company Series and The Continental Small Company Series) is taxed as a
partnership for federal income tax purposes. The Transfer is not expected to
have any adverse tax effects on the Portfolios. In the opinion of counsel to
the Fund, the Transfer was a tax-free event and therefore resulted in no
recognition of taxable gain (loss) for each Portfolio.
83
<PAGE>
The following Portfolios (the "Feeder Funds") invest in a corresponding
series of The DFA Investment Trust Company (the "Master Funds"):
<TABLE>
<CAPTION>
Percentage
Ownership
Portfolios (Feeder Funds) Corresponding Series (Master Funds) at 11/30/96
---------------------------------------------- ----------------------------------------------- ---------------
<S> <C> <C>
The U.S. 6-10 Small Company Portfolio The U.S. 6-10 Small Company Series 87%
The U.S. Large Company Portfolio The U.S. Large Company Series 40%
The Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
The U.S. Small Cap Value Portfolio The U.S. Small Cap Value Series 97%
The U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 55%
The Japanese Small Company Portfolio The Japanese Small Company Series 89%
The Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 93%
The United Kingdom Small Company Portfolio The United Kingdom Small Company Series 91%
The Continental Small Company Portfolio The Continental Small Company Series 89%
The International Small Company Portfolio The Japanese Small Company Series 11%
The Pacific Rim Small Company Series 7%
The United Kingdom Small Company Series 9%
The Continental Small Company Series 11%
The RWB/DFA International High Book to
Market Portfolio The DFA International Value Series 19%
The Emerging Markets Portfolio The Emerging Markets Series 99%
The DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 99%
The DFA Two-Year Global Fixed Income
Portfolio The DFA Two-Year Global Fixed Income Series 100%
</TABLE>
Each Feeder Fund, with the exception of The International Small Company
Portfolio, invests solely in a corresponding Master Fund. The International
Small Company Portfolio also invests in short term temporary cash investments
from time to time.
The financial statements of the Master Funds are included elsewhere in
this report and should be read in conjunction with the financial statements
of the Feeder Funds.
On December 20, 1995, the Board of Directors of DFA Investment Dimensions
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 The DFA One-Year Fixed Income Portfolio, The DFA Five-Year Government
Portfolio, The DFA Global Fixed Income Portfolio and The DFA Intermediate
Government Fixed Income 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. Additionally,
on this date, the Board approved an amendment to increase the authorized
number of shares of each of these portfolios to 100,000,000. All share and
per share data as of and for the period ended November 30, 1995 and all prior
periods 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 state-
84
<PAGE>
ments. 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 The U.S. 9-10 Small Company
Portfolio and The DFA/AEW Real Estate Securities Portfolio (the "Domestic
Equity Portfolios") which are listed on a securities exchange and for which
market quotations are readily available are valued at the last quoted sale
price of the day, or if there is no such reported sale, at the mean between
the most recent bid and asked prices. Securities held by The Large Cap
International Portfolio and The DFA International Small Cap Value 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 The DFA Intermediate Government Fixed Income Portfolio,
The DFA Five-Year Government Portfolio and The DFA Global Fixed Income
Portfolio (the "Fixed Income Portfolios"), are valued on the basis of prices
provided by a pricing service when such prices are believed to reflect the
fair market value of such securities. Securities for which quotations are not
readily available are valued in good faith at fair value using methods
determined by the Board of Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for The U.S. Large Company Portfolio, The Japanese
Small Company Portfolio, The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Continental Small Company Portfolio, The
International Small Company Portfolio and The Emerging Markets Portfolio
their investment reflects their proportionate interest in the net assets of
the corresponding Master Fund.
2. Foreign Currency: Securities, other assets and liabilities of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio
whose values are initially expressed in foreign currencies are translated to
U.S. dollars at the bid price of such currency against U.S. dollars last
quoted by a major bank. Dividend and interest income and certain expenses are
translated to U.S. dollars at the rate of exchange on their respective
accrual dates. Receivables and payables denominated in foreign currencies are
marked to market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The DFA Global
Fixed Income Portfolio also enters into forward foreign currency contracts
solely for the purpose of hedging against fluctuations in currency exchange
rates.
The International Equity Portfolios do not isolate the effect of
fluctuation in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, The DFA
Global Fixed Income Portfolio does isolate the effect of fluctuations in
foreign currency rates when determining the realized gain or loss upon the
sale or maturity of foreign currency denominated debt obligations pursuant to
U.S. Federal income tax regulations; such amounts are categorized as foreign
exchange 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 amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio and
the U.S. dollar equivalent amounts actually received or paid.
3. Federal Income Taxes: It is each Portfolio's intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
4. 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
85
<PAGE>
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount
and premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a Portfolio are
directly charged. Common expenses are allocated using methods determined by
the Board of Directors.
The U.S. Large Company Portfolio, The Japanese Small Company Portfolio,
The Pacific Rim Small Company Portfolio, The United Kingdom Small Company
Portfolio, The Continental Small Company Portfolio, The International Small
Company Portfolio and The Emerging Markets Portfolio each accrue their
respective share of income, net of expenses daily on their investment in
their corresponding Master Fund, which are treated as partnerships for
federal income tax purposes. All of the net investment income and realized
and unrealized gains and losses from the security transactions and foreign
currency of the Master Funds are allocated pro rata among its investors at
the time of such determination.
Certain prior period amounts have been restated to conform with current
period presentation.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to all Portfolios except the Feeder Funds. The Advisor
provides administrative services to the Feeder Funds, including supervision
of services provided by others, providing information to shareholders and the
Board of Directors, and other administrative services.
For the period ended November 30, 1996, the Portfolios' advisory fees were
computed daily and paid monthly to the Advisor based on the following
effective annual rates:
<TABLE>
<CAPTION>
<S> <C>
The U.S. 9-10 Small Company Portfolio .................... .50 of 1%
The DFA/AEW Real Estate Securities Portfolio ............. .325 of 1%
The Large Cap International Portfolio .................... .25 of 1%
The DFA International Small Cap Value Portfolio .......... .65 of 1%
The DFA Intermediate Government Fixed Income Portfolio ... .15 of 1%
The DFA Five-Year Government Portfolio ................... .20 of 1%
The DFA Global Fixed Income Portfolio .................... .25 of 1%
</TABLE>
In addition, pursuant to a Sub-Advisory agreement with Aldrich, Eastman &
Waltch L.P., (the "Sub-Advisor"), The DFA/AEW Real Estate Securities
Portfolio pays to the Sub-Advisor a fee at the effective annual rate of .175%
of the average net assets of the Portfolio.
For the period ended November 30, 1996, the Feeder Funds computed daily
and paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
<TABLE>
<CAPTION>
<S> <C>
The U.S. 6-10 Small Company Portfolio ..................... .32 of 1%
The U.S. Large Company Portfolio .......................... .215 of 1%
The Enhanced U.S. Large Company Portfolio ................. .15 of 1%
The U.S. Small Cap Value Portfolio ........................ .30 of 1%
The U.S. Large Cap Value Portfolio ........................ .15 of 1%
The Japanese Small Company Portfolio ...................... .40 of 1% (a)
The Pacific Rim Small Company Portfolio ................... .40 of 1% (a)
The United Kingdom Small Company Portfolio ................ .40 of 1% (a)
The Continental Small Company Portfolio ................... .40 of 1% (a)
The International Small Company Portfolio ................. .40 of 1%
The RWB/DFA International High Book to Market Portfolio ... .01 of 1% (b)
The Emerging Markets Portfolio ............................ .40 of 1%
The DFA One-Year Fixed Income Portfolio ................... .10 of 1%
The DFA Two-Year Global Fixed Income Portfolio ............ .10 of 1%
</TABLE>
(a) For the period December 1, 1995 to August 8, 1996, the advisory fee was
computed daily and paid monthly to the Advisor at an effective annual ratio
of .50 of 1%. The administrative fee rate of .40 of 1% became effective on
August 9, 1996 in connection with the Transfer.
86
<PAGE>
(b) For the period December 1, 1995 to February 7, 1996, the administrative
fee was computed daily and paid monthly to the Advisor at an effective annual
rate of .20 of 1% of the first $40 million of average net assets. The rate of
.01 of 1% became effective on February 8, 1996.
Effective February 8, 1996 pursuant to a Client Service Agreement with
Reinhardt Werba Bowen Advisory Services, ("RWBAS"), The RWB/DFA International
High Book to Market Portfolio pays to RWBAS a fee at the effective annual
rate of .13% of the average net assets of the portfolio. Prior to that time
the effective annual rate was .20% of the average net assets of the Portfolio
in excess of $40 million.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct expenses of The U.S. Large Company
Portfolio to the extent necessary to keep the annual combined expenses of the
Portfolio and its respective Master Fund to not more than 0.15% of the
average daily net assets of the Portfolio. Prior to that date, the Advisor
agreed to waive its fees and reimburse the Portfolio to the extent necessary
to keep the annual combined expenses to not more than 0.24% of average daily
net assets.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct expenses of The Japanese Small Company
Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small
Company Portfolio and The Continental Small Company Portfolio to the extent
necessary to keep the direct annual expenses of each Portfolio to not more
than 0.47% of the average daily net assets of the Portfolio.
The Advisor has agreed to waive its administrative service fee and/or
assume the direct expenses of The International Small Company Portfolio to
the extent necessary to keep the direct annual expenses of the Portfolio to
not more than 0.45% of the average daily net assets of the Portfolio.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the period ended November 30, 1996, the Portfolios made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
------------------------ -------------------------
Purchases Sales Purchases Sales
----------- --------- ----------- ----------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio .......... -- -- $333,158 $254,591
The DFA/AEW Real Estate Securities Portfolio ... -- -- 15,476 5,434
The Japanese Small Company Portfolio (a) ....... -- -- 12,081 53,346
The Pacific Rim Small Company Portfolio (a) .... -- -- 10,416 26,410
The United Kingdom Small Company Portfolio (a) . -- -- 4,658 25,421
The Continental Small Company Portfolio (a) .... -- -- 8,935 36,289
The Large Cap International Portfolio .......... -- -- 18,129 12,427
The DFA International Small Cap Value Portfolio -- -- 257,481 39,986
The DFA Intermediate Government Fixed Income
Portfolio ..................................... $ 57,831 $ 25,750 -- --
The DFA Five-Year Government Portfolio ......... 418,162 253,248 -- --
The DFA Global Fixed Income Portfolio .......... 8,391 -- 132,205 176,839
</TABLE>
(a) Purchases and sales of investment securities are presented for the period
December 1, 1995 to August 8, 1996, (through date of Transfer
transaction, see respective Master Fund Series for activity subsequent to
Transfer transaction).
87
<PAGE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1996, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities
and foreign currencies for each Portfolio were as follows:
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio ................. $398,136 $(139,826) $258,310
The U.S. 6-10 Small Company Portfolio ................. 67,563 -- 67,563
The U.S. Large Company Portfolio ...................... 57,788 (302) 57,486
The Enhanced U.S. Large Company Portfolio ............. 4,091 -- 4,091
The U.S. Small Cap Value Portfolio .................... 271,744 -- 271,744
The U.S. Large Cap Value Portfolio .................... 120,915 -- 120,915
The DFA/AEW Real Estate Securities Portfolio .......... 11,640 (1,249) 10,391
The Japanese Small Company Portfolio .................. 16,207 (52,581) (36,374)
The Pacific Rim Small Company Portfolio ............... 58,117 (27,854) 30,263
The United Kingdom Small Company Portfolio ............ 67,319 (34,986) 32,333
The Continental Small Company Portfolio ............... 83,764 (55,416) 28,348
The International Small Company Portfolio ............. 1,511 (2,069) (558)
The RWB/DFA International High Book to Market Portfolio 38,806 -- 38,806
The Emerging Markets Portfolio ........................ 18,182 (14,741) 3,441
The Large Cap International Portfolio ................. 21,577 (1,274) 20,303
The DFA International Small Cap Value Portfolio ....... 27,066 (37,568) (10,502)
The DFA Intermediate Government Fixed Income Portfolio 3,195 (99) 3,096
The DFA One-Year Fixed Income Portfolio ............... 5,177 -- 5,177
The DFA Five-Year Government Portfolio ................ 3,232 -- 3,232
The DFA Two-Year Global Fixed Income Portfolio ........ 9,563 -- 9,563
The DFA Global Fixed Income Portfolio ................. 3,457 -- 3,457
</TABLE>
At November 30, 1996, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
Expires on November 30
----------------------------------------
(Amounts in thousands)
2002 2003 2004 Total
-------- -------- ------ --------
<S> <C> <C> <C> <C>
The DFA/AEW Real Estate Securities Portfolio ......... $1,013 -- $381 $ 1,394
The International Small Company Portfolio ............ -- -- 74 74
The Emerging Markets Portfolio ....................... -- -- 126 126
The DFA Intermediate Government Fixed Income Portfolio -- -- 28 28
The DFA Five-Year Government Portfolio ............... 2,306 $8,152 887 11,345
</TABLE>
88
<PAGE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
At November 30, 1996 Net Assets Consist of:
----------------------------------------------------------------
(Amounts in thousands, except share amounts)
Unrealized
Undistri- Appreciation
buted Net (Depreciation) Unreali-
Undistri- Undistri- Realized of Investment zed Net
buted Net buted Net Foreign Securities Foreign
Investment Realized Exchange and Exchange Number of
Paid-In Income Gain Gain Foreign Gain Total Net Shares
Capital (Loss) (Loss) (Loss) Currency (Loss) Assets Authorized
---------- ------------ ----------- ----------- --------------- ---------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
The U.S. 9-10 Small
Company Portfolio .. $809,233 $7,046 $106,270 -- $259,255 -- $1,181,804 300,000,000
The U.S. 6-10 Small
Company Portfolio .. 154,927 1,466 8,891 -- 68,910 -- 234,194 100,000,000
The U.S. Large Company
Portfolio .......... 128,002 832 486 -- 58,437 -- 187,757 200,000,000
The Enhanced U.S. Large
Company Portfolio .. 24,844 300 1 -- 4,091 -- 29,236 100,00,000
The U.S. Small Cap Value
Portfolio .......... 914,646 6,518 13,100 -- 273,034 -- 1,207,298 100,000,000
The U.S. Large Cap Value
Portfolio .......... 410,888 2,386 5,488 -- 122,387 -- 541,149 100,000,000
The DFA/AEW Real Estate
Securities Portfolio . 54,247 2,919 (1,393) -- 8,617 -- 64,390 100,000,000
The Japanese Small
Company Portfolio .. 312,967 1,117 13,659 $ (141) (33,469) $(13) 294,120 20,000,000
The Pacific Rim Small
Company Portfolio .. 170,097 3,341 11,848 (15) 30,263 8 215,542 20,000,000
The United Kingdom Small
Company Portfolio .. 118,049 4,294 12,118 (13) 32,333 8 166,789 20,000,000
The Continental Small
Company Portfolio .. 247,571 6,471 17,044 (82) 28,348 (27) 299,325 50,000,000
The International Small
Company Portfolio .. 104,662 85 (75) 11 (558) (7) 104,118 100,000,000
The RWB/DFA
International High
Book to Market
Portfolio .......... 213,711 3,972 882 -- 38,806 -- 257,371 100,000,000
The Emerging Markets
Portfolio .......... 157,532 1,251 (127) (78) 3,441 6 162,025 100,000,000
The Large Cap
International
Portfolio .......... 57,503 1,107 (125) 5 20,832 -- 79,322 150,000,000
The DFA International
Small Cap Value
Portfolio .......... 370,818 3,970 10,835 8 (10,117) (26) 375,488 100,000,000
The DFA Intermediate
Government Fixed
Income Portfolio ... 103,330 1,546 (28) -- 3,096 -- 107,944 100,000,000
The DFA One-Year Fixed
Income Portfolio ... 849,206 65 (3,602) -- 8,852 -- 854,521 100,000,000
The DFA Five-Year
Government Portfolio . 177,507 4,991 (11,344) -- 3,232 -- 174,386 100,000,000
The DFA Two-Year Global
Fixed Income Portfolio 309,181 623 (24) -- 9,563 -- 319,343 100,000,000
The DFA Global Fixed
Income Portfolio ... 153,205 (595) 1,370 7,527 3,457 808 165,772 100,000,000
</TABLE>
89
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest, either directly or through its investment in a
corresponding Master Fund, in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments
and their significant corresponding risks are described below:
1. Repurchase Agreements. The Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry
system or with the Fund's custodian or a third party sub-custodian. All open
repurchase agreements were entered into on November 29, 1996.
2. Forward Foreign Currency Contracts: The DFA Global Fixed Income
Portfolio may enter into forward foreign currency contracts to hedge against
adverse changes in the relationship of the U.S. dollar to foreign currencies.
At November 30, 1996, The DFA Global Fixed Income 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
Value at Foreign
Expiration Currency Contract November 30, Exchange
Date Sold Amount 1996 Gain (Loss)
------------ --------------- -------------- -------------- ------------
<S> <C> <C> <C> <C> <C>
12/09/96 29,242,528 French Francs $ 5,702,521 $ 5,594,983 $107,538
12/09/96 135,509,145 French Francs 26,160,067 25,934,810 225,257
12/30/96 3,594,187,919 Japanese Yen 31,736,759 31,569,739 167,020
12/30/96 50,253,930 German Marks 32,921,015 32,699,449 221,566
12/31/96 16,696,608 Netherland Guilder 9,741,312 9,681,354 59,958
12/31/96 46,666,727 Canadian Dollar 34,657,799 34,597,140 60,659
12/31/96 4,767,051 British Pound Sterling 7,982,427 8,012,066 (29,639)
-------------- -------------- ------------
$148,901,900 $148,089,541 $812,359
============== ============== ============
</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. The DFA Global Fixed Income Portfolio will enter into forward
contracts only for hedging purposes.
3. Foreign Market 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.
H. LINE OF CREDIT
In July, 1996, the Fund, 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 between 25% and 33 1/3
% of its net assets as determined by its investment policies, up to a maximum
of $50 million per portfolio. 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 year ended November 30, 1996.
I. REIMBURSEMENT FEES:
Shares of the Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The Continental Small Company Portfolio, The International
Small Company Portfolio, The Emerging Markets Portfolio and The DFA
International Small Cap Value Portfolio are sold at a public offering price
which is equal to the current net asset value of such shares plus a
reimbursement fee. Reimbursement fees are recorded as an addition to paid in
capital.
90
<PAGE>
The reimbursement fees for The Japanese Small Company Portfolio and The
Emerging Markets Portfolio are .50% of the net asset value of their shares.
The reimbursement fees for The Pacific Rim Small Company Portfolio and The
Continental Small Company Portfolio are 1.00% of the net asset value of their
shares. The reimbursement fee for The DFA International Small Cap Value
Portfolio is .70% of the net asset value of its shares. The current
reimbursement fee for The International Small Company Portfolio is .675% of
the net asset value of its shares.
J. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on
loan. 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 Portfolio
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 by each Portfolio at November 30, 1996, is as follows:
<TABLE>
<CAPTION>
Value
of Securities Value of
on Loan Collateral
--------------- -------------
<S> <C> <C>
Domestic Equity Portfolio
- -------------------------
The U.S. 9-10 Small Company Portfolio ......... $23,277,334 $23,742,881
International Equity Portfolios
- -------------------------------
The Large Cap International Portfolio ......... 2,599,617 2,741,572
The DFA International Small Cap Value Portfolio 26,575,690 28,317,277
</TABLE>
K. SUBSEQUENT EVENTS
Effective December 11, 1996, the sub-advisory agreement between The
DFA/AEW Real Estate Securities Portfolio and Aldrich, Eastman & Waltch L.P.
terminated. Effective December 20, 1996, the advisory fee for The DFA/AEW
Real Estate Securities Portfolio was reduced from .325% to .30% and the name
of the portfolio was changed to the DFA Real Estate Securities Portfolio.
91
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DFA INVESTMENT DIMENSIONS GROUP INC.:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments of DFA Investment Dimensions Group
Inc. (comprising, respectively, The U.S. 9-10 Small Company, The U.S. 6-10
Small Company, The U.S. Large Company, The Enhanced U.S. Large Company, The
U.S. Small Cap Value, The U.S. Large Cap Value, The DFA/AEW Real Estate
Securities, The Japanese Small Company, The Pacific Rim Small Company, The
United Kingdom Small Company, The Continental Small Company, The
International Small Company, The RWB/DFA International High Book to Market,
The Emerging Markets, The Large Cap International, The DFA International
Small Cap Value, The DFA Intermediate Government Fixed Income, The DFA
One-Year Fixed Income, The DFA Five-Year Government, The DFA Two-Year Global
Fixed Income, and The DFA Global Fixed Income Portfolios) as of November 30,
1996, and the related statements of operations for the year (or period) then
ended, the statement of changes in net assets for each of the two years (or
periods) in the period then ended and the financial highlights for each of
the four years (or periods) in the period then ended. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The financial
highlights of the DFA Investment Dimensions Group Inc. for the years ended
November 30, 1992 and each of the prior periods presented were audited by
other auditors, whose report dated January 19, 1993 expressed an unqualified
opinion thereon.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1996, by correspondence with the
custodians and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
each of the aforementioned portfolios constituting the DFA Investment
Dimensions Group Inc. as of November 30, 1996, and the results of their
operations for the year (or period) then ended, the changes in their net
assets for each of the two years (or periods) in the period then ended and
their financial highlights for each of the four years (or periods) in the
period then ended, in conformity with generally accepted accounting
principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 17, 1997
92
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
U.S. 6-10 Small Company Series vs.
CRSP 6-10 Index
March 1993-November 1996
The following reflects the growth of a $10,000 investment.
U.S. 6-10
Small Company
Series CRSP 6-10 Index
------------- ---------------
2/28/93 10000 10000
3/31/93 10237 10313
4/30/93 9927.8426 10001.5474
5/31/93 10329.92023 10457.61796
6/30/93 10288.60054 10497.35691
7/31/93 10370.90935 10622.27546
8/31/93 10721.44608 11111.96236
9/30/93 11009.85298 11431.98687
10/31/93 11247.66581 11785.23527
11/30/93 10974.34753 11422.25002
12/31/93 11289.3113 11768.3442
1/31/94 11639.27995 12174.35207
2/28/94 11548.49357 12102.52339
3/31/94 10995.32073 11442.93587
4/30/94 11018.4109 11397.16412
5/31/94 10962.21701 11294.58965
6/30/94 10646.50516 11002.05978
7/31/94 10804.07343 11192.39541
8/31/94 11322.66896 11832.60043
9/30/94 11379.2823 11875.19779
10/31/94 11424.79943 11863.32259
11/30/94 11038.64121 11404.21201
12/31/94 11177.72809 11553.60718
1/31/95 11251.5011 11573.24832
2/28/95 11620.55033 11995.67188
3/31/95 11841.34079 12251.17969
4/30/95 12234.4733 12570.93548
5/31/95 12480.38622 12794.69813
6/30/95 13119.38199 13503.52441
7/31/95 13931.47173 14365.04927
8/31/95 14336.87756 14737.10404
9/30/95 14594.94136 15052.47807
10/31/95 13844.76137 14284.80169
11/30/95 14258.71974 14791.91215
12/31/95 14598.07727 15117.33421
1/31/96 14638.95188 15217.10862
2/29/96 15135.21235 15731.44689
3/31/96 15469.70055 16086.97759
4/30/96 16501.52957 17296.71831
5/31/96 17359.60911 18132.1498
6/30/96 16568.01093 17312.57663
7/31/96 15187.89562 15714.62581
8/31/96 16085.50025 16637.07434
9/30/96 16595.41061 17289.24765
10/31/96 16354.77716 16960.75195
11/30/96 16992.61347 17488.23133
<PAGE>
Annualized One From
Total Return(%) Year March 1993
- ----------------------------------------------------------------------------
19.17 15.19
* The portfolio seeks to capture premium returns and diversification benefits
by investing in a broad cross-section of small companies on a market
cap-weighted basis. The U.S. 6-10 Small Company Series provides access to
publicly traded U.S. Small Companies with market capitalization of
approximately $500 million or less.
* This portfolio's returns in fiscal 1996 reflected the performance of decile
6-10 companies in the U.S.
Past performance is not predictive of future performance.
CRSP 6-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago.
<PAGE>
U.S. Large Company Series vs.
S&P 500 Index
March 1993-November 1996
The following reflects the growth of a $10,000 investment.
U.S. Large
Company Series S&P 500 Index
-------------- -------------
2/28/93 10000 10000
3/31/93 10212 10215
4/30/93 9958.7424 9964.7325
5/31/93 10221.6532 10233.78028
6/30/93 10243.11867 10267.55175
7/31/93 10202.1462 10219.29426
8/31/93 10579.62561 10608.64937
9/30/93 10508.74211 10530.14537
10/31/93 10724.17133 10743.90732
11/30/93 10621.21928 10642.91459
12/31/93 10756.10877 10773.82244
1/31/94 11108.90914 11134.74549
2/28/94 10807.8577 10834.10736
3/31/94 10349.60453 10362.82369
4/30/94 10485.18435 10497.5404
5/31/94 10651.89878 10668.65031
6/30/94 10400.51397 10405.13464
7/31/94 10736.45057 10749.5446
8/31/94 11176.64505 11187.05107
9/30/94 10912.87622 10917.44314
10/31/94 11155.14207 11167.45258
11/30/94 10759.13453 10757.60707
12/31/94 10918.36972 10914.66814
1/31/95 11196.78815 11198.44951
2/28/95 11635.70225 11632.94935
3/31/95 11977.79189 11977.28465
4/30/95 12321.55452 12325.82363
5/31/95 12815.64885 12812.69367
6/30/95 13118.09817 13113.79197
7/31/95 13550.99541 13550.48124
8/31/95 13583.5178 13587.06754
9/30/95 14158.1006 14156.36567
10/31/95 14104.29982 14106.81839
11/30/95 14713.60557 14727.5184
12/31/95 14996.1068 14999.97749
1/31/96 15511.97287 15515.97671
2/29/96 15643.82464 15664.93009
3/31/96 15797.13412 15815.31342
4/30/96 16027.77228 16047.79853
5/31/96 16420.4527 16461.83173
6/30/96 16487.77656 16529.32524
7/31/96 15767.26072 15793.77027
8/31/96 16088.91284 16128.5982
9/30/96 16988.28307 17035.02541
10/31/96 17453.76202 17501.78511
11/30/96 18775.01181 18830.1706
<PAGE>
Annualized One From
Total Return(%) Year March 1993
- ----------------------------------------------------------------------------
27.60 18.29
* The portfolio provides access to U.S. large companies in a portfolio
structured to approximate the performance of the S&P 500 Index.
* This portfolio's returns in fiscal 1996 reflected the performance of S&P 500
companies.
Past performance is not predictive of future performance.
<PAGE>
Enhanced U.S. Large Company Series vs.
S&P 500 Index
August 1996-November 1996
The following reflects the growth of a $10,000 investment.
Enhanced U.S. Large Company Series S&P 500 Index
---------------------------------- -------------
7/31/96 10000 10000
8/31/96 10202 10212
9/30/96 10809.019 10785.9144
10/31/96 11183.01106 11081.44845
11/30/96 12027.32839 11922.53039
Annualized From
Total Return(%) August 1996
- -------------------------------------------------------------------------------
20.27
* The portfolio seeks to capture return premiums by investing in an enhanced
cash portfolio in combination with the S&P 500 Index futures and swaps.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
93
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
U.S. Small Cap Value Series vs.
Fama-French Small Cap Value Index
April 1993-November 1996
The following reflects the growth of a $10,000 investment.
U.S. Small Cap Fama-French
Value Series Small Cap Value Index
-------------- ---------------------
3/31/93 10000 10000
4/30/93 9788 9687
5/31/93 10050.3184 10081.2609
6/30/93 10060.36872 10069.16339
7/31/93 10363.18582 10209.12476
8/31/93 10706.20727 10535.81675
9/30/93 11078.78328 10726.51503
10/31/93 11452.13828 11155.57563
11/30/93 11259.74235 10978.20198
12/31/93 11486.06318 11257.04831
1/31/94 12078.74403 11790.6324
2/28/94 12048.54717 11719.88861
3/31/94 11649.74026 11234.68522
4/30/94 11731.28845 11316.69842
5/31/94 11772.34795 11279.35332
6/30/94 11558.09122 11046.99864
7/31/94 11752.26715 11319.85951
8/31/94 12161.24605 11726.24246
9/30/94 12119.89781 11675.81962
10/31/94 11946.58328 11477.33069
11/30/94 11545.17808 11096.28331
12/31/94 11664.09341 11188.38246
1/31/95 11788.89921 11369.63425
2/28/95 12205.04735 11831.2414
3/31/95 12350.28742 11968.4838
4/30/95 12787.48759 12344.2942
5/31/95 13151.93099 12607.22766
6/30/95 13672.74746 13023.26618
7/31/95 14422.01402 13546.80148
8/31/95 14879.19186 13981.6538
9/30/95 15066.66968 14215.14742
10/31/95 14338.94953 13581.15185
11/30/95 14872.35846 13962.78221
12/31/95 15132.62473 14181.99789
1/31/96 15088.74012 14381.96406
2/29/96 15414.6569 14606.3227
3/31/96 15849.35023 15098.55578
4/30/96 16675.10137 15619.45595
5/31/96 17327.09784 16233.30057
6/30/96 16968.42691 15975.19109
7/31/96 15914.6876 15123.71341
8/31/96 16643.58029 15749.83514
9/30/96 17209.46202 16151.45594
10/31/96 17340.25394 16104.61672
11/30/96 18165.65002 16842.20816
<PAGE>
Annualized One From
Total Return(%) Year April 1993
- ----------------------------------------------------------------------------
22.14 17.68
* Dimensional's multifactor portfolios attempt to capture return premiums
associated with high book-to-market ratios and small market capitalization.
The U.S. Small Cap Value Series invests on a market cap-weighted basis in
companies that have a market cap of approximately $600 million or less and
have book-to-market ratios in the upper 30% of publicly traded U.S.
companies.
* This portfolio's returns in fiscal 1996 reflected the performance of small
cap high book-to-market U.S. companies.
Past performance is not predictive of future performance.
Fama-French Small Cap Value Index courtesy of
Fama-French and CRSP, University of Chicago.
<PAGE>
U.S. Large Cap Value Series vs.
Fama-French Large Cap Value Index
March 1993-November 1996
The following reflects the growth of a $10,000 investment.
U.S. Large Fama-French
Cap Value Large Cap
Series Value Index
- ----------------------------------------------------
2/28/93 10000 10000
3/31/93 10298 10302
4/30/93 10268.1358 10247.3994
5/31/93 10379.03167 10333.47755
6/30/93 10600.10504 10500.87989
7/31/93 10750.62653 10622.6901
8/31/93 11011.86676 10979.61249
9/30/93 10820.26028 10868.7184
10/31/93 10951.18543 10906.75891
11/30/93 10849.3394 10742.06685
12/31/93 11109.72355 11018.13797
1/31/94 11428.57261 11241.80617
2/28/94 10914.28684 10748.29088
3/31/94 10472.25823 10273.21643
4/30/94 10636.67268 10418.06878
5/31/94 10564.34331 10290.96834
6/30/94 10344.60497 10097.49813
7/31/94 10802.87097 10541.78805
8/31/94 11115.07394 10821.14543
9/30/94 10790.51378 10422.92728
10/31/94 11000.9288 10620.9629
11/30/94 10508.08719 10372.43237
12/31/94 10635.23504 10403.54967
1/31/95 10879.84545 10809.2881
2/28/95 11495.6447 11311.92
3/31/95 11671.52806 11354.9053
4/30/95 12098.70599 11718.26226
5/31/95 12729.04857 12346.36112
6/30/95 13007.81474 12550.07608
7/31/95 13577.55702 12926.57836
8/31/95 13986.24149 13163.13475
9/30/95 14470.16544 13694.92539
10/31/95 13875.44165 13395.00652
11/30/95 14634.4283 13886.60326
12/31/95 14739.79619 14233.76835
1/31/96 15158.4064 14571.10866
2/29/96 15384.26665 14568.19443
3/31/96 15919.63913 14807.11282
4/30/96 16180.72122 14823.40065
5/31/96 16454.1754 15047.234
6/30/96 15975.3589 15044.22455
7/31/96 15266.05296 14212.27893
8/31/96 15872.11527 14675.59923
9/30/96 16189.55757 14961.77341
10/31/96 16718.9561 15413.61897
11/30/96 17924.39284 16281.40572
<PAGE>
Annualized One From
Total Return (%) Year March 1993
- -----------------------------------------------
22.48 16.84
* The series' multifactor portfolios attempt to capture return premiums
associated with high book-to-market ratios and capitalization. The U.S.
Large Cap Value Series invests on a market cap-weighted basis in companies
that have market caps of approximately $600 million or larger and book-to-
market ratios in the upper 30% of publicly traded companies, and is invested
on a market cap-weighted basis.
* This portfolio's returns in fiscal 1996 reflected the performance of large
cap high book-to-market U.S. companies.
Past performance is not predictive of future performance.
Fama-French Large Cap Value Index courtesy of
Fama-French and CRSP, University of Chicago.
<PAGE>
Japanese Small Company Series vs.
Japanese Large Company Stocks
September 1996-November 1996
The following reflects the growth of a $10,000 investment.
Japanese Small Japanese Large
Company Series Company Stocks
-------------- --------------
8/31/96 10000 10000
9/30/96 10050 10339
10/31/96 9344.49 9657.6599
11/30/96 9056.679708 9845.984268
Annualized From
Total Return(%) September 1996
- -----------------------------------------------
-20.55
* The portfolio's objective is to capture premium returns and diversification
benefits by investing in a board cross-section of small companies on a market
cap-weighted basis. The Japanese Small Company Series provides access to
publicly traded small companies listed on the lower half of companies on the
first section of Tokyo Stock Exchange. Currently, these companies have market
capitalization of approximately $780 million or less.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
Japanese Large Company Stocks courtesy of Morgan Stanley Capital International.
94
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
Pacific Rim Small Company Series vs.
Pacific Rim Large Company Stocks
September 1996-November 1996
The following reflects the growth of a $10,000 investment.
Pacific Rim Pacific Rim
Small Company Series Large Company Stocks
-------------------- --------------------
8/31/96 10000 10000
9/30/96 10158 10260
10/31/96 10266.6906 10537.02
11/30/96 10582.90467 11106.01908
Annualized From
Total Return(%) September 1996
- -----------------------------------------------
3.35
* The portfolio's objective is to capture premium returns and diversification
benefits by investing in a board cross-section of small companies on a market
cap-weighted basis. The Pacific Rim Small Company Series provides access to
publicly traded small companies listed on the major exchanges of Hong Kong,
Singapore, Australia, Korea and Malaysia. Currently, these companies have
market capitalization of approximately $625 million or less.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
Pacific Rim Large Company Stocks courtesy of Morgan Stanley Capital
International.
<PAGE>
United Kingdom Small Company Series vs.
United Kingdom Large Company Stocks
September 1996-November 1996
The following reflects the growth of a $10,000 investment.
United Kingdom United Kingdom
Small Company Series Large Company Stocks
-------------------- --------------------
8/31/96 10000 10000
9/30/96 10078 10154
10/31/96 10565.7752 10667.7924
11/30/96 10869.01295 11195.84812
Annualized From
Total Return(%) September 1996
- -----------------------------------------------
12.79
* The portfolio's objective is to capture premium returns and diversification
benefits by investing in a broad cross-section of small companies on a market
cap-weighted basis. The United Kingdom Small Company Series provides access
to publicly traded small companies in the lower half by market cap of
companies traded on the London Stock Exchange. Currently these companies have
market capitalization of approximately $550 million or less.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
United Kingdom Large Company Stocks courtesy of Morgan Stanley Capital
International.
<PAGE>
Continental Small Company Series vs.
Continental Large Company Stocks
September 1996-November 1996
The following reflects the growth of a $10,000 investments.
Continental Small Continental Large
Company Series Company Stocks
----------------- -----------------
8/31/96 10000 10000
9/30/96 9860 10200
10/31/96 10040.438 10322.4
11/30/96 10230.20228 10817.8752
Annualized From
Total Return(%) September 1996
- -----------------------------------------------
4.31
* The portfolio's objective is to capture premium returns and diversification
benefits by investing in a broad cross-section of small companies on a market
cap-weighted basis. The Continental Small Company Series provides access to
publicly traded small companies listed on the major exchanges of France,
Germany, Italy, Switzerland, the Netherlands, Belgium and Spain. Currently,
these companies have market capitalization of approximately $750 million or
less.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
Continental Large Company Stocks courtesy of Morgan Stanley Capital
International.
95
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
DFA International Value Series vs.
EAFE Index
March 1994-November 1996
The following reflects the growth of a $10,000 investment.
DFA International
Value Series EAFE Index
----------------- ----------
2/28/94 10000 10000
3/31/94 9733 9570
4/30/94 10060.0288 9981.51
5/31/94 10119.38297 9921.62094
6/30/94 10238.79169 10060.52363
7/31/94 10438.44813 10161.12887
8/31/94 10598.15638 10404.99596
9/30/94 10228.28073 10082.44109
10/31/94 10657.86852 10425.24408
11/30/94 10099.39621 9924.832368
12/31/94 10158.98264 9984.381363
1/31/95 9756.686931 9604.974871
2/28/95 9736.197888 9576.159946
3/31/95 10311.60718 10179.45802
4/30/95 10633.32933 10566.27743
5/31/95 10572.71935 10439.4821
6/30/95 10462.76307 10262.0109
7/31/95 11051.81663 10908.51759
8/31/95 10676.05486 10493.99392
9/30/95 10740.11119 10703.8738
10/31/95 10536.04908 10414.86921
11/30/95 10825.79043 10706.48555
12/31/95 11350.84127 11145.45145
1/31/96 11464.34968 11190.03326
2/29/96 11536.57508 11234.79339
3/31/96 11698.08713 11470.72405
4/30/96 12154.31253 11803.37505
5/31/96 12040.06199 11590.9143
6/30/96 12083.40622 11660.45978
7/31/96 11759.57093 11322.30645
8/31/96 11811.31304 11344.95106
9/30/96 12019.19215 11651.26474
10/31/96 11903.80791 11534.7521
11/30/96 12433.52736 11996.14218
Annualized One From
Total Return(%) Year March 1994
- ----------------------------------------------------------------------------
14.85 8.24
* This portfolio invests in large non-U.S. high book-to-market companies with
market capitalization greater than $500 million and book-to-market ratios in
the upper 30% of large publicly traded international companies. Country
weightings reflect the EAFE index market capitalization weight, with Japan
limited to 38%.
* This portfolio's returns in fiscal 1996 reflected the performance of large,
high book-to-market international companies.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
<PAGE>
Emerging Markets Series vs.
MSCI Emerging Markets Free Equal-Weighted Index
May 1994-November 1996
The following reflects the growth of a $10,000 investment.
MSCI Emerging Markets
Emerging Markets Series Free Equal-Weighted Index
----------------------- -------------------------
4/30/94 10000 10000
5/31/94 10330 10455
6/30/94 10210.172 10245.9
7/31/94 10969.8088 10947.74415
8/31/94 11959.28555 12330.44424
9/30/94 12089.64176 12450.04955
10/31/94 11740.25112 12296.91394
11/30/94 11370.43321 11787.8217
12/31/94 10550.62497 11164.24593
1/31/95 9570.471912 10046.70491
2/28/95 9520.705458 9808.598007
3/31/95 9940.568568 10233.3103
4/30/95 10430.6386 10974.20197
5/31/95 11170.17088 11643.62829
6/30/95 11240.54295 11626.16284
7/31/95 11690.16467 11905.19075
8/31/95 11250.61448 11305.16914
9/30/95 11040.22799 11141.24419
10/31/95 10670.38035 10771.35488
11/30/95 10625.56475 10578.54763
12/31/95 10947.51936 11017.55735
1/31/96 12128.7567 11984.89889
2/29/96 11876.47856 11830.29369
3/31/96 11977.42863 11883.53001
4/30/96 12321.18083 12270.93309
5/31/96 12321.18083 12210.80552
6/30/96 12422.21452 12417.16813
7/31/96 11361.3574 11467.25477
8/31/96 11684.01995 11759.66977
9/30/96 11936.39478 12046.60571
10/31/96 11673.79409 11734.59862
11/30/96 12088.21378 12137.09536
Annualized One From
Total Return(%) Year May 1994
- -------------------------------------------------------------------------------
13.77 7.62
* The portfolio provides access to non-U.S. large companies in "emerging
market" countries including Argentina, Brazil, Indonesia, Israel, Malaysia,
Mexico, Portugal, Thailand, Turkey and the Philippines. Investment is based
on market capitalization, with investments attempting to capture between 40%
and 75% of the largest companies in each country. The portfolio attempts to
have equal country-weighting.
* This portfolio's returns in fiscal 1996 reflected the performance of an
equally-weighted emerging markets country portfolio.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Equal-Weighted Index is created by equal-weighting
the MSCI country returns for the 10 countries that Dimensional is currently
invested in. Courtesy of Morgan Stanley Capital International.
<PAGE>
DFA One-Year Fixed Income Series vs.
One Month CD's
March 1993-November 1996
The following reflects the growth of a $10,000 investment.
DFA One-Year
Fixed Income One Month
Series CD's
- ----------------------------------------------------
2/28/93 10000 10000
3/31/93 10048 10024
4/30/93 10097.2352 10046.0528
5/31/93 10104.30326 10066.14491
6/30/93 10148.7622 10088.29042
7/31/93 10180.22336 10110.48466
8/31/93 10229.08843 10133.73878
9/30/93 10267.95897 10155.01963
10/31/93 10289.52168 10175.32967
11/30/93 10308.04282 10198.73293
12/31/93 10343.09017 10221.17014
1/31/94 10394.80562 10243.65671
2/28/94 10376.09497 10264.14403
3/31/94 10372.98214 10288.77797
4/30/94 10367.79565 10313.47104
5/31/94 10389.56802 10344.41145
6/30/94 10424.89255 10376.47913
7/31/94 10486.39942 10408.64621
8/31/94 10527.29638 10444.03561
9/30/94 10545.19278 10478.50093
10/31/94 10579.99192 10517.27138
11/30/94 10574.70192 10555.13356
12/31/94 10607.4835 10598.40961
1/31/95 10708.25459 10646.10245
2/28/95 10809.98301 10689.75147
3/31/95 10877.0049 10738.92433
4/30/95 10948.79313 10782.95392
5/31/95 11065.94522 10834.7121
6/30/95 11129.02111 10882.38483
7/31/95 11188.00492 10931.35556
8/31/95 11245.06375 10979.45352
9/30/95 11295.66653 11024.46928
10/31/95 11355.53357 11075.18184
11/30/95 11410.04013 11122.80512
12/31/95 11464.80832 11168.40863
1/31/96 11517.54644 11219.78331
2/29/96 11563.61662 11263.54046
3/31/96 11615.6529 11306.34191
4/30/96 11656.30768 11352.69792
5/31/96 11695.93913 11396.97344
6/30/96 11759.0972 11438.00254
7/31/96 11814.36496 11488.32975
8/31/96 11872.25535 11534.28307
9/30/96 11943.48888 11580.4202
10/31/96 12030.67635 11627.89993
11/30/96 12102.8604 11672.08595
<PAGE>
Annualized One From
Total Return (%) Year March 1993
- ---------------------------------------------------
6.07 5.22
* The series maximizes expected returns by shifting maturities based on changes
in the yield curve. Using current prices, the strategy creates a matrix of
expected returns from different buy and sell strategies and identifies the
optimal maturity range for the highest expected returns. Issues which meet
maturity and quality levels are further evaluated for business risk.
Maturities are shifted if sufficient premiums can be documented. Investments
are made in high quality obligations, including BA's, CD's, corporate debt
obligations and commercial paper of U.S. as well as non-U.S. issuers
(Yankees). Average maturity is maintained under one year with no individual
issue longer than two years.
* This portfolio's returns in fiscal 1996 reflected the performance of its
strategy.
Past performance is not predictive of future performance.
- -------------------------------------------------------------------------------
96
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
DFA Two-Year Corporate Fixed Income Series vs.
Merrill Lynch Governments, U.S. Treasury, Short Term (1-2.99 Years)
July 1996-November 1996
The following reflects the growth of a $10,000 investment.
Merrill Lynch Governments,
DFA Two-Year Corporate Fixed U.S. Treasury, Short Term
Income Series (1-2.99 Years)"
---------------------------- -------------------------
6/30/96 10000 10000
7/31/96 10040 10039
8/31/96 10090.2 10073.1326
9/30/96 10160.8314 10164.79811
10/31/96 10261.42363 10279.66033
11/30/96 10325.04446 10358.81371
Annualized From
Total Return(%) July 1996
- ---------------------------------------------------------------------------
3.25
* The portfolio seeks to maximize expected returns by shifting maturities
based on changes in the yield curve. Using current prices, the strategy
creates a matrix of expected returns from different buy and sell strategies
and identifies the optimal maturity range for the highest expected returns.
Maturities are shifted if sufficient premiums can be documented. Investments
are made in U.S. government and high-quality corporate securities with a
maximum maturity of two years.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
Merrill-Lynch Governments, U.S. Treasury, Short-Term (1-2.99 Years) courtesy of
Merrill-Lynch.
<PAGE>
DFA Two-Year Government Series vs.
Merrill Lynch Governments, U.S. Treasury, Short Term (1-2.99 Years)
July 1996-November 1996
The following reflects the growth of a $10,000 investment.
Merrill Lynch Governments,
DFA Two-Year U.S. Treasury, Short Term
Government Series (1-2.99 Years)
-------------------- --------------------------
6/30/96 10000 10000
7/31/96 10050 10039
8/31/96 10080.15 10073.1326
9/30/96 10157.76716 10164.79811
10/31/96 10258.32905 10279.66033
11/30/96 10329.11152 10358.81371
Annualized From
Total Return(%) July 1996
- ---------------------------------------------------------------------------
3.29
* The portfolio seeks to maximize expected returns by shifting maturities based
on changes in the yield curve. Using current prices, the strategy creates a
matrix of expected returns from different buy and sell strategies and
identifies the optimal maturity range for the highest expected returns.
Maturities are shifted if sufficient premiums can be documented. Investments
are made in U.S. government securities with a maximum maturity of two years.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
Merrill-Lynch Governments, U.S. Treasury, Short-Term (1-2.99 Years) courtesy of
Merrill-Lynch.
<PAGE>
DFA Two-Year Global Fixed Income Series vs.
Merrill Lynch Governments, U.S. Treasury, Short Term (1-2.99 Years)
March 1996-November 1996
The following reflects the growth of a $10,000 investment.
Merrill Lynch Governments,
DFA Two-Year Global U.S. Treasury, Short Term
Fixed Income Series (1-2.99 Years)
------------------- --------------------------
2/29/96 10000 10000
3/31/96 10047 9991
4/30/96 10097.235 9998.9928
5/31/96 10147.72118 10019.99068
6/30/96 10188.31206 10092.13462
7/31/96 10259.63024 10131.49394
8/31/96 10361.20058 10165.94102
9/30/96 10438.90959 10258.45109
10/31/96 10530.77199 10374.37158
11/30/96 10602.38124 10454.25424
Annualized From
Total Return(%) March 1996
- ------------------------------------------
6.02
* The portfolio seeks to maximize expected returns by shifting maturities based
on changes in the yield curve. Using current prices, the strategy creates a
matrix of expected returns from different buy and sell strategies and
identifies the optimal maturity range for the highest expected returns.
Maturities are shifted if sufficient premiums can be documented. Investments
are made in U.S. government securities, high-quality corporate securities and
currency hedged global bonds with a maximum maturity of two years.
* This was a new portfolio and its year-to-date returns in fiscal 1996
reflected the performance of its strategy.
Past performance is not predictive of future performance.
Merrill-Lynch Governments, U.S. Treasury, Short-Term (1-2.99 Years) courtesy of
Merrill-Lynch.
97
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF NET ASSETS
THE U.S. 6-10 SMALL COMPANY SERIES
NOVEMBER 30, 1996
Shares Value+
-------- ----------
COMMON STOCKS - (99.3%)
*3 D Systems Corp. ................... 6,700 $ 67,838
*3D0 Co. ............................. 13,000 84,906
*4 Health, Inc. ...................... 500 2,813
*AAON, Inc. .......................... 4,400 23,100
AAR Corp. ........................... 8,800 262,900
ABC Bancorp ......................... 1,300 22,588
*ABC Rail Products Corp. ............. 4,000 78,500
ABM Industries, Inc. ................ 7,700 132,825
*ABT Building Products Corp. ......... 5,000 118,125
*ACC Corp. ........................... 6,050 180,744
*ACT Manufacturing, Inc. ............. 4,300 105,619
*ACX Technologies, Inc. .............. 15,000 273,750
ADAC Laboratories ................... 11,466 251,535
*AEP Industries, Inc. ................ 3,000 151,875
*AER Energy Resources, Inc. .......... 12,300 46,894
*AFC Cable Systems, Inc. ............. 2,500 50,000
*AG Services America, Inc. ........... 2,800 38,325
*#AMC Entertainment, Inc. ............. 2,600 50,050
APL, Ltd. ........................... 10,300 247,200
*APS Holding Corp. Class A ........... 6,900 132,825
*ARI Network Services, Inc. .......... 6,800 17,000
*ARV Assisted Living, Inc. ........... 4,000 41,250
*AST Research, Inc. .................. 26,713 117,704
*ATC Group Services, Inc. ............ 3,900 41,194
*ATS Medical, Inc. ................... 7,500 56,250
*AW Computer Systems, Inc.
Class A ............................. 2,400 2,887
Aames Financial Corp. ............... 7,900 338,713
Aaron Rents, Inc. Class A ........... 4,800 69,600
Aaron Rents, Inc. Class B ........... 14,400 204,300
*Aasche Transportation Services, Inc. 1,300 4,794
*Abaxis, Inc. ........................ 4,400 14,988
Abington Savings Bank MA ............ 700 14,131
*Abiomed, Inc. ....................... 2,700 35,269
*Able Telcom Holding Corp. ........... 4,500 33,750
Abrams Industries, Inc. ............. 200 963
*Abraxas Petroleum Corp. ............. 2,300 17,825
*Accell International Corp. .......... 2,700 7,931
*Acceptance Insurance Companies, Inc. 6,825 139,913
*Access Beyond, Inc. ................. 300 2,400
*Access Health Marketing, Inc. ....... 5,500 215,188
*Acclaim Entertainment, Inc. ......... 23,200 119,625
*Accustaff, Inc. ..................... 4,590 92,948
*Ace Cash Express, Inc. .............. 1,700 26,244
Aceto Corp. ......................... 2,600 35,750
Ackerley Communications, Inc. ....... 10,900 141,700
*Acme Electric Corp. ................. 2,500 18,125
*Acme Metals, Inc. ................... 4,600 95,450
*Acme United Corp. ................... 3,400 14,875
Acordia, Inc. ....................... 6,300 187,425
*Actel Corp. ......................... 7,100 155,313
*Action Performance Companies, Inc. . 6,000 102,000
*Active Voice Corp. .................. 1,300 15,275
*Activision, Inc. .................... 7,100 82,094
*Acuson Corp. ........................ 15,300 349,988
*Adage, Inc. ......................... 3,100 11,722
*Adam Software, Inc. ................. 1,000 2,813
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Adams Resources & Energy, Inc. ...... 2,100 $ 20,738
*Addington Resources, Inc. ........... 6,000 178,500
*Adelphia Communications Corp. Class A. 7,700 51,494
*Adept Technology, Inc. .............. 5,000 35,938
*Adflex Solutions, Inc. .............. 3,400 36,125
*Advanced Digital Information Corp. .. 6,000 70,125
*Advanced Energy Industries, Inc. .... 4,000 26,500
*Advanced Logic Research, Inc. ....... 5,900 71,538
*Advanced Magnetics, Inc. ............ 6,000 101,250
*Advanced Marketing Services, Inc. ... 2,700 27,675
*Advanced Medical, Inc. .............. 6,400 21,600
*Advanced Photonix, Inc. Class A ..... 6,300 17,325
*Advanced Polymer Systems, Inc. ...... 9,000 67,500
*Advanced Promotion Technologies,
Inc. (Private Placement) ............ 11,624 112
*Advanced Technology Labs, Inc. ...... 5,740 165,025
*Advanced Technology Materials, Inc. 4,300 59,394
*Advanced Tissue Sciences, Inc. ...... 24,700 299,488
Advantage Bancorp, Inc. ............. 1,750 56,219
*Advest Group, Inc. .................. 4,300 45,150
Advo, Inc. .......................... 13,300 167,913
*Advocat, Inc. ....................... 2,600 19,175
*Aequitron Medical, Inc. ............. 2,900 28,456
*Aeroflex, Inc. ...................... 5,900 26,550
*Aerosonic Corp. DE .................. 1,000 3,375
*Aerovox, Inc. ....................... 2,600 14,625
*Aetrium, Inc. ....................... 4,100 49,713
Affiliated Community Bancorp ........ 1,600 36,100
*Agouron Pharmaceuticals, Inc. ....... 6,600 363,825
*Agri-Nutrition Group, Ltd. .......... 1,600 2,225
*Air & Water Technologies Corp. Class A 16,000 99,000
Air Express International Corp. ..... 9,250 302,938
*Air Methods Corp. ................... 4,000 8,625
*Air-Cure Environmental .............. 5,800 27,369
Airborne Freight Corp. .............. 8,400 180,600
*Airsensors, Inc. .................... 2,500 20,469
*Airways Corp. ....................... 2,600 9,750
*Akorn, Inc. ......................... 6,000 11,625
*Alamco, Inc. ........................ 1,800 20,700
Alamo Group, Inc. ................... 4,800 79,800
*#Alaska Air Group, Inc. .............. 6,300 151,988
*Alba-Waldensian, Inc. ............... 3,700 21,275
Albank Financial Corp. .............. 8,040 263,310
Albany International Corp. Class A .. 5,000 110,625
*Alcide Corp. ........................ 1,400 30,100
*Aldila, Inc. ........................ 8,200 36,900
Alfa Corp. .......................... 22,400 260,400
*Alfin, Inc. ......................... 5,800 6,888
Aliant Communications, Inc. ......... 20,200 326,988
Alico, Inc. ......................... 3,500 71,750
*Alkermes, Inc. ...................... 10,000 142,500
*#All American Communications, Inc. ... 3,200 39,200
*All American Semiconductor, Inc. .... 7,100 9,208
*Allcity Insurance Co. ............... 200 1,550
*Allen Group, Inc. ................... 13,100 289,838
Allen Organ Co. Class B ............. 200 7,975
98
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Alliance Entertainment Corp. ........ 18,100 $ 42,988
*Alliance Gaming Corp. ............... 17,528 61,896
*Alliance Pharmaceuticals Corp. ...... 15,000 187,500
*#Alliance Semiconductor Corp. ........ 17,600 140,800
*Alliant Techsystems, Inc. ........... 3,000 160,875
Allied Bankshares, Inc. ............. 6,290 74,694
*Allied Capital Advisers, Inc. ....... 4,500 27,000
Allied Capital Lending Corp. ........ 2,200 33,550
Allied Group, Inc. .................. 5,350 236,069
Allied Healthcare Products, Inc. .... 3,900 26,813
*Allied Holdings, Inc. ............... 5,000 40,625
Allied Life Financial Corp. ......... 2,000 35,000
Allied Products Corp. ............... 6,600 157,575
*Allied Research Corp. ............... 2,200 11,825
*Allied Waste Industries, Inc. ....... 32,200 287,788
*Allou Health & Beauty Care, Inc.
Class A ............................. 1,900 12,469
*Allstate Financial Corp. ............ 1,600 10,600
*Alltrista Corp. ..................... 3,953 101,296
*Allwaste, Inc. ...................... 19,800 86,625
*Aloette Cosmetics, Inc. ............. 1,000 2,938
*Alpha Beta Technology, Inc. ......... 6,600 60,225
*Alpha Industries, Inc. .............. 10,000 78,750
*Alpha Microsystems, Inc. ............ 3,300 5,517
*Alpha Technologies Group, Inc. ...... 7,500 34,688
Alpharma, Inc. Class A .............. 8,800 112,200
*Alpine Group, Inc. .................. 15,736 106,218
*Alpine Lace Brands, Inc. ............ 2,800 15,400
*Alta Gold Co. ....................... 13,700 53,516
*Alteon, Inc. ........................ 7,100 50,588
*Alternative Resources Corp. ......... 6,200 105,013
*Altris Software, Inc. ............... 5,200 33,475
*Altron, Inc. ........................ 6,800 127,500
*Amati Communications Corp. .......... 11,800 201,338
*Amax Gold, Inc. ..................... 43,400 260,400
Amcast Industrial Corp. ............. 3,400 80,325
Amcol International Corp. ........... 10,500 147,000
Amcore Financial, Inc. .............. 5,250 118,125
*AmeriLink Corp. ..................... 1,400 7,175
*America Services Group, Inc. ........ 3,000 32,438
*America West Airlines, Inc. Class B . 21,100 308,588
American Annuity Group, Inc. ........ 18,200 241,150
American Bancorpation Ohio .......... 200 4,975
American Bank of Connecticut ........ 1,100 32,175
*American Banknote Corp. ............. 7,900 38,513
American Biltrite, Inc. ............. 1,400 28,700
*American Biogenetic Sciences, Inc.
Class A ............................. 6,300 26,381
*American Buildings Co. .............. 3,500 75,250
*American Business Information, Inc. 11,400 196,650
American Business Products, Inc. .... 8,150 181,338
*American Claims Evaluation, Inc. .... 1,000 1,656
*American Classic Voyages Co. ........ 5,500 50,531
American Eagle Group, Inc. .......... 4,000 16,000
*American Eagle Outfitters, Inc. ..... 4,900 116,988
*American Ecology Corp. .............. 5,250 5,414
*American Educational Products, Inc. 1,900 1,930
*American Exploration Co. ............ 5,800 94,975
American Federal Bank FSB
Greenville, SC ...................... 5,500 105,531
American Filtrona Corp. ............. 200 8,400
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*American Freightways Corp. .......... 17,500 $ 182,656
*American Healthcorp, Inc. ........... 3,100 33,131
American Heritage Life Investment
Corp. ............................... 5,500 124,094
*American Homepatient, Inc. .......... 7,000 161,000
*American Homestar Corp. ............. 3,950 70,113
American Indemnity Financial Corp. .. 800 8,150
American List Corp. ................. 825 24,338
*American Media, Inc. Class A ........ 13,500 77,625
*American Medical Electronics, Inc.
(Escrow-Bonus) ...................... 4,400 0
*American Medical Electronics, Inc.
(Escrow-Earnings) ................... 4,400 0
*American Mobile Satellite Corp. ..... 12,500 153,906
*American Oilfield Divers, Inc. ...... 3,100 39,913
*American Pacific Corp. .............. 4,100 28,188
*American Paging, Inc. ............... 11,000 63,938
*American Physicians Services Group,
Inc. ................................ 1,500 9,000
American Precision Industries, Inc. . 14,600 266,450
American Recreation Centers, Inc. ... 4,300 21,769
*American Safety Razor Co. ........... 6,000 73,125
*American Science & Engineering, Inc. 7,800 90,675
*American Shared Hospital Services ... 600 863
*American Software, Inc. Class A ..... 8,700 51,656
*American Studios, Inc. .............. 12,500 26,953
*American Superconductor Corp. ....... 4,700 50,819
*American Technical Ceramics Corp. .. 1,800 10,800
*American Telecasting, Inc. .......... 9,200 73,025
*American Travellers Corp. ........... 6,500 229,125
*American United Global, Inc. ........ 2,200 21,863
*American Waste Services, Inc.
Class A ............................. 12,400 26,350
American Woodmark Corp. ............. 660 7,260
Americana Bancorp, Inc. ............. 1,600 25,200
*Americredit Corp. ................... 15,700 312,038
*Amerihost Properties, Inc. .......... 4,000 27,250
*Ameristar Casinos, Inc. ............. 10,300 54,075
*Ameriwood Industries International
Corp. ............................... 3,200 29,800
Ameron, Inc. ........................ 1,500 72,375
*Ames Department Stores, Inc. ........ 9,700 47,288
Ametek, Inc. ........................ 2,500 53,125
*Amistar Corp. ....................... 1,300 4,388
Ampco-Pittsburgh Corp. .............. 4,400 61,050
*Amre, Inc. .......................... 12,500 34,375
*Amrep Corp. ......................... 3,900 19,013
*Amresco, Inc. ....................... 13,600 294,100
*Amrion Corp. ........................ 2,500 57,500
*Amtech Corp. ........................ 5,800 43,863
*Amtran, Inc. ........................ 5,300 38,425
Amvestors Financial Corp. ........... 7,825 112,484
Amwest Insurance Group, Inc. ........ 4,400 55,275
*Amylin Pharmaceuticals, Inc. ........ 13,400 161,638
*Anadigics, Inc. ..................... 4,200 156,450
Analogic Corp. ...................... 6,200 170,500
Analysis & Technology, Inc. ......... 800 11,550
Analysts International Corp. ........ 8,200 227,550
*Analytical Surveys, Inc. ............ 2,100 19,819
*Anaren Microwave, Inc. .............. 2,000 12,250
Anchor Bancorp Wisconsin, Inc. ...... 2,100 74,025
Andover Bancorp, Inc. DE ............ 1,700 45,581
*Andrea Electronics Corp. ............ 1,500 18,188
*Anergen, Inc. ....................... 8,300 27,494
*Anesta Corp. ........................ 5,100 73,313
*Andrea Electronics Corp. ............ 1,500 18,188
*Anergen, Inc. ....................... 8,300 27,494
*Anesta Corp. ........................ 5,100 73,313
99
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Angelica Corp. ...................... 4,100 $ 78,925
*Anicom, Inc. ........................ 4,800 45,900
*#Anika Research, Inc. ................ 2,280 9,405
*#Ann Taylor Stores Corp. ............. 10,100 204,525
*Antec Corp. ......................... 9,100 87,588
*Anuhco, Inc. ........................ 3,800 32,300
*Apertus Technologies, Inc. .......... 5,600 17,325
*#Aphton Corp. ........................ 6,200 110,825
Apogee Enterprises, Inc. ............ 8,000 355,000
*Apogee, Inc. ........................ 4,900 27,869
Apple South, Inc. ................... 10,000 146,875
*Appliance Recycling Centers of
America, Inc. ....................... 2,100 1,838
*Applied Digital Access, Inc. ........ 5,900 42,406
*Applied Extrusion Technologies, Inc. 4,100 38,438
*Applied Innovation, Inc. ............ 7,800 52,650
*Applied Magnetics Corp. ............. 13,100 358,613
*Applied Microbiology, Inc. .......... 10,600 32,131
Applied Power, Inc. Class A ......... 6,500 235,625
*Applied Science & Technology, Inc. .. 1,700 15,938
*Applied Signal Technologies, Inc. ... 5,000 22,813
Aptargroup, Inc. .................... 7,700 265,650
*Aquagenix, Inc. ..................... 1,300 7,516
Aquarion Co. ........................ 2,600 65,650
Aquila Gas Pipeline Corp. ........... 11,700 174,038
*Arabian Shield Development Co. ...... 200 563
*Arbatax International, Inc. ......... 2,800 18,900
*Arbor Health Care Co. ............... 3,400 81,175
*Arch Communications Group, Inc. ..... 11,300 122,888
*Arch Petroleum, Inc. ................ 8,600 23,650
Arctic Cat, Inc. .................... 16,300 156,888
*Arden Industrial Products, Inc. ..... 3,500 18,156
*Argosy Gaming Corp. ................. 12,200 68,625
*Ariel Corp. ......................... 4,600 59,800
*Ark Restaurants Corp. ............... 1,600 19,600
Arkansas Best Corp. ................. 9,800 49,613
*Armco, Inc. ......................... 5,000 22,500
Armor All Products Corp. ............ 11,800 223,463
Arnold Industries, Inc. ............. 16,500 262,969
*Aronex Pharmaceuticals, Inc. ........ 7,250 57,094
*Arrhythmia Research Technology, Inc. 1,600 4,800
*Arris Pharmaceutical Corp. .......... 6,700 87,519
*Arrow Automotive Industries, Inc. ... 1,800 7,425
Arrow Financial Corp. ............... 3,154 75,499
*Artisoft, Inc. ...................... 5,700 39,366
*Artistic Greetings, Inc. ............ 2,900 13,594
*Arts Way Manufacturing Co., Inc. .... 200 1,000
Arvin Industries, Inc. .............. 12,300 292,125
*Asante Technologies, Inc. ........... 4,300 24,456
*Aseco Corp. ......................... 1,400 13,475
Ashland Coal, Inc. .................. 5,400 139,050
*Ashworth, Inc. ...................... 8,400 52,500
Aspen Bancshares, Inc. .............. 1,406 27,066
*Aspen Technology, Inc. .............. 3,600 299,025
Associated Banc-Corp. ............... 7,012 305,022
*Astec Industries, Inc. .............. 10,400 92,300
Astro-Med, Inc. ..................... 3,000 25,875
*Astronics Corp. ..................... 2,375 11,430
*Astrosystems, Inc. .................. 3,400 18,913
*Astrotech International Corp. ....... 4,900 25,419
*Asyst Technologies, Inc. ............ 2,500 49,063
100
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Atalanta Sosnoff Capital Corp. ...... 4,400 $ 39,050
*Atchison Casting Corp. .............. 2,200 36,300
*Athey Products Corp. ................ 2,940 13,138
*Atkinson (Guy F.) of California ..... 4,500 45,844
*Atlantic American Corp. ............. 10,300 34,119
*Atlantic Beverage, Inc. ............. 2,000 6,250
*Atlantic Coast Airlines, Inc. ....... 5,000 64,063
*Atlantic Gulf Communities Corp. ..... 4,800 21,000
*Atlantic Tele-Network, Inc. ......... 6,100 117,044
*Atlantis Plastics, Inc. ............. 2,900 25,013
#Atmos Energy Corp. .................. 6,300 155,138
Atrion Corp. ........................ 1,300 33,963
*Atrix Labs, Inc. .................... 5,300 53,331
*Atwood Oceanics, Inc. ............... 4,800 267,600
*Au Bon Pain, Inc. Class A ........... 5,000 38,438
*#Audiovox Corp. Class A .............. 3,600 18,900
*Audits & Surveys Worldwide, Inc. .... 6,500 17,063
Augat, Inc. ......................... 7,900 223,175
*Aura Systems, Inc. .................. 29,975 74,469
*Auspex Systems, Inc. ................ 14,500 170,375
Authentic Fitness Corp. ............. 8,800 96,800
Autocam Corp. ....................... 4,137 45,248
*Autoimmune, Inc. .................... 9,200 121,900
*Autoinfo, Inc. ...................... 3,600 10,125
*Autologic Information International,
Inc. ................................ 2,300 13,800
*Autote Corp. Class A ................ 12,500 14,844
*Avatar Holdings, Inc. ............... 4,300 135,450
*Avecor Cardiovascular, Inc. ......... 3,100 34,100
Avemco Corp. ........................ 4,100 63,550
*Avert, Inc. ......................... 1,400 8,181
Aviall, Inc. ........................ 14,000 138,250
*Avid Technology, Inc. ............... 9,400 119,850
*Avigen, Inc. ........................ 1,000 5,438
*Aviva Petroleum, Inc. Deposit Shares
(Representing 5 Shares) .............. 6,500 26,000
*Avondale Industries, Inc. ........... 5,700 99,394
*Aydin Corp. ......................... 3,100 27,900
*Aztar Corp. ......................... 21,100 152,975
Aztec Manufacturing Co. ............. 10,300 73,388
*BBN Corp. ........................... 9,500 218,500
*BCT International, Inc. ............. 2,500 8,906
*BEC Group, Inc. ..................... 10,683 50,744
BEI Electronics, Inc. ............... 3,400 37,188
BGS Systems, Inc. ................... 5,200 126,100
BHA Group, Inc. Class A ............. 2,970 51,604
BHC Financial, Inc. ................. 3,500 56,000
*BI, Inc. ............................ 4,000 27,500
*BMC West Corp. ...................... 5,700 68,400
BMJ Financial Corp. ................. 5,000 123,750
*BNH Bancshares, Inc. ................ 1,400 13,738
*BPI Packaging Technologies, Inc. .... 5,300 12,422
*BRC Holdings, Inc. .................. 3,500 143,063
BSB Bancorp, Inc. ................... 3,300 88,275
BT Financial Corp. .................. 1,650 62,081
*BTG, Inc. ........................... 1,200 24,000
*BTU International, Inc. ............. 2,900 9,878
BW/IP, Inc. Class A ................. 12,100 184,525
*BWAY Corp. .......................... 3,200 57,800
*Baby Superstore, Inc. ............... 8,600 240,263
*Back Bay Restaurant Group, Inc. ..... 2,000 6,000
Badger Meter, Inc. .................. 400 15,650
Badger Paper Mills, Inc. ............ 1,000 11,063
Bairnco Corp. ....................... 3,900 24,375
Baker (J.), Inc. .................... 5,500 34,031
*Baker (Michael) Corp. ............... 6,000 38,250
Balchem Corp. ....................... 1,350 11,306
100
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Baldor Electric Co. ................. 12,390 $289,616
*Baldwin Piano & Organ Co. ........... 2,000 25,750
*Baldwin Technology, Inc. Class A .... 7,800 20,475
*Ballantyne Omaha, Inc. .............. 2,200 33,550
Ballard Medical Products ............ 10,900 204,375
*Bally Entertainment Corp. ........... 7,400 215,525
*Bally Total Fitness Holding Corp. ... 8,375 47,109
*Baltek Corp. ........................ 1,500 11,438
*BancTec, Inc. ....................... 11,262 223,832
*Bancinsurance Corp. ................. 2,900 11,419
Bancorp Connecticut, Inc. ........... 1,200 27,300
BancorpSouth, Inc. .................. 10,500 278,250
Bangor Hydro-Electric Co. ........... 2,900 29,000
*Bank United Financial Corp.
Class A ............................. 1,200 10,875
Bank of Granite Corp. ............... 300 9,450
BankAtlantic Bancorp, Inc. .......... 5,277 68,271
BankAtlantic Bancorp, Inc. Class A .. 1,319 17,065
BankNorth Group, Inc. DE ............ 3,900 150,638
Bankers Corp. ....................... 10,440 202,275
*Banner Aerospace, Inc. .............. 12,200 102,175
*Banyan System, Inc. ................. 6,800 28,050
Barefoot, Inc. ...................... 5,800 74,313
Barnes Group, Inc. .................. 3,600 204,300
*Barnwell Industries, Inc. ........... 500 9,438
*Barr Laboratories, Inc. ............. 6,950 175,488
*Barra, Inc. ......................... 6,000 153,000
*Barrett Business Services, Inc. ..... 5,400 80,325
*Barry (R.G.) Corp. .................. 3,700 41,163
*Base Ten Systems, Inc. Class A ...... 3,300 38,569
*Basin Exploration, Inc. ............. 5,400 33,413
Bassett Furniture Industries, Inc. .. 7,200 163,350
*Bay Networks, Inc. .................. 134 3,585
Bay State Gas Co. ................... 6,500 189,313
Bay View Capital Corp. .............. 3,400 141,100
*Bayou Steel Corp. Class A ........... 4,700 13,219
*Be Aerospace, Inc. .................. 7,900 182,194
Bearings, Inc. ...................... 5,600 154,700
Beauticontrol Cosmetics, Inc. ....... 2,500 34,531
*Beazer Homes USA, Inc. .............. 2,600 41,925
*Bel Fuse, Inc. ...................... 3,000 37,875
*Belden & Blake Corp. ................ 5,600 142,100
*Belding Heminway, Inc. Class A ...... 175 306
*Bell Industries, Inc. ............... 5,867 118,807
*Bell Microproducts, Inc. ............ 4,200 33,075
*Bell Sports Corp. ................... 7,145 45,103
*Bellwethwer Exporation Co. .......... 4,500 34,875
*Ben & Jerry's Homemade, Inc. Class A 3,600 46,125
*Ben Franklin Retail Stores, Inc. .... 4,964 496
*Benchmark Electronics, Inc. ......... 1,800 53,325
*Benihana, Inc. ...................... 1,000 12,125
*Bentley International, Inc. ......... 55 62
*Bentley Pharmaceuticals, Inc. ....... 960 2,520
*Benton Oil & Gas Co. ................ 4,600 117,013
Berkshire Gas Co. ................... 1,000 16,000
*Berlitz International, Inc. ......... 4,610 88,743
Berry Petroleum Corp. Class A ....... 13,400 179,225
*Bertuccis, Inc. ..................... 3,500 19,031
*Bet Holdings, Inc. Class A .......... 6,700 185,925
*Bettis Corp. ........................ 6,200 49,213
*Big Flower Press Holding, Inc. ...... 5,400 94,500
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Billing Information Concepts Corp. .. 5,400 $ 161,663
Bindley Western Industries, Inc. .... 6,500 115,375
Binks Manufacturing Co. ............. 1,598 44,744
*Bio Dental Technologies Corp. ....... 3,100 16,081
*Bio Technology General Corp. ........ 24,000 220,500
*Bio-Logic Systems Corp. ............. 2,100 5,644
*#Bio-Plexus, Inc. .................... 3,300 20,419
*Bio-Rad Laboratories, Inc. Class A .. 4,800 143,400
*Biocircuits Corp. ................... 925 2,630
*Biocryst Pharmaceuticals, Inc. ...... 5,300 74,863
*Biomatrix, Inc. ..................... 4,000 59,250
*Biosource International, Inc. ....... 4,200 29,531
*Biospecifics Technologies Corp. ..... 1,800 8,775
*Biospherics, Inc. ................... 4,000 31,250
*Biowhittaker, Inc. .................. 4,900 39,813
*Bird Corp. .......................... 2,500 13,438
Birmingham Steel Corp. .............. 15,700 276,713
*Black Box Corp. ..................... 7,300 297,475
*Black Hawk Gaming &
Development, Inc. ................... 1,000 6,000
Black Hills Corp. ................... 7,700 198,275
Blair Corp. ......................... 3,700 72,613
Blanch (E.W.) Holdings, Inc. ........ 6,400 125,600
Blessings Corp. ..................... 6,000 58,875
Blimpie International ............... 4,600 51,463
Blount International, Inc. Class A .. 6,550 243,169
Blount International, Inc. Class B .. 3,600 132,300
*Blowout Entertainment, Inc. ......... 791 3,017
*Bluegreen Corp. ..................... 8,395 24,136
*Blyth Holdings, Inc. ................ 5,200 4,388
Bob Evans Farms, Inc. ............... 15,000 196,875
*#Boca Research, Inc. ................. 3,900 46,313
*Bombay Co., Inc. .................... 18,300 86,925
*Bon-Ton Stores, Inc. ................ 6,900 39,675
*Bone Care International, Inc. ....... 1,125 7,031
*Books-a-Million, Inc. ............... 6,900 47,006
*Boole & Babbage, Inc. ............... 6,500 184,438
*Boomtown, Inc. ...................... 5,900 38,719
*Borg-Warner Security Corp. .......... 13,600 142,800
*Borland International, Inc. ......... 12,400 100,363
*Borror Corp. ........................ 3,100 13,950
Boston Acoustics, Inc. .............. 3,400 61,625
*Boston Technology, Inc. ............. 17,000 336,813
*Bowmar Instrument Corp. ............. 11,700 18,281
Bowne & Co., Inc. ................... 9,700 237,650
*Box Energy Corp. Class A ............ 400 4,100
*Box Energy Corp. Class B ............ 8,800 75,350
*Boyd Gaming Corp. ................... 10,000 81,250
*#Bradlees, Inc. ...................... 3,000 3,000
*Bradley Pharmaceuticals, Inc.
Class A ............................. 1,500 1,102
*Brauns Fashions Corp. ............... 1,000 6,938
Brenton Banks, Inc. ................. 220 5,583
*Brewer (C.) Homes, Inc. Class A ..... 1,800 3,375
Bridgford Foods Corp. ............... 4,705 37,346
*Brightpoint, Inc. ................... 4,850 175,813
*Brite Voice Systems, Inc. ........... 2,900 42,050
Broad National Bancorporation ....... 220 2,475
*Broadband Technologies, Inc. ........ 5,200 100,425
*Broadway & Seymour, Inc. ............ 4,400 40,975
*Brock International, Inc. ........... 2,400 7,650
*Broderbund Software, Inc. ........... 10,000 300,625
#Brooke Group, Ltd. .................. 7,300 31,938
*Brookstone, Inc. .................... 3,300 34,031
*Brooktrout Technology, Inc. ......... 3,900 125,775
*Brothers Gourmet Coffees, Inc. ...... 5,600 14,700
*Brown & Sharpe Manufacturing Co.
Class A ............................. 4,100 58,938
101
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Brown (Tom), Inc. ................... 11,700 $220,838
Brown Group, Inc. ................... 10,000 190,000
Brush Wellman, Inc. ................. 8,100 135,675
Bryn Mawr Bank Corp. ................ 400 10,900
*Buckeye Cellulose Corp. ............. 6,900 185,438
*Buckhead America Corp. .............. 900 5,513
*Buckle, Inc. ........................ 3,400 97,325
*Buffets, Inc. ....................... 12,586 117,994
*Builders Transport, Inc. ............ 1,800 5,400
*Bull Run Corp. GA ................... 21,300 47,925
*Burlington Coat Factory Warehouse
Corp. ............................... 21,000 252,000
*Burr Brown Corp. .................... 12,450 322,144
*Bush Boake Allen, Inc. .............. 9,600 244,800
Bush Industries, Inc. Class A ....... 4,050 73,406
*Butler International, Inc. .......... 3,100 30,225
Butler Manufacturing Co. ............ 3,800 121,125
*Buttrey Food & Drug Stores Co. ...... 3,800 31,350
*C-COR Electronics, Inc. ............. 10,400 157,950
*C-Phone Corp. ....................... 2,500 8,125
*CAI Wireless Systems, Inc. .......... 5,115 13,587
CBT Corp. ........................... 200 4,900
*CCA Industries, Inc. ................ 3,600 8,438
*CDI Corp. ........................... 11,900 346,588
*CE Software Holdings, Inc. .......... 2,900 3,444
*CEM Corp. ........................... 3,800 33,250
*CFI Proservices, Inc. ............... 1,800 34,425
CFSB Bancorp, Inc. .................. 1,331 25,289
CFW Communications Co. .............. 6,500 143,000
CFX Corp. ........................... 5,800 87,000
CKE Restaurants, Inc. ............... 8,502 260,374
CMAC Investment Corp. ............... 5,600 427,000
*CMC Industries, Inc. ................ 3,100 29,256
*#CMG Information Services, Inc. ...... 3,600 56,700
*CMI Corp. Class A ................... 18,100 85,975
CML Group, Inc. ..................... 24,600 98,400
CNB Bancshares, Inc. ................ 9,391 336,902
*#CNS Income .......................... 9,100 127,969
*CPAC, Inc. .......................... 3,320 45,650
CPB, Inc. ........................... 2,600 77,025
*CPI Aerostructures, Inc. ............ 200 488
CPI Corp. ........................... 7,700 130,900
*CSP, Inc. ........................... 2,800 22,750
*CSS Industries, Inc. ................ 4,800 115,800
*CTC Communications Corp.
Class 1 ............................. 4,700 32,606
CTS Corp. ........................... 2,100 83,213
CU Bancorp .......................... 2,300 26,019
*CUNO, Inc. .......................... 6,200 96,100
CVB Financial Corp. ................. 2,634 52,351
*Cable Design Techologies Corp. ...... 7,050 203,569
Cabot Oil & Gas Corp. Class A ....... 9,100 161,525
*Cache, Inc. ......................... 5,025 17,902
*Caci International, Inc. Class A .... 1,000 18,938
*Cade Industries, Inc. ............... 1,500 2,133
*Cadiz Land, Inc. .................... 10,800 46,575
Cadmus Communications Corp. ......... 4,800 79,500
*Caere Corp. ......................... 5,400 46,238
Cagle's, Inc. Class A ............... 2,250 31,781
*Cairn Energy USA, Inc. .............. 7,900 93,813
*Calcomp Technology, Inc. ............ 1,500 4,266
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Caldor Corp. ........................ 9,700 $ 15,763
*Calgene, Inc. ....................... 28,700 156,953
Calgon Carbon Corp. ................. 22,200 258,075
*California Amplifier, Inc. .......... 6,600 54,863
*California Culinary Academy, Inc. ... 1,200 10,425
California Financial Holding Corp. .. 1,800 52,425
*California Micro Devices Corp. ...... 3,400 22,738
*California Microwave, Inc. .......... 6,400 96,000
California State Bank ............... 2,059 34,488
California Water Service Co. ........ 3,100 121,288
*#Callon Petroleum Co. ................ 3,200 59,200
Calmat Co. .......................... 12,800 233,600
*Calumet Bancorp, Inc. ............... 1,100 36,988
*Cambex Corp. ........................ 5,200 13,325
Cambrex Corp. ....................... 4,850 153,988
*Cambridge Neuroscience, Inc. ........ 6,800 95,625
*Cambridge Soundworks, Inc. .......... 1,200 6,000
*Campo Eletronics, Appliances &
Computers, Inc. ..................... 3,200 4,800
*Candela Laser Corp. ................. 2,100 14,175
*Candies, Inc. ....................... 4,700 10,281
*Canisco Resources, Inc. ............. 500 2,438
*Cannon Express, Inc. Class A ........ 900 7,538
*#Cannondale Corp. .................... 4,300 82,506
*Cantel Industries, Inc. Class B ..... 2,000 15,750
*Canterbury Educational Services,
Inc. ................................ 4,800 5,100
*Canyon Resources Corp. .............. 20,500 52,531
Cape Cod Bank & Trust Co. ........... 1,000 23,563
*Capital Pacific Holdings, Inc. ...... 1,000 2,500
Capital Re Corp. .................... 8,100 310,838
Capitol American Financial Corp. .... 13,000 471,250
Capitol Bancorp, Ltd. ............... 990 15,964
Capitol Transamerica Corp. .......... 3,700 99,438
*Capstone Pharmacy Services, Inc. .... 16,300 175,225
Capsure Holdings Corp. .............. 7,300 69,350
Caraustar Industries, Inc. .......... 2,600 88,400
Cardinal Health, Inc. ............... 840 70,245
*Cardinal Realty Services, Inc. ...... 1,400 29,225
*Cardiotech International, Inc. ...... 1,301 3,253
*Care Group, Inc. .................... 3,400 5,950
*Carmike Cinemas, Inc. Class A ....... 5,000 136,250
Carolina First Corp. ................ 5,602 108,889
Carpenter Technology Corp. .......... 6,600 234,300
*Carr-Gottstein Foods Co. ............ 7,654 27,746
*#Carrington Laboratories, Inc. ....... 3,500 34,781
*Carson Pirie Scott & Co. ............ 7,300 188,888
Carter-Wallace, Inc. ................ 17,400 271,875
*Carver Corp. WA ..................... 1,400 4,463
Cascade Corp. ....................... 4,700 68,150
Cascade Natural Gas Corp. ........... 5,350 91,619
Casey's General Stores, Inc. ........ 14,400 246,600
Cash America International, Inc. .... 11,500 90,563
*Casino America, Inc. ................ 10,600 37,100
*Casino Data Systems ................. 9,850 129,897
*Casino Magic Corp. .................. 19,500 55,453
*#Casino Resource Corp. ............... 3,000 4,781
Castle (A.M.) & Co. ................. 23,437 430,655
*Catalina Lighting, Inc. ............. 5,000 25,000
*Catalyst Semiconductor, Inc. ........ 2,700 8,269
*Catalytica, Inc. .................... 9,600 38,400
*Catellus Development Corp. .......... 42,500 425,000
Cathay Bancorp, Inc. ................ 1,100 20,075
*Catherines Stores Corp. ............. 3,800 21,850
Cato Corp. Class A .................. 14,200 70,113
Cavalier Homes, Inc. ................ 3,800 42,750
*Cayenne Software, Inc. .............. 4,600 20,269
*Cel-Sci Corp. ....................... 2,500 10,859
*Celadon Group, Inc. ................. 9,000 90,563
102
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Celebrity, Inc. ..................... 3,200 $ 10,800
*Celeritek, Inc. ..................... 3,400 52,913
*Celestial Seasonings, Inc. .......... 1,600 32,000
*Celgene Corp. ....................... 3,800 36,338
*Cell Genesys, Inc. .................. 9,000 61,313
*Cellpro, Inc. ....................... 7,100 88,306
*Cellstar Corp. ...................... 7,700 90,956
*Cellular Technical Services Co.,
Inc. ................................ 8,766 145,187
*Celtrix Pharmaceuticals, Inc. ....... 5,000 10,625
Cenfed Financial Corp. .............. 1,980 59,895
Cenit Bancorp, Inc. ................. 800 31,600
*Centennial Bancorp .................. 1,539 23,855
*Centennial Cellular Corp. Class A ... 6,400 74,800
*Centennial Technologies, Inc. ....... 6,600 235,950
Center Banks, Inc. .................. 600 10,013
Centex Construction Products, Inc. .. 11,800 187,325
*Centigram Communications Corp. ...... 2,700 38,138
Central & Southern Holding Co. ...... 1,500 14,719
Central Co-Operative Bank
Somerville, MA ...................... 900 15,975
*Central Garden & Pet Co. ............ 6,800 148,325
Central Hudson Gas & Electric Corp. 7,900 238,975
Central Louisiana Electric Co., Inc. 10,000 282,500
Central Maine Power Co. ............. 19,200 228,000
Central Reserve Life Corp. .......... 1,800 13,725
*Central Sprinkler Corp. ............. 2,500 46,563
*Central Tractor Farm & Country, Inc. 4,200 58,800
Central Vermont Public Service Corp. 5,650 70,625
*Centura Software Corp. .............. 6,100 20,969
Century Bancorp Income Class A ...... 1,000 13,500
*Century Communications Corp. Class A 16,300 107,988
*Cephalon, Inc. ...................... 4,900 85,750
*Ceradyne, Inc. ...................... 11,800 86,288
Cerberonics, Inc. Class A ........... 200 1,238
*Cerner Corp. ........................ 18,000 267,750
*Cerplex Group, Inc. ................. 6,700 8,794
*Cerprobe Corp. ...................... 2,100 23,100
*Chad Therapeutics ................... 4,592 72,324
*Champion Enterprises, Inc. .......... 29,108 607,630
Champion Industries, Inc. ........... 3,250 72,719
Chaparral Steel Co. ................. 14,400 185,400
*Charming Shoppes, Inc. .............. 50,100 253,631
*Chart House Enterprises, Inc. ....... 4,700 25,263
Chart Industries, Inc. .............. 5,000 85,000
Charter Financial, Inc. ............. 2,500 31,875
Charter Power Systems, Inc. ......... 2,500 67,188
*Chase Brass Industries, Inc. ........ 5,000 90,625
*Chattem, Inc. ....................... 4,700 43,475
*Check Technology Corp. .............. 3,100 27,125
*Checkfree Corp. ..................... 16,800 283,500
*Checkmate Electronics, Inc. ......... 2,500 29,688
*Cheesecake Factory, Inc. ............ 5,400 109,350
Chemed Corp. ........................ 3,900 146,250
*Chemfab Corp. ....................... 5,550 79,088
Chemical Financial Corp. ............ 4,600 170,775
*Chempower, Inc. ..................... 1,800 10,013
*#Chemtrak, Inc. ...................... 4,400 5,775
*Cherry Corp. Class A ................ 3,600 40,050
*Cherry Corp. Class B ................ 3,600 38,250
Chesapeake Utilities Corp. .......... 1,500 25,500
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Chester Valley Bancorp .............. 220 $ 4,235
*Chic by His, Inc. ................... 4,900 23,275
Chicago Rivet & Machine Co. ......... 700 21,875
*Chicos Fas, Inc. .................... 4,700 27,906
*Children's Comprehensive Services,
Inc. ................................ 2,150 33,863
*Children's Discovery Centers of
America, Inc. Class A ............... 3,100 17,438
*Chips & Technologies, Inc. .......... 11,600 243,600
Chittenden Corp. .................... 6,133 155,242
*Chock Full O' Nuts Corp. ............ 10,130 46,851
*Cholestech Corp. .................... 5,200 28,600
*Christiana Companies, Inc. .......... 9,000 222,750
*Chromcraft Revington, Inc. .......... 1,000 26,813
*Chronimed, Inc. ..................... 6,150 89,944
Church & Dwight Co., Inc. ........... 10,500 236,250
*Ciber, Inc. ......................... 7,800 253,500
*#Cidco, Inc. ......................... 5,700 111,506
Cilcorp, Inc. ....................... 6,600 240,900
*Cincinnati Microwave, Inc. .......... 7,000 5,906
*Cinergi Pictures Entertainment, Inc. 2,800 5,600
*Ciprico, Inc. ....................... 1,900 25,650
*Circon Corp. ........................ 7,390 119,626
*Circuit Systems, Inc. ............... 2,100 9,713
*Citadel Holding Corp. ............... 2,400 6,450
*Citation Computer System, Inc. ...... 1,500 14,906
*Citation Corp. ...................... 10,100 100,369
Citfed Bancorp, Inc. ................ 2,100 97,388
Citizens Bancorp MD ................. 2,000 115,250
Citizens Banking Corp. .............. 6,400 196,000
*Citizens, Inc. Class A .............. 9,400 88,713
City Holding Co. .................... 242 5,294
*Civic Bancorp ....................... 2,300 24,006
Clarcor, Inc. ....................... 8,500 187,000
*Clark (Dick) Productions, Inc. ...... 4,100 45,613
*Clean Harbors, Inc. ................. 6,900 15,525
Cleveland Cliffs, Inc. .............. 5,300 234,525
*Cliffs Drilling Co. ................. 2,900 150,075
*Clintrials Research, Inc. ........... 8,250 176,344
Coachmen Industries, Inc. ........... 14,800 377,400
*Coast Distribution System ........... 4,700 18,506
*Coast Savings Financial, Inc. ....... 8,400 298,200
Coastal Bancorp, Inc. ............... 4,000 98,500
*Coastal Physician Group, Inc. ....... 11,900 44,625
*Coastcast Corp. ..................... 3,500 54,688
Cobancorp, Inc. ..................... 206 4,506
*Cobra Electronic Corp. .............. 2,500 7,813
*Cobra Industries ,Inc. .............. 2,200 1,169
Coca Cola Bottling Co.
Consolidated ........................ 4,200 193,725
*Cocensys, Inc. ...................... 12,100 73,356
*Code Alarm, Inc. .................... 1,500 5,813
Coeur d'Alene Mines Corp. ID ........ 10,900 159,413
*Cognex Corp. ........................ 7,500 149,063
*Cognitronics Corp. .................. 2,100 8,925
*Coherent Communications Systems
Corp. ............................... 9,200 186,300
*Coherent, Inc. ...................... 4,400 189,475
*Coho Energy, Inc. ................... 10,400 79,300
Cohu, Inc. .......................... 8,200 195,263
*Cold Metal Products, Inc. ........... 3,500 23,188
*Cole National Corp. Class A ......... 6,000 157,500
Collagen Corp. ...................... 5,600 112,350
Collective Bancorp, Inc. ............ 8,449 299,940
*Collins & Aikman Corp. .............. 37,900 227,400
103
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Collins Industries, Inc. ............ 6,600 $ 37,331
Colonial Bancgroup, Inc. ............ 8,900 356,000
#Colonial Gas Co. .................... 8,050 184,144
*#Columbia Banking System, Inc. ....... 1,365 21,499
*Columbia Laboratories, Inc. ......... 11,100 133,200
*Columbus Energy Corp. ............... 1,300 13,650
*Comarco, Inc. ....................... 2,800 49,000
*Comdial Corp. ....................... 3,500 24,281
*Comforce Corp. ...................... 4,700 68,150
Commerce Bancorp, Inc. .............. 6,126 177,654
Commercial Bancshares, Inc. ......... 1,300 19,988
Commercial Federal Corp. ............ 4,409 213,285
Commercial Intertech Corp. .......... 5,800 60,175
Commercial Metals Co. ............... 7,100 226,313
*Commnet Cellular, Inc. .............. 6,700 188,856
Commonwealth Energy System .......... 10,800 261,900
*Communications Central, Inc. ........ 3,000 21,563
Communications Systems, Inc. ........ 9,000 113,625
Community Bank System, Inc. ......... 2,500 97,813
Community Bankshares, Inc. NH ....... 800 16,000
Community First Bankshares, Inc. .... 5,700 155,325
*Community Psychiatric Centers ....... 17,700 159,300
*Competitive Technologies, Inc. ...... 3,500 35,000
*#Complete Management, Inc. ........... 933 14,228
*Compression Laboratories, Inc. ...... 8,800 36,300
*Comptek Research, Inc. .............. 2,200 11,275
*Compucom Systems, Inc. .............. 24,500 284,813
Computer Data Systems, Inc. ......... 5,700 183,825
*Computer Horizons Corp. ............. 15,087 512,958
Computer Language Research, Inc. .... 9,600 95,400
*Computer Network Technology Corp. .. 9,300 56,963
*Computer Outsourcing Services, Inc. 1,800 5,625
*Computer Products, Inc. ............. 12,200 245,525
Computer Task Group, Inc. ........... 6,100 255,438
*Computervision Corp. ................ 10,000 95,000
*Computrac, Inc. ..................... 2,400 4,800
*Comshare, Inc. ...................... 6,000 88,125
*Comstock Resources, Inc. ............ 6,400 81,200
*Comtech Telecommunications Corp. ... 1,000 3,094
*Comverse Tecnology, Inc. ............ 1,000 34,000
*Concentra Corp. ..................... 2,700 23,625
*Concord Fabrics, Inc. Class A ....... 1,100 6,600
*Concurrent Computer Corp. ........... 15,300 30,600
*Conductus, Inc. ..................... 2,000 15,875
*Cone Mills Corp. NC ................. 13,000 108,875
*Congoleum Corp. Class A ............. 1,900 24,225
*Conmed Corp. ........................ 13,275 233,972
Connecticut Energy Corp. ............ 4,400 95,150
Connecticut Natural Gas Corp. ....... 5,000 118,750
Connecticut Water Services, Inc. .... 1,800 51,975
*Consep, Inc. ........................ 4,300 14,378
*Consilium, Inc. ..................... 4,000 25,000
*Conso Products Co. .................. 3,750 47,813
*Consolidated Graphics, Inc. ......... 3,000 136,125
*Consolidated Products, Inc. ......... 6,902 124,236
*Consolidated Stainless, Inc. ........ 1,300 6,094
Consolidated Tokoma Land Co. ........ 3,100 51,925
*Consumer Portfolio Services, Inc. ... 6,700 85,844
Consumers Water Co. ................. 4,100 75,850
*Continental Can, Inc. DE ............ 1,400 19,425
Continental Homes Holding Corp. ..... 2,700 55,350
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Continental Waste Industries, Inc. .. 7,000 $186,375
*Control Data Systems, Inc. .......... 5,400 106,988
*Converse, Inc. ...................... 6,600 65,175
*Convest Energy Corp. ................ 1,000 6,000
Cooker Restaurant Corp. ............. 3,800 42,275
*Cooper Companies, Inc. .............. 5,800 84,825
*Cooperative Bankshares, Inc. ........ 700 14,263
*Copart, Inc. ........................ 5,000 87,188
*Copley Pharmaceutical, Inc. ......... 10,500 135,188
*Copytele, Inc. ...................... 29,400 174,563
*Cor Therapeutics, Inc. .............. 7,800 82,388
*Coram Healthcare Corp. .............. 15,200 66,500
*Corcom, Inc. ........................ 1,900 13,656
Core Industries, Inc. ............... 5,200 75,400
*Core, Inc. .......................... 3,800 37,050
*Cornerstone Imaging, Inc. ........... 3,600 31,950
Corpus Christi Bankshares, Inc. ..... 600 10,725
*Correctional Services Corp. ......... 4,000 55,500
*Corrpro Companies, Inc. ............. 3,300 26,400
*Cortech, Inc. ....................... 9,000 15,469
Corus Bankshares, Inc. .............. 7,400 238,650
*Corvas International, Inc. .......... 6,900 28,463
*Corvel Corp. ........................ 1,000 26,125
*Cosmetic Centers, Inc. Class A ...... 1,100 6,738
*Cosmetic Centers, Inc. Class B ...... 800 4,950
Cotton States Life Insurance Co. .... 1,350 15,019
Courier Corp. ....................... 800 10,900
*Covenant Transport, Inc. Class A .... 6,100 94,550
*Coventry Corp. ...................... 18,100 178,738
*Cover-All Technologies, Inc. ........ 5,300 6,459
Craftmade International, Inc. ....... 2,000 13,500
*Craig (Jenny), Inc. ................. 8,300 76,775
*Craig Corp. ......................... 1,800 25,875
*Crane Co. ........................... 547 25,572
Crawford & Co. Class A .............. 8,000 161,000
*Creative Biomolecules, Inc. ......... 12,400 98,425
*Creative Technologies Corp. ......... 333 364
*Credence Systems Corp. .............. 8,550 168,328
*Cree Research, Inc. ................. 6,000 60,375
*Criticare Systems, Inc. ............. 3,200 7,900
*Crop Growers Corp. .................. 3,700 25,669
Cross (A.T.) Co. Class A ............ 8,900 97,900
Cross Timbers Oil Co. ............... 8,000 192,000
*Crosscomm Corp. ..................... 3,700 21,738
*Crossman Communities, Inc. .......... 4,000 73,000
*Crown Books Corp. ................... 2,700 27,675
*Crown Central Petroleum Corp. Class A 2,200 31,350
*Crown Central Petroleum Corp. Class B 2,000 26,250
Crown Crafts, Inc. .................. 5,100 47,175
*Crown Resources Corp. ............... 6,600 36,300
*Crown-Andersen, Inc. ................ 1,000 6,000
*Cruise America, Inc. ................ 2,600 14,138
*Cryenco Sciences, Inc. Class A ...... 3,500 7,438
*Cryolife, Inc. ...................... 4,800 69,600
*Cryomedical Sciences, Inc. .......... 9,900 5,569
*Crystal Oil Co. ..................... 1,200 42,900
Cubic Corp. ......................... 4,500 95,063
*Culbro Corp. ........................ 2,200 125,400
Cullen Frost Bankers, Inc. .......... 8,460 300,330
Culp, Inc. .......................... 16,518 253,964
Cupertino National Bancorp .......... 220 3,603
*Curative Technologies, Inc. ......... 5,900 151,925
Curtiss-Wright Corp. ................ 2,000 101,125
*Custom Chrome, Inc. ................. 2,500 47,969
104
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Cyberonics, Inc. .................... 4,100 $ 12,044
*Cyberoptics Corp. ................... 2,200 25,438
*Cybex International, Inc. ........... 4,300 41,388
*Cygne Designs, Inc. ................. 5,000 4,688
*Cygnus, Inc. ........................ 8,800 107,800
*Cypros Pharmaceutical Corp. ......... 7,000 27,781
*#Cyrix Corp. ......................... 9,200 174,225
*Cyrk, Inc. .......................... 5,400 67,838
*Cytel Corp. ......................... 13,700 52,659
*Cytogen Corp. ....................... 22,725 121,792
*Cytotherapeutics, Inc. .............. 8,500 76,500
*Cytrx Corp. ......................... 4,750 16,477
*D&N Financial Corp. ................. 3,200 49,400
*DBA Systems, Inc. ................... 1,700 10,200
*DBT Online, Inc. .................... 690 22,253
*DDL Electronics, Inc. ............... 6,500 6,500
*DEP Corp. ........................... 8,100 20,250
*DH Technology, Inc. ................. 4,450 104,575
*DII Group, Inc. ..................... 4,100 100,963
*DIY Home Warehouse, Inc. ............ 4,600 20,700
*DM Management Co. ................... 2,000 6,750
*DMX, Inc. ........................... 13,000 15,844
*DNAP Holding Corp. .................. 1,270 7,144
*DNX Corp. ........................... 4,300 20,156
*DR Horten, Inc. ..................... 18,952 198,996
*DRCA Medical Corp. .................. 2,600 8,775
DS Bancor, Inc. ..................... 1,764 74,970
*DSP Group, Inc. ..................... 4,700 42,594
*DSP Technology, Inc. ................ 1,000 4,750
DT Industries, Inc. ................. 4,300 150,231
*DVI, Inc. ........................... 5,500 71,500
*Daily Journal Corp. ................. 200 6,200
*Dairy Mart Convenience Stores, Inc.
Class A ............................. 1,600 7,900
*Daka International, Inc. ............ 4,400 41,250
Dallas Semiconductor Corp. .......... 17,500 380,625
*Damark International, Inc. Class A .. 4,500 40,500
Dames & Moore, Inc. ................. 13,300 181,213
Daniel Industries, Inc. ............. 4,800 67,200
*Danskin, Inc. ....................... 3,000 7,688
*Darling International, Inc. ......... 2,500 83,438
Dart Group Corp. Class A ............ 700 68,075
*Data Broadcasting Corp. ............. 3,245 25,554
*Data General Corp. .................. 17,400 254,475
*Data I/O Corp. ...................... 4,600 22,138
*Data Race, Inc. ..................... 1,800 30,488
*Data Research Association, Inc. ..... 2,250 30,938
*Data Systems & Software, Inc. ....... 2,900 14,681
*Data Translation, Inc. .............. 8,400 94,500
*Data Transmission Network Corp. ..... 6,100 132,675
*Dataflex Corp. ...................... 3,400 9,350
*Datakey, Inc. ....................... 1,000 4,313
*Datamarine International, Inc. ...... 200 1,500
*Datametrics Corp. ................... 4,800 6,300
*Datapoint Corp. ..................... 4,200 4,200
*Dataram Corp. ....................... 1,900 14,725
*Datascope Corp. ..................... 10,000 187,500
*Dataware Technologies, Inc. ......... 4,000 14,500
*Datawatch Corp. ..................... 4,000 22,125
*Datron Systems, Inc. ................ 1,800 17,213
*Datum, Inc. ......................... 1,600 21,000
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Davco Restaurants, Inc. ............. 3,000 $ 27,188
*Dave and Busters, Inc. .............. 2,200 45,375
*Davel Communications Group, Inc. .... 1,800 33,075
*#Davox Corp. ......................... 5,000 190,625
*Daw Technologies, Inc. .............. 5,200 18,200
*Dawson Geophysical Co. .............. 3,100 28,675
*Daxor Corp. ......................... 4,400 59,400
*#Day Runner, Inc. .................... 2,800 67,550
Deb Shops, Inc. ..................... 6,300 28,744
*Deckers Outdoor Corp. ............... 4,600 40,250
Decorator Industries, Inc. .......... 1,000 10,375
*Deeptech International, Inc. ........ 8,300 56,544
Defiance, Inc. ...................... 7,600 49,400
*Deflecta-Shield Corp. ............... 1,900 16,388
*Del Electronics Corp. ............... 2,729 24,049
Del Laboratories, Inc. .............. 9,066 254,981
*Delaware Ostego Corp. ............... 210 2,126
Delchamps, Inc. ..................... 3,600 75,150
*Delphi Financial Group, Inc.
Class A ............................. 1,560 44,070
Delta Natural Gas Co., Inc. ......... 1,400 26,425
Delta Woodside Industries, Inc. ..... 13,500 81,000
*Denamerica Corp. .................... 6,500 27,625
*Dense-Pac Microsystems, Inc. ........ 9,300 18,309
*Department 56, Inc. ................. 9,300 216,225
*Depotech Corp. ...................... 1,000 13,625
*Designs, Inc. ....................... 9,550 64,164
*Detection Systems, Inc. ............. 600 10,988
*Detrex Corp. ........................ 500 3,250
*Detroit Diesel Corp. ................ 11,100 219,225
*Devcon International Corp. .......... 2,000 13,125
*Devlieg-Bullard, Inc. ............... 6,500 15,641
Devon Energy Corp. .................. 11,800 427,750
*Devon Group, Inc. ................... 3,700 92,038
*Dewolfe Companies, Inc. ............. 200 1,075
Dexter Corp. CT ..................... 9,100 298,025
*Diagnostic Health Services, Inc. .... 3,100 21,894
Diagnostic Products Corp. ........... 7,500 197,813
*#Diagnostic Retrieval Systems, Inc. .. 2,700 28,013
*Dialogic Corp. ...................... 7,400 225,700
*Diametrics Medical, Inc. ............ 8,200 32,800
*#Diana Corp. ......................... 2,069 71,122
*Dianon Systems, Inc. ................ 3,300 26,400
*Digi International, Inc. ............ 6,600 85,800
*Digital Biometrics, Inc. ............ 5,000 14,375
*Digital Communications Technology
Corp. ............................... 2,520 3,150
*Digital Link Corp. .................. 3,600 81,450
*Digital Microwave Corp. ............. 7,900 189,600
*Digital Sound Corp. ................. 8,000 16,250
*Digital Systems International, Inc. . 3,800 57,713
Dime Financial Corp. ................ 2,300 41,113
*Diodes, Inc. ........................ 1,900 13,538
*Dionex Corp. ........................ 6,500 231,563
*Discount Auto Parts, Inc. ........... 10,300 263,938
*Discovery Zone, Inc. ................ 12,200 4,575
*Dixie Yarns, Inc. ................... 4,981 32,999
*Dixon Ticonderoga Co. ............... 1,700 12,113
*Dominion Bridge Corp. ............... 7,300 18,934
Donegal Group, Inc. ................. 1,800 34,875
Donnelly Corp. Class A .............. 2,900 62,350
*Donnkenny, Inc. ..................... 5,500 22,000
*Dorsey Trailers, Inc. ............... 3,000 11,625
Downey Financial Corp. .............. 6,700 192,625
*Dravo Corp. ......................... 5,800 76,850
*Dress Barn, Inc. .................... 9,000 128,813
*Drew Industries, Inc. ............... 3,100 71,300
*Drexler Technology Corp. ............ 5,300 66,913
Dreyer's Grand Ice Cream, Inc. ...... 8,300 228,250
105
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Drug Emporium, Inc. ................. 6,600 $ 26,813
*Drypers Corp. ....................... 3,600 16,650
*Duckwall-Alco Stores, Inc. .......... 2,000 25,250
*Ducommun, Inc. ...................... 4,800 106,200
Duff & Phelps Credit Rating Co. ..... 2,100 48,563
*Durakon Industries, Inc. ............ 5,200 63,050
*#Duramed Pharmaceuticals, Inc. ....... 6,200 43,788
Duriron Co., Inc. ................... 8,600 234,350
Duty Free International, Inc. ....... 10,900 171,675
*Dwyer Group, Inc. ................... 2,800 4,900
Dyersburg Corp. ..................... 5,700 34,200
Dynamics Corp. of America ........... 7,500 213,750
*Dynamics Research Corp. ............. 4,471 43,872
E'town Corp. ........................ 3,400 102,000
*E-Z-Em, Inc. Class A ................ 2,250 24,891
*E-Z-Em, Inc. Class B ................ 6,123 65,822
*EA Engineering Science &
Technology, Inc. .................... 5,625 11,250
*EA Industries, Inc. ................. 7,600 8,550
*ECC International Corp. ............. 8,500 69,063
*ECCS, Inc. .......................... 1,700 5,047
*EFI Electronics Corp. ............... 800 1,000
*EIS International, Inc. ............. 5,200 45,175
*ELXSI Corp. ......................... 2,200 11,550
EMC Insurance Group, Inc. ........... 6,300 73,238
*ERLY Industries, Inc. ............... 1,810 16,403
*ERO, Inc. ........................... 4,100 27,163
*ESCO Electronics Corp. Trust
Receipts ............................ 8,700 84,825
ESELCO, Inc. ........................ 212 5,274
*ESSEF Corp. ......................... 3,100 55,413
*EZ Serve Corp. ...................... 17,000 19,125
Eagle Bancshares, Inc. .............. 1,800 26,775
*Eagle Finance Corp. ................. 2,000 10,750
Eagle Financial Corp. ............... 2,200 66,275
*Eagle Food Centers, Inc. ............ 8,100 35,438
Eastern Bancorp, Inc. ............... 1,650 36,919
Eastern Co. ......................... 3,300 44,550
*Eastern Environment Services, Inc. .. 1,600 15,200
Eastern Utilities Associates ........ 10,200 172,125
*Eateries, Inc. ...................... 1,500 5,250
Eaton Vance Corp. ................... 3,700 159,100
*Ecogen, Inc. ........................ 4,340 12,749
Ecology & Environment, Inc.
Class A ............................. 1,100 10,381
*Edelbrock Corp. ..................... 4,000 64,000
*Edison Brothers Stores, Inc. ........ 11,000 15,125
*Edison Control Corp. ................ 1,000 5,250
*Edisto Resources Corp. .............. 6,100 55,663
*#Editek, Inc. ........................ 4,100 3,588
*Edmark Corp. ........................ 3,600 55,350
*Edo Corp. ........................... 3,400 24,650
*Education Alternatives, Inc. ........ 5,000 21,250
*Educational Development Corp. ....... 1,800 14,288
*Educational Insights, Inc. .......... 3,500 8,750
*Effective Management Systems, Inc. . 1,400 9,100
*Egghead, Inc. ....................... 7,000 43,313
Ekco Group, Inc. .................... 10,200 34,425
*El Chico Restaurants, Inc. .......... 2,900 22,475
Elcor Corp. ......................... 3,500 74,375
Eldorado Bancorp CA ................. 1,470 30,319
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Electric Fuel Corp. ................. 6,200 38,750
*Electro Rent Corp. .................. 6,000 141,000
*Electro Scientific Industries, Inc. . 4,500 110,250
*Electroglas, Inc. ................... 8,700 $152,250
*Electromagnetic Sciences, Inc. ...... 11,400 235,125
*Electronic Fab Technology, Inc. ..... 5,000 17,188
*Electronic Retailing System
International, Inc. ................. 2,300 7,044
Electronic Tele Communications, Inc.
Class A ............................. 1,000 2,125
*Elek-Tek, Inc. ...................... 4,000 18,250
*Eljer Industries, Inc. .............. 2,800 33,600
Ellett Brothers, Inc. ............... 3,000 15,563
*Eltron International, Inc. .......... 4,000 123,000
*Embrex, Inc. ........................ 2,700 17,888
*Emcare Holdings, Inc. ............... 1,600 31,600
*Emcon ............................... 4,200 16,275
Emerald Isle Corp. .................. 200 3,700
*#Emerson Radio Corp. ................. 16,100 23,144
*Emisphere Technologies, Inc. ........ 1,900 29,450
*Emmis Broadcasting Corp. Class A .... 4,400 150,700
*Empi, Inc. .......................... 4,300 79,013
Empire District Electric Co. ........ 7,200 135,900
*Empire of Carolina, Inc. ............ 2,600 16,900
*Employee Solutions, Inc. Class B .... 12,200 224,938
*Emulex Corp. ........................ 2,250 37,688
*Encad, Inc. ......................... 4,400 165,825
*Encore Computer Corp. ............... 17,800 23,919
*Encore Wire Corp. ................... 4,200 66,150
*Endosonics Corp. .................... 6,100 69,006
Energen Corp. ....................... 6,600 179,025
*Energy Biosystems Corp. ............. 6,000 39,000
*Energy Research Corp. ............... 1,500 16,500
Energy West, Inc. ................... 200 1,700
Energynorth, Inc. ................... 2,400 48,900
Engineered Support Systems, Inc. .... 1,200 12,525
*Engineering Measurements Co. ........ 1,000 3,656
Engle Homes, Inc. ................... 2,800 23,100
Enhance Financial Services Group,
Inc. ................................ 8,700 297,975
*Enlighten Software Solutions, Inc. .. 1,100 4,950
Ennis Business Forms, Inc. .......... 8,200 83,025
*Ensys Environmental Products, Inc. .. 1,000 1,875
*Envirogen, Inc. ..................... 3,700 9,713
*Environmental Elements Corp. ........ 4,200 10,500
*Environmental Technologies Corp. .... 2,200 15,263
*Enviroq Corp. ....................... 280 403
*Envirotest Systems Corp. Class A .... 7,200 16,425
*Envoy Corp. ......................... 6,700 247,063
*Enzo Biochem, Inc. .................. 11,014 207,889
*Enzon, Inc. ......................... 13,800 33,206
*Epitope, Inc. ....................... 6,300 77,175
*Equinox Systems, Inc. ............... 2,000 23,375
*Equitex, Inc. ....................... 1,600 3,800
*Equitrac Corp. ...................... 1,500 15,750
*Equity Corp. International .......... 7,200 151,200
*Equity Marketing, Inc. .............. 2,800 63,875
*Equity Oil Co. ...................... 14,200 46,594
Eskimo Pie Corp. .................... 1,600 16,800
Espey Manufacturing & Electronics
Corp. ............................... 400 6,750
*Essex Corp. ......................... 1,000 2,000
Essex County Gas Co. ................ 800 20,300
*Esterline Technologies Corp. ........ 3,300 83,738
Ethan Allen Interiors, Inc. ......... 6,400 212,800
*Evans & Sutherland Computer Corp. .. 4,300 109,113
*Evans Systems, Inc. ................. 1,400 7,000
106
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Evans, Inc. ......................... 1,000 $ 1,938
Evergreen Bancorp, Inc. DE .......... 3,800 61,038
*Evergreen Resources, Inc. ........... 2,800 18,375
*Exabyte Corp. ....................... 8,700 126,694
*Exar Corp. .......................... 8,100 128,081
*Excalibur Technologies Corp. ........ 5,800 91,350
Excel Industries, Inc. .............. 4,200 63,000
*Excel Technology, Inc. .............. 4,600 38,238
Executive Risk, Inc. ................ 3,700 148,000
*Executive Telecard, Ltd. ............ 8,002 57,014
*Executone Information Systems, Inc. 25,900 67,178
Exide Corp. ......................... 11,500 293,250
*Exide Electronics Group, Inc. ....... 5,452 59,291
Expeditors International of
Washington .......................... 4,800 212,400
*Expert Software, Inc. ............... 2,500 11,250
*Express America Holdings Corp. ...... 2,400 15,600
*Express Scripts, Inc. Class A ....... 3,300 117,150
*Ezcorp, Inc. Class A Non-Voting ..... 4,900 37,669
F & M Bancorp (MD) .................. 1,800 41,850
F & M Bancorporation, Inc. .......... 2,100 64,838
F & M National Corp. ................ 7,600 150,100
FCB Financial Corp. ................. 1,100 20,900
FCNB Corp. .......................... 153 3,137
FDP Corp. ........................... 2,500 35,313
FFLC Bancorp ........................ 500 9,938
FFY Financial Corp. ................. 2,200 56,513
*FLIR Systems, Inc. .................. 2,200 29,838
*FM Properties, Inc. ................. 5,700 16,744
*FNB Rochester Corp. ................. 1,400 17,238
*FPA Corp. ........................... 2,000 2,125
*FPA Medical Management, Inc. ........ 7,948 152,006
*FRP Properties, Inc. ................ 2,500 52,500
*FSI International, Inc. ............. 10,000 145,625
*FTP Software, Inc. .................. 13,300 104,738
Fab Industries, Inc. ................ 3,500 93,625
*Fabri-Centers of America, Inc.
Class A ............................. 6,400 99,200
*Fabri-Centers of America, Inc.
Class B ............................. 6,700 97,988
*Failure Group, Inc. ................. 4,300 25,263
Fair, Isaac & Co., Inc. ............. 6,900 241,500
*Fairchild Corp. Class A ............. 8,000 133,000
*#Fairfield Communities, Inc. ......... 3,900 95,550
*Falcon Building Products, Inc.
Class A ............................. 5,500 68,063
Falcon Products, Inc. ............... 6,050 87,725
Family Bancorp ...................... 1,650 57,956
*Family Golf Centers, Inc. ........... 5,800 179,800
*Fansteel, Inc. ...................... 4,000 26,500
*Farah, Inc. ......................... 8,000 53,000
Farmer Brothers Co. ................. 200 30,300
*Farr Co. ............................ 2,300 40,250
Farrel Corp. ........................ 2,400 6,900
*Fastcomm Communications Corp. ....... 5,700 47,025
*Faulding Corp. ...................... 5,000 29,688
*Featherlite Manufacturing, Inc. ..... 2,400 13,950
Fed One Bancorp ..................... 600 9,413
Fedders Corp. ....................... 8,800 50,600
Fedders Corp. Class A ............... 8,000 38,000
Federal Screw Works ................. 1,800 50,850
*Female Health Co. ................... 3,400 14,450
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Ferrofluidics Corp. ................. 3,031 $ 27,658
*Fiberstars, Inc. .................... 700 3,369
*Fibreboard Corp. .................... 3,300 114,263
Fidelity Bancorp, Inc. Delaware ..... 1,300 22,181
Fidelity Federal Bancorp ............ 1,100 11,275
Fidelity Financial Bankshares Corp. . 210 5,329
Fidelity National Financial, Inc. ... 7,645 126,143
*Fieldcrest Cannon, Inc. ............. 4,500 64,688
*Fifty-Off Stores, Inc. .............. 5,600 963
*Figgie International, Inc. Class A .. 5,500 68,750
*Figgie International, Inc. Class B .. 2,500 28,594
*Filenes Basement Corp. .............. 8,200 40,231
*Filenet Corp. ....................... 6,700 239,525
*Financial Federal Corp. ............. 5,450 82,431
Financial Trust Corp. ............... 3,520 99,440
*Finish Line, Inc. Class A ........... 10,600 235,850
*Finishmaster, Inc. .................. 3,000 25,125
First Albany Companies, Inc. ........ 1,978 18,297
*First Alert, Inc. ................... 12,000 47,250
First American Financial Corp. ...... 4,500 164,813
*First American Health Concepts, Inc. 1,100 4,125
First Bancorp ....................... 400 7,050
*First Cash, Inc. .................... 1,500 7,969
First Central Financial Corp. ....... 9,300 35,456
First Charter Corp. ................. 1,900 41,800
First Citizens Bancshares, Inc. NC .. 1,700 135,150
*First Citizens Financial Corp. ...... 1,270 23,654
First Colorado Bancorp .............. 5,455 96,144
First Commercial Corp. .............. 1,927 69,854
First Commonwealth Financial Corp. . 11,200 205,800
First Defiance Financial Corp. ...... 2,159 26,448
First Essex Bancorp ................. 3,000 41,625
First Federal Capital Corp. ......... 2,600 61,100
First Federal Savings & Loan
Association of East Hartford, CT .... 1,500 34,500
First Financial Bancorp ............. 6,020 185,868
First Financial Bankshares, Inc. .... 250 9,063
First Financial Corp. of Western
Maryland ............................ 900 28,688
First Financial Holdings, Inc. ...... 3,000 70,875
First Franklin Corp. ................ 200 3,375
First Georgia Holdings, Inc. ........ 300 2,588
First Home Bancorp, Inc. NJ ......... 200 3,700
First Indiana Corp. ................. 6,439 164,195
First Liberty Financial Corp. ....... 1,800 37,575
*First Merchants Acceptance Corp. .... 2,600 54,113
First Merchants Corp. ............... 2,000 52,000
First Michigan Bank Corp. ........... 8,594 242,781
First Midwest Bancorp, Inc. ......... 7,500 269,531
First Mississippi Corp. ............. 13,600 392,700
First Mutual Savings Bank ........... 264 4,884
First Northern Capital Corp. ........ 1,800 30,600
First Oak Brook Bancshares, Inc.
Class A ............................. 700 15,050
First Palm Beach Bancorp, Inc. ...... 2,700 68,006
*First Republic Bancorp, Inc. ........ 2,900 51,838
First Savings Bancorp, Inc. North
Carolina ............................ 1,500 27,750
First Source Corp. .................. 6,293 150,245
First Southeast Financial Corp. ..... 1,600 16,300
First State Financial Services, Inc. 1,000 15,563
*#First Team Sports, Inc. ............. 2,850 25,472
First Union Corp. ................... 4,630 353,590
First United Bancorp ................ 2,699 30,702
First Western Bancorp, Inc. ......... 2,750 73,906
107
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*FirstFed Financial Corp. DE ......... 5,300 $126,538
FirstFederal Financial Services
Corp. ............................... 1,342 50,996
Firstbank of Illinois Co. ........... 4,100 139,913
Firstfed Bancshares, Inc. ........... 1,500 25,313
*Fischer Imaging Corp. ............... 2,700 18,056
Flag Financial Corp. ................ 200 2,275
*Flagstar Companies, Inc. ............ 21,900 25,322
Flamemaster Corp. ................... 200 913
Fleming Companies, Inc. ............. 15,100 247,263
Flexsteel Industries, Inc. .......... 6,200 79,825
Florida First Bancorp, Inc. ......... 200 2,313
Florida Public Utilities Co. ........ 500 9,969
Florida Rock Industries, Inc. ....... 4,300 132,225
*Florsheim Shoe Co. .................. 3,300 15,675
*Flow International Corp. ............ 14,400 121,500
Fluke Corp. ......................... 4,000 172,500
*Fluor Daniel/GTI, Inc. .............. 1,265 10,911
*Foamex International, Inc. .......... 13,900 232,825
*Foilmark, Inc. ...................... 1,600 4,000
*Foodarama Supermarkets, Inc. ........ 1,500 21,000
*Foodbrands America, Inc. ............ 3,300 43,725
*Foodmaker, Inc. ..................... 28,000 255,500
*Foothill Independent Bancorp ........ 1,770 19,028
Foremost Corp. of America ........... 4,800 268,200
Forest City Enterprises, Inc.
Class A ............................. 2,300 122,906
Forest City Enterprises, Inc.
Class B ............................. 1,400 74,375
*Forest Oil Corp. .................... 3,540 55,313
Fort Wayne National Corp. ........... 6,300 238,613
*Fortune Petroleum Corp. ............. 4,800 14,400
*Fossil, Inc. ........................ 6,600 86,625
*Foster (L.B.) Co. Class A ........... 20,900 85,559
*Fountain Oil, Inc. .................. 6,900 48,516
*Fountain Powerboat Industries, Inc. . 1,200 17,625
*Fourth Shift Corp. .................. 4,800 26,700
*Foxmeyer Health Corp. ............... 6,300 14,175
Franklin Bank National Associaton
Southfield, MI ....................... 1,260 15,356
Franklin Electric Co., Inc. ......... 3,300 134,063
*Franklin Electronic Publishers, Inc. 4,700 58,750
*Franklin Quest Co. .................. 8,200 174,250
Frederick's of Hollywood, Inc.
Class A ............................. 3,966 21,813
Frederick's of Hollywood, Inc.
Class B ............................. 3,633 16,349
Freds, Inc. Class A ................. 5,100 46,219
*Fresh America Corp. ................. 1,400 23,363
*Fresh Choice, Inc. .................. 3,300 16,500
Friedman Industries, Inc. ........... 10,397 62,382
*Friedmans, Inc. Class A ............. 6,300 86,231
Frisch's Restaurants, Inc. .......... 13,984 188,782
*Fritz Companies, Inc. ............... 10,000 150,625
Frontier Adjusters of America, Inc. . 1,000 3,250
Frontier Insurance Group, Inc. ...... 5,700 218,025
Frozen Food Express Industries, Inc. 6,607 63,592
Fuller (H.B.) Co. ................... 7,000 332,500
Fulton Financial Corp. .............. 9,966 204,303
*Funco, Inc. ......................... 2,300 18,975
*Fuqua Enterprises, Inc. ............. 3,600 86,850
*Furniture Brands International, Inc. 3,500 43,313
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Furon Co. ........................... 3,500 $ 71,313
*Fusion Systems Corp. ................ 4,300 80,625
*Future Healthcare, Inc. ............. 3,400 136
G & K Services, Inc. Class A ........ 10,000 365,000
*G-III Apparel Group, Ltd. ........... 3,685 10,479
GBC Bancorp ......................... 2,700 76,613
*GC Companies, Inc. .................. 3,100 108,500
*GMIS, Inc. .......................... 3,200 76,600
*GNI Group, Inc. ..................... 2,400 15,600
*GRC International, Inc. ............. 9,100 135,363
*GTI Corp. ........................... 5,600 30,100
*GTS Duratek, Inc. ................... 6,200 78,663
*GZA Geoenvironmental
Technologies, Inc. .................. 1,700 5,313
Gainsco, Inc. ....................... 8,600 80,625
*Galey & Lord, Inc. .................. 6,000 78,000
*Galileo Electro-Optics Corp. ........ 3,900 94,088
Gallagher (Arthur J.) & Co. ......... 7,800 239,850
*Galoob (Lewis) Toys, Inc. DE ........ 5,900 171,838
*Game Financial Corp. ................ 2,000 17,250
Gamma Biologicals, Inc. ............. 5,500 17,188
*Gander Mountain, Inc. ............... 90 16
*Gantos, Inc. ........................ 4,150 15,433
Garan, Inc. ......................... 3,042 54,376
*Gardner Denver Machinery, Inc. ...... 1,900 69,825
*Gasonics International, Inc. ........ 6,650 72,319
*Gaylord Container Corp. Class A ..... 25,000 159,375
*#Geerling & Wade, Inc. ............... 1,400 6,913
*Gehl Co. ............................ 2,500 20,938
*Gelman Sciences, Inc. ............... 7,275 230,981
Gencorp, Inc. ....................... 19,300 357,050
*Genelabs Technologies, Inc. ......... 19,500 75,563
*Genemedicine, Inc. .................. 6,500 22,750
General Binding Corp. ............... 7,200 201,600
*General Communications, Inc. Class A 5,400 38,813
*General Datacomm Industries, Inc. ... 11,700 130,163
*#General Host Corp. .................. 9,200 32,200
General Housewares Corp. ............ 1,600 16,000
General Magnaplate Corp. ............ 200 1,338
General Physics Corp. ............... 4,100 16,913
*Genesco, Inc. ....................... 9,800 99,225
Genesee Corp. Class B ............... 200 8,500
*#Geneva Steel Co. Class A ............ 5,300 18,550
*Genicom Corp. ....................... 6,000 23,813
*Genlyte Group, Inc. ................. 8,900 80,100
*Genome Therapeutics Corp. ........... 6,900 62,963
Genovese Drug Stores, Inc.
Class A ............................. 2,200 38,500
*Genrad, Inc. ........................ 8,800 194,700
*Gensia, Inc. ........................ 17,500 80,391
*Genta, Inc. ......................... 5,600 3,413
*Gentex Corp. ........................ 9,500 185,844
*Genus, Inc. ......................... 9,100 62,563
*Genzyme Transgenics Corp. ........... 9,120 52,440
Geon Co. ............................ 4,700 88,713
George Mason Bankshares, Inc. ....... 2,500 56,875
*Georgia-Bonded Fibres, Inc. ......... 200 788
*Geotek Communications, Inc. ......... 27,200 192,100
*Geoworks ............................ 7,700 170,844
Gerber Scientific, Inc. ............. 14,200 220,100
Getty Petroleum Corp. ............... 5,100 81,600
*Giant Cement Holding, Inc. .......... 4,000 61,000
*Giant Group, Ltd. ................... 5,300 44,388
Giant Industries, Inc. .............. 7,900 120,475
*Gibraltar Packaging Group, Inc. ..... 1,500 5,438
*Gibraltar Steel Corp. ............... 5,800 135,575
108
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Gibson Greetings, Inc. .............. 9,400 $178,600
Giddings & Lewis, Inc. .............. 17,100 198,788
*Giga-Tronics, Inc. .................. 1,600 13,400
Gilbert Associates, Inc. Class A .... 3,500 47,250
*Gilead Sciences, Inc. ............... 3,300 84,769
*Gish Biomedical, Inc. ............... 1,900 12,588
Glacier Bancorp, Inc. ............... 1,342 32,208
*Glacier Water Services, Inc. ........ 2,300 47,150
Gleason Corp. ....................... 2,800 82,600
*Global Industrial Technologies, Inc. 11,700 239,850
*Global Village Communication, Inc. .. 9,200 61,525
*Globalink, Inc. ..................... 2,600 7,800
*Go Video, Inc. ...................... 3,100 4,069
*Golden Books Family
Entertainment, Inc. ................. 8,600 98,363
Golden Enterprises, Inc. ............ 6,100 46,131
Golden Poultry Co., Inc. ............ 5,800 59,450
*Good Guys, Inc. ..................... 5,400 43,538
GoodMark Foods, Inc. ................ 7,800 132,600
*Goodys Family Clothing, Inc. ........ 9,700 157,625
Gorman-Rupp Co. ..................... 5,175 71,803
*Gottschalks, Inc. ................... 4,900 33,075
Goulds Pumps, Inc. .................. 8,500 209,844
*Government Technology Services, Inc. 4,000 24,750
Graco, Inc. ......................... 9,600 247,200
*Gradco Systems, Inc. ................ 4,700 16,744
*Graff Pay-per-View, Inc. ............ 6,500 9,750
Graham-Field Health Products, Inc. .. 6,300 51,188
*Grancare, Inc. ...................... 13,605 241,489
Grand Premier Financial, Inc. ....... 2,901 30,823
Granite Construction, Inc. .......... 7,200 146,700
Granite State Bankshares, Inc. ...... 800 17,700
*Grant Geophysical, Inc. ............. 3,100 678
Graphic Industries, Inc. ............ 4,600 41,688
Great Southern Bancorp, Inc. ........ 400 6,900
*Greater New York Savings
Bank NY ............................. 6,500 86,125
Green (A.P.) Industries, Inc. ....... 11,100 109,613
Green Mountain Power Corp. .......... 3,000 74,625
*Greenbriar Corp. .................... 160 2,240
Greenbrier Companies, Inc. .......... 8,000 77,000
Greenfield Industries, Inc. DE ...... 7,400 214,600
Greenwich Air Services, Inc.
Class A ............................. 3,300 80,850
*Greenwich Air Services, Inc.
Class B ............................. 2,200 51,425
Grey Advertising, Inc. .............. 200 46,800
*Greyhound Lines, Inc. ............... 26,900 104,238
*Griffon Corp. ....................... 51,500 553,625
*Grist Mill & Co. .................... 5,900 35,031
*Grossmans, Inc. ..................... 9,900 10,828
*Ground Round Restaurants, Inc. ...... 5,500 13,836
*Group 1 Software, Inc. .............. 3,000 28,500
*Group Technologies Corp. ............ 8,700 16,313
Grovebank for Savings ............... 700 34,388
*Grow Biz International, Inc. ........ 2,900 26,100
*Gryphon Holdings, Inc. .............. 100 1,431
Guaranty National Corp. ............. 2,407 40,016
*Guest Supply, Inc. .................. 6,000 98,250
Guilford Mills, Inc. ................ 6,700 171,688
*Gulfmark International, Inc. ........ 1,700 93,500
*Gulfsouth Medical Supply, Inc. ...... 7,700 224,263
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Gull Laboratories, Inc. ............. 3,000 $ 18,750
*Gundle/SLT Environmental, Inc. ...... 8,500 54,188
*HD Vest, Inc. ....................... 2,200 9,350
*HEI, Inc. ........................... 1,500 13,031
HF Financial Corp. .................. 1,200 19,950
*HMG Worldwide Corp. ................. 2,500 3,516
HMI Industries, Inc. ................ 5,400 29,025
*HMN Financial, Inc. ................. 2,200 39,738
*HPR, Inc. ........................... 2,000 29,875
*HPSC, Inc. .......................... 2,600 16,413
*HS Resources, Inc. .................. 10,355 176,035
HUBCO, Inc. ......................... 6,598 161,651
*Ha-Lo Industries, Inc. .............. 4,800 186,000
Hach Co. ............................ 6,225 105,825
*Hadco Corp. ......................... 4,100 190,394
*Haemonetics Corp. ................... 11,500 199,813
Haggar Corp. ........................ 4,100 73,031
*Hahn Automotive Warehouse, Inc. ..... 2,080 17,680
Halliburton Co. ..................... 4,706 283,537
*Hallwood Group, Inc. ................ 950 13,538
*Halsey Drug Co., Inc. ............... 5,604 27,670
*Hammons (John Q.) Hotels, Inc. Class
A .................................... 3,200 25,800
*Hampshire Group, Ltd. ............... 1,400 18,200
*Hampton Industries, Inc. ............ 1,800 9,450
Hancock Fabrics, Inc. ............... 12,900 119,325
Hancock Holding Co. ................. 3,200 138,400
*Handex Environmental Recovery, Inc. 3,100 36,813
Handleman Co. ....................... 18,200 150,150
#Handy & Harman ...................... 9,100 152,425
*Hanger Orthopedic Group, Inc. ....... 3,300 19,800
*Harcor Energy, Inc. ................. 5,500 27,156
*Harding Lawson Associates Group,
Inc. ................................ 5,000 33,125
*#Harken Energy Corp. ................. 51,900 152,456
Harleysville Group, Inc. ............ 9,000 276,750
Harleysville National Corp PA ....... 210 5,329
*Harlyn Products, Inc. ............... 2,900 1,813
Harmon Industries, Inc. ............. 5,100 88,613
*Harolds Stores, Inc. ................ 2,095 31,949
Harper Group, Inc. .................. 7,000 161,000
*Harris & Harris Group, Inc. ......... 4,800 19,200
Harris Savings Bank PA .............. 1,000 18,250
*Harry's Farmers Market, Inc.
Class A ............................. 1,600 5,700
*Hartmarx Corp. ...................... 14,200 74,550
*Harvard Industries, Inc. ............ 2,600 13,488
*Harvey Entertainment Co. ............ 2,000 14,125
Harvey's Casino Resorts ............. 5,200 86,450
Haskel International, Inc. .......... 1,900 14,844
Hastings Manufacturing Co. .......... 350 8,925
*Hathaway Corp. ...................... 2,700 10,631
*Hauser Chemical Research, Inc. ...... 5,800 34,075
Haven Bancorp, Inc. ................. 1,800 50,288
Haverfield Corp. .................... 220 4,180
Haverty Furniture Co., Inc. ......... 5,300 69,563
Haverty Furniture Co., Inc. Class A . 200 2,600
Hawkins Chemical, Inc. .............. 5,497 40,540
*Hawthorne Financial Corp. ........... 700 5,556
*Hays Wheels International, Inc. ..... 880 30,140
Health Images, Inc. ................. 5,700 89,063
*Health Management Systems, Inc. ..... 9,400 140,413
*Health Management, Inc. ............. 4,500 6,047
*Health O Meter Products, Inc. ....... 3,600 21,825
*Health Power, Inc. .................. 1,900 6,294
*Health Professionals, Inc. .......... 1,250 3,438
109
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Health Risk Management, Inc. ........ 1,600 $ 23,700
*Health-Chem Corp. ................... 4,789 5,088
*Healthcare Imaging Services, Inc. ... 1,200 1,838
*Healthcare Services Group, Inc. ..... 6,200 60,450
*Healthdyne Information Enterprises,
Inc. ................................ 10,100 46,081
*Healthdyne Technologies, Inc. ....... 9,572 87,345
*Healthy Planet Products, Inc. ....... 700 3,106
*Heartland Express, Inc. ............. 15,876 378,047
*Heartland Wireless
Communications, Inc. ................ 1,516 18,192
Hechinger Co. Class A ............... 13,900 37,356
Hechinger Co. Class B ............... 5,800 25,013
*Hecla Mining Co. .................... 26,200 153,925
*Hector Communications Corp. ......... 1,200 9,000
*Heftel Broadcasting Corp. Class A ... 1,100 36,300
Heico Corp. ......................... 3,460 69,200
*Hein-Werner Corp. ................... 2,059 12,997
*Heist (C.H.) Corp. .................. 2,100 17,325
Helix Technology Corp. .............. 14,800 468,975
Henry Jack & Associates, Inc. ....... 6,200 234,050
Herbalife International, Inc. ....... 14,100 363,956
Heritage Financial Services, Inc. ... 3,100 65,875
*Heritage Media Corp. Class A ........ 14,200 197,025
*Hexcel Corp. ........................ 5,000 90,625
*Hi-Lo Automotive, Inc. .............. 4,300 11,288
*Hi-Shear Industries, Inc. ........... 500 1,367
*Hi-Shear Technology Corp. ........... 1,300 7,800
*Hi-Tech Pharmacal, Inc. ............. 3,500 15,969
*High Plains Corp. ................... 9,580 51,193
Hilb Rogal Hamilton Co. ............. 6,500 86,125
*Hilite Industries, Inc. ............. 2,000 10,500
*Hinsdale Financial Corp. ............ 1,250 34,375
*Hirsch International Corp. Class A .. 2,093 39,505
*Hitox Corp. ......................... 2,500 6,406
Hoenig Group, Inc. .................. 3,600 15,750
*Holiday RV Superstores, Inc. ........ 3,000 4,922
Holly Corp. ......................... 4,100 109,675
*Hollywood Casino Corp. Class A ...... 15,000 63,750
*Hollywood Entertainment Corp. ....... 8,100 162,000
*Hologic, Inc. ....................... 5,100 125,588
*Holopak Technologies, Inc. .......... 3,500 11,375
*Holophane Corp. ..................... 7,050 133,950
Home Beneficial Corp. Class B ....... 5,200 131,950
Home Federal Bancorp ................ 900 31,275
Home Port Bancorp, Inc. ............. 900 15,356
*Home State Holdings, Inc. ........... 2,200 16,913
*Homecorp, Inc. ...................... 200 3,775
*Homeowners Group, Inc. .............. 1,700 2,922
*Hondo Oil and Gas Co. ............... 7,600 92,150
Hooper Holmes, Inc. ................. 2,600 40,950
Horizon Bancorp, Inc. ............... 200 7,950
Horizon Financial Corp. ............. 3,438 46,843
*Horizon/CMS Healthcare Corp. ........ 3,000 32,250
*Hospital Staffing Services, Inc. .... 2,390 5,378
*Hosposable Products, Inc. ........... 200 1,013
*Hovnanian Enterprises, Inc.
Class A ............................. 6,000 35,250
*Hovnanian Enterprises, Inc.
Class B ............................. 1,150 6,756
Howell Corp. ........................ 1,900 27,075
Howell Industries, Inc. ............. 200 8,150
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Howtek, Inc. ........................ 3,600 $ 7,313
Hudson Foods, Inc. Class A .......... 8,900 162,425
Hudson General Corp. ................ 400 14,500
*Hudson Technologies, Inc. ........... 1,700 10,200
Huffy Corp. ......................... 6,700 92,125
Hughes Supply, Inc. ................. 5,100 219,300
*Hugoton Energy Corp. ................ 10,800 117,450
*Human Genome Sciences, Inc. ......... 2,100 77,175
Hunt (J.B.) Transportation Services,
Inc. ................................ 10,000 141,250
Hunt Manufacturing Co. .............. 5,200 91,650
Huntco, Inc. Class A ................ 1,500 23,438
*Hurco Companies, Inc. ............... 3,300 17,738
*Hutchinson Technology, Inc. ......... 2,100 111,825
*Hycor Biomedical, Inc. .............. 5,600 19,950
*Hyde Athletic Industries, Inc.
Class A ............................. 1,000 5,125
*Hyde Athletic Industries, Inc.
Class B ............................. 1,500 7,359
Hydron Technologies, Inc. ........... 9,800 18,988
*Hyperion Software Corp. ............. 7,500 162,188
*#I-Stat Corp. ........................ 4,400 107,800
*ICF Kaiser International, Inc. ...... 13,500 25,313
ICN Pharmaceuticals, Inc. ........... 11,092 214,908
ICO, Inc. ........................... 10,620 69,694
*ICOS Corp. .......................... 19,200 148,800
*ICU Medical, Inc. ................... 4,600 37,088
*IDEC Pharmaceuticals Corp. .......... 6,900 166,894
*IDM Environmental Corp. ............. 1,200 2,644
*IEC Electronics Corp. ............... 3,000 23,250
*IFR Systems, Inc. ................... 3,700 56,194
*IGEN, Inc. .......................... 8,200 49,200
*IGI, Inc. ........................... 8,700 50,025
*IHOP Corp. .......................... 4,100 99,425
*II-VI, Inc. ......................... 1,300 34,288
*ILC Technology, Inc. ................ 2,900 34,981
IMCO Recycling, Inc. ................ 4,700 76,963
*IMP, Inc. ........................... 10,800 34,594
*IPC Information Systems, Inc. ....... 4,800 78,000
*IPL Systems, Inc. Class A ........... 1,800 3,544
*IQ Software Corp. ................... 1,800 42,750
*ITI Technologies, Inc. .............. 3,500 42,875
*ITT Educational Services, Inc. ...... 750 14,531
*IVI Publishing, Inc. ................ 5,000 17,656
IWC Resources Corp. ................. 4,800 108,000
*Ibah, Inc. .......................... 9,400 61,100
*Identix, Inc. ....................... 13,400 106,363
*Ikos Systems, Inc. .................. 3,100 60,063
*Illinois Superconductor Corp. ....... 1,800 30,150
*Image Entertainment, Inc. ........... 6,900 28,894
*Imatron, Inc. ....................... 42,200 148,359
*Imclone Systems, Inc. ............... 11,000 112,750
*Immucor, Inc. ....................... 3,900 40,219
*Immulogic Pharmaceutical Corp. ...... 8,000 68,000
*Immune Response Corp. DE ............ 9,500 75,406
*Immunex Corp. ....................... 21,800 292,938
*Immunogen, Inc. ..................... 7,800 21,694
*Immunomedics, Inc. .................. 19,700 135,438
*Imo Industries, Inc. ................ 6,800 22,950
*Impact Systems, Inc. ................ 6,200 8,913
*Imperial Bancorp .................... 12,469 279,773
*Imperial Credit Industries, Inc. .... 11,150 239,725
*Imperial Holly Corp. ................ 5,100 79,050
*In Focus Systems, Inc. .............. 4,200 88,200
*In Home Health, Inc. ................ 6,400 12,400
*Inacom Corp. ........................ 4,900 152,206
*Inbrand Corp. ....................... 6,000 144,000
*Incontrol, Inc. ..................... 9,300 81,956
110
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Incstar Corp. ....................... 8,200 $ 34,850
*Incyte Pharmaceuticals, Inc. ........ 4,000 152,250
*Indenet, Inc. ....................... 9,300 19,181
Independence Holding Co. ............ 2,500 21,094
Independent Bank Corp. MA ........... 7,100 67,006
Independent Bank East ............... 1,102 37,606
Indiana Energy, Inc. ................ 11,300 272,613
Indiana Federal Corp. ............... 1,500 33,000
Industrial Acoustics Co., Inc. ...... 200 2,025
*Industrial Holdings, Inc. ........... 1,200 11,400
*Industrial Scientific Corp. ......... 700 11,113
*Industrial Training Corp. ........... 1,000 4,500
*Information Resource Engineering,
Inc. ................................ 2,200 23,375
*Information Resources, Inc. ......... 11,100 126,956
#Ingles Market, Inc. Class A ......... 1,800 26,100
*Inhale Therapeutic Systems .......... 5,700 84,788
*Innerdyne, Inc. ..................... 11,800 36,138
*Innodata Corp. ...................... 1,800 2,588
*Innoserv Technologies, Inc. ......... 200 588
*Innovative Gaming Corp of America ... 2,800 22,400
Innovex, Inc. ....................... 8,100 329,063
*Inphynet Medical Management, Inc. ... 7,300 130,944
*Insignia Financial Group, Inc.
Class A ............................. 1,000 22,750
*Insilco Corp. ....................... 4,800 187,200
*Insite Vision, Inc. ................. 7,000 30,406
Insituform East, Inc. ............... 1,700 4,888
*Insituform Technologies, Inc.
Class A ............................. 13,810 108,754
Insteel Industries, Inc. ............ 3,300 26,400
Instron Corp. ....................... 11,200 145,600
*Insurance Auto Auctions, Inc. ....... 5,600 52,500
Integon Corp. ....................... 6,200 119,350
*Integramed America, Inc. ............ 3,600 6,188
*Integrated Circuit Systems, Inc. .... 5,600 59,500
Integrated Health Services, Inc. .... 8,900 195,800
*#Integrated Process Equipment Corp. . 7,000 119,438
*#Integrated Silicon Solution, Inc. ... 10,000 100,469
*Integrated Systems, Inc. ............ 200 4,225
*Integrated Waste Services, Inc. ..... 2,400 2,700
*Intellicall, Inc. ................... 3,200 15,600
*Intellidate Technologies Corp. ...... 13,700 99,325
Intelligent Electronics, Inc. ....... 19,128 143,460
Inter-Regional Financial Group, Inc. 6,000 210,750
*Inter-Tel, Inc. ..................... 5,100 91,163
Intercargo Corp. .................... 3,800 31,350
*Intercel, Inc. ...................... 14,700 222,338
Interchange Financial Services Corp.
Saddle Brook ........................ 920 21,735
*Interdigital Communications Corp. ... 22,000 159,500
*Interface Systems, Inc. ............. 3,400 19,125
Interface, Inc. Class A ............. 10,100 200,738
*Interferon Sciences, Inc. ........... 15,900 24,347
*Interim Services, Inc. .............. 3,336 130,938
*Interlake Corp. ..................... 17,000 63,750
*Interleaf, Inc. ..................... 10,000 22,188
*Interlink Electronics ............... 1,700 8,394
*Interlinq Software Corp. ............ 3,200 15,300
*Intermagnetics General Corp. ........ 9,906 132,493
*Intermedia Communications of
Florida, Inc. ....................... 7,600 223,250
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Intermet Corp. ...................... 14,800 $201,650
*#International Alliance Services, Inc. 4,400 40,425
International Aluminum Corp. ........ 900 23,175
*International Dairy Queen, Inc.
Class A ............................. 8,500 163,625
*International Family Entertainment,
Inc. Class B ........................ 300 4,613
*International Imaging Materials, Inc. 4,800 117,000
*International Lottery & Totalizer
Systems, Inc. ....................... 6,900 7,331
*International Lottery, Inc. ......... 1,600 11,800
International Multifoods Corp. ...... 9,000 141,750
*International Remote Imaging
Systems, Inc. ....................... 2,800 11,550
International Shipholding Corp. ..... 3,375 59,484
*International Technology Corp. ...... 5,025 50,878
*International Thoroughbred
Breeders, Inc. ...................... 4,800 16,500
*Interneuron Pharmaceuticals, Inc. ... 2,366 46,729
*Interphase Corp. .................... 2,200 24,613
Interpool, Inc. ..................... 6,900 165,600
*Interpore International ............. 3,400 16,150
*Interscience Computer Corp. ......... 1,000 3,375
*Intersolv, Inc. ..................... 7,900 73,569
Interstate Johnson Lane, Inc. ....... 2,300 30,188
Interstate Power Co. ................ 2,400 71,700
*#Intertan, Inc. ...................... 5,200 29,900
*Intervisual Books, Inc. Class A ..... 1,000 1,594
*Intervoice, Inc. .................... 9,300 117,994
Interwest Bancorp, Inc. ............. 2,600 85,475
*Investment Technology Group, Inc. ... 9,200 169,050
Investors Financial Services Corp. .. 503 13,770
Investors Financial Services Corp.
Class A ............................. 96 2,628
Investors Title Co. ................. 800 12,500
*Invivo Corp. ........................ 1,000 13,688
*Ion Laser Technology, Inc. .......... 2,900 35,525
Iroquois Bancorp .................... 400 6,650
Irwin Financial Corp. ............... 1,000 48,750
Isco, Inc. .......................... 43,935 433,858
*Isis Pharmaceuticals, Inc. .......... 14,100 229,125
*Isolyser Co., Inc. .................. 11,610 94,331
*Isomedix, Inc. ...................... 4,900 67,375
*Itron, Inc. ......................... 5,100 101,363
*Iwerks Entertainment, Inc. .......... 6,424 41,355
*J & J Snack Foods Corp. ............. 3,500 38,281
J & L Specialty Steel, Inc. ......... 4,800 58,500
JLG Industries, Inc. ................ 31,200 561,415
*JMAR Industries, Inc. ............... 8,900 22,111
*JP Foodservice, Inc. ................ 3,100 74,594
*JPE, Inc. ........................... 1,800 13,725
JSB Financial, Inc. ................. 5,400 196,425
*#JTS Corp. ........................... 33,800 137,313
*Jabil Circuit, Inc. ................. 9,500 242,844
Jackpot Enterprises, Inc. ........... 4,654 46,540
*Jaclyn, Inc. ........................ 1,700 9,031
*Jaco Electronics, Inc. .............. 1,973 17,387
*Jacobs Engineering Group, Inc. ...... 10,200 246,075
Jacobson Stores, Inc. ............... 2,300 22,138
*Jalate, Ltd. ........................ 1,000 3,688
*Jan Bell Marketing, Inc. ............ 12,926 29,891
*Jason, Inc. ......................... 8,187 58,332
*Jayhawk Acceptance Corp. ............ 1,000 12,188
*Jean Philippe Fragrances, Inc. ...... 3,750 26,484
Jeffbanks, Inc. ..................... 1,125 31,359
*Jefferies Group, Inc. ............... 6,000 215,250
Jefferson Bankshares, Inc. .......... 9,100 266,744
111
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Jefferson Savings Bancorp, Inc. ..... 3,000 $ 70,875
*Jennifer Convertibles, Inc. ......... 1,300 2,986
John Alden Financial Corp. .......... 13,900 244,988
*Johnson Worldwide Associates, Inc.
Class A ............................. 2,900 33,713
Johnston Industries, Inc. ........... 10,800 85,050
*Johnstown American Industries, Inc. 5,200 21,450
*Jones Intercable, Inc. .............. 2,000 21,750
*Jones Intercable, Inc. Class A ...... 15,200 162,450
*Joseph A. Bank Clothiers, Inc. ...... 3,700 15,956
Juno Lighting, Inc. ................. 10,200 160,650
*Just Toys, Inc. ..................... 2,100 3,413
Justin Industries, Inc. ............. 13,600 143,650
K Swiss, Inc. Class A ............... 2,100 23,231
*K-Tron International, Inc. .......... 6,200 66,263
*K-V Pharmaceutical Co. Class A ...... 4,000 47,500
*K-V Pharmaceutical Co. Class B ...... 1,900 22,800
K2, Inc. ............................ 8,315 216,190
KCS Energy, Inc. .................... 4,600 155,250
*KLLM Transport Services, Inc. ....... 2,766 31,118
*Kaiser Ventures, Inc. ............... 9,700 95,788
Kaman Corp. Class A ................. 9,400 117,500
*Kaneb Services, Inc. ................ 13,500 47,250
Katy Industries, Inc. ............... 4,400 61,050
Kaydon Corp. ........................ 6,900 282,038
Kaye Group, Inc. .................... 3,000 17,063
*Keithley Instruments, Inc. .......... 1,000 10,375
*Kelley Oil & Gas Corp. .............. 53,000 149,063
Kellwood Co. ........................ 8,500 153,000
*Kent Electronics Corp. .............. 9,900 258,638
*Kentucky Electric Steel, Inc. ....... 2,000 14,125
*Kenwin Shops, Inc. .................. 400 1,200
*Kerr Group, Inc. .................... 2,400 6,600
*Kewaunee Scientific Corp. ........... 1,500 8,906
*#Key Energy Group, Inc. .............. 5,300 64,263
*Key Production Co., Inc. ............ 4,600 58,075
*Key Technology, Inc. ................ 3,000 67,125
*Key Tronic Corp. .................... 13,000 112,938
*Keystone Consolidated Industries,
Inc. ................................ 3,490 25,739
Keystone Heritage Group, Inc. ....... 1,600 36,800
Kimball International, Inc. Class B . 500 20,750
*Kimmins Corp. ....................... 2,700 10,800
*Kinark Corp. ........................ 3,000 9,000
*Kinder-Care Learning Centers, Inc. .. 15,000 298,125
Kinetic Concepts, Inc. .............. 20,300 251,213
*Kinnard Investment, Inc. ............ 2,500 14,219
*Kirby Corp. ......................... 9,800 194,775
*Kit Manufacturing Co. ............... 2,700 29,869
*Kleinert's, Inc. .................... 2,000 36,250
Knape & Vogt Manufacturing Co. ...... 1,800 28,800
*Knickerbocker (L.L.) Co., Inc. ...... 5,000 44,375
*Knight Transportation, Inc. ......... 100 2,319
*Knogo North America, Inc. ........... 5,400 31,388
*Koala Corp. ......................... 700 8,969
Kollmorgen Corp. .................... 5,400 61,425
*Koo Koo Roo, Inc. ................... 8,300 67,697
*Kopin Corp. ......................... 5,500 51,219
*Koss Corp. .......................... 1,000 6,313
*Kronos, Inc. ........................ 3,200 88,800
*Krug International Corp. ............ 848 3,922
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Krystal Co. ......................... 4,900 $ 29,094
Kuhlman Corp. ....................... 11,699 206,195
*Kulicke & Soffa Industries, Inc. .... 10,700 218,013
Kysor Industrial Corp. .............. 2,800 85,400
*#L.A. Gear, Inc. ..................... 12,600 29,925
*LAT Sportswear, Inc. ................ 200 125
LCS Industries, Inc. ................ 1,760 22,880
LSB Bancshares, Inc. NC ............. 2,525 40,084
LSB Industries, Inc. ................ 9,100 42,088
LSI Industries, Inc. ................ 10,867 127,687
*LTX Corp. ........................... 16,600 97,525
*LXE, Inc. ........................... 2,400 36,000
*LXR Biotechnology, Inc. ............. 6,300 13,388
*La Jolla Pharmceutical Co. .......... 9,700 40,013
La-Z-Boy Chair Co. .................. 7,400 222,000
*LaBarge, Inc. ....................... 8,900 53,400
LaCrosse Footwear, Inc. ............. 3,000 34,125
Labone, Inc. ........................ 6,400 100,400
Laclede Gas Co. ..................... 9,300 222,038
*Laclede Steel Co. ................... 2,700 8,944
Ladd Furniture, Inc. ................ 4,266 57,324
*Lakeland Industries, Inc. ........... 1,000 3,281
*Lamson & Sessions Co. ............... 10,900 81,750
Lance, Inc. ......................... 16,600 295,688
*Lancer Corp. ........................ 5,850 87,019
*Lancit Media Productions, Ltd. ...... 4,300 34,131
*Landair Services, Inc. .............. 3,000 31,875
Landauer, Inc. ...................... 5,900 123,163
*Landrys Seafood Restaurants, Inc. ... 9,718 230,803
*Landstar Systems, Inc. .............. 6,400 146,000
*Lasermaster Technologies, Inc. ...... 5,720 31,103
*Laserscope .......................... 2,800 15,400
*Lattice Semiconductor Corp. ......... 50 2,241
Lawson Products, Inc. ............... 6,100 132,294
Lawter International, Inc. .......... 24,800 297,600
Lawyers Title Corp. ................. 4,400 83,600
*Layne, Inc. ......................... 2,900 40,238
*Lazare Kaplan International, Inc. ... 7,700 149,188
Learonal, Inc. ...................... 3,500 81,375
*Leasing Solutions, Inc. ............. 4,700 134,831
*Lechters, Inc. ...................... 9,400 44,650
*Lectec Corp. ........................ 1,302 8,626
Legg Mason, Inc. .................... 7,200 279,900
Lennar Corp. ........................ 9,700 252,200
Lesco, Inc. ......................... 6,225 102,713
*Leslie Building Products, Inc. ...... 3,200 11,000
*Leslie's Poolmart ................... 3,774 49,062
*Level One Communications, Inc. ...... 7,900 271,563
*Levitz Furniture, Inc. .............. 16,300 59,088
Libbey, Inc. ........................ 8,500 228,438
Liberty Bancorp, Inc. Delaware ...... 1,100 26,675
Liberty Bancorp, Inc. Oklahoma ...... 4,300 176,300
Liberty Homes, Inc. Class A ......... 200 2,588
*Liberty Technologies, Inc. .......... 2,400 6,900
*Lidak Pharmaceuticals Class A ....... 14,800 20,581
*Life Quest Medical, Inc. ............ 1,000 2,938
Life Re Corp. ....................... 7,000 258,125
Life Technologies, Inc. ............. 12,600 277,200
*Life USA Holdings, Inc. ............. 10,400 104,000
*Lifecore Biomedical, Inc. ........... 6,700 104,688
*Lifetime Hoan Corp. ................. 2,420 24,805
*#Ligand Pharmaceuticals, Inc.
Class B ............................. 3,021 36,441
Lillian Vernon Corp. ................ 3,800 45,600
Lilly Industry, Inc. Class A ........ 12,400 229,400
*Lindal Cedar Homes, Inc. ............ 4,482 16,808
Lindberg Corp. ...................... 8,200 80,975
Lindsay Manufacturer Co. ............ 3,150 130,331
112
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Liposome Co., Inc. .................. 4,400 $ 79,200
Liqui Box Corp. ..................... 2,500 82,188
Litchfield Financial Corp. .......... 2,114 27,488
*Littlefield, Adams & Co. ............ 900 2,925
*Littlefuse, Inc. .................... 6,000 264,750
*Liuski International, Inc. .......... 1,800 4,388
*Living Centers of America, Inc. ..... 11,500 291,813
*Lodgenet Entertainment Corp. ........ 6,200 92,225
*#Logic Devices, Inc. ................. 2,400 7,725
*Logic Works, Inc. ................... 4,500 27,000
Logicon, Inc. ....................... 7,000 285,250
*Lojack Corp. ........................ 13,600 128,350
Lomak Petroleum, Inc. ............... 6,700 109,713
Lone Star Industries, Inc. .......... 6,000 222,000
*Lone Star Technologies, Inc. ........ 11,300 200,575
*Longhorn Steaks, Inc. ............... 4,581 91,047
*Loronix Information Systems, Inc. ... 1,800 8,213
*Louis Dreyfus Natural Gas Corp. ..... 11,100 190,088
Luby's Cafeterias, Inc. ............. 9,600 211,200
Lufkin Industries, Inc. ............. 3,700 78,163
Lukens, Inc. DE ..................... 5,900 108,413
*Lunar Corp. ......................... 4,150 130,206
*Lund International Holdings, Inc. ... 2,200 27,500
*Luria & Son, Inc. ................... 2,500 7,188
*Lydall, Inc. DE ..................... 10,600 241,150
*Lynch Corp. ......................... 2,500 166,250
M A R C, Inc. ....................... 1,018 22,142
*M-Wave, Inc. ........................ 1,000 3,250
MAF Bancorp, Inc. ................... 2,000 68,500
*MAI Systems Corp. ................... 4,516 30,483
*MAIC Holdings, Inc. ................. 4,370 144,210
MDC Holdings, Inc. .................. 7,700 57,750
*MDL Information Systems, Inc. ....... 4,200 71,138
MDU Resources Group, Inc. ........... 5,700 127,538
*MFRI, Inc. .......................... 1,900 15,081
*MGI Pharma, Inc. .................... 11,400 56,288
*MI Schottenstein Homes, Inc. ........ 3,500 34,563
*MK Gold Corp. ....................... 7,800 11,700
*#MK Rail Corp. ....................... 9,700 71,538
*MLX Corp. ........................... 1,000 13,000
MMI Companies, Inc. ................. 3,900 120,413
*MRS Technology, Inc. ................ 3,300 7,838
*#MRV Communications, Inc. ............ 11,400 259,350
*MS Carriers, Inc. ................... 9,300 174,375
*MTI Technology Corp. ................ 5,900 14,566
MTS Systems Corp. ................... 4,800 97,800
MYR Group, Inc. ..................... 2,266 24,076
MacDermid, Inc. ..................... 600 20,550
*MacFrugals Bargain Close-outs, Inc. 11,300 278,263
MacNeal-Schwendler Corp. ............ 7,700 67,375
*Macheezmo Mouse Restaurants, Inc. .. 1,600 2,950
Madison Gas & Electric Co. .......... 8,050 171,566
*Magainin Pharmaceuticals, Inc. ...... 10,200 85,425
*Magellan Health Services, Inc. ...... 6,000 125,250
Magna Bancorp ....................... 5,400 97,200
Magna Group, Inc. ................... 2,600 78,975
*Magnetek, Inc. ...................... 9,800 122,500
*Magnetic Technologies Corp. ......... 1,100 4,538
*Magnum Petroleum, Inc. .............. 4,700 22,619
*Mail Boxes, Etc. .................... 5,800 127,238
*Main Street & Main, Inc. ............ 1,450 2,673
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Maine Public Service Co. ............ 970 $ 18,309
Mainstreet Bankgroup, Inc. .......... 3,500 65,188
*Mallon Resources Corp. .............. 800 6,550
Managed Care Solutions, Inc. ........ 2,366 8,873
*Manatron, Inc. ...................... 1,102 1,997
*Manhattan Bagel Co., Inc. ........... 2,900 24,106
Manitowoc Co., Inc. ................. 5,500 241,313
*Manugistic Group, Inc. .............. 4,300 160,981
*Mapinfo Corp. ....................... 2,300 25,300
*Marcam Corp. ........................ 6,200 71,688
Marcus Corp. ........................ 11,850 274,031
*Marine Drilling Companies, Inc. ..... 17,800 284,800
*Mariner Health Group, Inc. .......... 16,100 118,738
*Marisa Christina, Inc. .............. 4,700 34,369
Maritrans, Inc. ..................... 4,700 28,788
Mark Twain Bancshares, Inc. ......... 6,450 321,694
*Mark VII, Inc. ...................... 900 25,425
*Markel Corp. ........................ 2,900 252,300
*Marlton Technologies, Inc. .......... 1,600 6,300
Marsh Supermarkets, Inc. Class A .... 1,800 21,600
Marsh Supermarkets, Inc. Class B .... 1,800 20,250
*Marshall Industries ................. 9,500 294,500
*Martek Biosciences Corp. ............ 6,700 117,250
*Marten Transport, Ltd. .............. 2,800 35,000
*#Marvel Entertainment Group, Inc. .... 1,000 2,750
Maryland Federal Bancorp ............ 1,260 41,659
Massbank Corp. Reading, MA .......... 1,350 51,300
*Matec Corp. DE ...................... 3,000 9,000
*Material Sciences Corp. ............. 7,600 126,350
*Mathsoft, Inc. ...................... 2,000 9,000
*Matlack Systems, Inc. ............... 7,500 52,500
*Matria Healthcare, Inc. ............. 17,100 105,806
*Matrix Pharmaceutical, Inc. ......... 8,400 72,450
*Matrix Service Co. .................. 5,700 32,775
Matthews International Corp.
Class A ............................. 5,000 144,375
*Matthews Studio Equipment Group ..... 2,500 5,391
*Mattson Technology, Inc. ............ 8,471 88,416
*Maverick Tube Corp. ................. 3,900 61,425
*Max & Ermas Restaurants, Inc. ....... 1,237 8,350
*Maxco, Inc. ......................... 1,900 15,200
*Maxicare Health Plans, Inc. ......... 11,500 238,625
*Maxim Group, Inc. ................... 7,600 122,075
*Maxwell Technologies, Inc. .......... 1,000 44,875
*Maxxam, Inc. ........................ 4,000 184,500
*Maxxim Medical, Inc. ................ 3,200 40,800
*Maynard Oil Co. ..................... 1,900 28,144
*Mays (J.W.), Inc. ................... 200 2,025
*McClain Industries, Inc. ............ 266 1,579
McDonald & Co. Investment, Inc. ..... 4,200 128,100
*McFarland Energy, Inc. .............. 6,100 68,244
McGrath Rent Corp. .................. 4,150 105,825
*McWhorter Technologies, Inc. ........ 4,400 87,450
*Measurement Specialties, Inc. ....... 1,400 4,025
Measurex Corp. ...................... 9,200 226,550
*Mecklermedia Corp. .................. 3,400 69,700
*Medar, Inc. ......................... 4,900 23,275
*Medarex, Inc. ....................... 9,400 74,613
*Medco Research, Inc. ................ 5,300 53,000
Medex, Inc. ......................... 3,000 69,938
Medford Savings Bank MA ............. 2,800 74,900
*Media Arts Group, Inc. .............. 4,600 12,938
*Media Logic, Inc. ................... 2,400 10,500
*Medical Action Industries, Inc. ..... 3,200 5,200
*Medical Graphics Corp. .............. 1,000 5,000
*Medical Resources, Inc. ............. 4,850 42,438
*Medicalcontrol, Inc. ................ 1,500 7,875
113
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Medicore, Inc. ...................... 2,200 $ 7,459
Medicus Systems Corp. ............... 2,600 14,300
*Medimmune, Inc. ..................... 10,900 166,225
*Mediq, Inc. ......................... 10,100 58,706
*Medplus, Inc. ....................... 2,000 14,125
*Medquist Inc. ....................... 2,300 44,563
*Medstone International, Inc. ........ 2,200 15,538
Medusa Corp. ........................ 8,200 283,925
*Mego Financial Corp. ................ 3,600 32,625
*Melamine Chemicals, Inc. ............ 3,300 25,163
*Mem Co., Inc. ....................... 2,700 19,744
*Mens Warehouse, Inc. ................ 10,450 239,697
Mentor Corp. MN ..................... 9,300 256,331
*Mentor Graphics Corp. ............... 4,500 44,156
*Mercer International, Inc. .......... 6,700 79,981
Merchants Bancorp, Inc. ............. 500 15,375
*Merchants Bancshares, Inc. .......... 200 3,525
Merchants Group, Inc. ............... 1,300 23,400
Merchants New York Bancorp, Inc. .... 400 12,900
Mercury Air Group, Inc. ............. 1,760 12,980
*Mercury Interactive Corp. ........... 6,200 61,613
*Meridian Data, Inc. ................. 3,800 28,500
Meridian Diagnostics, Inc. .......... 8,135 89,485
*Meridian Gold, Inc. ................. 33,400 137,775
Meridian Insurance Group, Inc. ...... 2,700 38,813
*Meridian Medical Technology, Inc. ... 1,200 10,875
*Meridian Sports, Inc. ............... 3,200 4,400
*#Merisel, Inc. ....................... 17,400 32,625
*Merit Medical Systems, Inc. ......... 3,500 26,688
*Merix Corp. ......................... 3,100 51,150
Merrill Corp. ....................... 3,650 84,863
Merrimac Industries, Inc. ........... 700 7,219
*Mesa Air Group, Inc. ................ 20,600 204,713
*#Mesa, Inc. .......................... 28,500 146,063
*Mesaba Holdings, Inc. ............... 6,400 84,800
*Mestek, Inc. ........................ 5,200 84,500
*Met-Coil Systems Corp. .............. 1,000 1,562
Met-Pro Corp. ....................... 11,375 160,672
*Metal Management, Inc. .............. 5,121 20,484
*Metatec Corp. Class A ............... 4,500 29,531
Methode Electronics, Inc. Class A ... 16,500 323,813
Methode Electronics, Inc. Class B ... 500 9,813
*Metricom, Inc. ...................... 5,500 72,875
*Metrocall, Inc. ..................... 10,164 55,269
*Metrologic Instruments, Inc. ........ 3,000 40,875
*Metropolitan Bancorp Washington ..... 1,500 29,250
*Metrotrans Corp. .................... 1,500 20,531
Metrowest Bank MA ................... 5,500 24,750
*Michael Anthony Jewelers, Inc. ...... 3,300 10,313
Michael Foods, Inc. ................. 15,700 180,550
*#Michaels Stores, Inc. ............... 9,400 94,294
*Micrel, Inc. ........................ 1,700 42,288
*Micrion Corp. ....................... 1,500 21,000
*Micro Bio-Medics, Inc. .............. 2,100 37,669
*Micro Linear Corp. .................. 6,900 44,203
*Microage, Inc. ...................... 8,150 183,375
*Microcom, Inc. ...................... 7,100 80,763
*Microdyne Corp. ..................... 6,600 32,175
*Microfluidics International Corp. ... 1,000 1,609
*Micrografx, Inc. .................... 4,000 26,500
*Microlog Corp. ...................... 1,500 8,156
*Micronics Computers, Inc. ........... 5,500 15,297
*Micros Systems, Inc. ................ 3,100 92,031
*Micros to Mainframes, Inc. .......... 1,100 3,506
*Microsemi Corp. ..................... 5,200 60,450
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Microtel International, Inc. ........ 1,960 $ 4,533
*Microtest, Inc. ..................... 4,200 41,475
*Microtouch Systems, Inc. ............ 4,200 104,738
*Microwave Power Dynamics, Inc. ...... 5,000 15,000
Mid Am, Inc. ........................ 8,306 147,951
Mid America Banccorp ................ 5,192 97,354
*Mid Atlantic Medical Services, Inc. . 12,900 152,381
Midconn Bank Kensington, CT ......... 900 18,225
*Middleby Corp. ...................... 1,100 6,394
Middlesex Water Co. ................. 2,300 40,538
*Midisoft Corp. ...................... 1,800 5,850
Midland Co. ......................... 2,600 95,875
Midland Financial Group, Inc. ....... 2,200 18,700
*Midwest Express Holdings, Inc. ...... 700 23,100
*Midwest Grain Products, Inc. ........ 3,900 63,375
*Mikasa, Inc. ........................ 9,700 101,850
*Mikohn Gaming Corp. ................. 3,900 26,813
*Miller Building Systems, Inc. ....... 1,400 10,325
*Miller Industries, Inc. ............. 13,200 366,300
*Miltope Group, Inc. ................. 11,000 31,625
Mine Safety Appliances Co. .......... 2,300 117,731
Minntech Corp. ...................... 3,700 40,700
Minuteman International, Inc. ....... 1,000 8,875
Mississippi Chemical Corp. .......... 10,700 271,513
*Mity-Lite, Inc. ..................... 1,000 13,500
Mobile Gas Service Corp. ............ 2,000 49,750
*Mobile Mini, Inc. ................... 3,700 11,563
*Mobilemedia Corp. Class A ........... 9,200 10,638
Modern Controls, Inc. ............... 4,700 48,175
*Mohawk Industries, Inc. ............. 8,400 199,500
*Molecular Biosystems, Inc. .......... 9,334 65,338
*Molecular Dynamics, Inc. ............ 4,000 38,250
*Monaco Coach Corp. .................. 1,800 28,125
*Monaco Finance, Inc. Class A ........ 2,300 5,822
*Monarch Casino and Resort, Inc. ..... 5,800 17,038
Monarch Machine Tool Co. ............ 2,300 19,263
*Mondavi (Robert) Corp. Class A ...... 2,800 101,150
*Monro Muffler Brake, Inc. ........... 2,557 39,314
*Monroc, Inc. ........................ 1,700 9,350
*Monterey Pasta Co. .................. 4,800 9,600
*Moog, Inc. Class A .................. 2,800 67,200
*Moore Medical Corp. ................. 1,200 12,600
*Moore Products Co. .................. 1,600 30,400
*Moovies, Inc. ....................... 5,700 29,213
Morgan Keegan, Inc. ................. 8,400 147,000
*Morgan Products, Ltd. ............... 6,400 44,800
*Morningstar Group, Inc. ............. 7,600 130,150
Morrison Fresh Cooking, Inc. ........ 3,025 13,991
Morrison Health Care, Inc. .......... 4,033 57,470
*Morrison Knudsen Corp. .............. 17,700 159,300
*Morton's Restaurant Group, Inc. ..... 2,500 38,125
Moscom Corp. ........................ 3,400 32,725
Mosinee Paper Corp. ................. 4,100 139,400
*#Mossimo, Inc. ....................... 6,000 90,750
*Mother's Work, Inc. ................. 1,200 13,050
*Motor Car Parts & Accessories, Inc. 2,600 38,188
*Motor Club of America ............... 2,500 21,250
*Mountain Parks Financial Corp. ...... 1,500 51,469
*Mountasia Entertainment
International, Inc. ................. 7,700 24,544
Movado Group, Inc. .................. 1,200 30,600
*#Movie Gallery, Inc. ................. 5,300 72,875
*Moviefone, Inc. Class A ............. 3,100 13,756
Mueller (Paul) Co. .................. 2,200 85,800
114
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Mueller Industries, Inc. ............ 14,200 $555,575
*Multi Color Corp. ................... 1,000 6,000
*#Multicare Companies, Inc. ........... 14,600 288,350
*Musicland Stores Corp. .............. 17,100 25,650
*Mutual Savings Bank FSB
Bay City, MI ........................ 1,700 9,775
*My Software Co. ..................... 1,000 3,813
*Mycogen Corp. ....................... 16,900 286,244
Myers Industries, Inc. .............. 8,485 128,336
*Mylex Corp. ......................... 11,400 144,638
*NAB Asset Corp. ..................... 150 497
*NAB Asset Corp. Liquidating Trust ... 200 312
*NABI, Inc. .......................... 16,486 150,435
NAC RE Corp. ........................ 3,500 127,750
*NAI Technologies, Inc. .............. 4,087 12,389
NBT Bancorp ......................... 3,446 65,045
*NBTY, Inc. .......................... 6,800 109,225
NCH Corp. ........................... 3,900 222,300
*NCI Building Systems, Inc. .......... 4,000 114,750
NL Industries, Inc. ................. 14,800 142,450
NN Ball & Roller, Inc. .............. 8,750 118,125
*NPC International, Inc. ............. 9,800 83,913
*NPS Pharmaceuticals, Inc. ........... 6,500 65,000
*NS Group, Inc. ...................... 7,600 26,125
*NSA International, Inc. ............. 2,400 4,050
NSC Corp. ........................... 5,700 11,044
*NTN Communications, Inc. ............ 12,400 58,900
NUI Corp. ........................... 4,400 88,000
NYMAGIC, Inc. ....................... 6,100 109,800
Nacco Industries, Inc. Class A ...... 3,500 167,125
*Nantucket Industries, Inc. .......... 1,500 5,063
*Napco Security Systems, Inc. ........ 4,850 17,581
Nash Finch Co. ...................... 4,300 82,238
*Nashua Corp. ........................ 3,300 52,388
*Nathans Famous, Inc. ................ 1,900 7,244
*National Auto Credit, Inc. .......... 16,760 171,790
National Bancorp of Alaska, Inc. .... 2,200 155,375
*National Beverage Corp. ............. 3,800 32,300
*National City Bancorp ............... 3,264 66,504
National City Bankshares, Inc. ...... 3,253 96,570
National Computer Systems, Inc. ..... 6,700 159,963
*National Dentex Corp. ............... 1,000 17,375
*National Education Corp. ............ 11,100 156,788
*National Energy Group, Inc. ......... 10,370 37,267
National Gas & Oil Co. .............. 6,653 61,538
*National Home Centers, Inc. ......... 4,000 8,500
*National Home Health Care Corp. ..... 954 6,141
*National Instruments Corp. .......... 1,500 47,250
*National Insurance Group ............ 3,000 15,750
*National Media Corp. ................ 12,431 99,448
*National Mercantile Bancorp. ........ 200 219
*National Patent Development
Corp. ............................... 3,400 28,900
National Penn Bancshares, Inc. ...... 2,425 64,263
*National Picture and Frame Co. ...... 2,000 19,875
National Presto Industries, Inc. .... 4,000 147,500
*National RV Holdings, Inc. .......... 1,000 14,563
*National Record Mart, Inc. .......... 1,900 2,613
National Sanitary Supply Co. ........ 200 2,725
*National Standard Co. ............... 11,000 75,625
*National Steel Corp. Class B ........ 10,600 99,375
*National Techteam, Inc. ............. 4,500 97,875
*National Vision Association, Ltd. ... 10,800 48,600
*National Western Life Insurance Co.
Class A ............................. 1,000 85,250
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Natural Alternatives International,
Inc. ................................ 3,400 $ 26,350
*Natural Microsystems Corp. .......... 4,000 102,750
*Natural Wonders, Inc. ............... 4,300 23,381
Natures Sunshine Products, Inc. ..... 19,359 385,970
*Navarre Corp. ....................... 3,800 14,725
*Navigators Group, Inc. .............. 3,200 62,800
Nelson (Thomas), Inc. ............... 9,650 120,625
*Neogen Corp. ........................ 1,800 12,600
*Neoprobe Corp. ...................... 8,000 115,000
*Neorx Corp. ......................... 9,125 43,914
*Netframe Systems, Inc. .............. 7,400 22,663
*Netmanage, Inc. ..................... 23,500 192,406
*Netrix Corp. ........................ 4,700 24,088
*Network Computing Devices, Inc. ..... 6,600 55,275
*Network Equipment Technologies, Inc. 9,300 142,988
*Network Imaging Corp. ............... 11,600 40,600
*Network Peripherals, Inc. ........... 7,000 111,125
*Network Six, Inc. ................... 1,100 688
*Neurex Co. .......................... 12,100 157,300
*Neurobiological Technologies, Inc. .. 800 3,350
*Neurogen Corp. ...................... 5,600 103,600
*New Brunswick Scientific Co., Inc. .. 2,310 15,881
New England Business Services, Inc. 5,300 102,688
New England Community Bancorp, Inc.
Class A ............................. 600 9,000
New Hampsire Thrift BancShares, Inc. 200 2,538
*New Image Industries, Inc. .......... 3,300 4,177
New Jersey Resources Corp. .......... 7,200 213,300
*New Jersey Steel Corp. .............. 2,500 10,469
*New Mexico & Arizona Land Co. ....... 1,815 21,780
*New World Power Corp. ............... 1,000 781
New York Bancorp, Inc. .............. 4,500 153,563
Newcor, Inc. ........................ 4,750 41,266
Newmil Bancorp, Inc. ................ 3,500 31,938
*Newpark Resources, Inc. ............. 5,500 192,500
Newport Corp. ....................... 10,200 89,250
*Nexstar Pharmaceuticals, Inc. ....... 1,496 20,477
*Nexthealth, Inc. .................... 3,400 10,094
*Nichols Research Corp. .............. 4,650 114,506
Nitches, Inc. ....................... 785 4,367
*Nobility Homes ...................... 900 11,588
*Noel Group, Inc. .................... 10,100 65,650
Noland Co. .......................... 200 4,425
*Noodle Kidoodle, Inc. ............... 7,900 44,931
*Norand Corp. ........................ 1,500 25,313
*Nord Resources Corp. ................ 7,500 31,875
*Norstan, Inc. ....................... 6,000 97,500
*Nortek, Inc. ........................ 3,900 59,963
North American Mortgage Co. ......... 7,600 174,800
North Carolina Natural Gas Corp. .... 3,200 93,200
North Fork Bancorporation, Inc. ..... 1,267 43,078
North Side Savings Bank NY .......... 1,878 98,360
*North Star Universal, Inc. .......... 4,300 34,669
Northern Technologies International . 1,700 11,475
*Northfield Laboratories, Inc. ....... 6,500 84,094
Northland Cranberries, Inc. Class A . 6,000 135,000
*Northstar Health Services, Inc. ..... 1,000 1,750
Northwest Natural Gas Co. ........... 8,850 222,356
*Northwest Teleproductions, Inc. ..... 200 813
Northwestern Public Service Co. ..... 3,500 121,625
*Northwestern Steel & Wire Co. ....... 13,500 65,813
115
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Norton McNaughton, Inc. ............. 4,000 $ 33,500
Norwich Financial Corp. ............. 2,400 46,950
*Norwood Promotional Products, Inc. . 2,200 35,475
*Novacare, Inc. ...................... 32,900 279,650
*Novametrix Medical Systems, Inc. .... 6,100 36,219
*Novavax, Inc. ....................... 8,700 30,450
*Noven Pharmaceuticals, Inc. ......... 10,900 147,831
*Novitron Internarional, Inc. ........ 3,900 4,144
*Nu Horizons Electronics Corp. ....... 3,400 31,450
*Nu-Kote Holding, Inc. Class A ....... 16,600 176,375
*Nuclear Metals, Inc. ................ 6,500 104,813
*Numar Corp. ......................... 4,100 63,294
Numerex Corp. Class A ............... 2,000 8,125
*Nutramax Products, Inc. ............. 4,700 41,713
*Nview Corp. ......................... 2,500 9,531
*O Charleys, Inc. .................... 4,350 52,200
*O Reilly Automotive, Inc. ........... 4,100 139,400
O'Sullivan Corp. .................... 9,900 106,425
*O'Sullivan Industries Holdings,
Inc. ................................ 9,500 105,688
*O.I. Corp. .......................... 1,600 5,400
*OEC Medical Systems, Inc. ........... 5,100 71,400
*OHM Corp. ........................... 10,700 90,950
OM Group, Inc. ...................... 6,200 254,200
*OMI Corp. ........................... 18,500 141,063
*ON Technology Corp. ................. 1,700 10,306
*OTR Express, Inc. ................... 200 900
*Oak Hill Sportswear Corp. ........... 800 1,100
*Oak Industries, Inc. ................ 10,700 248,775
*Oak Technology, Inc. ................ 10,000 99,375
*Oceaneering International, Inc. ..... 9,300 154,613
*Odetics, Inc. Class A ............... 300 3,788
*#Odwalla, Inc. ....................... 2,000 30,750
*Offshore Logistics, Inc. ............ 7,800 156,975
Oglebay Norton Co. .................. 2,200 96,525
Oil-Dri Corp. of America ............ 4,000 57,000
*Old America Stores, Inc. ............ 1,800 8,550
*Old Dominion Freight Lines, Inc. .... 3,800 34,675
Old National Bancorp ................ 122 4,514
*Olympic Financial, Ltd. ............. 13,100 181,763
*Olympic Steel, Inc. ................. 5,300 128,856
*#Omega Environmental, Inc. ........... 17,500 41,836
*#Omni Multimedia Group, Inc. ......... 1,500 4,406
*On Assignment, Inc. ................. 2,000 59,000
OnbanCorp, Inc. ..................... 7,400 284,900
*Oncogene Science, Inc. .............. 12,600 88,200
*Oncor, Inc. ......................... 9,300 36,619
*One Price Clothing Stores, Inc. ..... 5,200 14,463
One Valley Bancorp of
West Virginia ....................... 6,422 238,417
Oneida, Ltd. ........................ 5,500 93,500
*Oneita Industries, Inc. ............. 4,220 15,825
*Onyx Acceptance Corp. ............... 200 1,575
*Opal, Inc. .......................... 3,500 64,094
*Opinion Research Corp. .............. 1,700 7,119
*Opta Food Ingredients, Inc. ......... 5,400 39,825
*Opti, Inc. .......................... 4,600 24,294
Optical Coating Laboratory, Inc. .... 4,800 54,000
*Optical Data Systems, Inc. .......... 10,300 138,406
*Option Care, Inc. ................... 5,000 24,688
Orange & Rockland Utilities, Inc. ... 5,400 193,050
Orange Co., Inc. .................... 4,200 32,025
*Orbit International Corp. ........... 3,000 5,438
*Orbital Sciences Corp. .............. 17,000 326,188
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Oregon Metallurgical Corp. .......... 8,500 $303,875
Oregon Steel Mills, Inc. ............ 14,100 241,463
*#Organogenesis, Inc. ................. 5,600 115,500
*Oriole Homes Corp. Class A
Convertible ......................... 800 6,000
*Oriole Homes Corp. Class B .......... 1,100 8,113
Orion Capital Corp. ................. 5,600 349,300
*Oroamerica, Inc. .................... 2,500 12,813
*Orphan Medical, Inc. ................ 285 2,690
*Ortel Corp. ......................... 5,700 129,675
*Orthologic Corp. .................... 13,800 83,663
*Osborn Communications Corp. ......... 8,100 120,994
Oshkosh B'Gosh, Inc. Class A ........ 6,200 93,775
Oshkosh B'Gosh, Inc. Class B ........ 600 11,588
Oshkosh Truck Corp. Class B ......... 3,300 38,775
*Oshman's Sporting Goods, Inc. ....... 2,900 15,950
*Osmonics, Inc. ...................... 8,250 175,313
*Osteotech, Inc. ..................... 4,000 24,000
*Ostex International, Inc. ........... 7,100 42,600
Otter Tail Power Co. ................ 5,600 183,400
Outboard Marine Corp. ............... 12,100 196,625
*Outlook Group Corp. ................. 2,500 11,719
Overseas Shipholding Group, Inc. .... 5,000 80,000
*Owen Healthcare, Inc. ............... 6,800 174,250
Owens & Minor, Inc. ................. 18,375 190,641
Owosso Corp. ........................ 2,900 17,763
Oxford Industries, Inc. ............. 5,600 102,200
*Oxford Resources Corp. Class A ...... 2,700 69,188
*Oxis International, Inc. ............ 8,400 11,288
*P&F Industries, Inc. Class A ........ 200 769
*P-Com, Inc. ......................... 10,500 330,750
*PAM Transportation Services, Inc. ... 2,500 12,969
*PC Quote, Inc. ...................... 3,900 16,575
PCA International, Inc. ............. 3,000 52,875
*#PHP Healthcare Corp. ................ 5,400 124,200
*PLM International, Inc. ............. 4,600 14,950
*PMR Corp. ........................... 1,300 33,800
*PMT Services, Inc. .................. 9,600 203,400
*PRI Automation, Inc. ................ 2,900 136,663
*PSC, Inc. ........................... 4,000 31,500
PXRE Corp. .......................... 3,700 89,263
*Pacific Crest Capital, Inc. ......... 1,060 11,263
*Pacific Rehabilitation & Sports
Medicine, Inc. ...................... 4,100 25,881
*Pacific Rim Holding Corp. ........... 3,700 10,927
Pacific Scientific Co. .............. 13,200 151,800
*Pacific Sunwear of California, Inc. . 1,100 29,563
*Pages, Inc. ......................... 1,700 4,144
*Palatin Technologies, Inc. .......... 250 387
Palfed, Inc. ........................ 2,000 28,750
*Palmer (Arnold) Golf Co. ............ 1,600 8,500
*Pamida Holdings Corp. ............... 4,000 8,500
Pamrapo Bancorp, Inc. ............... 1,300 25,025
*Panaco, Inc. ........................ 5,000 25,313
Panatech Research and
Development Corp. ................... 1,400 8,619
Pancho's Mexican Buffet, Inc. ....... 5,000 10,156
*Par Technology Corp. ................ 6,000 81,000
*Paracelsus Healthcare Corp. ......... 3,300 11,550
*Paragon Trade Brands, Inc. .......... 6,800 188,700
*Parallel Petroleum Corp. ............ 5,900 30,145
*Parcplace Systems, Inc. ............. 5,700 16,031
*Paris Business Forms, Inc. .......... 200 475
Park Electrochemical Corp. .......... 8,200 186,550
*Park-Ohio Industries, Inc. .......... 7,034 102,433
116
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Parker Drilling Co. ................. 26,000 $243,750
*Parkervision, Inc. .................. 5,500 62,906
Parkvale Financial Corp. ............ 1,952 50,264
*Parlux Fragrances, Inc. ............. 7,300 28,744
*Patina Oil & Gas Corp. .............. 3,134 28,206
Patrick Industries, Inc. ............ 2,000 30,000
*Patterson Dental Co. ................ 10,500 273,000
*Patterson Energy, Inc. .............. 1,870 51,425
*Paul Harris Stores, Inc. ............ 4,000 72,500
*Paul-Son Gaming Corp. ............... 1,000 8,250
*Paxar Corp. ......................... 29,932 504,919
*Paxson Communications Corp. ......... 8,500 58,172
*Payless Cashways, Inc. .............. 20,000 35,000
*Peak Technologies Group, Inc. ....... 5,100 58,969
*Pediatric Services of America, Inc. . 3,500 65,844
Peerless Manufacturing Co. .......... 200 2,550
*Penederm, Inc. ...................... 3,600 31,500
Penn Engineering & Manufacturing
Corp. Class A ....................... 600 12,075
Penn Engineering & Manufacturing
Corp. Non-voting .................... 7,500 139,688
*Penn National Gaming, Inc. .......... 2,550 98,813
*Penn Traffic Co. .................... 6,300 32,288
*Penn Treaty American Corp. .......... 3,600 88,200
Penn Virginia Corp. ................. 2,100 84,788
Penn-America Group, Inc. ............ 1,300 20,638
Penney (J.C.) Co., Inc. ............. 2,420 130,075
Pennfed Financial Services, Inc. .... 2,100 43,313
*Pentech International, Inc. ......... 5,300 3,892
Penwest, Ltd. ....................... 2,700 48,600
Peoples Bancorp ..................... 200 4,025
Peoples Bancshares, Inc.
Massachusetts ....................... 1,000 10,188
*Peoples Choice TV Corp. ............. 6,350 41,672
Peoples Heritage Financial Group,
Inc. ................................ 10,000 280,625
Peoples Savings Financial Corp. ..... 900 24,750
*Peoples Telephone Co., Inc. ......... 8,050 29,684
*Perceptron, Inc. .................... 2,750 95,219
*Performance Food Group Co. .......... 6,400 77,600
*Perfumania, Inc. .................... 4,300 13,706
*Perini Corp. ........................ 2,700 24,300
*Perseptive Biosystems, Inc. ......... 9,500 65,313
*Personnel Group of America, Inc. .... 6,300 142,538
*Pet Food Warehouse, Inc. ............ 4,700 20,856
*Petco Animal Supplies, Inc. ......... 8,650 187,056
*Petrocorp, Inc. ..................... 3,400 33,363
Petroleum Heat & Power Co., Inc.
Class A ............................. 9,100 65,406
Petrolite Corp. ..................... 4,500 202,500
*Pharmaceutical Marketing Services,
Inc. ................................ 5,800 55,463
*Pharmaceutical Products
Development Service Co. ............. 6,081 130,742
*Pharmaceutical Resources, Inc. ...... 7,300 41,975
*Pharmchem Laboratories, Inc. ........ 3,300 13,045
*Pharmos Corp. ....................... 6,200 8,622
Philadelphia Suburban Corp. ......... 7,800 145,275
*Phildelphia Consolidated Holding
Corp. ............................... 2,000 46,250
Phillips-Van Heusen Corp. ........... 14,600 187,975
Phoenix Duff & Phelps Corp. ......... 26,800 187,600
*Phoenix Gold International, Inc. .... 1,000 6,875
*Phoenix Network, Inc. ............... 9,700 38,194
*Phoenix Technologies, Ltd. .......... 6,000 101,250
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Photo Control Corp. ................. 1,000 $ 3,688
*Photronics, Inc. .................... 4,700 146,875
*Physician Computer Network, Inc. .... 29,100 232,800
*Physician Corp. of America .......... 15,300 158,738
*Physicians Health Services, Inc.
Class A ............................. 3,000 44,250
Piccadilly Cafeterias, Inc. ......... 4,100 36,900
*Pico Holdings, Inc. ................. 7,909 29,906
Piedmont Natural Gas Co. ............ 9,600 241,200
Pier 1 Imports, Inc. DE ............. 13,540 184,483
*Piercing Pagoda, Inc. ............... 600 13,650
Pikeville National Corp. ............ 3,600 80,550
Pilgrim Pride Corp. ................. 11,000 96,250
Pillowtex Corp. ..................... 6,000 104,250
*Pinkertons, Inc. .................... 3,300 81,675
Pinnacle Financial Services, Inc. ... 200 4,700
*Pinnacle Micro, Inc. ................ 4,400 24,475
*Pinnacle Systems, Inc. .............. 3,700 38,388
Pioneer Financial Services, Inc. .... 4,500 83,250
Pioneer Standard Electronics, Inc. .. 16,312 183,510
Piper Jaffray Companies, Inc. ....... 9,100 133,088
Pitt-Des Moines, Inc. ............... 2,400 99,600
*Pittencrieff Communications, Inc. ... 14,400 58,950
Pittston Burlington Group ........... 3,200 62,800
Pittston Co. Minerals Group ......... 3,300 43,725
*Plains Resources, Inc. .............. 8,900 144,625
*Planar Systems, Inc. ................ 5,900 61,581
*Plantronics, Inc. ................... 3,200 130,400
*Plasma & Materials Technologies,
Inc. ................................ 1,000 15,500
*Plasti-Line, Inc. ................... 800 8,200
*Platinum Software Corp. ............. 8,200 105,575
*Playboy Enterprises, Inc. Class A ... 2,800 33,250
*Playboy Enterprises, Inc. Class B ... 6,100 72,438
*Players International, Inc. ......... 15,350 97,856
*Playtex Products, Inc. .............. 28,000 227,500
Plenum Publishing Corp. ............. 1,500 53,625
*Plexus Corp. ........................ 4,400 79,200
Ply-Gem Industries, Inc. DE ......... 7,800 102,375
Poe & Brown, Inc. ................... 4,800 126,600
*Polk Audio, Inc. .................... 500 5,313
*Pollo Tropical, Inc. ................ 5,200 14,300
*Polymedica Industries, Inc. ......... 2,700 11,644
*Polyphase Corp. ..................... 5,200 28,600
*Pomeroy Computer Resource, Inc. ..... 3,250 88,359
*#Ponder Industries, Inc. ............. 2,700 5,316
*Pool Energy Services Co. ............ 10,000 148,125
Pope & Talbot, Inc. ................. 5,300 84,138
*Porta Systems Corp. ................. 880 2,035
*Portec, Inc. ........................ 7,610 77,051
Portsmouth Bank Shares, Inc. ........ 2,291 33,649
Positive Response Television, Inc.
Escrow .............................. 1,400 0
*Positron Corp. ...................... 1,500 3,328
*Possis Medical, Inc. ................ 6,700 115,156
Poughkeepsie Savings Bank
FSB NY .............................. 5,000 26,563
*Powell Industries, Inc. ............. 5,300 53,000
*Pratt Hotel Corp. ................... 2,100 7,088
*Pre-Paid Legal Services, Inc. ....... 10,300 142,913
*Precision Standard, Inc. ............ 3,800 4,156
*Premenos Technology Corp. ........... 5,800 59,088
*Premiere Radio Networks, Inc. ....... 1,200 13,650
*Premiere Radio Networks, Inc.
Class A ............................. 600 6,750
117
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Premiumwear, Inc. ................... 800 $ 7,100
*President Casinos, Inc. ............. 11,900 9,669
Presidential Life Corp. ............. 18,300 218,456
*Presley Companies Class A ........... 5,600 5,775
*Price Communications Corp. .......... 4,250 34,531
Price Enterprises, Inc. ............. 6,600 114,263
*Pride Petroleum Services, Inc. ...... 15,700 286,525
Prima Energy Corp. .................. 1,600 30,900
*Primadonna Resorts, Inc. ............ 16,200 301,725
*Primark Corp. ....................... 900 23,625
Prime Bancorp, Inc. ................. 1,465 29,300
*Prime Hospitality Corp. ............. 14,700 244,388
*Prime Medical Services, Inc. ........ 10,500 120,750
Primesource Corp. ................... 4,581 34,930
*Printronix, Inc. .................... 5,625 79,805
*Procept, Inc. ....................... 5,000 5,859
*Procyte Corp. ....................... 8,000 17,500
Production Operators Corp. .......... 4,000 180,500
Progress Financial Corp. ............ 1,000 8,563
*Progress Software Corp. ............. 7,100 142,444
Progressive Bank, Inc. .............. 1,000 34,500
*Project Software & Development, Inc. 3,800 159,600
Proler International Corp. .......... 8,500 76,500
*Pronet, Inc. ........................ 4,400 22,275
*Protein Design Labs, Inc. ........... 6,200 149,188
*Proteon, Inc. ....................... 6,100 23,447
*Protocol Systems, Inc. .............. 3,400 45,050
Providence & Worcester Railroad Co. 800 5,900
Providence Energy Corp. ............. 5,300 93,413
Provident Bankshares Corp. .......... 3,300 127,256
*Proxim, Inc. ........................ 3,600 67,725
*Proxima Corp. ....................... 2,800 38,675
*Psychemedics Corp. .................. 8,800 52,800
Public Service Co. of
North Carolina ...................... 4,900 93,100
*Publicker Industries, Inc. .......... 3,200 4,851
Pulaski Furniture Corp. ............. 1,300 21,938
*Pure Atria Corp. .................... 2,204 61,023
*Pure Tech International, Inc.
(Private Placement) ................. 10,000 18,984
*Pure World, Inc. .................... 3,100 6,491
*Q Logic Corp. ....................... 4,450 82,881
*QMS, Inc. ........................... 5,900 34,663
*Quad Systems Corp. .................. 1,600 16,600
Quaker Chemical Corp. ............... 3,400 57,375
*Quaker City Bancorp, Inc. ........... 1,600 27,500
*Quaker Fabric Corp. ................. 4,000 41,500
Quaker State Corp. .................. 13,500 231,188
*#Quality Dining, Inc. ................ 9,100 207,025
*Quality Food Centers, Inc. .......... 9,700 366,781
*Quality Semiconductor, Inc.n ........ 2,700 20,588
*Quality Systems, Inc. ............... 3,300 30,113
Quanex Corp. ........................ 8,500 227,375
*Quarterdeck Office Systems, Inc. .... 19,900 130,594
Queens County Bancorp ............... 3,000 140,250
Quest Medical, Inc. ................. 8,109 58,283
*Quickresponse Services, Inc. ........ 4,400 138,600
*Quickturn Design Systems, Inc. ...... 5,500 93,844
*Quidel Corp. ........................ 11,900 43,138
*Quiksilver, Inc. .................... 2,700 53,831
*Quipp, Inc. ......................... 200 2,088
Quixote Corp. ....................... 4,300 39,238
*R & B, Inc. ......................... 3,500 28,656
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
RCSB Financial, Inc. ................ 6,400 $192,400
*RF Monolithics, Inc. ................ 2,000 23,250
RLI Corp. ........................... 3,100 98,425
*#RMI Titanium Co. .................... 11,000 255,750
*RPC Energy Services, Inc. ........... 22,800 353,400
*Racotek, Inc. ....................... 10,000 45,000
*Radius, Inc. ........................ 9,019 7,328
*Rag Shops, Inc. ..................... 2,300 4,744
*Ragan (Brad), Inc. .................. 3,800 117,800
*Railtex, Inc. ....................... 5,000 123,125
*Rainbow Technologies, Inc. .......... 3,500 68,250
*Rally's Hamburgers, Inc. ............ 6,200 26,156
Ramapo Financial Corp. .............. 3,200 16,400
*Ramsay Health Care, Inc. ............ 3,500 9,406
*Ramsay Managed Care, Inc. ........... 13 8
*Ramtron International Corp. ......... 17,300 129,750
Raritan Bancorp, Inc. DE ............ 200 4,650
Raven Industries, Inc. .............. 9,150 193,866
*Rawlings Sporting Goods, Inc. ....... 4,200 33,075
Raymond Corp. ....................... 6,135 108,896
Raymond James Financial, Inc. ....... 10,500 297,938
*Readicare, Inc. ..................... 11,400 104,025
*Reading Entertainment, Inc. ......... 2,000 19,625
*Recoton Corp. ....................... 5,466 81,307
*Recovery Engineering, Inc. .......... 2,400 19,200
*#Redhook Ale Brewery, Inc. ........... 2,000 28,000
*Redwood Empire Bancorp .............. 900 9,675
*Reeds Jewelers, Inc. ................ 220 1,540
Refac Technology Development Corp. .. 7,000 45,938
*Reflectone, Inc. .................... 1,000 19,125
Regal Beloit Corp. .................. 10,200 197,625
*Regency Health Services, Inc. ....... 8,400 88,200
*Regeneron Pharmaceuticals, Inc. ..... 7,900 150,100
Regis Corp. ......................... 12,670 313,583
*Rehabcare Corp. ..................... 1,800 32,063
*Rehabilicare, Inc. .................. 1,800 5,231
Reinsurance Group America, Inc. ..... 1,200 56,400
*Reliability, Inc. ................... 2,500 17,188
Reliance Steel and Aluminum Co. ..... 4,400 165,000
Reliv International, Inc. ........... 5,000 33,750
*#Reno Air, Inc. ...................... 5,700 45,244
*Rent-Way, Inc. ...................... 1,000 9,750
*Rentrak Corp. ....................... 6,600 25,163
*Repligen Corp. ...................... 6,100 7,053
*Reptron Electronics, Inc. ........... 3,300 66,619
*Republic Automotive Parts, Inc. ..... 4,100 65,600
Republic Bancorp, Inc. .............. 9,312 111,738
*Republic Engineered Steels, Inc. .... 10,000 22,500
Republic Gypsum Co. ................. 6,200 113,150
Republic Savings Financial Corp. .... 3,500 20,125
*Res-Care, Inc. ...................... 4,800 77,400
*Research Industries Corp. ........... 3,800 78,613
*Resound Corp. ....................... 9,200 80,500
Resource Bancshares Mortgage Group,
Inc.................................. 10,486 158,601
*Respironics, Inc. ................... 11,100 165,806
*Response Oncology, Inc. ............. 4,080 39,525
*Retirement Care Association, Inc. ... 4,500 27,000
*Retix, Inc. ......................... 12,400 89,125
*Rex Stores Corp. .................... 5,600 54,600
*Rexel, Inc. ......................... 15,600 216,450
Rexene Corp. ........................ 7,400 98,050
*Rexhall Industries, Inc. ............ 1,050 8,138
*Rexworks, Inc. ...................... 1,000 2,625
118
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Rhodes, Inc. ........................ 3,600 $ 25,200
*Ribi Immunochem Research, Inc. ...... 11,400 37,763
*Riddell Sports, Inc. ................ 3,255 14,953
*#Ride, Inc. .......................... 4,200 33,338
Riggs National Corp. ................ 17,800 308,163
*Right Management Consultants, Inc. . 3,000 60,375
*Right Start, Inc. ................... 2,500 14,063
*Rightchoice Managed Care, Inc.
Class A ............................. 1,500 13,688
*Rimage Corp. ........................ 2,000 8,250
*Ringer Corp. ........................ 6,500 10,766
*Rio Hotel & Casino, Inc. ............ 12,700 190,500
Riser Foods, Inc. Class A ........... 4,800 146,400
Rival Co. ........................... 3,900 87,263
*River Oaks Furniture, Inc. .......... 2,400 7,650
Riverside Group, Inc. ............... 1,000 2,750
Riverside National Bank CA .......... 1,000 17,688
Rivianna Foods, Inc. ................ 6,400 116,400
*Roadmaster Industries, Inc. ......... 16,900 19,013
Roanoke Electric Steel Corp. ........ 2,200 30,525
Robbins & Myers, Inc. ............... 7,800 181,350
*Roberds, Inc. ....................... 2,300 23,000
*#Roberts Pharmaceutical Corp. ........ 7,400 82,325
*Roberts Pharmaceutical Corp.
(Private Placement) ................. 3,700 37,046
*Robertson-Ceco Corp. ................ 6,418 51,344
Robinson Nugent, Inc. ............... 4,000 19,500
*Robotic Vision Systems, Inc. ........ 7,499 98,428
*Rock Bottom Restaurants, Inc. ....... 3,700 34,919
Rock-Tenn Co. Class A ............... 13,860 288,461
*Rocky Mountain Chocolate Factory .... 1,500 10,406
*Rocky Shoes & Boots, Inc. ........... 2,000 18,125
*Rodman & Renshaw Capital Group, Inc. 1,300 1,950
*Rogers Corp. ........................ 10,000 275,000
*Rohr, Inc. .......................... 13,000 227,500
*Rollins Environmental Services, Inc. 33,800 67,600
Rollins Truck Leasing Corp. ......... 24,300 291,600
Roper Industries, Inc. .............. 7,300 315,725
*Ross Systems, Inc. .................. 7,173 50,211
*Rotech Medical Corp. ................ 13,400 227,800
Rotonics Manufacturing, Inc. ........ 2,500 3,750
*Rottlund, Inc. ...................... 2,300 11,788
Rouge Steel Co. Class A ............. 5,400 116,775
Rowe Furniture Corp. ................ 6,712 52,018
*Royal Appliance Manufacturing Co. ... 12,700 100,013
Royal Bancshares of Pennsylvania
Class A ............................. 2,450 27,563
*Royal Grip, Inc. .................... 1,100 2,750
*Ruby Tuesday, Inc. .................. 8,750 141,094
Ruddick Corp. ....................... 18,600 246,450
*Rural/Metro Corp. ................... 5,400 191,025
Russ Berrie & Co., Inc. ............. 12,800 225,600
Ryan Beck & Co. ..................... 210 932
*Ryans Family Steak Houses, Inc. ..... 21,400 147,794
Rykoff-Sexton, Inc. ................. 11,000 159,500
Ryland Group, Inc. .................. 8,800 122,100
*S&K Famous Brands, Inc. ............. 1,900 17,456
S&T Bancorp, Inc. ................... 3,600 110,250
*S3, Inc. ............................ 2,500 42,344
*#SBE, Inc. ........................... 900 3,938
*SBS Technologies, Inc. .............. 1,100 29,700
*SDL, Inc. ........................... 7,200 163,350
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
SEI Corp. ........................... 10,300 $230,463
*SFX Broadcasting, Inc. Class A ...... 1,900 57,950
SI Handling, Inc. ................... 1,050 14,897
SJW Corp. ........................... 600 26,550
SL Industries, Inc. ................. 9,200 70,150
*SMC Corp. ........................... 2,600 22,750
*SMT Health Services, Inc. ........... 1,100 7,906
*SPS Technologies, Inc. .............. 2,600 163,150
*SPS Transaction Service, Inc. ....... 10,500 165,375
*SPSS, Inc. .......................... 3,100 90,481
SPX Corp. ........................... 5,800 184,150
*SSE Telecom, Inc. ................... 2,300 19,263
*STB Systems, Inc. ................... 1,800 40,163
*STM Wireless, Inc. Class A .......... 2,900 20,844
*Safeguard Health Enterprises, Inc. .. 4,400 89,650
*Safeskin Corp. ...................... 5,000 257,500
*Safety 1st, Inc. .................... 2,900 32,806
*Safety Components International,
Inc. ................................ 2,600 31,200
*Saga Communications, Inc.
Class A ............................. 2,781 54,577
Saint Francis Capital Corp. ......... 2,900 77,938
Saint Joseph Light & Power Co. ...... 54,400 829,600
Saint Mary Land & Exploration Co. ... 4,800 105,000
Saint Paul Bancorp, Inc. ............ 9,800 276,238
*Salant Corp. DE ..................... 6,500 22,750
*Salick Health Care, Inc.
Redeemable Shares ................... 2,850 113,288
*Salton/Maxim Housewares, Inc. ....... 2,600 19,175
*Sam & Libby, Inc. ................... 3,400 340
*San Filippo (John B.) & Son, Inc. ... 5,000 25,938
*San Francisco Co. Class A ........... 400 140
Sanderson Farms, Inc. ............... 5,400 86,063
Sands Regent Casino Hotel ........... 2,000 6,125
Sandwich Co-Operative Bank MA ....... 200 5,800
*Sangstat Medical Corp. .............. 7,200 163,350
*Santa Cruz Operation, Inc. .......... 20,600 132,613
*Santa Fe Gaming Corp. ............... 2,500 3,750
Santa Monica Bank CA ................ 2,800 45,150
*Satcon Technology Corp. ............. 4,000 30,000
Savannah Foods & Industries, Inc. ... 14,400 205,200
*Savoy Pictures Entertainment,
Inc. ................................ 9,800 31,850
Sbarro, Inc. ........................ 8,100 211,613
*Scan-Optics, Inc. ................... 14,900 55,875
Schawk, Inc. Class A ................ 6,200 45,725
*Schieb (Earl), Inc. ................. 2,900 19,938
*Schuler Homes, Inc. ................. 12,300 72,263
Schult Homes Corp. .................. 1,100 25,575
Schultz Sav-O Stores, Inc. .......... 3,000 43,500
*Sciclone Pharmaceuticals, Inc. ...... 9,400 76,375
*Scientific Games Holdings Corp. ..... 5,400 142,425
Scientific Technologies, Inc. ....... 3,800 34,675
*Scios-Nova, Inc. .................... 19,487 110,832
Scope Industries, Inc. .............. 3,500 174,125
*Score Board, Inc. ................... 3,400 9,031
Scotsman Industries, Inc. ........... 4,900 113,925
*Scott's Liquid Gold, Inc. ........... 4,000 6,250
*Scotts Co. Class A .................. 11,300 204,813
Seacoast Banking Corp. Class A ...... 1,500 38,813
*Seacor Holdings, Inc. ............... 4,100 259,325
Seafield Capital Corp. .............. 3,600 125,100
*Seagull Energy Corp. ................ 14,700 336,263
Sealright Co., Inc. ................. 4,400 50,600
*Seattle Filmworks, Inc. ............. 4,700 90,769
119
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Seaway Food Town, Inc. .............. 200 $ 5,225
Second Bancorp, Inc. ................ 300 9,263
Security Capital Corp. W.I. ......... 600 42,825
Security Connecticut Corp. .......... 3,400 117,300
*Seda Specialty Packaging Corp. ...... 2,000 37,875
*Seeq Technology, Inc. DE ............ 16,600 52,134
*Seitel, Inc. ........................ 3,800 153,900
Selas Corp. of America .............. 1,400 22,750
Selective Insurance Group, Inc. ..... 6,000 204,750
*Selfix, Inc. ........................ 1,000 5,875
*Semiconductor Packaging Materials
Co., Inc. ........................... 3,300 36,300
*Semitool, Inc. ...................... 6,500 71,906
*Semtech Corp. ....................... 2,400 43,350
*Seneca Foods Corp. .................. 1,100 18,013
*Seneca Foods Corp. Class A .......... 200 3,150
*Sepracor, Inc. ...................... 10,700 178,556
*Sequa Corp. Class A ................. 2,600 104,000
*Sequent Computer Systems, Inc. ...... 19,800 335,363
*Sequoia Systems, Inc. ............... 6,100 13,439
*Sequus Pharmaceuticals, Inc. ........ 16,100 229,425
*Seragen, Inc. ....................... 8,300 12,191
*Serv-Tech, Inc. ..................... 2,600 7,638
*Service Merchandise Co., Inc. ....... 46,900 257,950
*Servico, Inc. ....................... 5,100 79,050
*Servotronics, Inc. .................. 1,030 5,794
Sevenson Environmental Services,
Inc. ................................ 1,300 21,775
*Shaman Pharmaceuticals .............. 6,200 37,200
*Shared Technologies Fairchild, Inc. . 7,500 65,625
*Sharper Image Corp. ................. 5,900 20,281
*Shaw Group, Inc. .................... 4,700 121,025
*Sheffield Medical Technologies, Inc. 5,600 22,050
Shelby Williams Industries, Inc. .... 4,400 56,650
*Sheldahl, Inc. ...................... 10,300 195,700
Shelter Components, Inc. ............ 3,031 37,888
*Sherwood Group, Inc. ................ 5,200 54,600
*Shiloh Industries, Inc. ............. 7,000 117,250
*Shoe Carnival, Inc. ................. 5,200 27,950
*Sholodge, Inc. ...................... 3,600 48,150
*Shoney's, Inc. ...................... 22,802 188,117
Shopko Stores, Inc. ................. 19,400 300,700
Shoreline Financial Corp. ........... 1,680 38,010
*Shorewood Packaging Corp. ........... 9,200 171,925
*Show Biz Pizza Time, Inc. ........... 11,100 180,375
Showboat, Inc. ...................... 6,400 119,200
*Showscan Corp. ...................... 4,000 21,250
*Shuffle Master, Inc. ................ 5,600 54,250
*Sierra Health Services, Inc. ........ 7,000 172,375
*Sierra Semiconductor Corp. .......... 15,500 224,750
Sierrawest Bancorp .................. 200 3,050
Sifco Industries, Inc. .............. 8,800 94,600
Sigcorp, Inc. ....................... 7,900 272,550
*Sight Resource Corp. ................ 4,000 21,500
*Sigma Circuits, Inc. ................ 1,500 9,844
*Sigma Designs, Inc. ................. 4,400 40,975
*Sigmatron International, Inc. ....... 800 10,600
*#Signal Apparel Co., Inc. Class A .... 4,200 14,963
*Signal Technology Corp. ............. 2,700 19,913
*Silicon Storage Technology, Inc. .... 3,500 27,781
*Silicon Valley Bancshares ........... 4,100 123,000
*Silicon Valley Group, Inc. .......... 3,300 69,713
*Siliconix, Inc. ..................... 4,000 91,000
*#Silver King Communications, Inc. .... 3,800 94,525
*#Silverado Foods, Inc. ............... 2,400 7,200
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Simmons First National Corp.
Class A ............................. 1,100 $ 44,000
Simpson Industries, Inc. ............ 8,750 90,781
*Simula, Inc. ........................ 5,450 83,113
*Sinter Metals, Inc. Class A ......... 2,000 50,000
*Sirena Apparel Group, Inc. .......... 2,100 5,972
*Sizzler International, Inc. ......... 16,200 46,575
Skyline Corp. ....................... 5,200 135,200
Skywest, Inc. ....................... 5,900 83,706
*Sloane's Supermarkets, Inc. ......... 1,900 4,513
Smart & Final Food, Inc. ............ 12,150 262,744
Smith (A.O.) Corp. .................. 7,500 222,188
Smith (A.O.) Corp.Convertible Class A 2,400 69,600
*Smith Environmental Technologies
Corp. ............................... 2,900 2,356
*Smithfield Foods, Inc. .............. 10,700 350,425
*Smiths Food & Drug Centers, Inc.
Class B ............................. 4,500 136,125
Smucker (J.M.) Co. Class A .......... 5,700 102,600
Smucker (J.M.) Co. Class B .......... 5,900 100,300
Snyder Oil Corp. .................... 17,600 303,600
*Sodak Gaming, Inc. .................. 11,400 184,538
*Softdesk, Inc. ...................... 2,400 21,150
*Softech, Inc. ....................... 1,600 4,400
*Softnet Systems, Inc.
(Private Placement) ................. 2,536 11,127
*Software Publishing Corp. ........... 5,525 7,770
*Software Spectrum, Inc. ............. 1,900 58,663
*Somatix Therapies Corp. ............. 13,300 47,381
*Somatogen, Inc. ..................... 10,300 113,300
Somerset Group, Inc. ................ 250 4,188
*Sonic Corp. ......................... 6,000 138,000
*Sonic Solutions ..................... 3,000 20,063
*Sound Advice, Inc. .................. 1,900 3,266
South Jersey Industries, Inc. ....... 3,948 95,246
Southdown, Inc. ..................... 12,400 404,550
Southeastern Michigan Gas
Enterprises, Inc. ................... 4,749 84,295
Southern California Water Co. ....... 3,100 72,463
*Southern Electronics Corp. .......... 3,950 40,981
*Southern Energy Homes, Inc. ......... 6,375 78,492
*Southern Union Co. .................. 6,285 154,776
*Southwall Technologies, Inc. ........ 3,500 23,406
Southwest Bancorp, Inc. ............. 1,500 30,375
Southwest Bancshares, Inc. DE ....... 1,350 24,806
Southwest Gas Corp. ................. 13,200 257,400
Southwest National Corp. ............ 200 8,225
Southwest Securities Group, Inc ..... 3,600 46,125
Southwest Water Co. ................. 1,050 13,519
Southwestern Energy Co. ............. 9,800 156,800
Sovereign Bancorp, Inc. ............. 24,672 326,904
*Spacehab, Inc. ...................... 1,000 6,625
*Spacelabs Medical, Inc. ............. 5,600 112,700
*Spaghetti Warehouse, Inc. ........... 3,400 17,000
Span-American Medical System, Inc. . 1,700 7,225
Spartan Motors, Inc. ................ 8,900 56,738
Spartech Corp. ...................... 9,300 98,813
*Sparton Corp. ....................... 7,700 61,600
*Special Devices, Inc. ............... 3,100 44,756
*Specialty Chemical Resources, Inc. .. 1,500 2,625
*Specialty Equipment Co., Inc. ....... 8,800 104,500
*Specialty Paperboard, Inc. .......... 1,600 28,800
*Spectran Corp. ...................... 3,200 56,200
120
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Spectranetics Corp. ................. 9,202 $ 40,834
*Spectrian Corp. ..................... 3,300 32,175
*Spectrum Control, Inc. .............. 4,200 13,519
*Spectrum Holobyte, Inc. ............. 14,400 70,200
*Speedfam International, Inc. ........ 4,200 84,788
*Speizman Industries, Inc. ........... 1,800 9,956
*Spire Corp. ......................... 3,200 9,200
*Sport Chalet, Inc. .................. 1,400 4,725
*Sport Supply Group, Inc. ............ 2,700 15,863
*Sportmart, Inc. ..................... 2,100 6,956
*Sportmart, Inc. Class A ............. 2,000 5,875
*Sports & Recreation, Inc. ........... 10,900 94,013
*Sports Club Co., Inc. ............... 4,500 11,813
*Staar Surgical Co. .................. 5,100 57,375
*#Stac Electronics .................... 14,300 96,972
*Stacey's Buffet, Inc. ............... 740 486
*Staff Builders, Inc. Class A ........ 13,300 32,419
*Stage II Apparel Corp. .............. 1,700 4,250
*Standard Commercial Corp. ........... 3,742 50,518
*Standard Management Corp. ........... 2,100 9,844
*Standard Microsystems Corp. ......... 8,800 96,800
Standard Motor Products, Inc.
Class A ............................. 5,300 72,875
Standard Pacific Corp. DE ........... 12,200 71,675
Standard Products Co. ............... 8,400 192,150
Standex International Corp. ......... 5,500 170,500
*Stanford Telecommunications, Inc. ... 6,900 194,063
Stanhome, Inc. ...................... 8,000 219,000
*Stanley Furniture, Inc. ............. 1,900 31,113
Stant Corp. ......................... 10,000 125,000
*Star Multi Care Services, Inc. ...... 85 489
*Starcraft Corp. ..................... 1,300 4,956
Starret Housing Corp. ............... 3,900 43,388
Starrett (L.S.) Co. Class A ......... 2,400 66,600
*Starsight Telecast, Inc. ............ 12,700 91,281
*Starter Corp. ....................... 13,400 83,750
State Auto Financial Corp. .......... 7,200 115,200
*State of the Art, Inc. .............. 5,200 66,625
*Station Casinos, Inc. ............... 17,700 188,063
*Steck-Vaughn Publishing Corp. ....... 1,200 13,500
Steel Technologies, Inc. ............ 4,800 60,600
*Steel of West Virginia, Inc. ........ 4,400 24,750
*Stein Mart, Inc. .................... 11,200 215,600
Stepan Co. .......................... 6,400 121,600
Stephan Co. ......................... 1,700 21,463
Sterling Bancorp .................... 2,900 43,138
Sterling Bancshares ................. 2,350 40,244
*Sterling Electronics Corp. .......... 2,700 38,475
*Sterling Financial Corp. WA ......... 1,820 24,684
*Sterling House Corp. ................ 2,500 21,250
*Stevens Graphics Corp. Class A ...... 4,000 5,500
Stewart Information Services Corp. .. 2,600 54,763
Stifel Financial Corp. .............. 1,680 13,860
*Stimsonite Corp. .................... 3,600 21,375
*Stokely USA, Inc. ................... 6,800 12,750
Stone & Webster, Inc. ............... 5,200 169,650
*Stone Energy Corp. .................. 5,900 136,438
*Strategic Distribution, Inc. ........ 16,192 112,332
*Stratus Computer, Inc. .............. 5,000 128,750
Strawbridge & Clothier Class A ...... 4,200 69,825
*Streamlogic Corp. ................... 8,400 12,600
Stride Rite Corp. ................... 29,300 293,000
*Strouds, Inc. ....................... 4,700 18,800
*Structural Dynamics Research Corp. . 2,400 46,800
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Struthers Industries, Inc. .......... 4,700 $ 9,621
*Stuart Entertainment, Inc. .......... 2,700 15,188
Student Loan Corp. .................. 5,600 216,300
Sturm Ruger & Co., Inc. ............. 17,000 303,875
*Submicron Systems Corp. ............. 6,700 30,988
*Substance Abuse Technologies, Inc. . 17,700 33,188
*Successories, Inc. .................. 2,600 18,363
*Sudbury, Inc. ....................... 5,600 69,650
Suffolk Bancorp ..................... 1,000 38,750
*Sugen, Inc. ......................... 5,100 64,069
*Sulcus Computer Corp. ............... 5,800 12,325
Sullivan Dental Products, Inc. ...... 5,800 76,850
Sumitomo Bank of California ......... 6,600 169,125
*Summa Four, Inc. .................... 2,500 22,344
*Summit Care Corp. ................... 2,700 39,825
*Summit Technology, Inc. ............. 12,300 64,191
*Summitt Medical Systems, Inc. ....... 3,600 29,700
*Sun Coast Plastics, Inc. ............ 1,600 5,600
*Sun Healthcare Group, Inc. .......... 17,100 213,750
*Sun Sportswear, Inc. ................ 2,300 4,744
Sun Television and Appliances, Inc. . 10,400 27,300
*Sunair Electronics, Inc. ............ 3,000 6,563
*Sunbelt Nursery Group, Inc. ......... 2,600 3,900
*Sundance Homes, Inc. ................ 4,300 12,900
*Sunglass Hut International, Inc. .... 9,500 68,875
*Sunrise Medical, Inc. ............... 7,700 110,688
*Sunrise Resources, Inc. ............. 2,900 12,506
*Sunshine Mining and Refining Co. .... 3,000 3,375
*Superconductor Technologies, Inc. ... 2,400 10,500
Superior Surgical Manufacturing Co.,
Inc. ................................ 9,900 127,463
*Supertex, Inc. ...................... 28,100 528,631
*Suprema Specialties, Inc. ........... 1,000 4,938
*Supreme Industries, Inc. ............ 3,630 19,058
*Supreme International Corp. ......... 1,700 27,200
*Surety Capital Corp. ................ 1,800 7,763
*Surgical Laser Technologies, Inc. ... 4,900 6,431
Susquehanna Bancshares, Inc. ........ 5,175 183,066
*Swift Energy Corp. .................. 6,820 215,683
*Swift Transportation, Inc. .......... 9,500 228,594
*Swing-n-Slide Corp. ................. 1,936 6,292
*Swisher International, Inc. ......... 700 4,638
*Swiss Army Brands, Inc. ............. 4,800 67,200
*Sybron Chemicals, Inc. .............. 1,100 17,600
*Sylvan Foods Holdings, Inc. ......... 2,500 31,406
*Sylvan Learning Systems, Inc. ....... 2,250 59,203
*Symantec Corp. ...................... 20,800 312,000
*Symix Systems, Inc. ................. 2,000 15,375
*Symmetricom, Inc. ................... 6,200 117,413
*Syms Corp. .......................... 9,900 86,625
Synalloy Corp. DE ................... 14,400 235,800
*Synbiotics Corp. .................... 2,300 8,338
*Syncor International Corp. DE ....... 4,200 42,263
*Synetic, Inc. ....................... 6,600 307,313
*Syntellect, Inc. .................... 6,700 33,081
*Syquest Technology, Inc. ............ 5,000 24,688
*Syratech Corp. ...................... 3,400 105,400
System Software Associates, Inc. .... 21,300 296,869
*Systemix, Inc. ...................... 4,300 63,694
*Systems & Computer Technology Corp. 16,700 248,413
*Systemsoft Corp. .................... 8,200 150,163
*T Cell Sciences, Inc. ............... 9,900 18,563
*T-HQ, Inc. .......................... 200 1,556
121
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*T-Netix, Inc. ....................... 3,200 $ 42,000
*TBC Corp. ........................... 9,550 69,834
TCBY Enterprises, Inc. .............. 10,100 42,925
*TCC Industries, Inc. ................ 1,100 1,788
*TCI International, Inc. ............. 1,600 11,600
*TCSI Corp. .......................... 10,400 91,650
*TESSCO Technologies, Inc. ........... 1,700 62,263
*TFC Enterprises, Inc. ............... 4,500 10,688
*TII Industries, Inc. ................ 3,760 23,030
TJ International, Inc. .............. 8,800 191,400
*TMBR/Sharp Drilling, Inc. ........... 1,300 12,025
TNP Enterprises, Inc. ............... 4,400 112,200
*TPC Corp. ........................... 7,200 67,500
TR Financial Corp. .................. 4,900 143,631
*TRC Companies, Inc. ................. 4,600 23,000
*TRM Copy Centers Corp. .............. 4,000 42,250
*TRO Learning, Inc. .................. 2,400 48,600
*TSF Communications Corp. ............ 2,400 60,900
TSI, Inc. MN ........................ 6,600 68,475
*TSR, Inc. ........................... 400 3,750
*TSX Corp. ........................... 5,250 48,891
Tab Products Co. DE ................. 2,400 18,600
*Taco Cabana Inc. .................... 9,200 61,525
*Talley Industries, Inc. ............. 7,000 53,375
*Tandy Brand Accessories, Inc. ....... 2,100 13,388
*Tandy Crafts, Inc. .................. 4,800 31,800
*Tanknology Environmental, Inc. ...... 5,700 11,756
*Target Therapeutics, Inc. ........... 5,900 203,919
*Targeted Genetics Corp. ............. 5,000 19,375
Tasty Baking Co. .................... 3,700 54,113
*Team, Inc. .......................... 2,800 4,375
*Tech-Sym Corp. ...................... 2,700 78,638
Tech/Ops Sevcon, Inc. ............... 1,300 18,200
*Techne Corp. ........................ 3,800 90,250
*Technical Communications Corp. ...... 1,000 9,625
Technitrol, Inc. .................... 4,700 169,200
*Technol Medical Products, Inc. ...... 7,900 106,156
Technology Research Corp. ........... 2,100 8,925
*Technology Solutions Corp. .......... 6,100 276,025
Tejon Ranch Co. ..................... 9,100 147,875
*Tekelec ............................. 5,800 79,025
*Telco Systems, Inc. ................. 6,200 109,275
*Telemundo Group, Inc. Class A ....... 3,200 91,000
Telxon Corp. ........................ 6,400 77,200
*Temtex Industries, Inc. ............. 1,400 4,113
*Tencor Instruments .................. 15,400 410,025
Tennant Co. ......................... 4,000 100,500
*Terex Corp. ......................... 4,500 39,938
*Tesoro Petroleum Corp. .............. 10,300 149,350
*Tetra Tech, Inc. .................... 5,312 99,932
*Tetra Technologies, Inc. ............ 5,100 129,731
*Texas Biotechnology Corp. ........... 12,000 36,000
Texas Industries, Inc. .............. 3,900 221,813
*Texas Meridian Resources Corp. ...... 7,200 119,700
Texas Regional Banchshares, Inc.
Class A ............................. 2,500 85,000
*Texfi Industries, Inc. .............. 5,200 13,000
*Thackeray Corp. ..................... 3,600 9,450
*Theragenics Corp. ................... 5,600 126,000
*Theratech, Inc. UT .................. 10,150 111,650
*Theratx, Inc. ....................... 12,286 129,003
*Thermo Ecotek Corp. ................. 6,300 99,225
*Thermo Power Corp. .................. 4,900 44,100
Thermo Remediation, Inc. ............ 5,000 51,875
*Thermo Terratech, Inc. .............. 7,000 68,250
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Thermo Voltek Corp. ................. 3,300 $ 35,888
*Thermwood Corp. ..................... 1,000 1,625
*Thomas Group, Inc. .................. 3,100 26,738
Thomas Industries, Inc. ............. 4,000 81,000
Thomaston Mills, Inc. ............... 2,000 22,750
Thor Industries, Inc. ............... 4,000 95,500
*Thorn Apple Valley, Inc. ............ 4,000 51,000
*Three-Five Systems, Inc. ............ 3,100 37,588
*Timberland Co. Class A .............. 3,000 116,250
Timberline Software Corp. ........... 2,100 17,456
*Tipperary Corp. ..................... 6,000 30,000
*Titan Corp. ......................... 8,300 24,900
Titan Holdings, Inc. ................ 4,920 73,800
#Titan Wheel International, Inc. ..... 8,900 117,925
Toastmaster, Inc. ................... 3,000 9,000
*#Todays Man, Inc. .................... 4,300 7,525
*Todd Shipyards Corp. ................ 3,900 26,813
Todd-AO Corp. Class A ............... 220 2,338
*Todhunter International, Inc. ....... 3,600 30,375
*Tokheim Corp. ....................... 3,100 27,900
*Toll Brothers, Inc. ................. 19,800 393,525
Tompkins County Trustco, Inc. ....... 220 7,205
*Top Source Technologies, Inc. ....... 14,200 48,813
*Topps, Inc. ......................... 28,000 120,750
*#Tops Appliance City, Inc. ........... 2,900 4,713
*Toreador Royalty Corp. .............. 1,500 4,125
Toro Co. ............................ 4,700 167,438
*#Toronto-Dominion Bank ............... 3,841 102,267
Tower Air, Inc. ..................... 9,000 27,281
*Tower Automotive, Inc. .............. 5,600 179,200
*Toy Biz, Inc. Class A ............... 6,700 123,950
*Tracor, Inc. ........................ 9,800 214,988
*Tractor Supply Co. .................. 5,000 106,875
*Trak Auto Corp. ..................... 3,300 54,863
Trans Financial, Inc. ............... 4,500 95,906
*#Trans World Airlines, Inc. .......... 14,700 113,925
*Trans World Entertainment Corp. ..... 4,900 39,200
*TransNet Corp. ...................... 2,000 6,188
*Transaction Network Services, Inc. .. 6,900 84,956
*Transcend Services, Inc. ............ 200 1,175
*Transmation, Inc. ................... 1,000 10,000
Transmedia Network, Inc. ............ 5,650 36,725
Transnational RE Corp. Class A ...... 2,200 55,138
Transport Leasing International,
Inc. ................................ 1,700 8,181
Transtechnology Corp. ............... 3,000 58,125
*Transwitch Corp. .................... 6,000 36,000
*Transworld Bancorp .................. 250 4,438
*Transworld Home Healthcare, Inc. .... 5,000 60,625
*Travel Ports of America, Inc. ....... 2,600 6,825
Treadco, Inc. ....................... 3,000 29,063
Tredegar Industries, Inc. ........... 4,850 192,788
*Tremont Corp. DE .................... 4,600 167,325
*Trend-Lines, Inc. Class A ........... 3,500 17,063
Trenwick Group, Inc. ................ 3,000 147,375
*Tri-Lite, Inc. ...................... 29 0
*Triad Guaranty, Inc. ................ 2,700 80,325
*Triad Systems Corp. ................. 8,800 73,700
Triangle Bancorp, Inc. .............. 4,100 65,088
*Triangle Pacific Corp. .............. 6,500 141,781
*Triarc Companies, Inc. Class A ...... 7,600 85,500
*Tricord Systems, Inc. ............... 6,600 13,509
*Trident Microsystems, Inc. .......... 5,000 105,000
*Tridex Corp. ........................ 1,500 17,813
*Trimark Holdings, Inc. .............. 1,700 8,713
122
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Trimble Navigation, Ltd. ............ 8,600 $117,713
*Trimedyne, Inc. ..................... 5,400 18,731
*Trinitec Systems, Inc. Class A ...... 2,900 12,144
Trion, Inc. ......................... 2,300 10,638
*Triple S Plastics, Inc. ............. 700 5,731
*Tripos, Inc. ........................ 2,000 31,750
*Triquint Semiconductor, Inc. ........ 3,200 72,000
*Trism, Inc. ......................... 1,100 4,194
*Tristar Corp. ....................... 1,000 7,063
True North Communications, Inc. ..... 9,500 212,563
*Truevision, Inc. .................... 6,500 17,266
Trust Company of New Jersey ......... 9,900 147,263
Trustco Bank Corp. NY ............... 11,941 258,970
*Tseng Laboratories, Inc. ............ 9,500 60,563
*Tuboscope Vetco International, Inc. .. 8,000 124,000
*Tucson Electric Power Co. ........... 12,080 226,500
*Tuesday Morning Corp. ............... 3,100 67,425
*Tultex Corp. ........................ 14,900 106,163
*Turner Corp. ........................ 2,600 22,425
Tuscarora Plastics, Inc. ............ 3,500 78,750
Twin Disc, Inc. ..................... 1,100 23,788
*Tyco Toys, Inc. ..................... 20,900 245,575
*Tyler Corp. ......................... 10,900 17,713
U.S. Bancorp, Inc. .................. 2,100 85,050
*U.S. Bioscience, Inc. ............... 11,200 134,400
U.S. Freightways Corp. .............. 12,800 332,000
*UNC, Inc. ........................... 7,200 66,600
UNR Industries, Inc. ................ 18,300 123,525
*URS Corp. ........................... 4,460 37,353
*US Can Corp. ........................ 5,100 84,788
*US Servis, Inc. ..................... 2,500 6,797
US Trust Corp. ...................... 4,900 364,438
*US Xpress Enterprises, Inc.
Class A ............................. 2,700 24,300
*USA Truck, Inc. ..................... 1,900 16,625
*USCI, Inc. .......................... 5,100 24,544
*USData Corp. ........................ 3,450 23,503
*USMX, Inc. .......................... 5,900 8,850
UST Corp. ........................... 8,200 152,725
USX-Delhi Group ..................... 5,000 73,750
*#UTI Energy Corp. .................... 1,000 31,125
*Ultimate Electronics, Inc. .......... 3,100 9,300
*Ultra Pacific, Inc. ................. 1,700 6,906
*Ultradata Corp. ..................... 1,000 4,875
*Ultrak, Inc. ........................ 4,100 125,563
*#Ultralife Batteries, Inc. ........... 4,000 38,000
*Ultratech Stepper, Inc. ............. 8,000 182,500
*Unapix Entertainment, Inc. .......... 1,000 4,000
Uni-Marts, Inc. ..................... 4,500 28,688
Unico American Corp. ................ 3,000 27,938
Unifirst Corp. ...................... 9,200 194,350
*Uniflex, Inc. ....................... 1,100 10,588
Uniforce Temporary Personnel, Inc. .. 2,700 48,600
*#Unigene Laboratories, Inc. .......... 15,500 33,664
*Unimed, Inc. ........................ 3,400 22,738
*Union Acceptance Corp. Class A ...... 1,600 30,900
*Union Corp. DE ...................... 3,900 87,263
Union Planters Corp. ................ 4,575 189,291
*Union Switch & Signal, Inc. ......... 5,900 43,881
*Uniphase Corp. ...................... 6,000 354,000
*Unique Mobility, Inc. ............... 4,000 15,750
*Uniroyal Technology Corp. ........... 6,600 18,975
*Unit Corp. .......................... 8,700 72,863
*Unit Instruments, Inc. .............. 2,100 21,131
*United American Healthcare Corp. .... 3,700 23,588
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
United Bankshares, Inc. WV .......... 5,800 $181,975
United Carolina Bancshares Corp. .... 9,450 378,591
#United Cities Gas Co. ............... 6,450 152,381
*United Dental Care, Inc. ............ 1,500 41,438
United Financial Corp. MN ........... 400 7,750
*United Foods, Inc. Class A .......... 1,000 1,750
*United Guardian, Inc. ............... 1,900 3,859
United Illuminating Co. ............. 7,100 236,963
United Industrial Corp. ............. 5,300 31,138
United National Bancorp ............. 1,072 37,922
*United Retail Group, Inc. ........... 5,500 16,500
*United States Energy Corp. .......... 2,600 35,588
United States Facilities Corp. ...... 5,700 110,438
*United States Home Corp. ............ 5,700 141,075
*United States Homecare Corp. ........ 3,800 2,731
*United States Long Distance Corp. ... 7,500 66,563
*United Stationers, Inc. ............. 222 4,690
*United Video Satellite Group, Inc.
Class A ............................. 6,300 94,106
United Water Resources, Inc. ........ 14,400 219,600
United Wisconsin Services, Inc. ..... 5,000 129,375
*Unitel Video, Inc. .................. 600 4,950
Unitil Corp. ........................ 1,400 27,300
Unitog Co. .......................... 2,900 78,663
*Unitrode Corp. ...................... 4,600 123,625
*Universal Electronics, Inc. ......... 2,700 15,356
Universal Forest Products, Inc. ..... 8,700 109,838
*Universal Hospital Services, Inc. ... 2,900 27,188
*Universal International, Inc. ....... 2,000 4,625
*Universal Seismic Association, Inc. . 1,700 7,225
*Universal Standard Medical Labs,
Inc. ................................ 2,500 9,844
*Uno Restaurant Corp. ................ 7,000 48,125
Upper Peninsula Energy Corp. ........ 1,000 16,750
*Uranuim Resources, Inc. ............. 4,000 37,000
*Urban Outfitters, Inc. .............. 8,700 127,238
*Urohealth Systems, Inc. Class A ..... 1,900 16,031
*#Uromed Corp. ........................ 13,000 120,250
*Utah Medical, Inc. .................. 3,900 54,356
*Utilx Corp. ......................... 2,900 10,603
*V Band Systems, Inc. ................ 2,100 4,200
*V Mark Software, Inc. ............... 3,238 24,083
*VLSI Technology, Inc. ............... 2,200 50,600
*VTEL Corp. .......................... 7,200 73,800
*VWR Scientific Products Corp. ....... 8,700 138,113
*Valence Technology, Inc. ............ 11,800 51,256
*Vallen Corp. ........................ 4,200 70,875
Valley Forge Corp. .................. 850 10,997
Valley Resources, Inc. .............. 2,600 30,875
Vallicorp Holdings, Inc. ............ 5,400 109,013
Valmont Industries, Inc. ............ 6,800 266,050
*Value City Department Stores, Inc. .. 17,800 226,950
Value Line, Inc. .................... 4,000 156,000
*Valuevision International, Inc.
Class A ............................. 14,700 81,309
*Vans, Inc. .......................... 5,000 76,563
*Varco International, Inc. ........... 14,900 340,838
*Vari L Co., Inc. .................... 1,400 12,863
*Variflex, Inc. ...................... 3,900 19,988
Varlen Corp. ........................ 2,420 48,703
Varsity Spirit Corp. ................ 200 3,100
*Vaughn Communications, Inc. ......... 1,100 9,006
*Vectra Banking Corp. ................ 800 13,600
*Vectra Technologies, Inc. ........... 2,700 5,738
*Ventritex, Inc. ..................... 10,400 243,100
123
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Ventura County National Bancorp ..... 3,664 $ 17,862
*Venture Stores, Inc. ................ 10,400 33,800
*Venturian Corp. ..................... 200 1,675
*Veritas DGC, Inc. ................... 4,500 96,188
Vermont Financial Services Corp. .... 2,000 70,500
*Vermont Teddy Bear, Inc. ............ 2,600 7,150
Versa Technologies, Inc. ............ 2,400 33,150
*Versar, Inc. ........................ 2,000 6,125
*Vertex Communications Corp. ......... 2,800 48,300
Vesta Insurance Group, Inc. ......... 4,600 148,350
*Veterinary Centers of America, Inc. . 7,900 83,444
*Vical, Inc. ......................... 6,100 113,613
*Vicorp Restaurants, Inc. ............ 3,600 50,400
*Video Display Corp. ................. 1,200 4,575
*Video Lottery Technologies, Inc. .... 6,200 27,513
*Videonics, Inc. ..................... 1,100 9,969
*Vie de France Corp. ................. 8,300 17,119
*Viewlogic Systems, Inc. ............. 8,100 80,494
Vintage Petroleum, Inc. ............. 9,500 318,250
Virco Manufacturing Corp. ........... 1,610 26,565
Virginia Beach Federal Financial
Corp. ............................... 2,000 18,375
Virginia First Financial Corp. ...... 400 5,500
*Vision Sciences, Inc. ............... 5,100 7,331
*#Visx, Inc. DE ....................... 7,400 175,288
Vital Signs, Inc. ................... 5,200 114,725
*Vitalink Pharmacy Services, Inc. .... 8,300 182,600
*Vitesse Semiconductor, Inc. ......... 2,200 104,913
*Vitronics Corp. ..................... 3,000 3,563
*#Vivus, Inc. ......................... 5,400 184,613
*Volt Information Sciences, Inc. ..... 2,000 71,500
*Volunteer Capital Corp. ............. 1,800 15,075
Vulcan International Corp. .......... 700 20,869
WCI Steel, Inc. ..................... 11,600 116,000
WD-40 Co. ........................... 3,000 155,250
*WFS Financial, Inc. ................. 12,800 292,800
*WHX Corp. ........................... 16,000 150,000
WICOR, Inc. ......................... 8,500 309,188
WLR Foods, Inc. ..................... 8,700 110,925
*WMS Industries, Inc. ................ 9,600 242,400
*WPI Group, Inc. ..................... 2,300 18,544
Wabash National Corp. ............... 11,600 204,450
Wackenhut Corp. Class A ............. 1,600 26,800
Wackenhut Corp. Class B
Non-Voting .......................... 4,100 57,400
*Wackenhut Corrections Corp. ......... 5,000 86,250
*Wainoco Oil Corp. ................... 14,900 52,150
Walbro Corp. ........................ 6,000 119,250
Walden Bancorp, Inc. ................ 3,600 124,425
*Walker Interactive Systems, Inc. .... 5,200 80,275
*Wall Data, Inc. ..................... 3,700 55,963
*Wall Street Deli, Inc. .............. 1,500 8,156
Walshire Assurance Co. .............. 2,155 30,035
*Wandel & Goltermann
Technologies, Inc. .................. 2,100 43,838
*Warrantech Corp. .................... 6,500 93,031
Warren Bancorp, Inc. ................ 1,400 21,000
Washington Energy Co. ............... 9,400 180,950
*Washington Homes, Inc. .............. 4,400 19,800
Washington National Corp. ........... 4,900 136,588
Washington Savings Bank FSB Waldorf,
MD .................................. 1,700 8,075
*Washington Scientific Industries,
Inc. ................................ 1,000 2,875
Waters Instruments, Inc. ............ 200 938
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
Watkins-Johnson Co. ................. 3,300 $ 85,800
Watsco, Inc. Class A ................ 4,350 109,838
Watsco, Inc. Class B ................ 900 22,500
Watts Industries, Inc. Class A ...... 11,000 240,625
*Wave Technologies International,
Inc. ................................ 1,600 9,400
*Waxman Industries, Inc. ............. 4,800 21,000
Webb (Del) Corp. .................... 6,700 113,063
Webster Financial Corp. ............. 3,184 119,400
*Weirton Steel Corp. ................. 16,700 43,838
*Welcome Home, Inc. .................. 1,000 875
*Wellcare Management Group, Inc. ..... 1,900 16,625
Wellman, Inc. ....................... 600 9,675
*Wells-Gardner Electronics Corp. ..... 2,400 9,600
Werner Enterprises, Inc. ............ 8,750 141,094
Wesbanco, Inc. ...................... 2,500 75,313
West Coast Bancorp .................. 1,862 32,585
*West Marine, Inc. ................... 8,100 275,400
West, Inc. .......................... 6,400 183,200
Westamerica Bancorporation .......... 3,800 218,975
*Westbridge Capital Corp. ............ 1,100 8,938
Westco Bancorp, Inc. ................ 1,200 26,100
Westcorp, Inc. ...................... 10,296 243,243
Westerfed Financial Corp. ........... 1,400 25,900
*Western Beef, Inc. .................. 2,700 28,350
Western Gas Resources, Inc. ......... 10,300 194,413
*Western Micro Technology, Inc. ...... 1,700 17,638
*Western Water Co. ................... 3,600 63,000
*Westmoreland Coal Co. ............... 3,800 9,500
*Weston (Roy F.), Inc. Class A ....... 3,000 11,250
*Westwood One, Inc. .................. 15,400 256,025
*Wet Seal, Inc. Class A .............. 3,900 88,238
*Whitehall Corp. ..................... 1,600 63,000
*Whitman Education Group, Inc. ....... 8,200 54,325
Whitney Holdings Corp. .............. 8,300 292,575
*Whittaker Corp. ..................... 5,400 75,600
*Whole Foods Market, Inc. ............ 9,700 218,856
*Wholesome & Hearty Foods, Inc. ...... 4,100 27,675
*Wickes Lumber Co. ................... 2,500 8,906
Wiley (John) & Sons, Inc. Class A ... 400 11,800
*Williams Clayton Energy, Inc. ....... 2,900 47,306
*Williams Controls, Inc. ............. 6,900 17,358
*Williams-Sonoma, Inc. ............... 7,625 265,922
Wilshire Oil Co. of Texas ........... 3,975 21,366
*Wind River Systems, Inc. ............ 600 29,663
Windmere Corp. ...................... 6,800 97,750
Winnebago Industries, Inc. .......... 13,200 99,000
*Winstar Communications, Inc. ........ 14,400 299,700
Winthrop Resources Corp. ............ 4,600 132,825
Wireless Telecom Group, Inc. ........ 6,900 69,000
Wiser Oil Co. ....................... 3,600 62,550
Wolohan Lumber Co. .................. 2,800 35,525
*Wolverine Tube, Inc. ................ 7,500 279,375
Wolverine World Wide, Inc. .......... 4,962 133,354
*Wonderware Corp. .................... 8,000 75,500
Woodhead Industries, Inc. ........... 5,200 67,275
*World Acceptance Corp. .............. 12,300 80,719
World Fuel Services Corp. ........... 4,704 89,964
*Worldcorp, Inc. ..................... 12,200 57,950
*Worldtex, Inc. ...................... 5,700 47,025
Worthington Foods, Inc. ............. 1,375 35,406
Wyle Laboratories, Inc. ............. 7,500 270,000
*Wyman-Gordon Co. .................... 1,000 21,375
Wynns International, Inc. ........... 7,125 207,516
X-Rite, Inc. ........................ 8,400 156,975
124
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Xicor, Inc. ......................... 9,400 $ 89,888
*Xircom, Inc. ........................ 7,800 156,488
*#Xoma Corp. .......................... 16,700 65,234
*Xpedite Systems, Inc. ............... 3,400 62,900
*Xytronyx, Inc. ...................... 3,200 5,200
Yankee Energy Systems, Inc. ......... 4,700 103,400
*Yellow Corp. ........................ 14,100 213,263
*Yes Entertainment Corp. ............. 5,600 57,050
York Financial Corp. ................ 3,201 53,617
*York Research Corp. ................. 7,000 66,938
*Young Broadcasting, Inc. Class A .... 2,000 60,250
*#Youth Services International, Inc. .. 3,000 38,438
*Zale Corp. .......................... 10,900 216,638
*Zaring Homes, Inc. .................. 1,500 16,313
*Zebra Technologies Corp. Class A .... 5,400 139,725
*Zemex Corp. ......................... 3,598 31,033
*Zenith Electronics Corp. ............ 20,300 268,975
Zenith National Insurance Corp. ..... 8,500 233,750
Zero Corp. .......................... 4,800 94,200
*Zilog, Inc. ......................... 11,000 246,125
*Zing Technologies, Inc. ............. 1,500 13,781
*Zitel Corp. ......................... 8,600 194,038
*Zoll Medical Corp. .................. 2,400 30,450
*#Zoltek Companies, Inc. .............. 6,300 223,256
Zurn Industries, Inc. ............... 6,200 177,475
*Zycad Corp. ......................... 7,900 14,319
*Zygo Corp. .......................... 1,950 76,538
*Zytec Corp. ......................... 3,600 39,375
------------
TOTAL COMMON STOCKS
(Cost $217,001,982) .................. 266,305,219
PREFERRED STOCKS - (0.0%) ============
*Alliance Gaming Corp.
15% Non-Voting Senior Class B ....... 148 13,979
Fedders Corp. Convertible ........... 4,800 28,200
Phoenix Duff & Phelps Corp.
Class A ............................. 770 19,346
TOTAL PREFERRED STOCKS ------------
(Cost $53,092) ....................... 61,525
RIGHTS/WARRANTS - (0.0%) ------------
*American Satellite Network, Inc.
Warrants 06/30/99 ................... 2,525 0
*Amvestors Financial Corp. Warrants
Class A 04/02/02 .................... 391 1,955
*Aquila Biopharmaceuticals Inc.
Rights 12/03/96 ..................... 1,130 11
*CSF Holdings, Inc. Litigation Rights
12/30/99 ............................ 3,250 0
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*Krug International Corp. Warrants
01/31/98 ............................ 169 $ 63
*Metrocall, Inc. Rights 11/15/97 ..... 2,864 0
*Millicom, Inc. Contingent Value
Rights .............................. 10,100 0
*Morrison Knudsen Corp. Warrants
03/11/03 ............................ 1,328 6,306
*Statesman Group, Inc. Contingent
Payment Rights ...................... 9,765 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $7,478) ........................ 8,335
------------
Face
Amount
------
(000)
TEMPORARY CASH INVESTMENTS - (0.6%)
Repurchase Agreement, PNC Secu rities
Corp. 5.45%, 12/02/96 (Col lateralized
by U.S. Treasury Bills 4.93%,
01/16/97) (Cost $1,723,000) ......... $1,723 1,723,000
------------
TOTAL INVESTMENTS - (99.9%) (Cost
$218,785,552) ........................ 268,098,079
------------
OTHER ASSETS AND LIABILITIES - (0.1%)
Other Assets ......................... 438,298
Payable for Investment Securities
Purchased ........................... (11,750)
Payable for Fund Shares Redeemed .... (59,598)
Other Liabilities .................... (63,705)
------------
303,245
------------
NET ASSETS - (100.0%) Applicable to
21,373,173 Outstanding $.01 Par Value
Shares (Unlimited Number of Shares
Authorized) .......................... $268,401,324
============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........... $ 12.56
============
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
125
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE COMPANY SERIES
NOVEMBER 30, 1996
Shares Value+
------ ------
COMMON STOCKS - (99.5%)
#AMP, Inc. ....................... 17,704 $ 677,178
*AMR Corp. ....................... 7,400 675,250
AON Corp. ....................... 8,750 532,656
AT & T Corp. .................... 130,139 5,107,956
#Abbott Laboratories ............. 63,000 3,512,250
*#Advanced Micro Devices, Inc. .... 10,900 264,325
Aetna, Inc. ..................... 12,137 875,381
Ahmanson (H.F.) & Co. ........... 8,700 287,100
Air Products & Chemicals, Inc. .. 9,000 625,500
*Airtouch Communications, Inc. ... 40,300 1,032,688
Alberto-Culver Co. Class B ...... 2,300 109,250
Albertson's Inc. ................ 20,400 711,450
Alcan Aluminum, Ltd. ............ 18,200 641,550
Alco Standard Corp. ............. 10,500 543,375
Alexander & Alexander Services,
Inc. ............................ 3,700 53,650
Allegheny Teledyne, Inc. ........ 14,000 327,250
Allergan, Inc. .................. 5,300 170,263
AlliedSignal, Inc. .............. 22,800 1,670,100
Allstate Corp. .................. 35,927 2,164,602
Alltel Corp. .................... 15,300 487,688
Aluminium Co. of America ........ 14,100 897,113
*Alza Corp. ...................... 6,800 192,100
*Amdahl Corp. .................... 9,800 116,375
Amerada Hess Corp. .............. 7,500 441,563
American Brands, Inc. ........... 13,800 658,950
American Electric Power Co., Inc. 15,100 626,650
#American Express Co. ............ 38,300 2,001,175
American General Corp. .......... 16,500 678,563
American Greetings Corp. Class A 6,000 169,875
American Home Products Corp. .... 51,300 3,296,025
American International Group,
Inc. ............................ 37,862 4,354,130
American Stores Co. ............. 11,800 470,525
Ameritech Corp. ................. 44,400 2,614,050
*Amgen, Inc. ..................... 21,300 1,299,300
Amoco Corp. ..................... 40,200 3,120,525
*Andrew Corp. .................... 4,862 282,300
Anheuser-Busch Companies, Inc. .. 40,100 1,699,238
*#Apple Computer, Inc. ............ 10,100 244,925
*Applied Materials, Inc. ......... 14,500 554,625
Archer-Daniels Midland Co. ...... 44,078 969,716
*Armco, Inc. ..................... 8,600 38,700
Armstrong World Industries, Inc. 3,000 225,750
Asarco, Inc. .................... 3,450 94,013
Ashland, Inc. ................... 5,200 249,600
Atlantic Richfield Co. .......... 13,000 1,808,625
Autodesk, Inc. .................. 3,700 103,138
Automatic Data Processing, Inc. . 23,400 1,003,275
Avery Dennison Corp. ............ 4,300 303,688
Avon Products, Inc. ............. 10,700 596,525
Baker Hughes, Inc. .............. 11,700 428,513
Ball Corp. ...................... 2,500 61,250
*Bally Entertainment Corp. ....... 4,200 122,325
Baltimore Gas & Electric Co. .... 11,950 333,106
Banc One Corp. .................. 35,111 1,672,161
Bank of Boston Corp. ............ 12,300 859,463
Bank of New York Co., Inc. ...... 31,100 1,115,713
BankAmerica Corp. ............... 29,068 2,994,004
Bankers Trust New York Corp. .... 6,500 565,500
<PAGE>
Shares Value+
------ ------
Bard (C.R.), Inc. ............... 4,600 $ 128,800
Barnett Banks, Inc. ............. 15,600 686,400
#Barrick Gold Corp. .............. 28,800 864,000
Battle Mountain Gold Co. ........ 18,100 131,225
Bausch & Lomb, Inc. ............. 4,600 170,775
Baxter International, Inc. ...... 22,000 935,000
*Bay Networks, Inc. .............. 15,200 406,600
Becton Dickinson & Co. .......... 10,100 424,200
Bell Atlantic Corp. ............. 35,300 2,219,488
Bellsouth Corp. ................. 80,300 3,242,113
Bemis Co., Inc. ................. 4,300 153,188
Beneficial Corp. ................ 4,300 267,138
*#Bethlehem Steel Corp. ........... 9,000 81,000
*Beverly Enterprises ............. 8,000 106,000
Biomet, Inc. .................... 9,300 154,031
Black & Decker Corp. ............ 7,100 268,913
#Block (H.&R.), Inc. ............. 8,400 245,700
Boatmen's Bancshares, Inc. ...... 12,600 841,050
Boeing Co. ...................... 28,100 2,792,438
Boise Cascade Corp. ............. 3,900 120,900
*Boston Scientific Corp. ......... 14,300 834,763
Briggs & Stratton Corp. ......... 2,400 99,300
Bristol Myers Squibb Co. ........ 40,500 4,606,875
Brown-Forman Corp. Class B ...... 5,600 260,400
Browning-Ferris Industries, Inc. 17,100 459,563
Brunswick Corp. ................. 7,900 201,450
Burlington Northern Santa Fe
Corp. ............................ 12,337 1,108,788
Burlington Resources, Inc. ...... 10,100 535,300
CIGNA Corp. ..................... 6,100 862,388
CPC International, Inc. ......... 11,700 974,025
CSX Corp. ....................... 17,100 799,425
*CUC International, Inc. ......... 31,750 837,406
CVS Corp. ....................... 8,600 353,675
*#Cabletron Systems, Inc. ......... 12,200 492,575
Caliber Systems, Inc. ........... 3,200 62,000
Campbell Soup Co. ............... 18,900 1,561,613
#Carolina Power & Light Co. ...... 12,300 450,488
Case Corp. ...................... 5,900 309,750
Caterpillar, Inc. ............... 15,600 1,234,350
Centex Corp. .................... 2,300 82,800
#Central & South West Corp. ...... 16,900 452,075
*Ceridian Corp. .................. 5,500 264,688
Champion International Corp. .... 7,700 331,100
*Charming Shoppes, Inc. .......... 8,400 42,525
Chase Manhattan Corp. ........... 35,296 3,335,472
Chevron Corp. ................... 52,700 3,530,900
Chrysler Corp. .................. 58,900 2,090,950
Chubb Corp. ..................... 14,100 764,925
Cincinnati Milacron, Inc. ....... 3,200 66,400
Cinergy Corp. ................... 12,693 425,216
#Circuit City Stores, Inc. ....... 7,900 263,663
*#Cisco Sytems, Inc. .............. 52,300 3,553,131
Citicorp ........................ 38,800 4,238,900
Clorox Co. ...................... 4,200 437,850
Coastal Corp. ................... 8,550 411,469
Coca-Cola Co. ................... 201,200 10,286,332
*Cognizant Corp. ................. 13,700 472,650
Colgate-Palmolive Co. ........... 11,900 1,102,238
Columbia Gas System, Inc. ....... 4,500 290,813
Columbia/HCA Healthcare Corp. ... 54,182 2,167,280
126
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------ ------
Comcast Corp. Class A Special ... 26,350 $ 443,009
Comerica, Inc. .................. 9,300 544,050
*Community Psychiatric Centers ... 6 54
*#Compaq Computer Corp. ........... 21,800 1,727,650
Computer Associates
International, Inc. ............ 29,375 1,931,406
*Computer Sciences Corp. ......... 6,100 479,613
Conagra, Inc. ................... 19,650 1,043,906
#Conrail, Inc. ................... 6,300 612,675
Consolidated Edison Co. of
New York, Inc. .................. 19,000 551,000
Consolidated Freightways, Inc. .. 3,600 86,850
Consolidated Natural Gas Co. .... 7,700 439,863
Cooper Industries, Inc. ......... 8,700 361,050
Cooper Tire & Rubber Co. ........ 6,800 139,400
Coors (Adolph) Co. Class B ...... 3,100 61,225
Corestates Financial Corp. ...... 18,000 969,750
Corning, Inc. ................... 18,600 753,300
Crane Co. ....................... 2,400 112,200
Crown Cork & Seal Co., Inc. ..... 10,300 545,900
Cummins Engine Co., Inc. ........ 3,200 144,800
#Cyprus Amax Minerals Co., Inc. .. 7,550 186,863
*DSC Communications Corp. ........ 9,400 169,788
DTE Energy Co. .................. 11,700 374,400
Dana Corp. ...................... 8,200 255,225
Darden Restaurants, Inc. ........ 12,700 109,538
*Data General Corp. .............. 3,200 46,800
Dayton-Hudson Corp. ............. 17,400 676,425
Dean Witter, Discover & Co. ..... 13,277 907,815
Deere & Co. ..................... 20,800 928,200
*Dell Computer Corp. ............. 7,300 742,319
Delta Air Lines, Inc. ........... 6,400 481,600
Deluxe Corp. .................... 6,700 207,700
*#Digital Equipment Corp. ......... 12,600 463,050
Dillard Department Stores, Inc.
Class A ......................... 9,200 281,750
Disney (Walt) Co. ............... 54,800 4,041,500
Dominion Resources, Inc. VA ..... 14,400 549,000
Donnelley (R.R.) & Sons Co. ..... 12,400 415,400
Dover Corp. ..................... 9,200 491,050
Dow Chemical Co. ................ 19,800 1,658,250
Dow Jones & Co., Inc. ........... 7,800 271,050
Dresser Industries, Inc. ........ 14,400 471,600
DuPont (E.I.) de Nemours & Co. .. 45,300 4,269,525
Duke Power Co. .................. 16,400 760,550
Dun & Bradstreet Corp. .......... 13,700 309,963
E G & G, Inc. ................... 3,800 69,350
*EMC Corp. MA .................... 18,700 603,075
Eastern Enterprises ............. 1,700 63,750
Eastman Chemical Co. ............ 6,350 362,744
Eastman Kodak Co. ............... 27,200 2,203,200
Eaton Corp. ..................... 6,300 436,275
Echlin, Inc. .................... 5,000 168,125
Echo Bay Mines, Ltd. ............ 11,200 69,300
Ecolab, Inc. .................... 5,200 202,150
Edison International ............ 35,400 703,575
Emerson Electric Co. ............ 18,100 1,776,063
Engelhard Corp. ................. 11,574 225,693
Enron Corp. ..................... 20,500 937,875
Enserch Corp. ................... 5,600 130,900
Entergy Corp. ................... 18,400 499,100
Exxon Corp. ..................... 100,200 9,481,425
*FMC Corp. ....................... 3,100 239,475
FPL Group, Inc. ................. 14,800 682,650
*Federal Express Corp. ........... 9,200 407,100
<PAGE>
Shares Value+
------ ------
Federal Home Loan Mortgage Corp. 14,400 $ 1,645,200
Federal National Mortgage
Association ..................... 88,200 3,638,250
*#Federated Department Stores, Inc. 16,800 573,300
Fifth Third Bancorp ............. 8,600 604,150
First Bank System, Inc. ......... 11,400 830,775
First Chicago NBD Corp. ......... 25,593 1,503,589
First Data Corp. ................ 36,100 1,439,488
First Union Corp. ............... 22,240 1,698,580
Fleet Financial Group, Inc. ..... 21,264 1,177,494
Fleetwood Enterprises, Inc. ..... 2,900 88,450
Fleming Companies, Inc. ......... 3,100 50,763
Fluor Corp. ..................... 6,800 462,400
Ford Motor Co. .................. 95,500 3,127,625
Foster Wheeler Corp. ............ 3,250 117,406
Freeport McMoran Copper & Gold,
Inc. Class B .................... 15,800 497,700
*Fruit of The Loom, Inc. Class A . 6,200 220,875
GPU, Inc. ....................... 9,700 326,163
GTE Corp. ....................... 78,200 3,509,225
Gannett Co., Inc. ............... 11,400 894,900
Gap, Inc. ....................... 23,200 745,300
General Dynamics Corp. .......... 5,100 376,125
General Electric Co. ............ 133,300 13,863,182
*General Instrument Corp. ........ 11,080 245,145
General Mills, Inc. ............. 12,800 812,800
General Motors Corp. ............ 61,100 3,520,888
General RE Corp. ................ 6,700 1,130,625
General Signal Corp. ............ 4,000 172,500
Genuine Parts Co. ............... 9,750 438,750
Georgia-Pacific Corp. ........... 7,400 538,350
Giant Food, Inc. Class A ........ 4,800 162,000
Giddings & Lewis, Inc. .......... 2,850 33,131
Gillette Co. .................... 36,000 2,655,000
Golden West Financial Corp. ..... 4,700 317,250
Goodrich (B.F.) Co. ............. 4,400 197,450
Goodyear Tire & Rubber Co. ...... 12,500 606,250
*Grace (W.R.) and Co. ............ 7,100 375,413
Grainger (W.W.), Inc. ........... 4,100 325,950
Great Atlantic & Pacific Tea Co.,
Inc. ............................ 3,100 101,525
Great Lakes Chemical Corp. ...... 5,200 278,850
Great Western Financial Corp. ... 11,100 345,488
Green Tree Financial Corp. ...... 11,100 464,813
*HFS, Inc. ....................... 10,000 647,500
Halliburton Co. ................. 10,100 608,525
Harcourt General, Inc. .......... 5,923 323,544
Harland (John H.) Co. ........... 2,550 78,731
Harnischfeger Industries, Inc. .. 3,876 171,998
*Harrahs Entertainment, Inc. ..... 8,300 147,325
Harris Corp. .................... 3,200 219,200
Hasbro, Inc. .................... 6,950 285,819
Heinz (H.J.) Co. ................ 29,850 1,130,569
Helmerich & Payne, Inc. ......... 2,000 107,500
Hercules, Inc. .................. 8,600 417,100
Hershey Foods Corp. ............. 12,500 623,438
Hewlett-Packard Co. ............. 82,600 4,450,075
Hilton Hotels Corp. ............. 15,800 462,150
Home Depot, Inc. ................ 38,748 2,019,740
Homestake Mining Co. ............ 11,800 178,475
Honeywell, Inc. ................. 10,200 699,975
Household International, Inc. ... 7,800 739,050
Houston Industries, Inc. ........ 20,100 442,200
*Humana, Inc. .................... 13,200 249,150
127
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------- ------
*ITT Corp. ....................... 9,500 $ 438,188
ITT Hartford Group, Inc. ........ 9,500 649,563
ITT Industries, Inc. ............ 9,500 222,063
Illinois Tool Works, Inc. ....... 9,900 848,925
Inco, Ltd. ...................... 13,600 474,300
Ingersoll-Rand Co. .............. 8,800 409,200
Inland Steel Industries, Inc. ... 3,900 72,638
Intel Corp. ..................... 66,400 8,420,333
*Intergraph Corp. ................ 3,800 34,438
International Business Machines
Corp. ........................... 42,600 6,789,375
International Flavors &
Fragrances, Inc. ............... 8,900 404,950
International Paper Co. ......... 24,200 1,028,500
Interpublic Group of Companies,
Inc. ............................ 6,600 326,700
#James River Corp. of Virginia ... 6,900 220,800
Jefferson-Pilot Corp. ........... 5,750 334,938
Johnson & Johnson ............... 107,500 5,710,938
Johnson Controls, Inc. .......... 3,400 263,500
Jostens, Inc. ................... 3,200 68,000
*K Mart Corp. .................... 39,300 437,213
Kaufman & Broad Home Corp. ...... 3,200 41,200
#Kellogg Co. ..................... 17,100 1,160,663
Kerr-McGee Corp. ................ 4,000 280,000
Keycorp ......................... 18,600 974,175
Kimberly Clark Corp. ............ 22,742 2,223,031
*King World Productions, Inc. .... 3,100 118,188
Knight Ridder, Inc. ............. 7,700 323,400
*#Kroger Co. ...................... 10,100 465,863
*LSI Logic Corp. ................. 10,400 313,300
Laidlaw, Inc. Class B Non-Voting 25,300 309,925
Lilly (Eli) & Co. ............... 44,200 3,381,300
Limited, Inc. ................... 21,800 392,400
Lincoln National Corp. .......... 8,400 452,550
Liz Claiborne, Inc. ............. 5,900 250,013
Lockheed Martin Corp. ........... 16,157 1,464,228
Loews Corp. ..................... 9,300 862,575
Longs Drug Stores Corp. ......... 1,700 85,213
Louisiana Land & Exploration Co. 2,800 167,300
Louisiana-Pacific Corp. ......... 8,800 199,100
Lowe's Companies, Inc. .......... 13,900 564,688
Luby's Cafeterias, Inc. ......... 1,950 42,900
*#Lucent Technologies, Inc. ....... 51,390 2,633,738
MBNA Corp. ...................... 17,925 723,722
MCI Communications Corp. ........ 55,600 1,699,275
MGIC Investment Corp. ........... 4,800 359,400
Mallinckrodt, Inc. .............. 6,000 264,000
Manor Care, Inc. ................ 5,100 128,775
Marriott International, Inc. .... 10,300 574,225
Marsh & McLennan Companies, Inc. 5,800 657,575
Masco Corp. ..................... 13,000 474,500
Mattel, Inc. .................... 22,052 680,856
May Department Stores Co. ....... 20,100 979,875
Maytag Corp. .................... 8,200 156,825
McDermott International, Inc. ... 4,400 78,100
McDonalds Corp. ................. 56,400 2,636,700
McDonnell Douglas Corp. ......... 17,400 920,025
McGraw-Hill Companies, Inc. ..... 8,000 364,000
Mead Corp. ...................... 4,300 254,775
Medtronic, Inc. ................. 19,400 1,282,825
Mellon Bank Corp. ............... 10,550 762,238
Mercantile Stores Co., Inc. ..... 3,000 150,750
#Merck & Co., Inc. ............... 98,200 8,150,600
<PAGE>
Shares Value+
------- ------
Meredith Corp. .................. 2,200 $ 113,300
Merrill Lynch & Co., Inc. ....... 13,600 1,091,400
Micron Technology, Inc. ......... 16,800 556,500
*Microsoft Corp. ................. 48,300 7,580,081
Millipore Corp. ................. 3,500 143,063
Minnesota Mining & Manufacturing
Co. ............................. 33,800 2,830,750
Mobil Corp. ..................... 31,800 3,847,800
Monsanto Co. .................... 47,300 1,880,175
Moore Corp., Ltd. ............... 8,100 170,100
#Morgan (J.P.) & Co., Inc. ....... 15,000 1,415,625
Morgan Stanley Group, Inc. ...... 12,300 739,538
Morton International, Inc. ...... 11,500 464,313
Motorola, Inc. .................. 47,900 2,652,463
Nacco Industries, Inc. Class A .. 800 38,200
Nalco Chemical Co. .............. 5,500 209,688
National City Corp. ............. 17,900 830,113
*National Semiconductor Corp. .... 11,200 274,400
National Service Industries, Inc. 3,900 136,500
#NationsBank Corp. ............... 23,571 2,442,545
*Navistar International Corp. .... 6,070 57,665
New York Times Class A .......... 7,900 295,263
Newell Co. ...................... 12,800 396,800
Newmont Mining Corp. ............ 8,015 383,718
*Niagara Mohawk Power Corp. ...... 11,700 102,375
Nicor, Inc. ..................... 4,100 151,188
Nike, Inc. Class B .............. 23,200 1,319,500
Noram Energy Corp. .............. 11,100 172,050
Nordstrom, Inc. ................. 6,600 287,513
Norfolk Southern Corp. .......... 10,200 918,000
#Northern States Power Co. MN .... 5,600 263,900
Northern Telecom, Ltd. .......... 20,800 1,367,600
Northrop Grumman Corp. .......... 4,700 390,688
Norwest Corp. ................... 29,900 1,397,825
*Novell, Inc. .................... 28,500 315,281
Nucor Corp. ..................... 7,100 386,063
Nynex Corp. ..................... 35,400 1,641,675
Occidental Petroleum Corp. ...... 26,100 626,400
Ohio Edison Co. ................. 12,300 282,900
Oneok, Inc. ..................... 2,200 60,500
*Oracle Systems Corp. ............ 52,775 2,592,572
*Oryx Energy Co. ................. 8,500 176,375
Owens Corning ................... 4,200 180,075
PECO Energy Co. ................. 17,900 456,450
PNC Bank Corp. .................. 27,550 1,088,225
PP&L Resources, Inc. ............ 13,000 297,375
PPG Industries, Inc. ............ 15,000 918,750
Paccar, Inc. .................... 3,160 210,930
PacifiCorp ...................... 23,800 499,800
Pacific Enterprises ............. 6,900 211,313
#Pacific Gas & Electric Co. ...... 33,600 810,600
Pacific Telesis Group ........... 34,600 1,280,200
Pall Corp. ...................... 9,366 244,687
Panenergy Corp. ................. 12,200 536,800
Parker-Hannifin Corp. ........... 6,050 245,781
Penney (J.C.) Co., Inc. ......... 18,100 972,875
Pennzoil Co. .................... 3,800 213,750
Peoples Energy Corp. ............ 2,900 105,125
Pep Boys - Manny, Moe & Jack .... 5,100 186,788
Pepsico, Inc. ................... 126,500 3,779,188
Perkin Elmer Corp. .............. 3,500 215,688
Pfizer, Inc. .................... 51,900 4,651,538
Pharmacia & Upjohn, Inc. ........ 40,980 1,582,853
Phelps Dodge Corp. .............. 5,300 384,913
Philip Morris Companies, Inc. ... 66,100 6,816,563
128
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
Shares Value+
------- ------
Phillips Petroleum Co. .......... 21,300 $ 961,163
Pioneer Hi-Bred International,
Inc. ............................ 6,700 467,325
Pitney Bowes, Inc. .............. 12,000 708,000
Placer Dome, Inc. ............... 19,400 458,325
Polaroid Corp. .................. 3,700 157,713
Potlatch Corp. .................. 2,300 101,775
Praxair, Inc. ................... 12,600 612,675
*Price/Costco, Inc. .............. 15,803 368,407
Procter & Gamble Co. ............ 55,316 6,015,615
Providian Corp. ................. 7,600 406,600
#Public Service Enterprise Group,
Inc. ............................ 19,700 563,913
Pulte Corp. ..................... 1,900 58,188
Quaker Oats Co. ................. 10,900 429,188
Ralston Purina Group ............ 8,600 657,900
Raychem Corp. ................... 3,700 315,425
Raytheon Co. .................... 19,100 976,488
Reebok International, Ltd. ...... 4,500 171,000
Republic New York Corp. ......... 4,500 397,125
Reynolds Metals Co. ............. 5,200 309,400
Rite Aid Corp. .................. 6,800 269,450
Rockwell International Corp. .... 17,700 1,137,225
Rohm & Haas Co. ................. 5,300 422,013
Rowan Companies, Inc. ........... 6,900 163,013
Royal Dutch Petroleum Co. ....... 43,200 7,338,600
Rubbermaid, Inc. ................ 12,100 290,400
Russell Corp. ................... 3,100 89,125
*Ryans Family Steak Houses, Inc. . 4,100 28,316
Ryder System, Inc. .............. 6,600 200,475
SBC Communications, Inc. ........ 49,200 2,589,150
Safeco Corp. .................... 10,200 425,850
Safety Kleen Corp. .............. 4,700 74,613
*Saint Jude Medical, Inc. ........ 6,550 274,281
Saint Paul Companies, Inc. ...... 6,800 400,350
#Salomon, Inc. ................... 8,500 387,813
*Santa Fe Energy Resources, Inc. . 7,280 105,560
*Santa Fe Pacific Corp. .......... 10,654 122,521
Sara Lee Corp. .................. 39,200 1,538,600
Schering-Plough Corp. ........... 29,800 2,123,250
Schlumberger, Ltd. .............. 19,800 2,059,200
Scientific-Atlanta, Inc. ........ 6,200 96,100
*Seagate Technology, Inc. ........ 17,000 671,500
#Seagram Co., Ltd. ............... 30,200 1,234,425
Sears, Roebuck & Co. ............ 31,600 1,572,100
Service Corp. International ..... 19,100 575,388
Shared Medical Systems Corp. .... 1,900 94,050
Sherwin-Williams Co. ............ 6,900 391,575
*Shoney's, Inc. .................. 3,900 32,175
Sigma-Aldrich Corp. ............. 4,100 257,275
*Silicon Graphics, Inc. .......... 13,900 276,263
Snap-On, Inc. ................... 4,900 177,625
Sonat, Inc. ..................... 7,000 362,250
Southern Co. .................... 54,400 1,210,400
Southwest Airlines Co. .......... 11,700 289,575
Springs Industries, Inc. Class A 1,750 81,375
Sprint Corp. .................... 34,700 1,453,063
Stanley Works ................... 7,200 212,400
Stone Container Corp. ........... 8,000 123,000
Stride Rite Corp. ............... 4,000 40,000
Sun Company, Inc. ............... 6,000 150,000
*Sun Microsystems ................ 14,820 862,339
Suntrust Banks, Inc. ............ 18,000 913,500
Supervalu, Inc. ................. 5,500 162,938
Sysco Corp. ..................... 14,700 501,638
TJX Companies, Inc. ............. 5,900 266,238
<PAGE>
Shares Value+
------- ------
TRW, Inc. ....................... 5,300 $ 516,088
*Tandem Computers, Inc. .......... 9,500 129,438
Tandy Corp. ..................... 4,815 202,832
Tektronix, Inc. ................. 2,700 131,625
*Tele-Communications, Inc. Class A 52,700 714,744
*Tellabs, Inc. ................... 14,400 575,100
Temple-Inland, Inc. ............. 4,500 241,875
*Tenet Healthcare Corp. .......... 17,400 389,325
Tenneco, Inc. ................... 13,800 703,800
Texaco, Inc. .................... 21,400 2,121,275
Texas Instruments, Inc. ......... 15,300 975,375
Texas Utilities Co. ............. 18,100 714,950
Textron, Inc. ................... 6,600 629,475
Thomas & Betts Corp. ............ 3,300 149,325
*#Three COM Corp. ................. 13,600 1,023,400
#Time Warner, Inc. ............... 45,960 1,872,870
Times Mirror Co. Class A ........ 8,400 439,950
Timken Co. ...................... 2,600 118,625
Torchmark Corp. ................. 5,850 304,200
*Toys 'R' Us, Inc. ............... 22,100 762,450
Transamerica Corp. .............. 5,400 428,625
Travelers Group, Inc. ........... 51,796 2,330,822
Tribune Co. ..................... 5,000 432,500
Trinova Corp. ................... 2,300 83,950
Tupperware Corp. ................ 5,000 265,000
Tyco International, Ltd. ........ 12,300 673,425
UNUM Corp. ...................... 6,000 426,750
US Bancorp ...................... 12,500 535,938
US West, Inc. ................... 38,500 1,203,125
*US West, Inc. Media Group Class . 50,400 963,900
*USAir Group, Inc. ............... 5,200 120,900
USF&G Corp. ..................... 9,500 190,000
USLIFE Corp. .................... 2,825 87,222
UST, Inc. ....................... 15,200 495,900
USX-Marathon Group, Inc. ........ 23,200 530,700
USX-US Steel Group .............. 6,820 205,453
Unicom Corp., Inc. .............. 17,400 463,275
Unilever NV ..................... 12,900 2,233,313
Union Camp Corp. ................ 5,600 275,100
Union Carbide Corp. ............. 10,500 484,313
Union Electric Co. .............. 8,200 325,950
Union Pacific Corp. ............. 19,700 1,147,525
*#Union Pacific Resources Group,
Inc. ............................ 20,076 599,771
*Unisys Corp. .................... 14,000 106,750
United Healthcare Corp. ......... 14,800 638,250
United States Surgical Corp. .... 5,100 204,638
United Technologies Corp. ....... 9,800 1,374,450
Unocal Corp. .................... 20,000 815,000
VF Corp. ........................ 5,200 352,950
*Viacom, Inc. Class B ............ 28,834 1,088,484
WMX Technologies, Inc. .......... 39,600 1,425,600
Wachovia Corp. .................. 13,500 810,000
Wal-Mart Stores, Inc. ........... 185,200 4,722,600
Walgreen Co. .................... 19,900 830,825
Warner-Lambert Co. .............. 21,900 1,565,850
Wells Fargo & Co. ............... 7,599 2,162,865
Wendy's International, Inc. ..... 10,400 222,300
*Western Atlas, Inc. ............. 4,400 310,200
#Westinghouse Electric Corp. ..... 34,000 637,500
Westvaco Corp. .................. 8,250 233,063
Weyerhaeuser Co. ................ 16,000 736,000
Whirlpool Corp. ................. 6,000 300,000
Whitman Corp. ................... 8,500 195,500
Williamette Industries, Inc. .... 4,500 304,875
129
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
Shares Value+
------- ------
Williams Companies, Inc. .......................... 8,457 $ 474,649
Winn-Dixie Stores, Inc. ........................... 12,200 410,225
*Woolworth Corp. ................................... 10,700 256,800
*#Worldcom, Inc. .................................... 31,320 726,233
Worthington Industries, Inc. ...................... 7,375 147,039
Wrigley (Wm.) Jr. Co. ............................. 9,400 548,725
Xerox Corp. ....................................... 26,200 1,287,075
--------------
TOTAL COMMON STOCKS (Cost $317,115,248) ............. 464,364,945
--------------
Face
Amount
--------
(000)
TEMPORARY CASH INVESTMENTS - (0.6%)
Repurchase Agreement, PNC Securities Corp. 5.45%,
12/02/96 (Collateralized by U.S. Treasury Bills
4.93%, 01/16/97) (Cost $2,599,000) ............... $ 2,599 2,599,000
--------------
TOTAL INVESTMENTS - (100.1%) (Cost $319,714,248) .... 466,963,945
--------------
OTHER ASSETS AND LIABILITIES - (-0.1%)
Other Assets ........................................ 1,553,594
Payable for Investment Securities Purchased ......... (2,008,214)
Other Liabilities ................................... (68,292)
--------------
(522,912)
--------------
NET ASSETS - (100.0%) ............................... $466,441,033
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
130
<PAGE>
SCHEDULE OF INVESTMENTS
THE ENHANCED U.S. LARGE COMPANY SERIES
NOVEMBER 30, 1996
Face
Amount@ Value+
--------- ------
(000)
UNITED STATES -- (52.9%)
COMMERCIAL PAPER -- (42.7%)
Barclays U.S. Funding Corp. C.P.
5.300%, 01/10/97 ................ 360 $ 357,880
Barton Capital Corp. C.P.
5.310%, 01/10/97 ................ 1,025 1,018,963
Beta Finance, Inc. C.P.
5.480%, 12/06/96 ................ 125 124,926
5.300%, 02/03/97 ................ 310 306,903
Ciesco L.P. C.P.
5.280%, 01/14/97 ................ 1,000 993,547
Commerzbank, N.Y. C.P.
5.310%, 01/03/97 ................ 470 467,712
Corporate Asset Funding Corp. C.P.
5.400%, 12/17/96 ................ 930 927,904
Glaxo Wellcome P.L.C. C.P.
5.430%, 12/09/96 ................ 760 759,214
Hahn Issuing Corp. C.P.
5.290%, 12/10/96 ................ 1,495 1,493,023
Michelin Tire Corp. C.P.
5.300%, 12/20/96 ................ 1,230 1,226,188
Sheffield Receivables Corp. C.P.
5.320%, 01/17/97 ................ 1,170 1,161,874
Siemens Corp. C.P.
5.300%, 01/07/97 ................ 960 954,749
Stanley Works C.P.
5.260%, 12/16/96 ................ 1,070 1,067,736
USAA Capital Corp. C.P.
5.320%, 01/16/97 ................ 460 456,873
Union Bank of Switzerland C.P.
5.900%, 12/02/96 ................ 790 789,871
-----------
TOTAL COMMERCIAL PAPER
(Cost $12,107,551) ............... 12,107,363
-----------
BONDS -- (5.8%)
Chubu Electric Power Corp., Inc.
8.250%, 09/25/98 ................ 1,000 1,040,300
Pitney Bowes Credit Medium Term
Notes
6.305%, 09/23/98 ................ 600 604,877
-----------
TOTAL BONDS (Cost $1,637,566) ..... 1,645,177
-----------
U.S. TREASURY OBLIGATIONS -- (3.5%)
U.S. Treasury Bills
**5.170%, 05/01/97 .............. 15 14,686
**5.190%, 05/01/97 .............. 30 29,372
**5.210%, 05/01/97 .............. 205 200,704
**5.350%, 05/01/97 .............. 15 14,686
**5.400%, 05/01/97 .............. 15 14,686
**5.410%, 05/01/97 .............. 15 14,686
**5.420%, 05/01/97 .............. 15 14,686
**5.450%, 05/01/97 .............. 165 161,542
**5.475%, 05/01/97 .............. 510 499,308
**5.590%, 05/01/97 .............. 15 14,686
-----------
<PAGE>
Shares Value+
------- ------
TOTAL U.S. TREASURY
OBLIGATIONS (Cost $977,357) ...... $ 979,042
-----------
COMMON STOCKS -- (0.9%)
Standard & Poors Depository
Receipt (Cost $258,136) .......... 3,500 265,727
-----------
TOTAL -- UNITED STATES
(Cost $14,980,610) ............... 14,997,309
-----------
Face
Amount@
---------
(000)
CANADA -- (27.0%)
BONDS -- (27.0%)
Bayerische Landesbank
Girozentrale
8.375%, 11/23/98 ................ 1,000 801,261
British Columbia (Province of)
10.000%, 10/09/98 ............... 1,000 820,912
Canada (Government of)
8.000%, 11/01/98 ................ 1,000 798,591
General Electric Capital Corp.
Series B & C Euro Medium Term
Notes
6.375%, 11/09/98 ................ 1,000 772,340
Kellogg Co.
6.250%, 10/12/98 ................ 1,000 770,857
Minnesota Mining & Manufacturing
Co.
6.500%, 10/15/98 ................ 1,000 774,564
Nippon Telegraph & Telephone Corp.
7.250%, 06/25/98 ................ 1,000 778,643
Norway (Kingdom of)
7.250%, 10/22/98 ................ 1,000 784,205
Ontario (Province of)
10.625%, 07/15/98 ............... 700 573,341
World Bank (International Bank for
Reconstruction and Development)
6.250%, 10/15/98 ................ 1,000 770,855
-----------
TOTAL BONDS (Cost $7,597,073) ..... 7,645,569
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars (Cost $20,471) . 20,350
-----------
TOTAL -- CANADA
(Cost $7,617,544) ................ 7,665,919
-----------
FRANCE -- (5.5%)
BONDS -- (5.5%)
European Investment Bank
6.750%, 05/14/98 ................ 3,000 598,219
France (Republic of)
4.500%, 10/12/98 ................ 5,000 969,833
-----------
TOTAL BONDS (Cost $1,592,018) ..... 1,568,052
-----------
131
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
CONTINUED
Face
Amount@ Value+
-------- ------
(000)
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost ($345) ...... $ 341
-----------
TOTAL -- FRANCE
(Cost $1,592,363) ................ 1,568,393
-----------
GERMANY -- (4.8%)
BONDS -- (4.8%)
ABN-Amro Bank N.V.
6.250%, 06/23/98 ................ 1,000 678,815
Treuhandanstalt
6.125%, 06/25/98 ................ 1,000 675,366
-----------
TOTAL BONDS (Cost $1,353,215) ..... 1,354,181
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $43) ......... 41
-----------
TOTAL -- GERMANY
(Cost $1,353,258) ................ 1,354,222
-----------
NETHERLANDS -- (4.3%)
BONDS -- (4.3%)
Netherlands (Kingdom of)
6.250%, 07/15/98 ................ 1,000 603,828
Sara Lee Corp.
6.500%, 05/15/98 ................ 1,000 603,248
-----------
TOTAL BONDS (Cost $1,220,278) ..... 1,207,076
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $106) . 102
-----------
TOTAL -- NETHERLANDS
(Cost $1,220,384) ................ 1,207,178
-----------
UNITED KINGDOM -- (3.0%)
BONDS -- (3.0%)
KFW International Finance, Inc.
(Cost $790,104)
7.875%, 07/06/98 ................ 500 850,754
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost
$110) ............................ 118
-----------
TOTAL -- UNITED KINGDOM
(Cost $790,214) .................. 850,872
-----------
JAPAN -- (2.5%)
BONDS -- (2.5%)
Deutsche Bank Finance NV
(Cost $720,192)
4.375%, 07/16/98 ................ 75,000 697,276
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $24) ......... 23
-----------
TOTAL -- JAPAN (Cost $720,216) .... 697,299
-----------
TOTAL INVESTMENTS -- (100%)
(Cost $28,274,589) ................ $28,341,192
===========
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
@ Denominated in Local Currency
** Face amount of securities pledged as margin requirement for open futures
contracts.
See accompanying Notes to Financial Statements
132
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
THE ENHANCED U.S. LARGE COMPANY SERIES
NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
ASSETS:
Investments at Value ................................... $ 28,341
Cash ................................................... 20
Receivables
Interest .......................................... 238
Investment Securities Sold ........................ 815
Futures Variation Margin .......................... 81
Swap Contract ..................................... 380
Unrealized Gain on Foreign Forward Currency Contracts .. 173
Prepaid Expenses and Other Assets ...................... 16
-----------
Total Assets ................................. 30,064
-----------
LIABILITIES:
Payable for Investment Securities Purchased ............ 835
Payable for Fund Shares Redeemed ....................... 7
Accrued Expenses and Other Liabilities ................. 9
-----------
Total Liabilities ....................... 851
-----------
NET ASSETS ............................................. $ 29,213
===========
SHARES OUTSTANDING $.01 PAR VALUE
(Unlimited Number of Shares Authorized) .............. 2,484,528
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE. $ 11.76
===========
Investments at Cost .................................... $ 28,275
===========
See accompanying Notes to Financial Statements
133
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. SMALL CAP VALUE SERIES
NOVEMBER 30, 1996
Shares Value+
--------- ----------
COMMON STOCKS - (98.7%) ..............
AAR Corp. .......................... 155,400 $4,642,575
*ACX Technologies, Inc. ............. 212,400 3,876,300
*AEP Industries, Inc. ............... 25,150 1,273,219
*AG Services America, Inc. .......... 2,900 39,694
*AM International, Inc. ............. 20,000 90,000
APL, Ltd. .......................... 21,400 513,600
*AST Research, Inc. ................. 353,506 1,557,636
*#Aasche Transportation Services,
Inc. ............................... 27,200 100,300
Abington Savings Bank MA ........... 15,500 312,906
Abrams Industries, Inc. ............ 10,000 48,125
*Abraxas Petroleum Corp. ............ 55,000 426,250
*Accell International Corp. ......... 44,500 130,719
*Acceptance Insurance Companies,
Inc. ............................... 98,700 2,023,350
*Access Beyond, Inc. ................ 30,400 243,200
Aceto Corp. ........................ 36,740 505,175
*Acme Metals, Inc. .................. 77,600 1,610,200
*Acme United Corp. .................. 8,700 38,063
*Adage, Inc. ........................ 38,054 143,892
*Adam Software, Inc. ................ 3,000 8,438
*Addington Resources, Inc. .......... 3,000 89,250
*Adflex Solutions, Inc. ............. 7,300 77,563
*Advanced Logic Research, Inc. ...... 81,200 984,550
*Advanced Marketing Services, Inc. .. 35,500 363,875
*Advanced Technology Labs, Inc. ..... 100,827 2,898,776
Advantage Bancorp, Inc. ............ 25,725 826,416
*Advest Group, Inc. ................. 57,300 601,650
*Aequitron Medical, Inc. ............ 15,400 151,113
*Aeroflex, Inc. ..................... 81,200 365,400
*Aerosonic Corp. DE ................. 9,200 31,050
*Aerovox, Inc. ...................... 39,100 219,938
Affiliated Community Bancorp ....... 6,800 153,425
*Air & Water Technologies Corp.
Class A ............................ 1,200 7,425
*Air Methods Corp. .................. 53,200 114,713
Airborne Freight Corp. ............. 199,600 4,291,400
*Airways Corp. ...................... 14,600 54,750
*Alamco, Inc. ....................... 31,100 357,650
*#Alaska Air Group, Inc. ............. 95,000 2,291,875
*Alba-Waldensian, Inc. .............. 4,700 27,025
Albank Financial Corp. ............. 85,080 2,786,370
*Aldila, Inc. ....................... 115,300 518,850
Alfa Corp. ......................... 16,900 196,463
*Alkermes, Inc. ..................... 78,000 1,111,500
*Alliance Semiconductor Corp. ....... 85,700 685,600
Allied Group, Inc. ................. 33,000 1,456,125
Allied Healthcare Products, Inc. ... 16,800 115,500
*Allied Holdings, Inc. .............. 44,300 359,938
Allied Life Financial Corp. ........ 31,600 553,000
Allied Products Corp. .............. 18,400 439,300
*Allied Research Corp. .............. 49,500 266,063
*Allou Health & Beauty Care, Inc.
Class A ............................ 43,200 283,500
*Allstate Financial Corp. ........... 20,900 138,463
*Allwaste, Inc. ..................... 264,900 1,158,938
*Aloette Cosmetics, Inc. ............ 17,300 50,819
*Alpha Industries, Inc. ............. 87,200 686,700
*Alpha Microsystems, Inc. ........... 19,400 32,434
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Alpha Technologies Group, Inc. ..... 3,200 $ 14,800
Alpharma, Inc. Class A ............. 35,800 456,450
Amcast Industrial Corp. ............ 65,100 1,537,988
Amcore Financial, Inc. ............. 37,900 852,750
*America Services Group, Inc. ....... 18,000 194,625
*America West Airlines, Inc. Class B 167,500 2,449,688
American Annuity Group, Inc. ....... 49,850 660,513
American Bank of Connecticut ....... 100 2,925
*American Banknote Corp. ............ 123,900 604,013
American Biltrite, Inc. ............ 17,600 360,800
*American Classic Voyages Co. ....... 1,100 10,106
American Eagle Group, Inc. ......... 75,600 302,400
*American Ecology Corp. ............. 51,900 53,522
*American Exploration Co. ........... 77,700 1,252,913
*American Freightways Corp. ......... 472,000 4,926,500
American Heritage Life Investment
Corp. .............................. 124,300 2,804,519
American Indemnity Financial Corp. . 14,200 144,663
*American Media, Inc. Class A ....... 106,500 612,375
American Medical Electronics, Inc.
(Escrow-Bonus) ...................... 20,800 0
American Medical Electronics, Inc.
(Escrow-Earnings) ................... 20,800 0
*American Mobile Satellite Corp. .... 161,000 1,982,313
*American Oilfield Divers, Inc. ..... 41,800 538,175
*American Pacific Corp. ............. 65,100 447,563
*American Physicians Services Group,
Inc. ............................... 19,500 117,000
American Recreation Centers, Inc. .. 32,800 166,050
*American Software, Inc. Class A .... 122,100 724,969
*American Technical Ceramics Corp. . 23,800 142,800
*American Travellers Corp. .......... 123,600 4,356,900
American Vanguard Corp. ............ 7,040 49,720
*American Waste Services, Inc.
Class A ............................ 175,300 372,513
American Woodmark Corp. ............ 35,010 385,110
Americana Bancorp, Inc. ............ 23,300 366,974
*Ameriwood Industries International
Corp. .............................. 29,900 278,444
Ameron, Inc. ....................... 28,200 1,360,650
*Ames Department Stores, Inc. ....... 82,900 404,138
*Amistar Corp. ...................... 17,200 58,050
Ampco-Pittsburgh Corp. ............. 103,100 1,430,513
*Amrep Corp. ........................ 74,992 365,586
*Amresco, Inc. ...................... 10,000 216,250
*Amtech Corp. ....................... 143,700 1,086,731
*Amtran, Inc. ....................... 102,900 746,025
Amvestors Financial Corp. .......... 99,848 1,435,315
Amwest Insurance Group, Inc. ....... 28,050 352,378
Analogic Corp. ..................... 79,500 2,186,250
Analysis & Technology, Inc. ........ 19,200 277,200
*Anaren Microwave, Inc. ............. 35,800 219,275
Anchor Bancorp Wisconsin, Inc. ..... 29,925 1,054,856
Andover Bancorp, Inc. DE ........... 35,760 958,815
Angelica Corp. ..................... 85,200 1,640,100
*#Ann Taylor Stores Corp. ............ 223,400 4,523,850
*Antec Corp. ........................ 22,000 211,750
*Anuhco, Inc. ....................... 53,700 456,450
*Apertus Technologies, Inc. ......... 34,900 107,972
134
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Apogee, Inc. ....................... 12,000 $ 68,250
*Applied Extrusion Technologies,
Inc. ............................... 67,900 636,563
*Applied Signal Technologies, Inc. .. 58,900 268,731
*Arbatax International, Inc. ........ 6,000 40,500
*Arch Communications Group, Inc. .... 220,400 2,424,400
*Arden Industrial Products, Inc. .... 49,200 255,225
Arkansas Best Corp. ................ 219,000 1,108,688
*Armco, Inc. ........................ 225,000 1,012,500
*Arrow Automotive Industries, Inc. .. 21,600 89,100
Arrow Financial Corp. .............. 5,234 125,289
*Artistic Greetings, Inc. ........... 40,600 190,313
Arvin Industries, Inc. ............. 153,000 3,633,750
*Aseco Corp. ........................ 16,500 158,813
Ashland Coal, Inc. ................. 93,000 2,394,750
*Astec Industries, Inc. ............. 67,100 595,513
Astoria Financial Corp. ............ 148,000 5,568,500
Astro-Med, Inc. .................... 40,675 350,822
*Astronics Corp. .................... 20,625 99,258
*Astrosystems, Inc. ................. 31,600 175,775
*Astrotech International Corp. ...... 66,000 342,375
*Asyst Technologies, Inc. ........... 17,200 337,550
*Athey Products Corp. ............... 7,140 31,907
*Atkinson (Guy F.) of California .... 62,100 632,644
*Atlantic Gulf Communities Corp. .... 102,200 447,125
*Atlantic Tele-Network, Inc. ........ 66,200 1,270,213
*Atlantis Plastics, Inc. ............ 40,800 351,900
Atrion Corp. ....................... 11,100 289,988
*Atwood Oceanics, Inc. .............. 38,800 2,163,100
*Au Bon Pain, Inc. Class A .......... 70,300 540,431
*#Audiovox Corp. Class A ............. 60,800 319,200
Augat, Inc. ........................ 149,300 4,217,725
*Autoinfo, Inc. ..................... 51,100 143,719
*Autologic Information International,
Inc. ............................... 7,100 42,600
*Avatar Holdings, Inc. .............. 22,400 705,600
Aviall, Inc. ....................... 152,500 1,505,938
*Avondale Industries, Inc. .......... 92,800 1,618,200
*Aydin Corp. ........................ 51,200 460,800
*Aztar Corp. ........................ 354,300 2,568,675
Aztec Manufacturing Co. ............ 45,000 320,625
*BEC Group, Inc. .................... 8,380 39,805
BEI Electronics, Inc. .............. 46,100 504,219
*BF Enterprises, Inc. ............... 2,300 15,238
BHC Financial, Inc. ................ 60,800 972,800
*BI, Inc. ........................... 21,100 145,063
*BMC West Corp. ..................... 64,300 771,600
BMJ Financial Corp. ................ 6,900 170,775
*BPI Packaging Technologies, Inc. ... 78,200 183,281
*BRC Holdings, Inc. ................. 11,100 453,713
BSB Bancorp, Inc. .................. 69,800 1,867,150
BT Financial Corp. ................. 26,284 988,936
*BWAY Corp. ......................... 50,800 917,575
*Back Bay Restaurant Group, Inc. .... 22,600 67,800
Badger Meter, Inc. ................. 10,600 414,725
Badger Paper Mills, Inc. ........... 10,400 115,050
Bairnco Corp. ...................... 65,500 409,375
Baker (J.), Inc. ................... 155,818 964,124
*Baker (Michael) Corp. .............. 60,800 387,600
Baldwin & Lyons, Inc. Class B ...... 1,600 28,700
*Baldwin Piano & Organ Co. .......... 27,000 347,625
*Baldwin Technology, Inc. Class A ... 108,100 283,763
Ball Corp. ......................... 12,000 294,000
*Bally Entertainment Corp. .......... 95,400 2,778,525
*Bally Total Fitness Holding Corp. .. 48,175 270,984
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Baltek Corp. ....................... 4,500 $ 34,313
*BancTec, Inc. ...................... 70,357 1,398,345
*Bancinsurance Corp. ................ 11,300 44,494
Bancorp Connecticut, Inc. .......... 10,900 247,975
*Bank United Financial Corp.
Class A ............................ 19,900 180,344
BankAtlantic Bancorp, Inc. ......... 77,931 1,008,232
BankAtlantic Bancorp, Inc. Class A . 19,482 252,048
BankNorth Group, Inc. DE ........... 24,200 934,725
Bankers Corp. ...................... 87,940 1,703,838
*Banner Aerospace, Inc. ............. 157,400 1,318,225
*Barry (R.G.) Corp. ................. 18,000 200,250
*Basin Exploration, Inc. ............ 78,600 486,338
Bassett Furniture Industries, Inc. . 90,250 2,047,547
*Bay Networks, Inc. ................. 13,631 364,629
Bay View Capital Corp. ............. 49,000 2,033,500
*Bayou Steel Corp. Class A .......... 76,100 214,031
*Be Aerospace, Inc. ................. 126,100 2,908,181
Bearings, Inc. ..................... 17,100 472,388
*Beazer Homes USA, Inc. ............. 76,200 1,228,725
*Bel Fuse, Inc. ..................... 38,500 486,063
*Belden & Blake Corp. ............... 76,300 1,936,113
*Bell Industries, Inc. .............. 61,135 1,237,984
*Bell Microproducts, Inc. ........... 59,300 466,988
*Bell Sports Corp. .................. 148,500 937,406
*Bellwethwer Exporation Co. ......... 65,600 508,400
*Ben & Jerry's Homemade, Inc.
Class A ............................ 47,700 611,156
*Ben Franklin Retail Stores, Inc. ... 47,331 4,733
*Berlitz International, Inc. ........ 79,100 1,522,675
*Bertuccis, Inc. .................... 62,100 337,669
Bindley Western Industries, Inc. ... 77,800 1,380,950
Binks Manufacturing Co. ............ 30,918 865,704
*Bird Corp. ......................... 18,800 101,050
Birmingham Steel Corp. ............. 214,500 3,780,563
*Biscayne Apparel, Inc. ............. 2,093 1,962
*Black Hawk Gaming &
Development, Inc. .................. 17,400 104,400
Blair Corp. ........................ 77,100 1,513,088
Blessings Corp. .................... 20,000 196,250
*Blowout Entertainment, Inc. ........ 7,554 28,799
*Bluegreen Corp. .................... 138,398 397,894
Bob Evans Farms, Inc. .............. 81,700 1,072,313
*Bombay Co., Inc. ................... 359,100 1,705,725
*Bon-Ton Stores, Inc. ............... 106,900 614,675
*Boomtown, Inc. ..................... 68,600 450,188
*Borland International, Inc. ........ 79,800 645,881
*Borror Corp. ....................... 41,000 184,500
Bowl America, Inc. Class A ......... 35,000 236,250
Bowne & Co., Inc. .................. 112,616 2,759,092
*#Bradlees, Inc. ..................... 62,100 62,100
*Brauns Fashions Corp. .............. 22,200 154,013
Brenton Banks, Inc. ................ 715 18,143
*Brite Voice Systems, Inc. .......... 2,000 29,000
*Brock International, Inc. .......... 12,700 40,481
*Brookstone, Inc. ................... 46,800 482,625
*Brothers Gourmet Coffees, Inc. ..... 94,000 246,750
*Brown & Sharpe Manufacturing Co.
Class A ............................ 50,700 728,813
Brown Group, Inc. .................. 147,200 2,796,800
Brush Wellman, Inc. ................ 127,900 2,142,325
*Buckhead America Corp. ............. 5,700 34,913
*Buffton Corp. ...................... 41,800 95,356
*Builders Transport, Inc. ........... 42,900 128,700
*Bull Run Corp. GA .................. 37,900 85,275
135
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Burlington Coat Factory Warehouse
Corp. .............................. 319,300 $3,831,600
*Burr Brown Corp. ................... 46,200 1,195,425
*Butler International, Inc. ......... 23,200 226,200
*Buttrey Food & Drug Stores Co. ..... 59,600 491,700
CFX Corp. .......................... 50,663 759,945
CML Group, Inc. .................... 296,600 1,186,400
CPB, Inc. .......................... 33,900 1,004,288
CPI Corp. .......................... 100,800 1,713,600
*CSP, Inc. .......................... 29,200 237,250
*CSS Industries, Inc. ............... 17,900 431,838
CTS Corp. .......................... 32,100 1,271,963
CU Bancorp ......................... 46,200 522,638
Cabot Oil & Gas Corp. Class A ...... 109,700 1,947,175
Cadmus Communications Corp. ........ 54,000 894,375
*Calcomp Technology, Inc. ........... 25,200 71,663
*#Caldor Corp. ....................... 111,100 180,538
California Financial Holding Corp. . 38,830 1,130,924
*California Microwave, Inc. ......... 28,300 424,500
Calmat Co. ......................... 182,800 3,336,100
*Calumet Bancorp, Inc. .............. 18,000 605,250
*Cambridge Soundworks, Inc. ......... 20,000 100,000
*Campo Eletronics, Appliances &
Computers, Inc. .................... 43,900 65,850
*Canandaigua Wine Co., Inc.
Class A ............................ 29,300 787,438
*Canisco Resources, Inc. ............ 5,700 27,788
Cape Cod Bank & Trust Co. .......... 11,200 263,900
*Capital Pacific Holdings, Inc. ..... 5,000 12,500
Capital Re Corp. ................... 116,100 4,455,338
Capitol American Financial Corp. ... 113,400 4,110,750
Capitol Bancorp, Ltd. .............. 31,570 509,066
Capsure Holdings Corp. ............. 123,600 1,174,200
Cardinal Health, Inc. .............. 12,062 1,008,685
*Cardinal Realty Services, Inc. ..... 5,400 112,725
*Cardiotech International, Inc. ..... 20,172 50,430
*Care Group, Inc. ................... 71,130 124,478
*Carmike Cinemas, Inc. Class A ...... 42,400 1,155,400
Carnegie Bancorp ................... 5,900 116,525
Carolina First Corp. ............... 22,102 429,608
Carpenter Technology Corp. ......... 117,600 4,174,800
*Carr-Gottstein Foods Co. ........... 100,657 364,882
*Carson Pirie Scott & Co. ........... 97,900 2,533,163
Carter-Wallace, Inc. ............... 237,800 3,715,625
*Carver Corp. WA .................... 12,900 41,119
Cash America International, Inc. ... 200,100 1,575,788
*Casino Magic Corp. ................. 34,600 98,394
*Catalina Lighting, Inc. ............ 85,700 428,500
*Catherines Stores Corp. ............ 53,600 308,200
Cato Corp. Class A ................. 172,700 841,913
*Cayenne Software, Inc. ............. 52,100 229,566
*Celadon Group, Inc. ................ 100,000 1,006,250
*Celebrity, Inc. .................... 42,700 144,113
*Cell Genesys, Inc. ................. 35,500 241,844
*#Cellstar Corp. ..................... 15,200 179,550
Cenfed Financial Corp. ............. 36,520 1,104,730
Cenit Bancorp, Inc. ................ 13,300 525,350
*Centennial Cellular Corp. Class A .. 139,800 1,633,913
Center Banks, Inc. ................. 9,300 155,194
*Centigram Communications Corp. ..... 44,800 632,800
Central & Southern Holding Co. ..... 14,700 144,244
Central Co-Operative Bank
Somerville, MA ..................... 13,200 234,300
Central Reserve Life Corp. ......... 26,600 202,825
*Central Sprinkler Corp. ............ 29,200 543,850
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Central Tractor Farm & Country,
Inc. ............................... 13,000 $ 182,000
*Cephalon, Inc. ..................... 48,600 850,500
*Ceradyne, Inc. ..................... 11,100 81,169
Chaparral Steel Co. ................ 206,400 2,657,400
*Charming Shoppes, Inc. ............. 516,600 2,615,288
*Chart House Enterprises, Inc. ...... 65,500 352,063
Charter Power Systems, Inc. ........ 12,000 322,500
*Check Technology Corp. ............. 7,600 66,500
*Checkers Drive-In Restaurant, Inc. . 100 133
*Chemfab Corp. ...................... 16,050 228,713
*Chempower, Inc. .................... 7,300 40,606
*Cherry Corp. Class A ............... 48,700 541,788
*Cherry Corp. Class B ............... 32,500 345,313
Chesapeake Corp. ................... 18,800 573,400
Chester Valley Bancorp ............. 606 11,666
*Chic by His, Inc. .................. 73,200 347,700
Chicago Rivet & Machine Co. ........ 5,900 184,375
*Children's Discovery Centers of
America, Inc. Class A .............. 55,800 313,875
*Chips & Technologies, Inc. ......... 5,700 119,700
Chittenden Corp. ................... 30,820 780,131
*Chock Full O' Nuts Corp. ........... 107,323 496,369
*Christiana Companies, Inc. ......... 60,000 1,485,000
*#Cincinnati Microwave, Inc. ......... 22,000 18,563
*Cinergi Pictures Entertainment, Inc. 61,700 123,400
*Circon Corp. ....................... 26,500 428,969
*Circuit Systems, Inc. .............. 35,900 166,038
*Citadel Holding Corp. .............. 40,200 108,038
*Citation Computer System, Inc. ..... 11,200 111,300
*Citation Corp. ..................... 66,000 655,875
Citfed Bancorp, Inc. ............... 28,600 1,326,325
Citizens Bancorp MD ................ 99,900 5,756,738
Citizens Banking Corp. ............. 27,100 829,938
City National Corp. ................ 6,600 136,950
*Civic Bancorp ...................... 33,200 346,525
*Clean Harbors, Inc. ................ 66,000 148,500
Cleveland Cliffs, Inc. ............. 131,300 5,810,025
*Cliffs Drilling Co. ................ 28,210 1,459,868
*Coast Distribution System .......... 37,600 148,050
*Coast Savings Financial, Inc. ...... 121,000 4,295,500
Coastal Bancorp, Inc. .............. 35,200 866,800
*Coastal Physician Group, Inc. ...... 161,000 603,750
*Cobra Electronic Corp. ............. 42,400 132,500
Coca Cola Bottling Co.
Consolidated ....................... 9,700 447,413
*Code Alarm, Inc. ................... 23,200 89,900
Coeur d'Alene Mines Corp. ID ....... 54,500 797,063
*Coherent, Inc. ..................... 36,800 1,584,700
*Coho Energy, Inc. .................. 83,700 638,213
Collagen Corp. ..................... 50,300 1,009,144
Collective Bancorp, Inc. ........... 43,600 1,547,800
*Collins Industries, Inc. ........... 12,500 70,703
*Columbia Banking System, Inc. ...... 26,040 410,130
*Columbus Energy Corp. .............. 16,700 175,350
*Comdial Corp. ...................... 62,000 430,125
Commerce Bancorp, Inc. ............. 13,230 383,670
Commercial Bancshares, Inc. ........ 22,900 352,088
Commercial Federal Corp. ........... 52,863 2,557,248
Commercial Intertech Corp. ......... 59,500 617,313
Commercial Metals Co. .............. 102,800 3,276,750
*Communications Central, Inc. ....... 57,200 411,125
Community Bank System, Inc. ........ 26,500 1,036,813
Community Bankshares, Inc. NH ...... 20,500 410,000
Community First Bankshares, Inc. ... 16,700 455,075
136
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Community Psychiatric Centers ...... 345,800 $3,112,200
Computer Data Systems, Inc. ........ 18,700 603,075
*Computer Outsourcing Services, Inc. 21,800 68,125
*Computrac, Inc. .................... 25,900 51,800
*Comshare, Inc. ..................... 14,250 209,297
*Comstock Resources, Inc. ........... 14,000 177,625
*Comtech Telecommunications Corp. .. 19,600 60,638
*Concord Fabrics, Inc. Class A ...... 15,900 95,400
*Cone Mills Corp. NC ................ 180,000 1,507,500
*Conmed Corp. ....................... 961 16,938
*Continental Can, Inc. DE ........... 32,400 449,550
Continental Homes Holding Corp. .... 58,248 1,194,084
*Continental Materials Corp. ........ 2,300 48,875
*Control Data Systems, Inc. ......... 81,800 1,620,663
*Convest Energy Corp. ............... 10,000 60,000
Cooker Restaurant Corp. ............ 150,000 1,668,750
*Cooperative Bankshares, Inc. ....... 10,400 211,900
*Coram Healthcare Corp. ............. 34,300 150,063
Core Industries, Inc. .............. 72,400 1,049,800
*Core, Inc. ......................... 7,400 72,150
*Cornerstone Imaging, Inc. .......... 72,000 639,000
*Corrpro Companies, Inc. ............ 48,800 390,400
*Cortech, Inc. ...................... 71,900 123,578
*Cosmetic Centers, Inc. Class A ..... 18,900 115,763
*Cosmetic Centers, Inc. Class B ..... 15,600 96,525
Courier Corp. ...................... 15,600 212,550
*Cover-All Technologies, Inc. ....... 50,000 60,938
*Craig Corp. ........................ 37,300 536,188
*Criticare Systems, Inc. ............ 49,100 121,216
*Crop Growers Corp. ................. 17,300 120,019
Cross (A.T.) Co. Class A ........... 10,000 110,000
*Crosscomm Corp. .................... 58,500 343,688
*Crown Books Corp. .................. 20,300 208,075
*Crown Central Petroleum Corp.
Class A ............................ 32,000 456,000
*Crown Central Petroleum Corp.
Class B ............................ 41,400 543,375
Crown Crafts, Inc. ................. 78,300 724,275
*Crown Vantage, Inc. ................ 4,820 44,585
*Crown-Andersen, Inc. ............... 10,800 64,800
*Cruise America, Inc. ............... 42,100 228,919
Cubic Corp. ........................ 74,250 1,568,531
*Culbro Corp. ....................... 18,700 1,065,900
Culp, Inc. ......................... 8,100 124,538
Curtiss-Wright Corp. ............... 25,100 1,269,119
*Cyberoptics Corp. .................. 20,800 240,500
*Cybex International, Inc. .......... 42,300 407,138
*Cygne Designs, Inc. ................ 59,100 55,406
*Cyrk, Inc. ......................... 73,000 917,063
*Cytrx Corp. ........................ 14,000 48,563
*D&N Financial Corp. ................ 49,700 767,244
*DBA Systems, Inc. .................. 31,700 190,200
*DII Group, Inc. .................... 43,400 1,068,725
*DIY Home Warehouse, Inc. ........... 300 1,350
*DM Management Co. .................. 32,300 109,013
DS Bancor, Inc. .................... 28,801 1,224,043
*DSP Technology, Inc. ............... 13,600 64,600
DT Industries, Inc. ................ 50,000 1,746,875
*DVI, Inc. .......................... 11,800 153,400
*Dairy Mart Convenience Stores, Inc.
Class A ............................ 9,000 44,438
*Daka International, Inc. ........... 31,300 293,438
*Damark International, Inc. Class A . 56,800 511,200
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Dames & Moore, Inc. ................. 149,300 $2,034,213
Daniel Industries, Inc. ............ 145,700 2,039,800
*Danskin, Inc. ...................... 29,600 75,850
Dart Group Corp. Class A ........... 5,600 544,600
*Data Broadcasting Corp. ............ 33,870 266,726
*Data General Corp. ................. 189,700 2,774,363
*Data I/O Corp. ..................... 35,100 168,919
*Data Race, Inc. .................... 29,800 504,738
*Data Systems & Software, Inc. ...... 49,300 249,581
*Data Translation, Inc. ............. 33,000 371,250
*Dataflex Corp. ..................... 36,500 100,375
*Datakey, Inc. ...................... 19,100 82,369
*Dataram Corp. ...................... 26,600 206,150
*Datascope Corp. .................... 12,000 225,000
*Dataware Technologies, Inc. ........ 47,000 170,375
*Datron Systems, Inc. ............... 19,200 183,600
*Datum, Inc. ........................ 27,000 354,375
*Davco Restaurants, Inc. ............ 42,800 387,875
*Dave and Busters, Inc. ............. 2,140 44,138
*Dawson Geophysical Co. ............. 27,500 254,375
*Daxor Corp. ........................ 32,400 437,400
*DeGeorge Financial Corp. ........... 19,900 27,984
Deb Shops, Inc. .................... 86,800 396,025
*Deckers Outdoor Corp. .............. 65,400 572,250
Decorator Industries, Inc. ......... 13,333 138,330
Defiance, Inc. ..................... 50,200 326,300
*Deflecta-Shield Corp. .............. 32,000 276,000
*Del Electronics Corp. .............. 18,231 160,661
*Delaware Ostego Corp. .............. 1,157 11,715
Delchamps, Inc. .................... 55,100 1,150,213
*Delphi Financial Group, Inc.
Class A ............................ 12,000 339,000
Delta Natural Gas Co., Inc. ........ 6,600 124,575
Delta Woodside Industries, Inc. .... 201,500 1,209,000
*Designs, Inc. ...................... 124,600 837,156
*Detection Systems, Inc. ............ 20,000 366,250
*Detrex Corp. ....................... 2,800 18,200
*Detroit Diesel Corp. ............... 26,800 529,300
*Devcon International Corp. ......... 33,600 220,500
*Devlieg-Bullard, Inc. .............. 5,000 12,031
*Dianon Systems, Inc. ............... 40,000 320,000
*Digital Sound Corp. ................ 25,000 50,781
*Digital Systems International, Inc. 31,100 472,331
Dime Financial Corp. ............... 38,900 695,338
*#Discovery Zone, Inc. ............... 22,400 8,400
*Dixie Yarns, Inc. .................. 77,900 516,088
*Dixon Ticonderoga Co. .............. 21,750 154,969
*Dominion Bridge Corp. .............. 45,000 116,719
Donegal Group, Inc. ................ 27,900 540,563
Donnelly Corp. Class A ............. 62,600 1,345,900
*Dotronix, Inc. ..................... 1,000 1,172
Downey Financial Corp. ............. 142,335 4,092,131
*Dress Barn, Inc. ................... 160,423 2,296,054
*Drug Emporium, Inc. ................ 91,300 370,906
*Drypers Corp. ...................... 49,400 228,475
*Durakon Industries, Inc. ........... 37,900 459,538
Duty Free International, Inc. ...... 51,700 814,275
Dyersburg Corp. .................... 98,200 589,200
Dynamics Corp. of America .......... 38,300 1,091,550
*Dynamics Research Corp. ............ 41,840 410,555
*Dynatech Corp. ..................... 41,800 1,964,600
*E-Z-Em, Inc. Class A ............... 24,800 274,350
*E-Z-Em, Inc. Class B ............... 1,443 15,512
*EA Engineering Science &
Technology, Inc. ................... 43,825 87,650
137
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*ECC International Corp. ............ 38,700 $ 314,438
*ELXSI Corp. ........................ 27,900 146,475
EMC Insurance Group, Inc. .......... 33,600 390,600
*ERO, Inc. .......................... 8,800 58,300
*ESCO Electronics Corp. Trust
Receipts ........................... 92,800 904,800
Eagle Bancshares, Inc. ............. 38,400 571,200
Eagle Financial Corp. .............. 30,837 928,965
*Eagle Food Centers, Inc. ........... 74,300 325,063
*Eagle Hardware & Garden, Inc. ...... 129,400 3,137,950
Eastern Bancorp, Inc. .............. 25,800 577,275
Eastern Co. ........................ 19,600 264,600
Eaton Vance Corp. .................. 64,923 2,791,689
Ecology & Environment, Inc.
Class A ............................ 15,000 141,563
*#Edison Brothers Stores, Inc. ....... 44,500 61,188
*Edisto Resources Corp. ............. 102,200 932,575
*Edo Corp. .......................... 18,600 134,850
*Education Alternatives, Inc. ....... 48,700 206,975
*Educational Insights, Inc. ......... 49,300 123,250
*Egghead, Inc. ...................... 130,500 807,469
Ekco Group, Inc. ................... 214,300 723,263
*El Chico Restaurants, Inc. ......... 40,900 316,975
Elcor Corp. ........................ 15,700 333,625
Eldorado Bancorp CA ................ 16,910 348,769
*Electro Rent Corp. ................. 39,000 916,500
*Electro Scientific Industries, Inc. 51,700 1,266,650
*Electroglas, Inc. .................. 147,500 2,581,250
*Electromagnetic Sciences, Inc. ..... 66,350 1,368,469
*Electronic Fab Technology, Inc. .... 27,400 94,188
*#Elek-Tek, Inc. ..................... 42,400 193,450
*Emcon .............................. 86,700 335,963
*Emisphere Technologies, Inc. ....... 17,000 263,500
*Empire of Carolina, Inc. ........... 17,550 114,075
*Emulex Corp. ....................... 11,750 196,813
Energen Corp. ...................... 116,300 3,154,638
Engineered Support Systems, Inc. ... 24,500 255,719
Engle Homes, Inc. .................. 53,800 443,850
Enhance Financial Services Group,
Inc. ............................... 141,100 4,832,675
*Ensys Environmental Products, Inc. . 45,000 84,375
*Environmental Elements Corp. ....... 30,300 75,750
*Enviroq Corp. ...................... 2,420 3,479
*Envirotest Systems Corp. Class A ... 98,100 223,791
*Equinox Systems, Inc. .............. 21,000 245,438
*Equitex, Inc. ...................... 9,400 22,325
*Equitrac Corp. ..................... 23,700 248,850
*Equity Oil Co. ..................... 122,000 400,313
Espey Manufacturing & Electronics
Corp. .............................. 3,500 59,063
*Esterline Technologies Corp. ....... 43,400 1,101,275
Ethan Allen Interiors, Inc. ........ 100,000 3,325,000
*Evans & Sutherland Computer Corp. . 59,800 1,517,425
*Evans Systems, Inc. ................ 19,700 98,500
*Evans, Inc. ........................ 20,800 40,300
Evergreen Bancorp, Inc. DE ......... 62,800 1,008,725
*Evergreen Resources, Inc. .......... 39,000 255,938
*Exabyte Corp. ...................... 400 5,825
*Exar Corp. ......................... 63,500 1,004,094
Excel Industries, Inc. ............. 85,900 1,288,500
*Executone Information Systems, Inc. 78,600 203,869
Exide Corp. ........................ 145,000 3,697,500
*Exide Electronics Group, Inc. ...... 146,000 1,587,750
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Express America Holdings Corp. ..... 33,600 $ 218,400
*Ezcorp, Inc. Class A Non-Voting .... 51,500 395,906
FCB Financial Corp. ................ 16,000 304,000
FDP Corp. .......................... 7,000 98,875
FFLC Bancorp ....................... 18,600 369,675
FFY Financial Corp. ................ 35,400 909,338
*FM Properties, Inc. ................ 9,600 28,200
*FNB Rochester Corp. ................ 26,000 320,125
*FPA Corp. .......................... 20,100 21,356
*FSI International, Inc. ............ 87,500 1,274,219
*FTP Software, Inc. ................. 12,000 94,500
Fab Industries, Inc. ............... 41,081 1,098,917
*Fabri-Centers of America, Inc.
Class A ............................ 35,700 553,350
*Fabri-Centers of America, Inc.
Class B ............................ 35,700 522,113
*Failure Group, Inc. ................ 59,100 347,213
*Fairchild Corp. Class A ............ 90,900 1,511,213
*#Fairfield Communities, Inc. ........ 66,300 1,624,350
Family Bancorp ..................... 27,550 967,694
*Fansteel, Inc. ..................... 74,700 494,888
*Farah, Inc. ........................ 69,000 457,125
Farmer Brothers Co. ................ 84 12,726
*Farr Co. ........................... 23,200 406,000
Farrel Corp. ....................... 40,800 117,300
Federal Screw Works ................ 2,000 56,500
*Fibreboard Corp. ................... 20,200 699,425
Fidelity Bancorp, Inc. Delaware .... 23,600 402,675
*Fieldcrest Cannon, Inc. ............ 104,600 1,503,625
*Fifty-Off Stores, Inc. ............. 42,600 7,322
*Figgie International, Inc. Class B . 17,700 202,444
*Filenes Basement Corp. ............. 196,900 966,041
First Albany Companies, Inc. ....... 26,183 242,193
*First Alert, Inc. .................. 59,900 235,856
First American Financial Corp. ..... 90,800 3,325,550
*First Cash, Inc. ................... 27,600 146,625
First Central Financial Corp. ...... 49,600 189,100
First Citizens Bancshares, Inc. NC . 30,400 2,416,800
*First Citizens Financial Corp. ..... 20,716 385,836
First Defiance Financial Corp. ..... 22,700 278,075
First Essex Bancorp ................ 42,800 593,850
First Federal Capital Corp. ........ 43,740 1,027,890
First Federal Savings & Loan
Association of East Hartford, CT ... 17,600 404,800
First Financial Corp. WI ........... 12,000 356,250
First Financial Corp. of Western
Maryland ........................... 15,000 478,125
First Financial Holdings, Inc. ..... 42,700 1,008,788
First Indiana Corp. ................ 37,618 959,259
First Liberty Financial Corp. ...... 47,850 998,869
*First Merchants Acceptance Corp. ... 24,000 499,500
First Mississippi Corp. ............ 40,100 1,157,888
First Northern Capital Corp. ....... 30,300 515,100
First Oak Brook Bancshares, Inc.
Class A ............................ 14,500 311,750
First Palm Beach Bancorp, Inc. ..... 36,800 926,900
*First Republic Bancorp, Inc. ....... 51,303 917,041
First Savings Bancorp, Inc. North
Carolina ........................... 27,300 505,050
First Southeast Financial Corp. .... 27,800 283,213
First State Financial Services, Inc. 10,300 160,294
First Union Corp. .................. 49,979 3,817,181
First Western Bancorp, Inc. ........ 12,800 344,000
*FirstFed Financial Corp. DE ........ 95,700 2,284,838
Firstbank of Illinois Co. .......... 1,200 40,950
138
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Firstfed Bancshares, Inc. .......... 32,550 $ 549,281
*Fischer Imaging Corp. .............. 21,600 144,450
Fleming Companies, Inc. ............ 78,297 1,282,113
Flexsteel Industries, Inc. ......... 56,700 730,013
Florida Rock Industries, Inc. ...... 64,700 1,989,525
*Florsheim Shoe Co. ................. 30,100 142,975
Fluke Corp. ........................ 48,310 2,083,369
*Fluor Daniel/GTI, Inc. ............. 15,822 136,465
*Foilmark, Inc. ..................... 23,200 58,000
*Foodarama Supermarkets, Inc. ....... 2,400 33,600
*Foodbrands America, Inc. ........... 88,200 1,168,650
*Foothill Independent Bancorp ....... 30,220 324,865
Forest City Enterprises, Inc.
Class A ............................ 31,700 1,693,969
*Foster (L.B.) Co. Class A .......... 69,000 282,469
*Four Kids Entertainment, Inc. ...... 17,000 23,375
*#Foxmeyer Health Corp. .............. 189,340 426,015
Franklin Bank National Associaton
Southfield, MI ..................... 3,600 43,875
Freds, Inc. Class A ................ 88,500 802,031
Fremont General Corp. .............. 199,590 6,212,051
*Fresh Choice, Inc. ................. 55,200 276,000
Friedman Industries, Inc. .......... 46,974 281,844
Frisch's Restaurants, Inc. ......... 48,506 654,826
*Funco, Inc. ........................ 34,300 282,975
*Fuqua Enterprises, Inc. ............ 35,000 844,375
Furon Co. .......................... 9,900 201,713
*G-III Apparel Group, Ltd. .......... 50,600 143,894
GBC Bancorp ........................ 48,200 1,367,675
*GNI Group, Inc. .................... 42,700 277,550
*GTI Corp. .......................... 25,700 138,138
*GZA Geoenvironmental
Technologies, Inc. ................. 36,500 114,063
*Galey & Lord, Inc. ................. 105,400 1,370,200
*Galileo Electro-Optics Corp. ....... 28,900 697,213
Gamma Biologicals, Inc. ............ 45,500 142,188
*Gantos, Inc. ....................... 52,950 196,908
Garan, Inc. ........................ 58,000 1,036,750
*Garnet Resources Corp. ............. 44,600 17,422
*Gasonics International, Inc. ....... 7,200 78,300
*Gehl Co. ........................... 40,600 340,025
*#General Host Corp. ................. 153,658 537,803
General Housewares Corp. ........... 38,700 387,000
*General Microwave Corp. ............ 400 1,950
General Physics Corp. .............. 22,900 94,463
*Genesco, Inc. ...................... 138,000 1,397,250
*Genicom Corp. ...................... 49,100 194,866
*Genlyte Group, Inc. ................ 85,500 769,500
Genovese Drug Stores, Inc.
Class A ............................ 7,500 131,250
*Genus, Inc. ........................ 99,900 686,813
George Mason Bankshares, Inc. ...... 15,000 341,250
Gerber Scientific, Inc. ............ 59,200 917,600
*Getchell Gold Corp. ................ 2,844 111,272
Getty Petroleum Corp. .............. 1,000 16,000
*Giant Group, Ltd. .................. 50,600 423,775
Giant Industries, Inc. ............. 104,200 1,589,050
*Gibraltar Packaging Group, Inc. .... 43,200 156,600
*Gibson Greetings, Inc. ............. 120,700 2,293,300
Giddings & Lewis, Inc. ............. 254,600 2,959,725
*Giga-Tronics, Inc. ................. 19,900 166,663
Gilbert Associates, Inc.
Class A ............................ 72,900 984,150
*Gish Biomedical, Inc. .............. 28,800 190,800
Gleason Corp. ...................... 17,700 522,150
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Golden Books Family
Entertainment, Inc. ................ 54,000 $ 617,625
Golden Poultry Co., Inc. ........... 74,950 768,238
*Good Guys, Inc. .................... 218,300 1,760,044
Gorman-Rupp Co. .................... 9,100 126,263
*Gottschalks, Inc. .................. 70,700 477,225
*#Government Technology Services,
Inc. ............................... 49,200 304,425
*Gradco Systems, Inc. ............... 78,000 277,875
*Graham Corp. ....................... 3,450 35,578
Graham-Field Health Products, Inc. . 92,400 750,750
Grand Premier Financial, Inc. ...... 54,907 583,387
Granite Construction, Inc. ......... 87,150 1,775,681
Granite State Bankshares, Inc. ..... 15,200 336,300
*Grant Geophysical, Inc. ............ 21,600 4,725
Graphic Industries, Inc. ........... 87,500 792,969
*Greater New York Savings Bank NY .. 87,600 1,160,700
Green (A.P.) Industries, Inc. ...... 55,594 548,991
Greenbrier Companies, Inc. ......... 189,900 1,827,788
*Greyhound Lines, Inc. .............. 218,000 844,750
*Grist Mill & Co. ................... 50,000 296,875
*Grossmans, Inc. .................... 202,300 221,266
*Ground Round Restaurants, Inc. ..... 78,700 197,980
*Group Technologies Corp. ........... 105,000 196,875
Grovebank for Savings .............. 11,200 550,200
Guaranty National Corp. ............ 32,805 545,383
Guilford Mills, Inc. ............... 93,400 2,393,375
*Gulfmark International, Inc. ....... 11,100 610,500
*Gundle/SLT Environmental, Inc. ..... 182,900 1,165,988
HBO & Co. .......................... 9,698 552,180
HF Financial Corp. ................. 22,800 379,050
*HMG Worldwide Corp. ................ 50,700 71,297
HMI Industries, Inc. ............... 9,000 48,375
*HMN Financial, Inc. ................ 36,200 653,863
*HPSC, Inc. ......................... 42,000 265,125
*HS Resources, Inc. ................. 75,400 1,281,800
HUBCO, Inc. ........................ 635 15,558
*Hadco Corp. ........................ 22,500 1,044,844
Haggar Corp. ....................... 66,400 1,182,750
*Hahn Automotive Warehouse, Inc. .... 37,256 316,676
*Hallwood Group, Inc. ............... 2,075 29,569
*Hampshire Group, Ltd. .............. 19,100 248,300
*Hampton Industries, Inc. ........... 24,690 129,623
*Handex Environmental Recovery, Inc. 49,800 591,375
Handleman Co. ...................... 261,436 2,156,847
*Hanger Orthopedic Group, Inc. ...... 55,600 333,600
*Harding Lawson Associates Group,
Inc. ............................... 31,800 210,675
Harleysville Group, Inc. ........... 90,700 2,789,025
*Harlyn Products, Inc. .............. 22,200 13,875
Harris Savings Bank PA ............. 2,000 36,500
*Harry's Farmers Market, Inc.
Class A ............................ 27,900 99,394
*Hartmarx Corp. ..................... 349,000 1,832,250
*Harvey Entertainment Co. ........... 6,400 45,200
Harvey's Casino Resorts ............ 100,800 1,675,800
Haskel International, Inc. ......... 14,600 114,063
Hastings Manufacturing Co. ......... 850 21,675
*Hathaway Corp. ..................... 30,400 119,700
*Hauser Chemical Research, Inc. ..... 73,000 428,875
Haven Bancorp, Inc. ................ 30,800 860,475
Haverty Furniture Co., Inc. ........ 105,100 1,379,438
*Hawthorne Financial Corp. .......... 18,700 148,431
139
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Hays Wheels International, Inc. .... 11,950 $ 409,288
Health Images, Inc. ................ 77,800 1,215,625
*Health O Meter Products, Inc. ...... 67,500 409,219
*Health Risk Management, Inc. ....... 15,300 226,631
*Healthcare Services Group, Inc. .... 74,000 721,500
Hechinger Co. Class A .............. 233,100 626,456
Hechinger Co. Class B .............. 38,900 167,756
*Hector Communications Corp. ........ 8,500 63,750
Heico Corp. ........................ 17,768 355,360
*Hein-Werner Corp. .................. 17,987 113,543
*Heist (C.H.) Corp. ................. 16,800 138,600
*Herley Industries, Inc. ............ 15,400 196,350
*Hexcel Corp. ....................... 11,100 201,188
*Hi-Lo Automotive, Inc. ............. 126,700 332,588
*Hi-Shear Industries, Inc. .......... 53,500 146,296
*High Plains Corp. .................. 46,400 247,950
*Hitox Corp. ........................ 9,100 23,319
Hoenig Group, Inc. ................. 64,300 281,313
*Holiday RV Superstores, Inc. ....... 42,400 69,563
*Hologic, Inc. ...................... 19,600 482,650
*Holopak Technologies, Inc. ......... 27,800 90,350
Home Beneficial Corp. Class B ...... 60,500 1,535,188
Home Federal Bancorp ............... 15,500 538,625
Home Port Bancorp, Inc. ............ 13,100 223,519
*Home State Holdings, Inc. .......... 57,000 438,188
*Homecorp, Inc. ..................... 5,100 96,263
*Homeowners Group, Inc. ............. 21,600 37,125
Hooper Holmes, Inc. ................ 38,800 611,100
Horizon Financial Corp. ............ 23,600 321,550
*Hospital Staffing Services, Inc. ... 40,200 90,450
*Hosposable Products, Inc. .......... 600 3,038
*Hovnanian Enterprises, Inc.
Class A ............................ 139,784 821,231
#Howell Corp. ....................... 34,200 487,350
Howell Industries, Inc. ............ 1,600 65,200
Hudson Foods, Inc. Class A ......... 237,150 4,327,988
Hudson General Corp. ............... 2,500 90,625
Huffy Corp. ........................ 100,200 1,377,750
Hughes Supply, Inc. ................ 13,000 559,000
*Hugoton Energy Corp. ............... 25,000 271,875
Hunt (J.B.) Transportation Services,
Inc. ............................... 19,100 269,788
Hunt Manufacturing Co. ............. 25,700 452,963
Huntco, Inc. Class A ............... 12,000 187,500
*Hurco Companies, Inc. .............. 9,700 52,138
*Hycor Biomedical, Inc. ............. 71,700 255,431
*Hyde Athletic Industries, Inc.
Class A ............................ 19,800 101,475
*Hyde Athletic Industries, Inc.
Class B ............................ 30,000 142,500
ICO, Inc. .......................... 90,700 595,219
*IEC Electronics Corp. .............. 45,900 355,725
*IFR Systems, Inc. .................. 26,000 394,875
*Imo Industries, Inc. ............... 20,900 70,538
*Imperial Bancorp ................... 91,819 2,060,189
*Imperial Holly Corp. ............... 70,900 1,098,950
*In Focus Systems, Inc. ............. 24,000 504,000
*In Home Health, Inc. ............... 104,100 201,694
*Inacom Corp. ....................... 68,000 2,112,250
*Inco Homes Corp. ................... 940 397
*Incstar Corp. ...................... 18,200 77,350
Independence Holding Co. ........... 52,600 443,813
Independent Bank Corp. MA .......... 61,200 577,575
Independent Bank East .............. 8,820 300,983
Indiana Federal Corp. .............. 31,950 702,900
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Industrial Acoustics Co., Inc. ..... 700 $ 7,088
*Industrial Training Corp. .......... 16,400 73,800
*Information Resources, Inc. ........ 65,600 750,300
#Ingles Market, Inc. Class A ........ 40,900 593,050
*Innodata Corp. ..................... 11,600 16,675
*Innoserv Technologies, Inc. ........ 13,700 40,244
Insituform East, Inc. .............. 29,200 83,950
Insteel Industries, Inc. ........... 56,300 450,400
Instron Corp. ...................... 12,000 156,000
*Insurance Auto Auctions, Inc. ...... 78,200 733,125
Integrated Health Services, Inc. ... 76,500 1,683,000
*Integrated Waste Services, Inc. .... 47,400 53,325
*Intellicall, Inc. .................. 49,500 241,313
Intelligent Electronics, Inc. ...... 121,639 912,293
*Intelligent Systems Corp. .......... 8,075 23,216
Inter-Regional Financial Group, Inc. 85,650 3,008,456
*Interface Systems, Inc. ............ 28,700 161,438
Interface, Inc. Class A ............ 132,600 2,635,425
*Intergraph Corp. ................... 56,400 511,125
*Interlinq Software Corp. ........... 40,800 195,075
*International Alliance Services,
Inc. ............................... 37,960 348,758
International Aluminum Corp. ....... 33,600 865,200
*International Lottery & Totalizer
Systems, Inc. ...................... 18,400 19,550
International Multifoods Corp. ..... 212,500 3,346,875
International Shipholding Corp. .... 49,475 871,997
*#International Technology Corp. ..... 69,025 698,878
*International Thoroughbred
Breeders, Inc. ..................... 74,900 257,469
*Interphase Corp. ................... 15,200 170,050
Interpool, Inc. .................... 57,400 1,377,600
Interstate Johnson Lane, Inc. ...... 9,100 119,438
*#Intertan, Inc. ..................... 89,800 516,350
*Intervisual Books, Inc. Class A .... 9,900 15,778
Interwest Bancorp, Inc. ............ 17,600 578,600
Investors Financial Services Corp. . 5,408 148,044
Investors Financial Services Corp.
Class A ............................ 1,039 28,443
Investors Title Co. ................ 18,200 284,375
Isco, Inc. ......................... 15,800 156,025
*Isolyser Co., Inc. ................. 22,000 178,750
*Isomedix, Inc. ..................... 59,700 820,875
*Iwerks Entertainment, Inc. ......... 97,300 626,369
*J & J Snack Foods Corp. ............ 74,500 814,844
J & L Specialty Steel, Inc. ........ 186,000 2,255,250
*JPE, Inc. .......................... 20,100 153,263
JSB Financial, Inc. ................ 80,800 2,939,100
Jackpot Enterprises, Inc. .......... 29,800 298,000
*Jaclyn, Inc. ....................... 26,900 142,906
*Jaco Electronics, Inc. ............. 30,446 268,305
Jacobson Stores, Inc. .............. 58,650 564,506
*Jan Bell Marketing, Inc. ........... 193,900 448,394
*Jason, Inc. ........................ 30,000 213,750
*Jean Philippe Fragrances, Inc. ..... 19,300 135,100
Jefferson Savings Bancorp, Inc. .... 30,000 708,750
John Alden Financial Corp. ......... 169,500 2,987,438
*Johnson Worldwide Associates, Inc.
Class A ............................ 48,100 559,163
Johnston Industries, Inc. .......... 67,925 534,909
*Johnstown American Industries, Inc. 117,900 486,338
*Jones Intercable, Inc. Class A ..... 71,000 763,250
*Joseph A. Bank Clothiers, Inc. ..... 65,300 281,606
*Just Toys, Inc. .................... 14,000 22,750
Justin Industries, Inc. ............ 174,300 1,841,044
140
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
K Swiss, Inc. Class A .............. 30,400 $ 336,300
*K-Tron International, Inc. ......... 6,300 67,331
*KBK Capital Corp. .................. 5,000 23,125
*KLLM Transport Services, Inc. ...... 31,999 359,989
*Kaiser Ventures, Inc. .............. 47,400 468,075
Kaman Corp. Class A ................ 120,300 1,503,750
Katy Industries, Inc. .............. 58,500 811,688
Kaye Group, Inc. ................... 30,000 170,625
Keithley Instruments, Inc. ......... 1,000 10,375
Kellwood Co. ....................... 164,918 2,968,524
Kenan Transport Co. ................ 200 4,025
*Kentucky Electric Steel, Inc. ...... 32,600 230,238
*Kerr Group, Inc. ................... 33,000 90,750
*Kewaunee Scientific Corp. .......... 700 4,156
*#Key Energy Group, Inc. ............. 40,000 485,000
*Key Production Co., Inc. ........... 63,962 807,520
*Key Tronic Corp. ................... 58,100 504,744
*Keystone Consolidated Industries,
Inc. ............................... 68,286 503,609
*Kinark Corp. ....................... 21,600 64,800
*Kinder-Care Learning Centers, Inc. . 136,600 2,714,925
Kinetic Concepts, Inc. ............. 3,900 48,263
*Kinnard Investment, Inc. ........... 42,700 242,856
*Kit Manufacturing Co. .............. 11,100 122,794
Knape & Vogt Manufacturing Co. ..... 42,631 682,096
*Knogo North America, Inc. .......... 20,200 117,413
*Koss Corp. ......................... 17,000 107,313
*Krug International Corp. ........... 35,400 163,725
*Krystal Co. ........................ 24,000 142,500
*Kulicke & Soffa Industries, Inc. ... 32,500 662,188
LCS Industries, Inc. ............... 13,200 171,600
LSB Industries, Inc. ............... 99,500 460,188
LSI Industries, Inc. ............... 13,230 155,453
*LTX Corp. .......................... 128,500 754,938
*Laclede Steel Co. .................. 8,700 28,819
Ladd Furniture, Inc. ............... 73,227 983,988
*Lamson & Sessions Co. .............. 28,300 212,250
*Lancer Corp. ....................... 10,800 160,650
*Laserscope ......................... 61,000 335,500
Lawyers Title Corp. ................ 66,212 1,258,028
*Layne, Inc. ........................ 29,600 410,700
*Lazare Kaplan International, Inc. .. 11,300 218,938
*Lechters, Inc. ..................... 151,900 721,525
Lennar Corp. ....................... 190,350 4,949,100
Liberty Bancorp, Inc. Delaware ..... 18,000 436,500
Liberty Bancorp, Inc. Oklahoma ..... 67,700 2,775,700
*Liberty Technologies, Inc. ......... 39,000 112,125
Life Re Corp. ...................... 72,800 2,684,500
*Life USA Holdings, Inc. ............ 132,800 1,328,000
*Lifeline Systems, Inc. ............. 19,500 330,281
*#Ligand Pharmaceuticals, Inc.
Class B ............................ 25,497 307,558
Lillian Vernon Corp. ............... 85,300 1,023,600
*Lindal Cedar Homes, Inc. ........... 8,000 30,000
Lindberg Corp. ..................... 33,100 326,863
*Littlefield, Adams & Co. ........... 12,000 39,000
*Liuski International, Inc. ......... 30,700 74,831
*#Live Entertainment, Inc. ........... 6,740 26,118
*Living Centers of America, Inc. .... 92,000 2,334,500
*Lodgenet Entertainment Corp. ....... 31,500 468,563
*#Logic Devices, Inc. ................ 31,400 101,069
*Longhorn Steaks, Inc. .............. 19,500 387,563
*Loronix Information Systems, Inc. .. 13,800 62,963
*Louis Dreyfus Natural Gas Corp. .... 187,100 3,204,088
Lufkin Industries, Inc. ............ 45,900 969,638
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Lukens, Inc. DE .................... 143,300 $2,633,138
*Luria & Son, Inc. .................. 35,400 101,775
*Lynch Corp. ........................ 2,300 152,950
M A R C, Inc. ...................... 3,335 72,536
*M-Wave, Inc. ....................... 21,900 71,175
MAF Bancorp, Inc. .................. 61,077 2,091,887
#MDC Holdings, Inc. ................. 139,588 1,046,910
*MFRI, Inc. ......................... 36,300 288,131
*MHM Services, Inc. ................. 712 356
*MI Schottenstein Homes, Inc. ....... 61,800 610,275
*MK Gold Corp. ...................... 140,100 210,150
*#MK Rail Corp. ...................... 41,500 306,063
MMI Companies, Inc. ................ 9,100 280,963
*MRS Technology, Inc. ............... 67,600 160,550
*MS Carriers, Inc. .................. 90,200 1,691,250
*MTI Technology Corp. ............... 87,000 214,781
MTS Systems Corp. .................. 71,600 1,458,850
MYR Group, Inc. .................... 30,966 329,014
*Macheezmo Mouse Restaurants, Inc. . 25,000 46,094
Magna Bancorp ...................... 1,800 32,400
Magna Group, Inc. .................. 18,700 568,013
*Magnetek, Inc. ..................... 156,000 1,950,000
*Mapinfo Corp. ...................... 17,400 191,400
Marcus Corp. ....................... 92,500 2,139,063
*Marine Drilling Companies, Inc. .... 83,300 1,332,800
*Mariner Health Group, Inc. ......... 152,000 1,121,000
*Marisa Christina, Inc. ............. 92,000 672,750
Maritrans, Inc. .................... 86,300 528,588
*Mark VII, Inc. ..................... 9,900 279,675
*Marlton Technologies, Inc. ......... 3,000 11,813
Marsh Supermarkets, Inc. Class A ... 25,200 302,400
Marsh Supermarkets, Inc. Class B ... 31,400 353,250
Maryland Federal Bancorp ........... 28,665 947,737
Massbank Corp. Reading, MA ......... 20,300 771,400
*Matec Corp. DE ..................... 6,900 20,700
*Matlack Systems, Inc. .............. 61,642 431,494
*Matria Healthcare, Inc. ............ 22,800 141,075
*Matrix Pharmaceutical, Inc. ........ 107,000 922,875
*Matrix Service Co. ................. 94,900 545,675
*Maverick Tube Corp. ................ 44,000 693,000
*Maxco, Inc. ........................ 28,300 226,400
*Maxim Group, Inc. .................. 35,000 562,188
*Maxwell Technologies, Inc. ......... 19,145 859,132
*Maxxam, Inc. ....................... 66,100 3,048,863
*Maxxim Medical, Inc. ............... 91,900 1,171,725
*Maynard Oil Co. .................... 34,500 511,031
McDonald & Co. Investment, Inc. .... 29,000 884,500
*McFarland Energy, Inc. ............. 52,300 585,106
McGrath Rent Corp. ................. 40,000 1,020,000
McRae Industries, Inc. Class A ..... 1,000 8,500
Medex, Inc. ........................ 42,600 993,113
Medford Savings Bank MA ............ 33,000 882,750
*Media Logic, Inc. .................. 20,100 87,938
*Medical Action Industries, Inc. .... 6,000 9,750
*Medical Graphics Corp. ............. 15,800 79,000
*Medical Resources, Inc. ............ 29,356 256,865
*Mediq, Inc. ........................ 5,700 33,131
*Medstone International, Inc. ....... 14,500 102,406
*Melamine Chemicals, Inc. ........... 38,000 289,750
*Mem Co., Inc. ...................... 5,300 38,756
*Mercer International, Inc. ......... 55,100 657,756
Merchants Bancorp, Inc. ............ 19,700 605,775
Merchants Group, Inc. .............. 22,000 396,000
*Meridian Data, Inc. ................ 20,000 150,000
141
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Meridian Insurance Group, Inc. ..... 47,000 $ 675,625
*Merisel, Inc. ...................... 335,800 629,625
Merrimac Industries, Inc. .......... 10,700 110,344
*Mesa Air Group, Inc. ............... 287,100 2,853,056
*Mesaba Holdings, Inc. .............. 27,100 359,075
*Mestek, Inc. ....................... 13,500 219,375
*Metal Management, Inc. ............. 15,900 63,600
*Metatec Corp. Class A .............. 12,400 81,375
*Metrocall, Inc. .................... 165,000 897,188
*Metromedia International Group,
Inc. ............................... 60,000 727,500
*Meyerson (M.H.) & Co., Inc. ........ 18,200 51,188
*Michael Anthony Jewelers, Inc. ..... 68,800 215,000
Michael Foods, Inc. ................ 135,800 1,561,700
*#Michaels Stores, Inc. .............. 154,700 1,551,834
*Microage, Inc. ..................... 153,300 3,449,250
*Microcom, Inc. ..................... 40,100 456,138
*Micronics Computers, Inc. .......... 100,700 280,072
*Microwave Power Dynamics, Inc. ..... 15,000 45,000
Mid America Banccorp ............... 64,923 1,217,306
Midconn Bank Kensington, CT ........ 13,500 273,375
Middlesex Water Co. ................ 7,500 132,188
*Midisoft Corp. ..................... 35,000 113,750
Midland Co. ........................ 5,600 206,500
*Midwest Grain Products, Inc. ....... 67,200 1,092,000
*Mikasa, Inc. ....................... 119,400 1,253,700
*Mikohn Gaming Corp. ................ 63,600 437,250
*Miller Building Systems, Inc. ...... 27,300 201,338
*Miltope Group, Inc. ................ 57,100 164,163
Mine Safety Appliances Co. ......... 37,600 1,924,650
Minuteman International, Inc. ...... 9,000 79,875
*Mobilemedia Corp. Class A .......... 149,400 172,744
*Molecular Dynamics, Inc. ........... 40,000 382,500
*Monaco Coach Corp. ................. 12,800 200,000
*Monarch Casino and Resort, Inc. .... 5,200 15,275
Monarch Machine Tool Co. ........... 34,900 292,288
*Moog, Inc. Class A ................. 50,500 1,212,000
*Moog, Inc. Class B ................. 10,700 258,806
*Moore Handley, Inc. ................ 2,000 7,250
*Moore Medical Corp. ................ 20,000 210,000
*Moore Products Co. ................. 7,300 138,700
*Morgan Products, Ltd. .............. 74,200 519,400
*Morrison Knudsen Corp. ............. 20,200 181,800
*Motor Club of America .............. 5,600 47,600
*Mountasia Entertainment
International, Inc. ................ 57,000 181,688
Movado Group, Inc. ................. 34,400 877,200
*#Movie Gallery, Inc. ................ 110,000 1,512,500
*Moviefone, Inc. Class A ............ 29,500 130,906
Mueller (Paul) Co. ................. 3,900 152,100
*Mueller Industries, Inc. ........... 64,000 2,504,000
*Multi Color Corp. .................. 7,600 45,600
*Musicland Stores Corp. ............. 263,000 394,500
*Mutual Savings Bank FSB
Bay City, MI ....................... 29,300 168,475
NAC RE Corp. ....................... 17,200 627,800
*NAI Technologies, Inc. ............. 26,700 80,934
NBT Bancorp ........................ 64,362 1,214,830
NCH Corp. .......................... 10,200 581,400
*NS Group, Inc. ..................... 122,000 419,375
*NSA International, Inc. ............ 51,800 87,413
NSC Corp. .......................... 71,200 137,950
NYMAGIC, Inc. ...................... 75,800 1,364,400
Nacco Industries, Inc. Class A ..... 184,000 8,786,000
*Nantucket Industries, Inc. ......... 6,500 21,938
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Napco Security Systems, Inc. ....... 30,300 $ 109,838
Nash Finch Co. ..................... 77,200 1,476,450
*Nashua Corp. ....................... 54,300 862,013
*Nathans Famous, Inc. ............... 31,500 120,094
*National Auto Credit, Inc. ......... 246,790 2,529,598
*National City Bancorp .............. 49,145 1,001,329
*National Energy Group, Inc. ........ 24,310 87,364
National Gas & Oil Co. ............. 37,556 347,392
*National Home Centers, Inc. ........ 54,500 115,813
*National Home Health Care Corp. .... 9,116 58,684
*National Insurance Group ........... 24,400 128,100
*National Mercantile Bancorp. ....... 2,400 2,625
*National Patent Development Corp. .. 59,175 502,988
National Presto Industries, Inc. ... 57,300 2,112,938
*National Record Mart, Inc. ......... 4,000 5,500
*National Standard Co. .............. 8,100 55,688
*National Steel Corp. Class B ....... 75,000 703,125
*National Western Life Insurance Co.
Class A ............................ 24,300 2,071,575
*Natural Wonders, Inc. .............. 56,200 305,588
*Navigators Group, Inc. ............. 2,100 41,213
*Netframe Systems, Inc. ............. 100,700 308,394
*Netrix Corp. ....................... 73,800 378,225
*Network Computing Devices, Inc. .... 162,300 1,359,263
*Network Equipment Technologies,
Inc. ............................... 137,600 2,115,600
*New Brunswick Scientific Co., Inc. . 27,735 190,678
*New Image Industries, Inc. ......... 28,900 36,577
New Jersey Resources Corp. ......... 79,212 2,346,656
*New Jersey Steel Corp. ............. 37,400 156,613
*New Mexico & Arizona Land Co. ...... 26,015 312,180
Newcor, Inc. ....................... 19,836 172,325
Newmil Bancorp, Inc. ............... 41,100 375,038
Newport Corp. ...................... 67,800 593,250
*Nexthealth, Inc. ................... 62,700 186,141
*Nichols Research Corp. ............. 13,650 336,131
Nitches, Inc. ...................... 3,679 20,464
*Noel Group, Inc. ................... 95,400 620,100
Noland Co. ......................... 2,000 44,250
*Noodle Kidoodle, Inc. .............. 43,200 245,700
*Nord Resources Corp. ............... 137,700 585,225
*Nortek, Inc. ....................... 99,300 1,526,738
North American Mortgage Co. ........ 31,000 713,000
North Side Savings Bank NY ......... 34,337 1,798,400
*North Star Universal, Inc. ......... 62,600 504,713
*Northstar Health Services, Inc. .... 31,000 54,250
*Norton McNaughton, Inc. ............ 20,900 175,038
Norwich Financial Corp. ............ 40,900 800,106
*Novacare, Inc. ..................... 415,000 3,527,500
*Nview Corp. ........................ 33,000 125,813
O'Sullivan Corp. ................... 123,100 1,323,325
*O'Sullivan Industries Holdings, Inc. 126,500 1,407,313
*O.I. Corp. ......................... 32,000 108,000
*OEC Medical Systems, Inc. .......... 37,000 518,000
*OHM Corp. .......................... 39,300 334,050
*OMI Corp. .......................... 372,800 2,842,600
*OTR Express, Inc. .................. 15,000 67,500
*Oak Technology, Inc. ............... 271,000 2,693,063
*Offshore Logistics, Inc. ........... 127,600 2,567,950
Oglebay Norton Co. ................. 16,000 702,000
Oil-Dri Corp. of America ........... 48,000 684,000
*Old America Stores, Inc. ........... 36,000 171,000
*Old Dominion Freight Lines, Inc. ... 61,400 560,275
*Olympic Financial, Ltd. ............ 42,500 589,688
*Olympic Steel, Inc. ................ 71,000 1,726,188
142
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*#Omega Environmental, Inc. .......... 37,000 $ 88,453
OnbanCorp, Inc. .................... 96,000 3,696,000
*Oncogene Science, Inc. ............. 56,300 394,100
*One Price Clothing Stores, Inc. .... 75,800 210,819
One Valley Bancorp of West
Virginia ........................... 11,600 430,650
Oneida, Ltd. ....................... 86,800 1,475,600
*Oneita Industries, Inc. ............ 48,200 180,750
*Onyx Acceptance Corp. .............. 10,000 78,750
*Opal, Inc. ......................... 70,000 1,281,875
*Opinion Research Corp. ............. 21,400 89,613
*Opti, Inc. ......................... 17,800 94,006
Optical Coating Laboratory, Inc. ... 31,900 358,875
*Option Care, Inc. .................. 65,500 323,406
Orange Co., Inc. ................... 69,700 531,463
*Oregon Metallurgical Corp. ......... 40,300 1,440,725
Oregon Steel Mills, Inc. ........... 205,661 3,521,945
*Oriole Homes Corp. Class A
Convertible ........................ 1,000 7,500
*Oriole Homes Corp. Class B ......... 21,400 157,825
Orion Capital Corp. ................ 48,300 3,012,713
*Oroamerica, Inc. ................... 41,600 213,200
*Osborn Communications Corp. ........ 6,300 94,106
Oshkosh B'Gosh, Inc. Class A ....... 46,300 700,288
Oshkosh Truck Corp. Class B ........ 80,900 950,575
*Oshman's Sporting Goods, Inc. ...... 40,900 224,950
Outboard Marine Corp. .............. 179,200 2,912,000
*Outlook Group Corp. ................ 34,100 159,844
Overseas Shipholding Group, Inc. ... 135,000 2,160,000
Oxford Industries, Inc. ............ 107,400 1,960,050
*PAM Transportation Services, Inc. .. 28,500 147,844
*PLM International, Inc. ............ 48,200 156,650
*PST Vans, Inc. ..................... 12,000 31,500
PXRE Corp. ......................... 60,700 1,464,388
*Pacific Rehabilitation & Sports
Medicine, Inc. ..................... 33,900 213,994
*Pacific Rim Holding Corp. .......... 67,500 199,336
Pacific Scientific Co. ............. 74,200 853,300
*Pacific Sunwear of California, Inc. 46,500 1,249,688
*Pages, Inc. ........................ 11,800 28,763
Palfed, Inc. ....................... 37,200 534,750
*Palmer (Arnold) Golf Co. ........... 9,900 52,594
Pamrapo Bancorp, Inc. .............. 24,700 475,475
Pancho's Mexican Buffet, Inc. ...... 43,800 88,969
*Par Technology Corp. ............... 47,000 634,500
*Paragon Trade Brands, Inc. ......... 130,000 3,607,500
*Park-Ohio Industries, Inc. ......... 88,100 1,282,956
*Parker Drilling Co. ................ 56,000 525,000
Parkvale Financial Corp. ........... 31,252 804,739
*Patina Oil & Gas Corp. ............. 49,126 442,134
Patrick Industries, Inc. ........... 38,700 580,500
*Patterson Energy, Inc. ............. 13,616 374,440
*Payless Cashways, Inc. ............. 415,300 726,775
Peerless Manufacturing Co. ......... 10,000 127,500
*Penn Traffic Co. ................... 116,000 594,500
*Penn Treaty American Corp. ......... 55,200 1,352,400
Penn Virginia Corp. ................ 43,000 1,736,125
Penney (J.C.) Co., Inc. ............ 23,079 1,240,496
Pennfed Financial Services, Inc. ... 28,900 596,063
*Pentech International, Inc. ........ 45,600 33,488
Peoples Bancshares, Inc.
Massachusetts ...................... 19,800 201,713
*Peoples Choice TV Corp. ............ 84,000 551,250
Peoples Heritage Financial Group,
Inc. ............................... 85,300 2,393,731
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Peoples Savings Financial Corp. .... 14,700 $ 404,250
*Peoples Telephone Co., Inc. ........ 91,000 335,563
*Perfumania, Inc. ................... 46,900 149,494
*Perini Corp. ....................... 35,500 319,500
*Petrocorp, Inc. .................... 58,000 569,125
*#Petroleum Development Corp. ........ 8,200 42,538
*Pharmaceutical Marketing Services,
Inc. ............................... 5,200 49,725
*Pharmaceutical Resources, Inc. ..... 54,000 310,500
*Pharmchem Laboratories, Inc. ....... 64,900 256,558
Phillips-Van Heusen Corp. .......... 256,600 3,303,725
*Photo Control Corp. ................ 4,200 15,488
*Photronics, Inc. ................... 5,550 173,438
Piccadilly Cafeterias, Inc. ........ 89,100 801,900
*Pico Holdings, Inc. ................ 45,300 171,291
Pikeville National Corp. ........... 26,700 597,413
Pilgrim Pride Corp. ................ 181,500 1,588,125
Pillowtex Corp. .................... 18,900 328,388
*Pinkertons, Inc. ................... 23,000 569,250
Pinnacle Bank Jasper, AL ........... 4,900 86,363
*Pinnacle Systems, Inc. ............. 43,100 447,163
Pioneer Financial Services, Inc. ... 69,600 1,287,600
Piper Jaffray Companies, Inc. ...... 100,496 1,469,754
Pitt-Des Moines, Inc. .............. 18,900 784,350
*Pittencrieff Communications, Inc. .. 170,400 697,575
Pittston Burlington Group .......... 130,000 2,551,250
*Plains Resources, Inc. ............. 51,300 833,625
*Planar Systems, Inc. ............... 12,000 125,250
*Plasti-Line, Inc. .................. 10,000 102,500
*Players International, Inc. ........ 209,500 1,335,563
Ply-Gem Industries, Inc. DE ........ 148,300 1,946,438
*Polk Audio, Inc. ................... 4,900 52,063
*Pollo Tropical, Inc. ............... 22,300 61,325
*Polymedica Industries, Inc. ........ 53,840 232,185
*Pool Energy Services Co. ........... 113,058 1,674,672
Pope & Talbot, Inc. ................ 160,500 2,547,938
*#Porta Systems Corp. ................ 5,100 11,794
*Portec, Inc. ....................... 26,306 266,348
Portsmouth Bank Shares, Inc. ....... 47,287 694,528
Poughkeepsie Savings Bank FSB NY .. 84,900 451,031
*Powell Industries, Inc. ............ 49,000 490,000
*Premiumwear, Inc. .................. 14,800 131,350
*President Casinos, Inc. ............ 128,000 104,000
Presidential Life Corp. ............ 222,800 2,659,675
*Presley Companies Class A .......... 83,300 85,903
*Price Communications Corp. ......... 60,400 494,525
Price Enterprises, Inc. ............ 18,800 325,475
*Primark Corp. ...................... 26,500 695,625
Prime Bancorp, Inc. ................ 26,447 528,940
Primesource Corp. .................. 5,254 40,062
*Printronix, Inc. ................... 22,500 319,219
*Procyte Corp. ...................... 89,300 195,344
*Proffitts, Inc. .................... 98,772 3,987,920
Progress Financial Corp. ........... 26,000 222,625
*Progress Software Corp. ............ 76,000 1,524,750
Progressive Bank, Inc. ............. 19,200 662,400
Proler International Corp. ......... 34,300 308,700
*Proteon, Inc. ...................... 35,900 137,991
Providence & Worcester Railroad Co. 15,800 116,525
Provident Bankshares Corp. ......... 44,504 1,716,186
*Proxima Corp. ...................... 34,300 473,769
Pulaski Furniture Corp. ............ 20,600 347,625
*Pure World, Inc. ................... 48,400 101,338
143
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*QMS, Inc. .......................... 91,700 $ 538,738
*Quad Systems Corp. ................. 34,500 357,938
Quaker Chemical Corp. .............. 37,800 637,875
*Quaker City Bancorp, Inc. .......... 3,600 61,875
*Quaker Fabric Corp. ................ 64,000 664,000
Quaker State Corp. ................. 215,000 3,681,875
*Quality Semiconductor, Inc. ........ 43,900 334,738
Quanex Corp. ....................... 205,000 5,483,750
*Quarterdeck Office Systems, Inc. ... 71,900 471,844
Queens County Bancorp .............. 49,133 2,296,968
Quest Medical, Inc. ................ 12,360 88,838
*Quiksilver, Inc. ................... 1,800 35,888
Quixote Corp. ...................... 78,600 717,225
*R & B, Inc. ........................ 62,900 514,994
RCSB Financial, Inc. ............... 99,800 3,000,238
RLI Corp. .......................... 51,550 1,636,713
*RPC Energy Services, Inc. .......... 54,000 837,000
*Radius, Inc. ....................... 83,150 67,559
*Rag Shops, Inc. .................... 32,800 67,650
*Rally's Hamburgers, Inc. ........... 60,300 254,391
*Ramsay Health Care, Inc. ........... 65,000 174,688
*Ramsay Managed Care, Inc. .......... 6 4
Raritan Bancorp, Inc. DE ........... 1,050 24,413
#Raymond Corp. ...................... 44,432 788,668
*Read-Rite Corp. .................... 12,000 266,250
*Readicare, Inc. .................... 14,000 127,750
*Reading Entertainment, Inc. ........ 33,736 331,035
*Recoton Corp. ...................... 9,600 142,800
*Redwood Empire Bancorp ............. 20,200 217,150
Refac Technology Development Corp. 41,385 271,589
*Regeneron Pharmaceuticals, Inc. .... 2,000 38,000
Regis Corp. ........................ 28,800 712,800
*Reliability, Inc. .................. 21,400 147,125
Reliance Steel and Aluminum Co. .... 44,200 1,657,500
*Rentrak Corp. ...................... 63,000 240,188
*Repligen Corp. ..................... 30,200 34,919
*Republic Automotive Parts, Inc. .... 34,800 556,800
Republic Bancorp, Inc. ............. 31,610 379,315
*Republic Engineered Steels, Inc. ... 340,000 765,000
Republic Savings Financial Corp. ... 44,100 253,575
*Rex Stores Corp. ................... 87,100 849,225
*Rexel, Inc. ........................ 74,500 1,033,688
Rexene Corp. ....................... 137,500 1,821,875
*Rexhall Industries, Inc. ........... 12,180 94,395
*Rhodes, Inc. ....................... 80,100 560,700
Richardson Electronics, Ltd. ....... 41,400 393,300
*Riddell Sports, Inc. ............... 49,300 226,472
Riggs National Corp. ............... 253,800 4,393,913
*Rightchoice Managed Care, Inc.
Class A ............................ 38,200 348,575
*Rimage Corp. ....................... 3,300 13,613
Riser Foods, Inc. Class A .......... 36,900 1,125,450
*River Oaks Furniture, Inc. ......... 47,600 151,725
Riverside Group, Inc. .............. 3,200 8,800
*Roadmaster Industries, Inc. ........ 118,500 133,313
Roanoke Electric Steel Corp. ....... 32,700 453,713
*Roberds, Inc. ...................... 2,300 23,000
*#Roberts Pharmaceutical Corp. ....... 18,900 210,263
*Roberts Pharmaceutical Corp.
(Private Placement) ................ 203,700 2,039,546
Robinson Nugent, Inc. .............. 53,900 262,763
*Rocky Shoes & Boots, Inc. .......... 24,600 222,938
*Rodman & Renshaw Capital Group,
Inc. ............................... 19,700 29,550
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Rohr, Inc. ......................... 70,300 $1,230,250
*Rollins Environmental Services,
Inc. ............................... 648,134 1,296,268
Rollins Truck Leasing Corp. ........ 324,700 3,896,400
Ross Stores, Inc. .................. 52,692 2,683,999
Rouge Steel Co. Class A ............ 123,700 2,675,013
*Royal Appliance Manufacturing Co. .. 44,900 353,588
*Royal Grip, Inc. ................... 16,300 40,750
Russ Berrie & Co., Inc. ............ 169,300 2,983,913
*Ryans Family Steak Houses, Inc. .... 335,900 2,319,809
Rykoff-Sexton, Inc. ................ 112,875 1,636,688
Ryland Group, Inc. ................. 137,064 1,901,763
*S&K Famous Brands, Inc. ............ 48,700 447,431
*#SBE, Inc. .......................... 14,100 61,688
*SPS Technologies, Inc. ............. 25,200 1,581,300
SPX Corp. .......................... 101,700 3,228,975
*STM Wireless, Inc. Class A ......... 3,300 23,719
*Safety 1st, Inc. ................... 23,400 264,713
Saint Francis Capital Corp. ........ 37,600 1,010,500
Saint Paul Bancorp, Inc. ........... 136,500 3,847,594
*Salant Corp. DE .................... 107,200 375,200
*San Filippo (John B.) & Son, Inc. .. 67,400 349,638
Sanderson Farms, Inc. .............. 68,000 1,083,750
Sands Regent Casino Hotel .......... 43,282 132,551
Santa Monica Bank CA ............... 43,900 707,888
Savannah Foods & Industries, Inc. .. 3,278 46,712
*Savoy Pictures Entertainment, Inc. . 105,900 344,175
*Scan-Optics, Inc. .................. 43,400 162,750
*Schieb (Earl), Inc. ................ 20,500 140,938
*Schuler Homes, Inc. ................ 155,500 913,563
Schultz Sav-O Stores, Inc. ......... 10,200 147,900
*Scientific Software-Intercomp, Inc. 700 277
*Scios-Nova, Inc. ................... 209,300 1,190,394
Scope Industries, Inc. ............. 4,200 208,950
*Score Board, Inc. .................. 32,500 86,328
Seaboard Corp. ..................... 100 22,400
*Seacor Holdings, Inc. .............. 17,700 1,119,525
Seafield Capital Corp. ............. 43,300 1,504,675
Sealright Co., Inc. ................ 73,100 840,650
*Secom General Corp. ................ 32,000 88,000
Security Capital Corp. W.I. ........ 12,700 906,463
Security Connecticut Corp. ......... 68,000 2,346,000
*Seda Specialty Packaging Corp. ..... 9,600 181,800
Selas Corp. of America ............. 30,000 487,500
Selective Insurance Group, Inc. .... 98,000 3,344,250
*Selfix, Inc. ....................... 4,900 28,788
*Seneca Foods Corp. ................. 10,500 171,938
*Sequa Corp. ........................ 4,800 244,800
*Sequa Corp. Class A ................ 45,700 1,828,000
*Sequent Computer Systems, Inc. ..... 390,000 6,605,625
*Sequoia Systems, Inc. .............. 55,400 122,053
*Serv-Tech, Inc. .................... 47,755 140,280
*Service Merchandise Co., Inc. ...... 834,000 4,587,000
*Servico, Inc. ...................... 30,400 471,200
*Shaman Pharmaceuticals ............. 35,800 214,800
*Sharper Image Corp. ................ 56,500 194,219
Shelby Williams Industries, Inc. ... 8,000 103,500
*Shiloh Industries, Inc. ............ 156,300 2,618,025
*Shoe Carnival, Inc. ................ 97,000 521,375
*Sholodge, Inc. ..................... 46,900 627,288
*Shoney's, Inc. ..................... 32,304 266,508
Shopko Stores, Inc. ................ 258,800 4,011,400
*Show Biz Pizza Time, Inc. .......... 141,600 2,301,000
Showboat, Inc. ..................... 53,300 992,713
Sifco Industries, Inc. ............. 35,600 382,700
144
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Sigma Circuits, Inc. ............... 20,600 $ 135,188
*Sigma Designs, Inc. ................ 11,300 105,231
*Signal Technology Corp. ............ 41,000 302,375
*Silicon Valley Bancshares .......... 26,700 801,000
*Silicon Valley Group, Inc. ......... 113,600 2,399,800
Simmons First National Corp.
Class A ............................ 27,400 1,096,000
Simpson Industries, Inc. ........... 134,000 1,390,250
*Sizzler International, Inc. ........ 212,700 611,513
Skyline Corp. ...................... 61,100 1,588,600
Skywest, Inc. ...................... 123,900 1,757,831
Smith (A.O.) Corp. ................. 138,500 4,103,063
Smith (A.O.) Corp. Convertible
Class A ............................ 32,800 951,200
*Smith Environmental Technologies
Corp. .............................. 54,200 44,038
*Smiths Food & Drug Centers, Inc.
Class B ............................ 7,600 229,900
Snyder Oil Corp. ................... 223,500 3,855,375
*Softech, Inc. ...................... 31,300 86,075
*#Software Publishing Corp. .......... 86,000 120,938
*Software Spectrum, Inc. ............ 27,900 861,413
*Sound Advice, Inc. ................. 16,600 28,531
South Jersey Industries, Inc. ...... 71,977 1,736,445
Southdown, Inc. .................... 135,200 4,410,900
*Southern Electronics Corp. ......... 51,200 531,200
*Southwall Technologies, Inc. ....... 40,800 272,850
Southwest Bancshares, Inc. DE ...... 19,500 358,313
Southwest Securities Group, Inc .... 35,300 452,281
Southwestern Energy Co. ............ 289,900 4,638,400
*Spacelabs Medical, Inc. ............ 116,900 2,352,613
*Spaghetti Warehouse, Inc. .......... 44,800 224,000
Span-American Medical System, Inc. 25,300 107,525
*Sparton Corp. ...................... 100,600 804,800
*Spec's Music, Inc. ................. 36,900 41,513
*Specialty Chemical Resources, Inc. . 23,000 40,250
*Specialty Paperboard, Inc. ......... 27,700 498,600
*Spectran Corp. ..................... 53,500 939,594
*Speizman Industries, Inc. .......... 26,500 146,578
*Sport Chalet, Inc. ................. 42,300 142,763
*Sport Supply Group, Inc. ........... 46,600 273,775
*#Sportmart, Inc. .................... 38,700 128,194
*Sportmart, Inc. Class A ............ 43,500 127,781
*Sports & Recreation, Inc. .......... 195,000 1,681,875
*Sports Club Co., Inc. .............. 17,000 44,625
*Stacey's Buffet, Inc. .............. 2,140 1,404
*Staff Builders, Inc. Class A ....... 157,900 384,881
*Stage II Apparel Corp. ............. 31,600 79,000
*Standard Commercial Corp. .......... 89,582 1,209,356
*Standard Management Corp. .......... 22,900 107,344
*Standard Microsystems Corp. ........ 89,900 988,900
Standard Motor Products, Inc.
Class A ............................ 94,000 1,292,500
Standard Pacific Corp. DE .......... 205,872 1,209,498
Standard Products Co. .............. 265,900 6,082,463
*Stanford Telecommunications, Inc. .. 17,500 492,188
*Stanley Furniture, Inc. ............ 32,600 533,825
Stant Corp. ........................ 195,500 2,443,750
*Staodyn, Inc. ...................... 19,700 26,472
*Starcraft Corp. .................... 12,800 48,800
Starret Housing Corp. .............. 62,600 696,425
Starrett (L.S.) Co. Class A ........ 48,700 1,351,425
*Station Casinos, Inc. .............. 41,000 435,625
Steel Technologies, Inc. ........... 66,100 834,513
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Steel of West Virginia, Inc. ....... 68,000 $ 382,500
Stepan Co. ......................... 82,100 1,559,900
Sterling Bancorp ................... 63,500 944,563
*Sterling Financial Corp. WA ........ 42,180 572,066
*Stevens International .............. 53,000 72,875
Stewart Information Services Corp. . 48,200 1,015,213
Stifel Financial Corp. ............. 32,000 264,000
*Stokely USA, Inc. .................. 84,000 157,500
Stone & Webster, Inc. .............. 104,300 3,402,788
*Stratus Computer, Inc. ............. 154,000 3,965,500
Strawbridge & Clothier Class A ..... 71,881 1,195,022
*Streamlogic Corp. .................. 136,100 204,150
Stride Rite Corp. .................. 113,700 1,137,000
*Strouds, Inc. ...................... 98,000 392,000
*Stuart Entertainment, Inc. ......... 43,700 245,813
*Sulcus Computer Corp. .............. 92,000 195,500
Sullivan Dental Products, Inc. ..... 39,300 520,725
Sumitomo Bank of California ........ 39,600 1,014,750
*Summit Care Corp. .................. 57,000 840,750
*Summit Technology, Inc. ............ 12,000 62,625
*Sun Coast Plastics, Inc. ........... 2,300 7,906
*Sun Healthcare Group, Inc. ......... 178,000 2,225,000
*Sun Sportswear, Inc. ............... 41,900 86,419
Sun Television and Appliances, Inc. 206,300 541,538
*Sunbelt Nursery Group, Inc. ........ 22,700 34,050
*Sunrise Medical, Inc. .............. 98,800 1,420,250
*Sunrise Resources, Inc. ............ 47,700 205,706
Superior Surgical Manufacturing
Co., Inc. .......................... 60,700 781,513
*Surety Capital Corp. ............... 3,000 12,938
Susquehanna Bancshares, Inc. ....... 94,810 3,353,904
*Swift Energy Corp. ................. 30,170 954,126
*Swiss Army Brands, Inc. ............ 79,000 1,106,000
*Sybron Chemicals, Inc. ............. 1,600 25,600
*Symix Systems, Inc. ................ 8,600 66,113
*Syms Corp. ......................... 128,700 1,126,125
*Syncor International Corp. DE ...... 69,600 700,350
*Syntellect, Inc. ................... 52,400 258,725
*Syquest Technology, Inc. ........... 75,900 374,756
*Syratech Corp. ..................... 18,900 585,900
*TBC Corp. .......................... 24,000 175,500
TCBY Enterprises, Inc. ............. 167,866 713,431
*TCC Industries, Inc. ............... 6,500 10,563
*TCI International, Inc. ............ 24,600 178,350
TJ International, Inc. ............. 105,800 2,301,150
TR Financial Corp. ................. 59,800 1,752,888
*TRC Companies, Inc. ................ 49,550 247,750
*TRM Copy Centers Corp. ............. 38,000 401,375
*TSF Communications Corp. ........... 2,000 50,750
Tab Products Co. DE ................ 34,800 269,700
*Taco Cabana Inc. ................... 187,900 1,256,581
*Tandy Brand Accessories, Inc. ...... 500 3,188
*Tandy Crafts, Inc. ................. 91,400 605,525
*Tanknology Environmental, Inc. ..... 101,300 208,931
Tasty Baking Co. ................... 2,400 35,100
*Team, Inc. ......................... 56,500 88,281
*Tech-Sym Corp. ..................... 41,700 1,214,513
*Technical Communications Corp. ..... 3,900 37,538
Technitrol, Inc. ................... 3,000 108,000
*Tekelec ............................ 17,600 239,800
*Telco Systems, Inc. ................ 43,500 766,688
Telxon Corp. ....................... 51,300 618,806
*Temtex Industries, Inc. ............ 29,700 87,244
*Tesoro Petroleum Corp. ............. 133,500 1,935,750
*Tetra Technologies, Inc. ........... 37,900 964,081
145
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Texas Industries, Inc. ............. 71,981 $4,093,919
*Texfi Industries, Inc. ............. 29,100 72,750
*Theratx, Inc. ...................... 108,700 1,141,350
Thiokol Corp. ...................... 14,400 662,400
Thomas Industries, Inc. ............ 83,700 1,694,925
Thomaston Mills, Inc. .............. 34,800 395,850
Thor Industries, Inc. .............. 1,600 38,200
*Thorn Apple Valley, Inc. ........... 46,915 598,166
*Timberland Co. Class A ............. 9,800 379,750
*Tipperary Corp. .................... 40,000 200,000
Titan Holdings, Inc. ............... 76,008 1,140,120
#Titan Wheel International, Inc. .... 103,500 1,371,375
Toastmaster, Inc. .................. 50,800 152,400
*#Todays Man, Inc. ................... 86,000 150,500
*Todd Shipyards Corp. ............... 71,300 490,188
Todd-AO Corp. Class A .............. 3,740 39,738
Tower Air, Inc. .................... 149,300 452,566
*Tracor, Inc. ....................... 23,700 519,919
*Trak Auto Corp. .................... 40,200 668,325
*#Trans World Airlines, Inc. ......... 208,000 1,612,000
*Trans World Entertainment Corp. .... 82,600 660,800
*TransNet Corp. ..................... 3,000 9,281
*Transcend Services, Inc. ........... 20,100 118,088
Transnational RE Corp. Class A ..... 8,400 210,525
Transport Leasing International,
Inc. ............................... 26,500 127,531
Transport Lux Corp. ................ 2,546 31,189
Transtechnology Corp. .............. 39,200 759,500
*#Travel Ports of America, Inc. ...... 45,300 118,913
Treadco, Inc. ...................... 40,000 387,500
*Tremont Corp. DE ................... 35,833 1,303,425
*Trend-Lines, Inc. Class A .......... 70,900 345,638
Trenwick Group, Inc. ............... 32,000 1,572,000
*Triangle Pacific Corp. ............. 30,000 654,375
*Tricord Systems, Inc. .............. 89,500 183,195
*Trimark Holdings, Inc. ............. 30,300 155,288
*Triple S Plastics, Inc. ............ 25,500 208,781
*Tripos, Inc. ....................... 16,166 256,635
*Trism, Inc. ........................ 36,000 137,250
*Truevision, Inc. ................... 82,200 218,344
*Tuesday Morning Corp. .............. 54,700 1,189,725
*Tultex Corp. ....................... 201,107 1,432,887
*Turner Corp. ....................... 21,932 189,164
Twin Disc, Inc. .................... 19,900 430,338
*Tyco Toys, Inc. .................... 300,600 3,532,050
*Tyler Corp. ........................ 151,700 246,513
U.S. Bancorp, Inc. ................. 35,900 1,453,950
*UNC, Inc. .......................... 125,600 1,161,800
UNR Industries, Inc. ............... 83,800 565,650
*URS Corp. .......................... 59,402 497,492
*US Servis, Inc. .................... 18,400 50,025
*US Xpress Enterprises, Inc.
Class A ............................ 26,100 234,900
*USData Corp. ....................... 6,750 45,984
*USMX, Inc. ......................... 12,000 18,000
UST Corp. .......................... 37,500 698,438
*Ultimate Electronics, Inc. ......... 52,700 158,100
*Ultra Pacific, Inc. ................ 31,700 128,781
*Ultradata Corp. .................... 25,000 121,875
Uni-Marts, Inc. .................... 26,100 166,388
Unico American Corp. ............... 44,700 416,269
*Union Corp. DE ..................... 35,200 787,600
*Union Switch & Signal, Inc. ........ 69,550 517,278
*Uniroyal Technology Corp. .......... 86,800 249,550
*Unit Corp. ......................... 80,900 677,538
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
*Unit Instruments, Inc. ............. 29,400 $ 295,838
*United American Healthcare Corp. ... 5,000 31,875
United Carolina Bancshares Corp. ... 51,900 2,079,244
United Fire Casualty Co. ........... 450 14,513
United Industrial Corp. ............ 85,200 500,550
United National Bancorp ............ 3,710 131,241
*United Retail Group, Inc. .......... 91,700 275,100
*United States Energy Corp. ......... 15,700 214,894
United States Facilities Corp. ..... 44,900 869,938
*United States Home Corp. ........... 85,000 2,103,750
*United States Homecare Corp. ....... 63,900 45,928
United Wisconsin Services, Inc. .... 47,600 1,231,650
*Unitel Video, Inc. ................. 19,200 158,400
*Universal Electronics, Inc. ........ 49,400 280,963
*Universal Health Services, Inc.
Class B ............................ 96,200 2,717,650
*Universal Hospital Services, Inc. .. 58,900 552,188
*Universal International, Inc. ...... 34,600 80,013
*Universal Standard Medical Labs,
Inc. ............................... 46,600 183,488
*Uno Restaurant Corp. ............... 30,800 211,750
*Uranuim Resources, Inc. ............ 57,000 527,250
*Utilx Corp. ........................ 50,400 184,275
*V Band Systems, Inc. ............... 44,700 89,400
*VLSI Technology, Inc. .............. 273,400 6,288,200
*Valence Technology, Inc. ........... 120,000 521,250
*Vallen Corp. ....................... 55,800 941,625
Valley Forge Corp. ................. 15,000 194,063
Vallicorp Holdings, Inc. ........... 29,900 603,606
*Value City Department Stores, Inc. . 213,600 2,723,400
*Valuevision International, Inc.
Class A ............................ 107,000 591,844
*Varco International, Inc. .......... 49,400 1,130,025
*Variflex, Inc. ..................... 43,300 221,913
#Varlen Corp. ....................... 46,838 942,615
*Vectra Technologies, Inc. .......... 56,100 119,213
*Ventura County National Bancorp .... 62,209 303,269
*Venture Stores, Inc. ............... 210,679 684,707
*Veritas DGC, Inc. .................. 68,200 1,457,775
Vermont Financial Services Corp. ... 34,600 1,219,650
*Versar, Inc. ....................... 1,300 3,981
*Vertex Communications Corp. ........ 29,200 503,700
*Vicorp Restaurants, Inc. ........... 76,600 1,072,400
*Video Display Corp. ................ 26,400 100,650
*Video Lottery Technologies, Inc. ... 94,200 418,013
*Vie de France Corp. ................ 12,000 24,750
Virco Manufacturing Corp. .......... 68,264 1,126,356
Virginia Beach Federal Financial
Corp. .............................. 40,050 367,959
*Volunteer Capital Corp. ............ 17,000 142,375
Vulcan International Corp. ......... 12,200 363,713
*WHX Corp. .......................... 305,500 2,864,063
WICOR, Inc. ........................ 25,000 909,375
WLR Foods, Inc. .................... 125,500 1,600,125
*WPI Group, Inc. .................... 9,200 74,175
*WSMP, Inc. ......................... 2,000 14,875
Walbro Corp. ....................... 56,052 1,114,034
Walden Bancorp, Inc. ............... 35,600 1,230,425
*Walker Interactive Systems, Inc. ... 47,600 734,825
*Wall Data, Inc. .................... 15,000 226,875
*Wall Street Deli, Inc. ............. 24,700 134,306
Walshire Assurance Co. ............. 45,934 640,205
Warren Bancorp, Inc. ............... 36,000 540,000
*Washington Homes, Inc. ............. 60,900 274,050
Washington National Corp. .......... 108,800 3,032,800
146
<PAGE>
THE U.S. SMALL CAP VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Washington Savings Bank FSB
Waldorf, MD ........................ 23,500 $ 111,625
Watkins-Johnson Co. ................ 62,400 1,622,400
Watts Industries, Inc. Class A ..... 210,900 4,613,438
Webb (Del) Corp. ................... 115,188 1,943,798
#Webster Financial Corp. ............ 51,280 1,923,000
*Weirton Steel Corp. ................ 275,800 723,975
*Welcome Home, Inc. ................. 14,000 12,250
Wellco Enterprises, Inc. ........... 1,600 68,800
*Wells-Gardner Electronics Corp. .... 21,700 86,800
Werner Enterprises, Inc. ........... 199,500 3,216,938
Wesbanco, Inc. ..................... 5,200 156,650
West, Inc. ......................... 29,000 830,125
Westco Bancorp, Inc. ............... 11,400 247,950
Westcorp, Inc. ..................... 46,856 1,106,973
Westerfed Financial Corp. .......... 34,600 640,100
*Western Beef, Inc. ................. 46,800 491,400
*Western Micro Technology, Inc. ..... 12,300 127,613
*Westmoreland Coal Co. .............. 20,600 51,500
*Weston (Roy F.), Inc. Class A ...... 49,100 184,125
Weyco Group, Inc. .................. 800 33,200
*Whitehall Corp. .................... 700 27,563
Whitney Holdings Corp. ............. 90,171 3,178,528
*Whittaker Corp. .................... 131,900 1,846,600
*Wickes Lumber Co. .................. 38,800 138,225
*Williams Clayton Energy, Inc. ...... 49,500 807,469
Wilshire Oil Co. of Texas .......... 65,454 351,815
Windmere Corp. ..................... 126,200 1,814,125
Wiser Oil Co. ...................... 72,475 1,259,253
Wolf (Howard B.), Inc. ............. 5,000 31,250
Wolohan Lumber Co. ................. 55,578 705,146
*Wonderware Corp. ................... 117,000 1,104,188
*Worldcorp, Inc. .................... 25,000 118,750
*Worldtex, Inc. ..................... 106,600 879,450
Worthington Foods, Inc. ............ 13,250 341,188
Wyle Laboratories, Inc. ............ 33,200 1,195,200
*Wyman-Gordon Co. ................... 48,800 1,043,100
Wynns International, Inc. .......... 42,700 1,243,638
*Xicor, Inc. ........................ 55,100 526,894
Yankee Energy Systems, Inc. ........ 71,600 1,575,200
*Yellow Corp. ....................... 196,100 2,966,013
York Financial Corp. ............... 54,109 906,326
*Zale Corp. ......................... 154,500 3,070,688
*Zaring Homes, Inc. ................. 31,100 338,213
*Zemex Corp. ........................ 62,940 542,859
*Zenith Electronics Corp. ........... 29,900 396,173
Zenith National Insurance Corp. .... 104,100 2,862,750
#Ziegler Co., Inc. .................. 1,700 31,238
*Zilog, Inc. ........................ 139,400 3,119,075
*Zitel Corp. ........................ 74,000 1,669,625
Zurn Industries, Inc. .............. 99,900 2,859,638
*Zygo Corp. ......................... 12,600 494,550
--------------
<PAGE>
Shares Value+
--------- ----------
TOTAL COMMON STOCKS (Cost
$1,011,280,355) ..................... $1,231,805,985
--------------
PREFERRED STOCKS -- (0.0%)
Fedders Corp. Convertible (Cost
$207,212) ........................... 53,000 311,375
--------------
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants
Class A 04/02/02 .................... 3,620 18,100
*CSF Holdings, Inc. Litigation Rights
12/30/99 ............................ 40,500 0
*Morrison Knudsen Corp. Warrants
03/11/03 ............................ 6,975 33,131
*National Mercantile Bancorp
Warrants 06/02/99 ................... 165 0
*Statesman Group, Inc. Contingent
Payment Rights ...................... 37,500 0
--------------
TOTAL RIGHTS/WARRANTS (Cost $39,234) . 51,231
--------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97) (Cost
$14,906,000) ....................... $14,906 14,906,000
--------------
TOTAL INVESTMENTS -- (99.9%) (Cost
$1,026,432,801) ..................... 1,247,074,591
--------------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets ....................... 2,314,866
Payable for Investment Securities
Purchased ....................... (773,250)
Other Liabilities .................. (403,659)
--------------
1,137,957
--------------
NET ASSETS -- (100.0%) Applicable to
75,301,072 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................. $1,248,212,548
===============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ......... $ 16.58
===============
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
147
<PAGE>
STATEMENT OF NET ASSETS
THE U.S. LARGE CAP VALUE SERIES
NOVEMBER 30, 1996
Shares Value+
------ ----------
COMMON STOCKS - (98.9%)
AK Steel Holding Corp. .......... 29,400 $ 1,120,875
*AMR Corp. ....................... 176,500 16,105,625
*#Advanced Micro Devices, Inc. .... 241,900 5,866,075
Aetna, Inc. ..................... 197,726 14,260,988
Ahmanson (H.F.) & Co. ........... 237,800 7,847,400
Albemarle Corp. ................. 97,500 1,767,188
Alexander & Baldwin, Inc. ....... 60,900 1,621,463
Alleghany Corp. ................. 8,432 1,783,368
*Alumax, Inc. .................... 88,500 2,865,188
Ambac, Inc. ..................... 47,400 3,246,900
*Amdahl Corp. .................... 228,333 2,711,454
Amerada Hess Corp. .............. 126,800 7,465,350
American General Corp. .......... 326,500 13,427,313
American Greetings Corp. Class A 14,400 407,700
American National Insurance Co. . 18,300 1,374,788
#Apple Computer, Inc. ............ 319,800 7,755,150
Argonaut Group, Inc. ............ 32,100 950,963
Asarco, Inc. .................... 104,900 2,858,525
Avnet, Inc. ..................... 50,600 2,960,100
*BHC Communications, Inc. Class A 7,100 725,088
Ball Corp. ...................... 112,500 2,756,250
Bancorp Hawaii, Inc. ............ 55,800 2,434,275
Bankers Trust New York Corp. .... 101,900 8,865,300
Bear Stearns Companies, Inc. .... 179,274 4,930,035
Berkley (W.R.) Corp. ............ 18,200 960,050
*#Bethlehem Steel Corp. ........... 275,500 2,479,500
*Beverly Enterprises ............. 231,100 3,062,075
Block Drug Co., Inc. Class A .... 15,928 726,711
Boise Cascade Corp. ............. 121,100 3,754,100
Borg Warner Automotive, Inc. .... 46,300 1,852,000
Bowater, Inc. ................... 52,600 1,979,075
*Burlington Industries, Inc. ..... 96,800 1,052,700
Burlington Northern Santa Fe
Corp. ........................... 208,200 18,711,975
CIGNA Corp. ..................... 107,508 15,198,944
*CNA Financial Corp. ............. 90,300 9,707,250
CSX Corp. ....................... 365,200 17,073,100
*Cal Fed Bancorp, Inc. ........... 58,900 1,428,325
Centex Corp. .................... 38,400 1,382,400
Champion International Corp. .... 182,000 7,826,000
Chesapeake Corp. ................ 15,100 460,550
Chiquita Brands International,
Inc. ............................ 39,500 523,375
*Chris-Craft Industries, Inc. .... 64,859 2,651,112
Chrysler Corp. .................. 1,197,826 42,522,823
Cincinnati Financial Corp. ...... 89,560 5,373,600
Citizens Corp. .................. 14,000 306,250
Coca-Cola Enterprises, Inc. ..... 186,300 8,406,788
Comdicso, Inc. .................. 68,800 2,236,000
Commerce Bancshares, Inc. ....... 50,740 2,276,966
Commerce Group, Inc. ............ 49,600 1,190,400
Comsat Corp. Series 1 ........... 86,100 2,260,125
#Conrail, Inc. ................... 115,200 11,203,200
Consolidated Freightways, Inc. .. 100,900 2,434,213
Coors (Adolph) Co. Class B ...... 80,500 1,589,875
Countrywide Credit Industries,
Inc. ............................ 144,200 4,163,775
Cummins Engine Co., Inc. ........ 55,200 2,497,800
#Cyprus Amax Minerals Co., Inc. .. 238,900 5,912,775
*DSC Communications Corp. ........ 238,500 4,307,906
Diamond Shamrock, Inc. .......... 47,600 1,547,000
*#Digital Equipment Corp. ......... 301,300 11,072,775
<PAGE>
Shares Value+
------ ----------
Dillard Department Stores, Inc.
Class A ......................... 246,700 $ 7,555,188
*Dime Bancorp, Inc. .............. 140,300 2,227,263
Donaldson, Lufkin & Jenrette,
Inc. ............................ 86,500 3,081,563
#Enserch Corp. ................... 92,800 2,169,200
*Enserch Exploration, Inc. ....... 107,100 1,218,263
Equitable Companies, Inc. ....... 150,100 3,714,975
Equitable of Iowa Companies ..... 19,100 854,725
*FHP International Corp. ......... 41,800 1,502,188
Federal-Mogul Corp. ............. 15,500 344,875
*#Federated Department Stores, Inc. 444,300 15,161,738
Financial Security Assurance
Holdings, Ltd. .................. 30,300 962,025
Fina, Inc. Class A .............. 35,000 1,653,750
Finova Group, Inc. .............. 36,600 2,415,600
First Citizens Bancshares, Inc.
NC .............................. 3,700 294,150
First Colony Corp. .............. 66,300 2,386,800
First Hawaiian, Inc. ............ 44,100 1,430,494
First of America Bank Corp. ..... 25,800 1,567,350
Florida East Coast Industries,
Inc. ............................ 11,400 1,003,200
Ford Motor Co. .................. 1,903,500 62,339,626
*Fruit of The Loom, Inc. Class A . 57,300 2,041,313
GATX Corp. ...................... 27,200 1,356,600
General Motors Corp. ............ 1,284,500 74,019,293
#General Motors Corp. Class H .... 182,646 9,954,207
Georgia-Pacific Corp. ........... 164,900 11,996,475
Golden West Financial Corp. ..... 90,800 6,129,000
Goodyear Tire & Rubber Co. ...... 30,000 1,455,000
*Grand Casinos, Inc. ............. 4,000 51,000
Great Atlantic & Pacific Tea Co.,
Inc. ............................ 51,700 1,693,175
Great Western Financial Corp. ... 217,800 6,779,025
Greenpoint Financial Corp. ...... 71,600 3,454,700
Heilig-Meyers Co. ............... 33,900 470,363
Helmerich & Payne, Inc. ......... 32,000 1,720,000
Inland Steel Industries, Inc. ... 90,600 1,687,425
International Paper Co. ......... 497,200 21,131,000
*International Speciality
Products, Inc. ................... 71,800 870,575
#James River Corp. of Virginia ... 126,200 4,038,400
K Mart Corp. .................... 1,187,400 13,209,825
*Kaiser Aluminum Corp. ........... 89,000 945,625
LTV Corp. ....................... 225,900 2,428,425
#Lafarge Corp. ................... 136,700 2,631,475
Lehman Brothers Holdings, Inc. .. 222,600 6,483,225
Lennar Corp. .................... 60,000 1,560,000
Liberty Corp. ................... 22,000 838,750
Liberty Financial Companies, Inc. 81,000 2,875,500
Lincoln National Corp. .......... 154,850 8,342,544
Loews Corp. ..................... 184,900 17,149,475
Longs Drug Stores Corp. ......... 14,000 701,750
Longview Fibre Co. .............. 43,100 786,575
Louisiana-Pacific Corp. ......... 196,400 4,443,550
MBIA, Inc. ...................... 58,300 5,895,588
MCI Communications Corp. ........ 333,400 10,189,538
Mead Corp. ...................... 72,300 4,283,775
Mercantile Stores Co., Inc. ..... 70,012 3,518,103
*Meyer (Fred), Inc. DE ........... 35,500 1,189,250
Mitchell Energy & Development
Corp. Class A ................... 29,500 641,625
148
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
Shares Value+
------ ----------
Mitchell Energy & Development
Corp. Class B ................... 37,200 $ 785,850
#Morgan (J.P.) & Co., Inc. ....... 94,300 8,899,563
Murphy Oil Corp. ................ 11,600 591,600
*National Semiconductor Corp. .... 254,100 6,225,450
*Navistar International Corp. .... 141,300 1,342,350
*#Nextel Communications Corp.
Class A ......................... 329,800 4,967,613
Norfolk Southern Corp. .......... 158,500 14,265,000
Occidental Petroleum Corp. ...... 476,200 11,428,800
Ogden Corp. ..................... 104,696 2,028,485
Ohio Casualty Corp. ............. 47,800 1,643,125
Old Republic International Corp. 127,950 3,470,644
Overseas Shipholding Group, Inc. 26,400 422,400
PHH Corp. ....................... 66,000 2,961,750
Paccar, Inc. .................... 55,300 3,691,275
Paine Webber Group, Inc. ........ 76,300 2,069,638
Paul Revere Corp. ............... 62,000 1,960,750
Phelps Dodge Corp. .............. 91,700 6,659,713
Potlatch Corp. .................. 94,600 4,186,050
Providian Corp. ................. 214,500 11,475,750
Pulte Corp. ..................... 35,700 1,093,313
*#Quantum Corp. ................... 68,400 1,838,250
RJR Nabisco Holdings Corp. ...... 488,080 15,618,560
Rayonier, Inc. .................. 40,000 1,550,000
Reliance Group Holdings, Inc. ... 104,800 943,200
Republic New York Corp. ......... 64,900 5,727,425
Reynolds Metals Co. ............. 93,500 5,563,250
Ryder System, Inc. .............. 119,400 3,626,775
Safeco Corp. .................... 184,900 7,719,575
Saint Paul Companies, Inc. ...... 213,400 12,563,925
#Salomon, Inc. ................... 219,800 10,028,375
#Sensormatic Electronics Corp. ... 97,200 1,944,000
Signet Banking Corp. ............ 113,000 3,418,250
Smiths Food & Drug Centers, Inc.
Class B ......................... 7,469 225,937
Southern New England
Telecommunications Corp. ........ 42,800 1,701,300
Springs Industries, Inc. Class A 27,000 1,255,500
St. Joe Corp. ................... 35,000 2,314,375
Standard Federal Bancorporation,
Inc. ............................ 15,100 851,263
Stone Container Corp. ........... 237,400 3,650,025
Sun Company, Inc. ............... 64,080 1,602,000
TIG Holdings, Inc. .............. 75,300 2,296,650
*Tandem Computers, Inc. .......... 287,300 3,914,463
Tecumseh Products Co. Class A ... 20,300 1,195,163
Tecumseh Products Co. Class B ... 5,700 309,938
Telephone & Data Systems, Inc. .. 71,400 2,668,575
Temple-Inland, Inc. ............. 138,200 7,428,250
Terra Industries, Inc. .......... 26,300 381,350
Timken Co. ...................... 43,200 1,971,000
Transamerica Corp. .............. 136,400 10,826,750
Tyson Foods, Inc. Class A ....... 113,500 3,724,219
UMB Financial Corp. ............. 27,030 1,067,685
*USAir Group, Inc. ............... 12,300 285,975
USF&G Corp. ..................... 236,900 4,738,000
USLIFE Corp. .................... 72,100 2,226,088
USX-Marathon Group, Inc. ........ 398,250 9,109,969
<PAGE>
Shares Value+
------ ----------
USX-US Steel Group .............. 157,400 $ 4,741,675
Union Camp Corp. ................ 142,600 7,005,225
Union Pacific Corp. ............. 273,200 15,913,900
*#Union Pacific Resources Group,
Inc. ............................ 231,385 6,912,627
Unionbancal Corp. ............... 53,200 2,912,700
*Unisys Corp. .................... 218,000 1,662,250
*United States Cellular Corp. .... 71,000 1,988,000
Unitrin, Inc. ................... 51,900 2,770,163
Valero Energy Corp. ............. 81,100 2,433,000
Valhi, Inc. ..................... 80,100 490,613
*Value Health, Inc. .............. 82,700 1,498,938
*Viacom, Inc. Class B ............ 329,500 12,479,813
*Vishay Intertechnology, Inc. .... 81,600 1,713,600
Washington Mutual, Inc. ......... 95,200 4,147,150
Wellman, Inc. ................... 44,600 719,175
Wesco Financial Corp. ........... 8,500 1,572,500
Westvaco Corp. .................. 143,250 4,046,813
Weyerhaeuser Co. ................ 124,000 5,704,000
*Wheelabrator Technologies, Inc. . 88,100 1,442,638
Whirlpool Corp. ................. 56,100 2,805,000
*Woolworth Corp. ................. 158,500 3,804,000
*Zurich Reinsurance Centre
Holdings, Inc. .................. 34,300 1,050,438
--------------
TOTAL COMMON STOCKS
(Cost $830,481,801) ............. 977,353,393
--------------
Face
Amount
-----------
(000)
TEMPORARY CASH INVESTMENTS --
(0.7%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97)
(Cost $7,009,000) ................ $7,009 7,009,000
--------------
TOTAL INVESTMENTS - (99.6%) (Cost
$837,490,801) .................... 984,362,393
--------------
OTHER ASSETS AND LIABILITIES -
(0.4%)
Other Assets ...................... 3,806,281
Payable for Fund Shares Redeemed .. (64,801)
Other Liabilities ................. (162,180)
--------------
3,579,300
--------------
NET ASSETS - (100.0%) Applicable to
63,666,881 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ............... $987,941,693
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ....... $ 15.52
==============
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
149
<PAGE>
STATEMENT OF NET ASSETS
THE JAPANESE SMALL COMPANY SERIES
NOVEMBER 30, 1996
Shares Value+
------- ----------
COMMON STOCKS - (99.0%)
*ASK Corp., Yokohama ................ 66,000 $ 267,944
Achilles Corp. ..................... 239,000 819,069
Aica Kogyo Co., Ltd. ............... 102,000 590,668
Aichi Corp. ........................ 57,000 500,879
#Aichi Machine Industry Co., Ltd. ... 127,000 813,559
#Aichi Tokei Denki Co., Ltd. ........ 67,000 341,476
Aida Engineering, Ltd. ............. 134,000 945,536
#Akebono Brake Industry Co., Ltd. ... 130,000 639,719
Amada Sonoike Co., Ltd. ............ 132,000 729,596
*Amada Wasino Co., Ltd. ............. 122,000 382,724
Ando Corp. ......................... 120,000 511,424
#Anest Iwata Corp. .................. 74,000 338,787
#Arai-Gumi, Ltd. .................... 46,600 802,601
Araya Industrial Co., Ltd. ......... 84,000 297,469
#Asahi Denka Kogyo KK ............... 105,000 898,682
Asahi Kogyosha Co., Ltd. ........... 48,000 272,056
*Asahi Optical Co., Ltd. ............ 180,000 775,044
Asahi Organic Chemicals Industry
Co., Ltd. .......................... 147,000 962,346
Asahi Tec Corp. .................... 86,000 528,998
Asanuma Corp. ...................... 117,000 536,678
#Ashimori Industry Co., Ltd. ........ 84,000 397,118
*Asics Corp. ........................ 307,000 771,547
Bando Chemical Industries, Ltd. .... 182,000 804,446
Bank of Okinawa, Ltd. .............. 15,600 583,972
*#Bank of Osaka, Ltd. ................ 302,000 796,134
Bank of the Ryukyus, Ltd. .......... 15,600 544,218
Bunka Shutter Co., Ltd. ............ 114,000 750,316
#CKD Corp. .......................... 91,000 630,923
#CMK Corp. .......................... 76,000 1,075,220
Cabin Co., Ltd. .................... 67,000 312,627
Calpis Food Industry Co., Ltd. ..... 110,000 717,223
*Central Finance Co., Ltd. .......... 180,000 613,708
*Central Glass Co., Ltd. ............ 328,000 1,014,552
Chiba Kogyo Bank, Ltd. ............. 6,600 234,306
#Chino Corp. ........................ 70,000 330,316
*Chisan Tokan Co., Ltd. ............. 64,000 222,144
*#Chori Co., Ltd. .................... 137,000 457,469
#Chuetsu Pulp and Paper Co., Ltd. ... 172,000 782,917
#Chugai Ro Co., Ltd. ................ 139,000 684,007
#Chugoku Marine Paints, Ltd. ........ 111,000 473,067
Chugokukogyo Co., Ltd. ............. 45,000 213,533
Chukyo Coca-Cola Bottling Co., Ltd. 68,000 663,269
Chukyo Sogo Bank, Ltd. ............. 203,000 909,754
Chuo Paperboard Co., Ltd. .......... 62,000 170,527
Chuo Spring Co., Ltd., Nagoya ...... 90,000 494,288
*Clarion Co., Ltd. .................. 230,000 1,267,223
#Cleanup Corp. ...................... 72,000 790,861
*Co-Op Chemical Co., Ltd. ........... 80,000 217,926
*#Copal Co., Ltd. .................... 78,000 569,578
*#D'urban, Inc. ...................... 114,000 462,812
Dai Nippon Construction ............ 81,000 427,777
#Dai Nippon Toryo, Ltd. ............. 181,000 588,489
Dai-Dan Co., Ltd. .................. 52,000 603,163
Dai-Ichi Hotel, Ltd., Tokyo ........ 52,000 315,290
*Dai-Ichi Katei Denki Co., Ltd. ..... 91,000 374,236
#Dai-Ichi Kogyo Seiyaku Co., Ltd. ... 47,000 251,520
*Dai-Ichi Securities Co., Ltd. ...... 228,000 781,371
<PAGE>
Shares Value+
------- ----------
#Daido Concrete Co., Ltd. ........... 33,000 $ 131,072
#Daido Hoxan, Inc. .................. 138,000 771,248
#Daido Kogyo Co., Ltd. .............. 60,000 335,325
Daido Steel Sheet Corp. ............ 71,000 879,701
Daidoh, Ltd. ....................... 54,000 391,476
Daiei OMC, Inc. .................... 90,000 353,515
Daihen Corp. ....................... 205,000 864,675
Daiho Corp. ........................ 96,000 565,202
#Daiichi Cement Co., Ltd. ........... 33,000 157,750
*#Daiichi Chuo Kisen Kaisha .......... 390,000 856,766
Daiichi Jitsugyo Co., Ltd. ......... 80,000 395,079
#Daimei Telecom Engineering Corp. ... 55,000 439,807
Dainichiseika Colour & Chemicals
Manufacturing Co., Ltd. ............ 133,000 870,694
Daisan Bank, Ltd. .................. 202,000 970,949
Daiso Co., Ltd. .................... 112,000 402,531
#Daisue Construction Co., Ltd. ...... 185,000 601,494
Daito Kogyo Co., Ltd. .............. 71,000 265,782
*Daito Woolen Spinning & Weaving
Co., Ltd., Tokyo ................... 42,000 152,794
#Daiwa Danchi Co., Ltd. ............. 172,000 897,786
#Daiwa Seiko, Inc. .................. 134,000 666,467
*Daiwabo Co., Ltd. .................. 160,000 576,450
#Dantani Corp. ...................... 68,000 268,893
Danto Corp. ........................ 42,000 479,789
#Denki Kogyo Co., Ltd. .............. 104,000 852,654
Descente, Ltd. ..................... 113,000 639,473
*Dijet Industrial Co., Ltd. ......... 34,000 112,935
#Dynic Corp. ........................ 52,000 254,060
#Eagle Industry Co., Ltd. ........... 43,000 334,402
Ehime Bank, Ltd. ................... 221,000 1,046,740
*#Enshu, Ltd. ........................ 69,000 264,359
*#FDK Corp. .......................... 94,000 519,561
#First Baking Co., Ltd. ............. 67,000 292,610
#France Bed Co., Ltd. ............... 161,000 993,163
Fuji Car Manufacturing Co., Ltd. ... 36,000 164,499
Fuji Denki Reiki Co., Ltd. ......... 73,000 705,624
*#Fuji Kosan Co., Ltd. ............... 117,000 372,179
Fuji Kyuko Co., Ltd. ............... 174,000 839,420
Fuji Oil Co., Ltd. ................. 133,000 1,010,940
Fuji Spinning Co., Ltd., Tokyo ..... 151,000 739,077
*Fujii & Co., Ltd. .................. 44,000 185,589
Fujiko Co., Ltd. ................... 55,000 176,406
#Fujirebio, Inc. .................... 60,000 475,044
*Fujitsu General, Ltd. .............. 149,000 1,178,383
*#Fujiya Co., Ltd. ................... 178,000 782,074
Fukuda Corp. ....................... 65,000 482,645
Fukusuke Corp. ..................... 95,000 429,086
*#Fukutoku Bank, Ltd. ................ 177,000 356,178
*#Furukawa Battery Co., Ltd. ......... 45,000 271,265
Fuso Pharmaceutical Industries,
Ltd. ............................... 108,000 642,496
*#Ga-jo-en Kanko K.K. ................ 37,000 42,267
Gakken Co., Ltd. ................... 146,000 962,214
#Gastec Service, Inc. ............... 41,000 254,719
#Godo Shusei Co., Ltd. .............. 74,000 341,388
*Graphtec Corp. ..................... 39,000 272,452
Gun-Ei Chemical Industry Co., Ltd. . 154,000 637,381
*Gunze Sangyo, Inc., Tokyo .......... 90,000 355,888
*#Hakone Tozan Railway Co., Ltd. ..... 52,000 191,916
150
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares Value+
------- ----------
Hakuyosha Co., Ltd. ................ 57,000 $ 310,545
#Hanshin Sogo Bank, Ltd. ............ 127,000 379,438
Harima Chemicals, Inc. ............. 37,000 328,383
*#Hayashikane Sangyo Co., Ltd. ....... 128,000 380,176
#Hisaka Works, Ltd. ................. 48,000 472,408
Hisamitsu Pharmaceutical Co., Inc. . 69,000 579,042
Hitachi Electronics, Ltd. .......... 82,000 792,619
Hitachi Plant Engineering &
Construction Co., Ltd. ............. 100,000 657,293
*#Hitachi Seiki Co., Ltd. ............ 141,000 485,694
#Hochiki Corp. ...................... 42,000 287,135
*#Hodogaya Chemical Co., Ltd. ........ 90,000 346,397
*#Hohsui Corp. ....................... 56,000 172,232
Hokkai Can Co., Ltd., Tokyo ........ 93,000 611,283
#Hokkaido Gas Co., Ltd. ............. 87,000 363,137
#Hokko Chemical Industry Co., Ltd. .. 41,000 225,176
*#Hoko Fishing Co., Ltd. ............. 79,000 234,640
#Hokuriku Electric Industry Co., Ltd. 112,000 557,047
Hokuriku Electrical Construction
Co., Ltd. .......................... 36,000 217,645
#Honen Corp. ........................ 119,000 694,341
#Horiba, Ltd. ....................... 44,000 518,102
*Hosiden Corp. ...................... 77,000 676,626
Hosokawa Micron Corp. .............. 28,000 369,069
Howa Machinery, Ltd. ............... 181,000 625,070
Ichida and Co., Ltd. ............... 78,000 380,404
Ichikawa Co., Ltd. ................. 49,000 203,234
Ichiken Co., Ltd. .................. 48,000 285,975
#Ichikoh Industries, Ltd. ........... 141,000 569,947
Idec Izumi Corp. ................... 49,000 426,274
#Ihara Chemical Industry Co., Ltd. .. 73,000 486,880
*Iino Kaiun Kaisha, Ltd. ............ 161,000 649,376
*#Ikegai Corp. ....................... 90,000 285,501
#Ikegami Tsushinki Co., Ltd. ........ 84,000 560,984
Inabata and Co., Ltd., Osaka ....... 78,000 538,049
Inageya Co., Ltd. .................. 20,000 268,893
Ines Corp. ......................... 31,000 495,782
#Intec, Inc. ........................ 56,000 767,663
*Inui Steamship Co., Ltd. ........... 31,000 84,446
#Ishii Iron Works Co., Ltd. ......... 52,000 223,902
*#Ishikawa Seisakusho, Ltd. .......... 75,000 275,483
Ishizuka Glass Co., Ltd. ........... 49,000 226,916
Itoki Crebio Corp. ................. 56,000 442,882
#Iwasaki Electric Co., Ltd. ......... 110,000 475,571
Iwatsu Electric Co., Ltd. .......... 145,000 677,856
*Izutsuya Co., Ltd. ................. 118,000 474,903
JDC Corp. .......................... 256,000 816,591
JMS Co., Ltd. ...................... 38,000 238,752
*#Janome Sewing Machine Co., Ltd. .... 224,000 749,947
#Japan Aircraft Manufacturing Co.,
Ltd. ............................... 70,000 396,749
*#Japan Aviation Electronics Industry,
Ltd. ............................... 136,000 944,112
Japan Carlit Co., Ltd. ............. 28,000 142,707
*Japan Coated Paper Manufacturing
Co., Ltd. .......................... 132,000 469,772
Japan Digital Laboratory Co., Ltd. . 49,500 896,046
*#Japan Metals & Chemicals Co.,
Ltd. ............................... 201,000 768,322
#Japan Oil Transportation Co., Ltd. . 45,000 207,996
#Japan Paper Industry Co., Ltd. ..... 91,000 403,822
#Japan Pulp and Paper Co., Ltd. ..... 205,000 1,061,028
#Japan Transcity Corp. .............. 90,000 470,562
Japan Vilene Co., Ltd. ............. 101,000 526,301
Japan Wool Textile Co., Ltd. ....... 22,000 186,555
<PAGE>
Shares Value+
------- ----------
*#Jeol, Ltd. ......................... 91,000 $ 563,752
#Joban Kosan Co., Ltd. .............. 101,000 446,424
Joshin Denki Co., Ltd. ............. 82,000 1,023,199
*#Jujiya Co., Ltd. ................... 161,000 548,928
Juken Sangyo Co., Ltd. ............. 72,000 568,787
*#Juki Corp. ......................... 141,000 567,469
Kagawa Bank, Ltd. .................. 102,350 863,409
Kagome Co., Ltd. ................... 114,000 846,485
Kaken Pharmaceutical Co., Ltd. ..... 105,000 690,158
*#Kakuei (L.) Corp. .................. 100,000 324,253
Kamei Corp. ........................ 54,000 621,617
#Kanaden Corp. ...................... 50,000 397,188
Kanagawa Chuo Kotsu Co., Ltd. ...... 90,000 522,759
Kanematsu Electronics, Ltd. ........ 38,000 328,576
*#Kansai Kisen Kaisha ................ 184,000 329,842
#Kansei Corp. ....................... 76,000 639,789
Kanto Auto Works, Ltd., Yokosuka ... 100,000 759,227
Kanto Bank, Ltd. ................... 13,400 369,736
#Kanto Denka Kogyo Co., Ltd. ........ 83,000 412,083
Kanto Natural Gas Development Co.,
Ltd. ............................... 87,000 693,401
*#Kanto Special Steel Works, Ltd. .... 84,000 346,924
Kasho Co., Ltd., Tokyo ............. 46,000 440,598
Kasumi Co., Ltd. ................... 80,000 627,768
#Katakura Industries Co., Ltd. ...... 49,000 456,415
Kato Works Co., Ltd. ............... 82,000 464,042
#Katsumura Construction Co., Ltd. ... 37,600 156,942
Kawada Industries, Inc. ............ 76,000 560,984
#Kawai Musical Instruments
Manufacturing Co., Ltd. ............ 99,000 390,606
*Kawashima Textile Manufacturers,
Ltd. ............................... 126,000 380,879
*Kawasho Corp. ...................... 169,000 598,480
Keihin Co., Ltd. ................... 100,000 438,489
Keiyo Co., Ltd. .................... 88,000 966,608
*Kenwood Corp. ...................... 14,000 76,520
#Kimmon Manufacturing Co., Ltd. ..... 41,000 206,081
*Kimura Chemical Plants Co., Ltd. ... 27,000 118,866
*#Kinki Nippon Tourist Co., Ltd. ..... 94,000 611,248
#Kinki Sharyo Co., Ltd., Nagaokakyo . 101,000 458,849
Kinseki, Ltd. ...................... 46,000 590,158
*Kinsho-Mataichi Corp. .............. 42,000 138,401
*Kinugawa Rubber Industrial Co.,
Ltd. ............................... 83,000 262,566
*Kioritz Corp. ...................... 96,000 306,221
Kita-Nippon Bank, Ltd. ............. 10,920 546,960
Kitagawa Iron Works Co., Ltd. ...... 124,000 512,127
Kitano Construction Corp. .......... 110,000 594,464
Kitz Corp. ......................... 193,000 810,668
#Koa Corp. .......................... 62,000 828,120
#Koatsu Gas Kogyo Co., Ltd. ......... 78,000 421,529
*Kobe Kiito Co., Ltd. ............... 53,000 132,267
#Kokune Corp. ....................... 42,000 147,627
Kokusai Kogyo Co., Ltd. ............ 56,000 634,798
Komai Tekko, Inc. .................. 53,000 391,213
Komatsu Construction Co., Ltd. ..... 29,000 154,174
Komatsu Forklift Co., Ltd. ......... 127,000 804,631
Komatsu Seiren Co., Ltd. ........... 63,000 553,603
#Komatsu Zenoah Co. ................. 75,000 355,888
Kosei Securities Co., Ltd. ......... 137,000 553,779
#Krosaki Corp. ...................... 96,000 389,736
#Kumiai Chemical Industry Co., Ltd.,
Tokyo .............................. 122,000 623,937
#Kyodo Shiryo Co., Ltd. ............. 145,000 504,569
Kyoei Tanker Co., Ltd. ............. 53,000 176,977
151
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares Value+
------- ----------
*Kyokuyo Co., Ltd. .................. 167,000 $ 768,963
#Kyosan Electric Manufacturing Co.,
Ltd. ............................... 87,000 558,084
*Kyotaru Co., Ltd. .................. 68,000 388,401
Kyowa Leather Cloth Co., Ltd. ...... 32,000 298,067
Kyushu Bank, Ltd. .................. 135,000 523,155
Life Corp. ......................... 77,000 676,626
Magara Construction Co., Ltd. ...... 61,000 283,023
Makino Milling Machine Co., Ltd. ... 131,000 955,448
#Maruei Department Store Co., Ltd. .. 72,000 379,613
Marusan Securities Co., Ltd. ....... 119,000 988,181
Maruwn Corp. ....................... 38,000 207,030
#Maruyama Manufacturing Co., Inc. ... 73,000 259,798
#Maruzen Co., Ltd. .................. 151,000 906,265
#Maruzen Showa Unyu Co., Ltd. ....... 148,000 703,585
Matsui Construction Co., Ltd. ...... 40,000 285,764
#Matsuo Bridge Co., Ltd. ............ 37,000 199,956
#Matsuya Co., Ltd. .................. 74,000 424,622
*Meiji Shipping Co., Ltd. ........... 47,000 198,243
Meisei Industrial Co., Ltd. ........ 29,000 127,417
Meito Sangyo Co., Ltd. ............. 38,000 497,540
*Meiwa Trading Co., Ltd. ............ 55,000 209,271
Mikuni Coca-Cola Bottling Co., Ltd. 42,000 560,984
#Misawa Resort Co., Ltd. ............ 40,000 386,643
#Mitsuba Corp. ...................... 51,000 506,415
*Mitsuba Electric Manufacturing Co.,
Ltd. ............................... 4,000 43,234
#Mitsubishi Kakoki Kaisha, Ltd. ..... 117,000 699,121
Mitsubishi Pencil Co., Ltd. ........ 49,000 443,497
*#Mitsubishi Shindoh Co., Ltd. ....... 82,000 321,371
*Mitsubishi Steel Manufacturing Co.,
Ltd. ............................... 211,000 1,116,186
Mitsuboshi Belting, Ltd. ........... 153,000 806,678
Mitsui Construction Co., Ltd. ...... 291,000 958,919
#Mitsui High-Tec, Inc. .............. 50,000 1,063,269
#Mitsui Matsushima Co., Ltd. ........ 90,000 355,888
*Mitsui Mining Co., Ltd. ............ 225,000 893,673
#Mitsui Sugar Co., Ltd. ............. 116,000 407,733
Mitsumi Electric Co., Ltd. ......... 3,000 54,833
Mitsuuroko Co., Ltd. ............... 98,000 688,067
Miura Kogyo Co., Ltd. .............. 42,000 616,344
#Miyaji Iron Works Co. Ltd. ......... 90,000 384,359
*Miyakoshi Corp. .................... 18,000 123,374
Miyazaki Bank, Ltd. ................ 162,000 925,308
*#Miyoshi Oil & Fat Co., Ltd. ........ 120,000 438,664
Miyuki Keori Co., Ltd. ............. 50,000 397,627
Morita Fire Pump Manufacturing Co.,
Ltd. ............................... 72,000 400,492
*Morozoff, Ltd., Osaka .............. 50,000 213,533
Mory Industries, Inc. .............. 66,000 318,981
*Mutoh Industries, Ltd. ............. 61,000 313,576
Mutow Co., Ltd. .................... 38,000 210,369
NEC System Integration &
Construction, Ltd. ................. 20,000 478,032
#Nabco, Ltd. ........................ 120,000 557,821
*Nagasakiya Co., Ltd. (Tokyo) ....... 38,000 180,316
Nagatanien Co., Ltd. ............... 53,000 414,033
Naigai Co., Ltd. ................... 109,000 451,134
Nakabayashi Co., Ltd. .............. 92,000 493,146
Nakamuraya Co., Ltd. ............... 85,000 472,056
Nakano Corp. ....................... 66,000 234,886
Nakayama Steel Works, Ltd. ......... 170,000 884,359
*National Securities Co., Ltd. ...... 98,000 322,935
Neturen Co., Ltd., Tokyo ........... 67,000 430,378
Nichia Steel Works, Ltd. ........... 59,000 400,764
<PAGE>
Shares Value+
------- ----------
#Nichias Corp. ...................... 198,000 $ 892,566
#Nichiban Co., Ltd. ................. 58,000 332,812
*#Nichiboshin, Ltd. .................. 119,000 408,866
Nichiei Construction Co., Ltd. ..... 89,000 646,775
*Nichimo Co., Ltd. .................. 54,000 205,940
Nichimo Corp. ...................... 85,000 342,091
Nichireki Co., Ltd. ................ 44,000 359,578
Nichiro Corp. ...................... 243,000 886,160
Nifco, Inc. ........................ 88,000 966,608
*Nihon Kentetsu Co., Ltd. ........... 27,000 174,622
Nihon Kohden Corp. ................. 68,000 544,956
#Nihon Matai Co., Ltd. .............. 50,000 281,195
Nihon Nohyaku Co., Ltd. ............ 103,000 635,378
#Nihon Nosan Kogyo K.K. ............. 188,000 611,248
Nihon Parkerizing Co., Ltd. ........ 92,000 493,146
*#Nihon Spindle Manufacturing Co.,
Ltd. ............................... 56,000 196,344
Nihon Tokushu Toryo Co., Ltd. ...... 35,000 154,394
Niigata Chuo Bank, Ltd. ............ 130,000 365,554
#Nikken Chemicals Co., Ltd. ......... 109,000 680,053
Nikkiso Co., Ltd. .................. 105,000 756,591
Nikko Co., Ltd., Akashi ............ 65,000 451,801
Nippon Beet Sugar Manufacturing
Co., Ltd. .......................... 226,000 994,956
Nippon Carbide Industries Co., Inc.,
Tokyo .............................. 93,000 739,587
*Nippon Carbon Co., Ltd. ............ 165,000 620,562
Nippon Chemi-Con Corp. ............. 182,000 1,061,933
Nippon Chemical Industrial Co.,
Ltd. ............................... 110,000 1,188,928
Nippon Chemiphar Co., Ltd. ......... 49,000 274,279
#Nippon Chutetsukan KK .............. 44,000 180,176
*#Nippon Columbia Co., Ltd. .......... 99,000 554,156
Nippon Concrete Industries Co.,
Ltd. ............................... 65,000 271,309
Nippon Conlux Co., Ltd. ............ 63,000 575,747
*#Nippon Conveyor Co., Ltd. .......... 43,000 203,664
Nippon Denko Co., Ltd. ............. 159,000 597,996
Nippon Densetsu Kogyo Co., Ltd. .... 99,000 974,341
*Nippon Electric Industry Co., Ltd. . 67,000 293,787
Nippon Felt Co., Ltd. .............. 28,000 159,192
#Nippon Formula Feed
Manufacturing Co., Ltd. ............ 100,000 350,615
#Nippon Gas Co., Ltd. ............... 62,000 390,633
*Nippon Housing Loan Co., Ltd. ...... 62,000 545
Nippon Hume Pipe Co., Ltd. ......... 38,000 220,721
*#Nippon Kasei Chemical Co., Ltd. .... 113,000 333,638
#Nippon Kinzoku Co., Ltd. ........... 93,000 365,299
Nippon Koei Co., Ltd., Tokyo ....... 137,000 876,415
#Nippon Koshuha Steel Co., Ltd. ..... 151,000 486,968
*#Nippon Lace Co., Ltd. .............. 26,000 159,930
Nippon Metal Industry Co., Ltd. .... 241,000 900,044
Nippon Pipe Manufacturing Co., Ltd. 35,000 175,308
#Nippon Piston Ring Co., Ltd. ....... 117,000 468,822
Nippon Road Co., Ltd. .............. 112,000 691,880
Nippon Shinyaku Co., Ltd. .......... 103,000 914,148
Nippon Signal Co., Ltd. ............ 90,000 854,130
#Nippon Soda Co., Ltd. .............. 129,000 1,039,482
*Nippon Steel Chemical Co., Ltd. .... 202,000 745,518
Nippon Synthetic Chemical Industry
Co., Ltd. .......................... 152,000 731,951
Nippon Thompson Co., Ltd. .......... 109,000 808,401
Nippon Valqua Industries, Ltd. ..... 119,000 472,654
Nippon Yakin Kogyo Co., Ltd. ....... 243,000 822,100
152
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares Value+
------- ----------
#Nippon Yusoki Co., Ltd. ............ 49,000 $ 246,722
#Nissan Construction Co., Ltd. ...... 119,000 571,995
#Nisseki House Industry Co., Ltd. ... 130,000 392,970
#Nissha Printing Co., Ltd. .......... 66,000 788,752
#Nissin Corp. ....................... 150,000 843,585
Nissin Electric Co., Ltd. .......... 158,000 957,996
Nitsuko, Ltd. ...................... 20,000 167,838
Nittetsu Mining Co., Ltd. .......... 122,000 1,050,615
*Nitto Boseki Co., Ltd. ............. 355,000 1,079,350
#Nitto Chemical Industry Co., Ltd. .. 88,000 481,757
Nitto Flour Milling Co., Ltd. ...... 54,000 260,984
*#Nitto Seiko Co., Ltd. .............. 56,000 265,729
*Nitto Seimo Co., Ltd. .............. 32,000 118,664
Nittoc Construction Co., Ltd. ...... 61,000 451,872
#Nohmi Bosai, Ltd. .................. 59,000 534,007
Noritz Corp. ....................... 42,000 572,056
North Pacific Bank, Ltd. ........... 198,000 1,066,555
*Nozaki and Co., Ltd. ............... 56,000 177,645
*#O-M, Ltd. .......................... 46,000 167,750
*OKK Corp. .......................... 101,000 357,671
OSG Manufacturing Co., Ltd. ........ 154,000 944,569
Obayashi Road Corp. ................ 65,000 374,121
#Odakyu Construction Co., Ltd. ...... 29,000 170,738
*#Odakyu Real Estate Co., Ltd. ....... 58,000 259,930
Ohki Corp. ......................... 73,000 349,605
*Ohkura Electric Co., Ltd. .......... 34,000 242,004
Okabe Co., Ltd. .................... 39,000 335,852
*Oki Electric Cable Co., Ltd. ....... 56,000 255,888
*#Okuma and Howa Machinery, Ltd. ..... 69,000 280,123
Okura Industrial Co., Ltd. ......... 96,000 569,420
*Okura and Co., Ltd. ................ 189,000 880,228
*Ono Sokki Co., Ltd. ................ 43,000 277,724
Optec Dai-Ichi Denko Co., Ltd. ..... 178,000 688,225
Organo Corp. ....................... 85,000 699,868
#Origin Electric Co., Ltd. .......... 49,000 415,510
Osaka Oxygen Industries, Ltd. ...... 123,000 415,044
#Osaki Electric Co., Ltd. ........... 56,000 342,988
Pacific Industrial Co., Ltd. ....... 78,000 363,269
*Pacific Metals Co., Ltd. ........... 46,000 168,963
#Parco Co., Ltd. .................... 82,000 756,591
*#Pasco Corp. ........................ 138,000 696,063
Pilot Corp. ........................ 32,000 194,025
#Pokka Corp. ........................ 44,000 405,975
#Press Kogyo Co., Ltd. .............. 143,000 464,938
Prima Meat Packers, Ltd. ........... 230,000 697,276
#Rasa Industries, Ltd. .............. 99,000 634,192
Renown Look, Inc. .................. 50,000 295,255
Rheon Automatic Machinery Co., Ltd. 40,000 316,344
*Rhythm Watch Co., Ltd. ............. 213,000 746,810
Riken Corp. ........................ 161,000 670,598
#Riken Vinyl Industry Co., Ltd. ..... 98,000 838,770
Rohto Pharmaceutical Co., Ltd. ..... 76,000 754,657
Royal Co., Ltd. .................... 61,000 1,152,460
#Ryobi, Ltd. ........................ 190,000 824,780
Ryoden Trading Co., Ltd. ........... 73,000 543,972
Ryoyo Electro Corp. ................ 47,000 854,921
S.T. Chemical Co., Ltd. ............ 48,000 389,736
#SMK Corp. .......................... 116,000 570,826
#SS Pharmaceutical Co., Ltd., Tokyo . 41,000 268,409
#SXL Corp. .......................... 117,000 936,617
#Saeki Kensetsu Kogyo Co., Ltd. ..... 71,000 284,499
Sagami Co., Ltd. ................... 60,000 401,757
Sakai Chemical Industry Co., Ltd. .. 150,000 765,817
#Sakai Heavy Industries, Ltd. ....... 60,000 390,158
<PAGE>
Shares Value+
------- ----------
Sakai Ovex Co., Ltd. ............... 85,000 $ 374,209
#Sakata Inx Corp. ................... 92,000 542,460
Sakurada Co., Ltd. ................. 38,000 201,687
#San-Ai Oil Co., Ltd. ............... 118,000 640,808
Sankei Building Co., Ltd. .......... 77,000 652,267
Sanko Metal Industrial Co., Ltd.,
Tokyo .............................. 54,000 263,831
*#Sankyo Seiki Manufacturing Co.,
Ltd. ............................... 125,000 791,960
Sankyo Seiko Co., Ltd. ............. 86,000 510,861
*Sanrio Co., Ltd. ................... 59,000 518,453
*#Sansui Electric Co., Ltd. .......... 353,000 806,503
Sanyo Industries, Ltd., Tokyo ...... 48,000 242,531
Sanyo Shokai, Ltd. ................. 190,000 1,160,369
Sanyo Special Steel Co., Ltd. ...... 283,000 944,991
*#Sasaki Glass Co., Ltd. ............. 56,000 255,888
Sasebo Heavy Industries Co., Ltd.,
Tokyo .............................. 235,000 565,817
Sata Construction Co., Ltd., Gumma 61,000 278,735
Sato Shoji Corp. ................... 31,000 207,030
*Sawafugji Electric Co., Ltd. ....... 31,000 153,910
#Seika Corp. ........................ 135,000 722,452
*#Seikitokyu Kogyo Co., Ltd. ......... 86,000 313,620
Seiko Corp. ........................ 23,000 160,677
*Seiren Co., Ltd. ................... 81,000 469,772
Seiyo Food Systems, Inc. ........... 116,000 1,060,105
#Sekisui Jushi Co., Ltd. ............ 70,000 818,102
Sekisui Plastics Co., Ltd. ......... 150,000 738,137
Senko Co., Ltd. .................... 161,000 817,733
Senshukai Co., Ltd. ................ 54,000 659,578
*Settsu Corp. ....................... 324,000 800,035
Shibaura Engineering Works Co.,
Ltd. ............................... 45,000 259,007
#Shibusawa Warehouse Co., Ltd. ...... 112,000 653,497
Shibuya Kogyo Co., Ltd. ............ 45,000 608,963
*Shikibo, Ltd. ...................... 155,000 374,561
Shikoku Chemicals Corp. ............ 89,000 392,601
Shimizu Bank, Ltd. ................. 14,300 922,337
Shimura Kako Co., Ltd. ............. 55,000 362,478
Shin Nippon Air Technologies Co.,
Ltd. ............................... 33,800 442,548
Shin-Etsu Polymer Co., Ltd. ........ 120,000 632,689
#Shin-Kobe Electric Machinery Co.,
Ltd. ............................... 71,000 396,178
Shinagawa Fuel Co., Ltd. ........... 104,000 749,385
Shinagawa Refractories Co., Ltd. ... 95,000 1,536,030
#Shindengen Electric Manufacturing
Co., Ltd. .......................... 107,000 857,504
*#Shinko Electric Co., Ltd. .......... 154,000 664,446
Shinko Shoji Co., Ltd. ............. 32,000 404,921
#Shinsho Corp. ...................... 110,000 410,808
*#Shintom Co., Ltd. .................. 53,000 207,250
*#Shinwa Kaiun Kaisha, Ltd. .......... 238,000 579,315
#Shinyei Kaisha ..................... 54,000 188,858
#Shiroki Co., Ltd. .................. 124,000 544,815
Shochiku Co., Ltd. ................. 92,000 856,942
#Shoko Co., Ltd. .................... 156,000 568,893
*#Shokusan Jutaku Sogo Co., Ltd. ..... 207,000 545,694
#Showa Highpolymer Co., Ltd. ........ 79,000 597,012
*#Showa Line, Ltd. ................... 438,000 654,306
#Showa Manufacturing Co., Ltd. ...... 97,000 946,134
*#Silver Seiko, Ltd. ................. 87,000 229,350
Sintokogio, Ltd., Nagoya ........... 87,000 729,332
Soda Nikka Co., Ltd. ............... 35,000 187,302
153
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares Value+
------- ----------
*#Sogo Co., Ltd. ..................... 211,000 $ 871,441
#Sokkisha Co., Ltd. ................. 40,000 339,192
#Sotetsu Rosen Co., Ltd. ............ 37,000 269,859
Star Micronics Co., Ltd. ........... 79,000 562,996
Subaru Enterprise Co., Ltd. ........ 36,000 264,148
Suminoe Textile Co., Ltd. .......... 108,000 402,390
Sumisho Computer Systems Corp. ..... 49,000 697,540
#Sumitomo Coal Mining Co., Ltd. ..... 107,000 487,988
Sumitomo Construction Co., Ltd. .... 46,000 158,858
*Sumitomo Corporation's Leasing,
Ltd. ............................... 35,000 158,699
#Sumitomo Precision Products Co.,
Ltd., Amagasaki City ............... 78,000 620,299
#Sumitomo Seika Chemicals Co., Ltd. 91,000 626,924
#Sumitomo Special Metals Co., Ltd.,
Osaka .............................. 62,000 844,464
Sun Telephone Co., Ltd. ............ 65,000 416,388
Sun Wave Corp. ..................... 74,000 864,851
*Suzutan Co., Ltd. .................. 62,000 252,250
TOC Co., Ltd. ...................... 100,000 966,608
#TYK Corp. .......................... 67,000 629,965
Tabai Espec Corp. .................. 34,000 391,388
Tada Construction Co., Ltd. ........ 54,000 199,772
#Taihei Dengyo Kaisha, Ltd. ......... 66,000 707,557
#Taihei Kogyo Co., Ltd. ............. 114,000 521,916
*Taiheiyo Bank, Ltd. ................ 96,000 844
*Taiheiyo Kaiun Co., Ltd. ........... 72,000 151,845
#Taiheiyo Kouhatsu, Inc. ............ 90,000 294,991
Taiheiyo Securities Co., Ltd. ...... 156,000 529,139
Taikisha, Ltd. ..................... 53,000 796,397
Taisei Fire & Marine Insurance Co.,
Ltd. ............................... 118,000 570,299
Taisei Prefab Construction Co., Ltd. 101,000 527,188
#Taisei Rotec Corp. ................. 127,000 695,264
#Taito Co., Ltd. .................... 70,000 329,701
Taiyo Toyo Sanso Co., Ltd. ......... 193,000 749,613
*Taka-Q Co., Ltd. ................... 77,000 255,088
Takada Kiko Co., Ltd. .............. 31,000 258,787
#Takaoka Electric Manufacturing Co.,
Ltd., Tokyo ........................ 156,000 637,434
Takara Co., Ltd. ................... 39,000 290,272
#Takarabune Corp. ................... 52,000 434,095
Takasago International Corp. ....... 145,000 917,399
*#Takasaki Paper Manufacturing Co.,
Ltd. ............................... 157,000 427,680
#Takashima & Co., Ltd. .............. 60,000 306,854
Takiron Co., Ltd. .................. 118,000 640,808
Tamura Corp. ....................... 114,000 671,178
Tamura Electric Works, Ltd. ........ 74,000 637,258
#Tasaki Shinju Co., Ltd. ............ 53,000 425,211
*#Tateho Chemical Industries Co.,
Ltd. ............................... 106,000 662,267
Tatsuta Electric Wire & Cable Co.,
Ltd. ............................... 102,000 475,044
*Tayca Corp. ........................ 74,000 227,592
*#Teac Corp. ......................... 102,000 560,193
Teijin Seiki Co., Ltd. ............. 115,000 550,747
Teikoku Hormone Manufacturing Co.,
Ltd. ............................... 33,000 408,875
*Teikoku Sen-I Co., Ltd. ............ 39,000 205,624
#Teikoku Tsushin Kogyo Co., Ltd. .... 73,000 429,789
Teisan Kabushiki Kaisha ............ 182,000 898,805
Tenma Corp. ........................ 50,000 847,979
#Tesac Corp. ........................ 92,000 300,738
<PAGE>
Shares Value+
------- ----------
*Titan Kogyo Kabushiki Kaisha ....... 36,000 $ 169,561
Toa Doro Kogyo Co., Ltd. ........... 85,000 425,747
*Toa Steel Co., Ltd. ................ 205,000 740,378
*Toa Wool Spinning & Weaving Co.,
Ltd. ............................... 73,000 216,819
Tobu Store Co., Ltd. ............... 71,000 452,953
Tochigi Fuji Industrial Co., Ltd. .. 51,000 319,086
Tochigi Sogo Bank, Ltd. ............ 106,000 1,043,234
#Toda Kogyo Corp. ................... 70,000 504,394
Todentu Corp. ...................... 57,000 377,663
Toenec Corp. ....................... 108,000 788,647
*Toho Rayon Co., Ltd. ............... 128,000 565,764
#Toho Real Estate Co., Ltd. ......... 80,000 641,828
#Toho Zinc Co., Ltd. ................ 171,000 882,047
*Tohpe Corp. ........................ 36,000 149,947
Tohto Suisan Co., Ltd. ............. 54,000 219,701
Tokai Corp. ........................ 100,000 589,631
*#Tokai Kanko Co., Ltd. .............. 132,000 197,188
*Tokai Kogyo Co., Ltd. .............. 82,000 356,678
*Tokai Maruman Securities Co., Ltd. . 99,000 452,373
#Tokai Pulp Co., Ltd. ............... 84,000 634,798
Tokai Rika Co., Ltd. ............... 108,000 915,817
*Tokai Senko K.K. Nagoya ............ 47,000 203,199
Tokico, Ltd. ....................... 189,000 740,721
*Tokimec, Inc. ...................... 119,000 530,167
#Tokin Corp. ........................ 91,000 959,578
Toko Electric Corp. ................ 39,000 220,018
#Toko, Inc. ......................... 143,000 804,218
Tokushu Paper Manufacturing Co.,
Ltd. ............................... 72,000 586,503
Tokuyo City Bank, Ltd. ............. 115,000 185,940
Tokyo Denki Komusho Co., Ltd. ...... 57,000 445,782
#Tokyo Kikai Seisak ................. 105,000 814,719
*Tokyo Nissan Auto Sales Co., Ltd. .. 63,000 355,413
#Tokyo Rakutenchi Co., Ltd. ......... 92,000 406,643
Tokyo Rope Manufacturing Co., Ltd. 201,000 897,258
*Tokyo Securities Co., Ltd. ......... 193,000 734,350
#Tokyo Seimitsu Co., Ltd. ........... 46,000 590,158
#Tokyo Tanabe Co., Ltd., Tokyo ...... 95,000 657,821
*Tokyo Tekko Co., Ltd. .............. 67,000 307,329
#Tokyo Theatres Co., Inc., Tokyo .... 116,000 322,109
Tokyu Car Corp. .................... 177,000 793,234
Tokyu Hotel Chain Co., Ltd. ........ 124,000 820,492
#Tokyu Store Chain Corp. ............ 98,000 741,459
*Tokyu Tourist Corp. ................ 38,000 127,223
#Toli Corp. ......................... 101,000 515,650
Tomoe Corp. ........................ 56,000 303,620
*Tomoegawa Paper Co., Ltd. .......... 55,000 214,104
#Tomoku Co., Ltd. ................... 157,000 820,870
#Tonami Transportation Co., Ltd. .... 141,000 804,121
Topcon Corp. ....................... 68,000 540,773
Topre Corp. ........................ 80,000 608,084
Torishima Pump Manufacturing Co.,
Ltd., Osaka ........................ 40,000 318,453
Toshiba Engineering & Construction
Co., Ltd. .......................... 105,000 875,615
*Toshiba Machine Co., Ltd. .......... 47,000 187,091
#Toshiba Tungaloy Co.,Ltd. .......... 111,000 529,640
Tosho Printing Co., Ltd. ........... 94,000 487,346
Tostem Viva Corp. .................. 95,000 623,594
#Totenko Co., Ltd. .................. 35,000 179,613
Totetsu Kogyo Co., Ltd. ............ 53,000 259,877
Totoku Electric Co., Ltd., Tokyo ... 62,000 359,578
Towa Bank, Ltd. .................... 36,000 230,615
154
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- ----------
*#Towa Real Estate Development Co.,
Ltd. ............................... 160,000 $ 539,895
Toyama Chemicals Co., Ltd. ......... 221,000 937,988
Toyo Aluminium K.K. ................ 81,000 540,949
Toyo Chemical Co., Ltd. ............ 45,000 294,991
#Toyo Corp. ......................... 38,000 687,873
*Toyo Electric Co., Ltd. ............ 67,000 229,613
Toyo Information System Co., Ltd. .. 59,000 668,805
Toyo Kanetsu K.K. .................. 206,000 832,689
Toyo Kohan Co., Ltd. ............... 147,000 1,072,144
Toyo Radiator Co., Ltd. ............ 104,000 439,578
*Toyo Securities Co., Ltd. .......... 113,000 374,350
Toyo Shutter Co., Ltd. ............. 77,000 538,594
#Toyo Sugar Refining Co., Ltd. ...... 60,000 176,626
#Toyo Umpanki Co., Ltd. ............. 135,000 618,058
Toyo Wharf & Warehouse Co., Ltd. ... 118,000 504,974
Tsubaki Nakashima Co., Ltd. ........ 64,000 607,381
#Tsubakimoto Machinery &
Engineering Co., Ltd. .............. 44,000 223,480
Tsudakoma Corp. .................... 101,000 567,127
Tsugami Corp. ...................... 124,000 419,508
Tsukamoto Co., Ltd. ................ 44,000 234,306
Tsurumi Manufacturing Co., Ltd. .... 38,000 380,668
Tsutsunaka Plastic Industry Co.,
Ltd. ............................... 71,000 566,503
Uchida Yoko Co., Ltd. .............. 72,000 384,042
Ueki Corp. ......................... 47,000 202,786
Utoc Corp. ......................... 38,000 170,299
#Wakachiku Construction Co., Ltd. ... 176,000 818,137
Wakamoto Pharmaceutical Co., Ltd. . 48,000 253,076
#Yahagi Construction Co., Ltd. ...... 59,000 409,060
*#Yahagi Iron Co., Ltd. .............. 40,000 124,780
Yamagata Bank, Ltd. ................ 185,000 1,006,283
Yamamura Glass Co., Ltd. ........... 176,000 825,870
#Yamatane Corp. ..................... 92,000 493,954
*#Yamatane Securities Co., Ltd. ...... 203,000 679,640
Yamato International, Inc. ......... 43,000 187,417
*Yamazen Co., Ltd. .................. 131,000 581,327
#Yaohan Japan Corp. ................. 62,000 272,408
Yokogawa Bridge Corp. .............. 64,000 674,868
*Yokohama Matsuzakaya, Ltd. ......... 27,000 90,395
<PAGE>
Shares Value+
-------- ----------
Yokohama Reito Co., Ltd. ........... 62,000 $ 697,364
Yomeishu Seizo Co., Ltd. ........... 46,000 368,243
#Yomiuri Land Co., Ltd. ............. 132,000 910,545
Yondenko Corp. ..................... 56,000 501,933
Yoshihara Oil Mill, Ltd. ........... 36,000 156,907
#Yoshimoto Kogyo Co., Ltd. .......... 49,000 667,399
#Yuasa Trading Co., Ltd. ............ 165,000 719,156
#Yuken Kogyo Co., Ltd. .............. 60,000 352,197
#Zenchiku Co., Ltd. ................. 126,000 426,274
--------------
TOTAL COMMON STOCKS
(Cost $363,000,876) ................. 326,205,340
--------------
INVESTMENT IN CURRENCY - (0.4%)
*Japanese Yen (Cost $1,329,987) ..... 1,325,882
--------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS - (1.1%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97) (Cost
$3,741,000) ........................ $ 3,741 3,741,000
--------------
TOTAL INVESTMENTS - (100.5%) (Cost
$368,071,863) ....................... 331,272,222
--------------
OTHER ASSETS AND LIABILITIES - (-0.5%)
Other Assets ......................... 2,963,046
Payable for Investment Securities
Purchased ........................... (4,459,631)
Other Liabilities .................... (93,978)
--------------
(1,590,563)
--------------
NET ASSETS - (100.0%) ................ $329,681,659
==============
- ----------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
155
<PAGE>
STATEMENT OF NET ASSETS
THE PACIFIC RIM SMALL COMPANY SERIES
NOVEMBER 30, 1996
Shares Value+
-------- --------
MALAYSIA -- (29.5%)
COMMON STOCKS -- (28.6%)
A&M Realty Berhad .................... 15,000 $ 36,216
Actacorp Holdings Berhad ............. 26,000 88,502
Advance Synergy Berhad ............... 299,800 474,649
Ajinimoto (Malaysia) Berhad .......... 44,000 125,391
Aluminum Co. of Malaysia ............. 139,000 209,064
Amalgamated Containers Berhad ........ 31,000 51,534
Amalgamated Industrial Steel Berhad .. 125,000 353,750
Anakku Corp. Berhad .................. 10,000 62,537
Ancom Berhad ......................... 52,000 76,153
Angkasa Marketing Berhad ............. 61,000 91,265
*Anson Perdana Berhad ................. 77,000 213,339
Antah Holding Berhad ................. 312,000 427,279
Aokam Perdana Berhad ................. 101,000 131,122
Arab Malaysia Development Berhad ..... 778,000 538,888
Arensi Holdings (Malaysia) Berhad .... 22,000 76,628
*Arensi Holdings (Malaysia) Berhad
Issue 96 ............................. 11,000 37,966
Asas Dunia Berhad .................... 46,000 170,236
Asia Pacific Land Berhad ............. 660,100 342,264
Austral Amalgamated Berhad ........... 94,000 183,796
Austral Enterprises Berhad ........... 208,499 406,022
Autoways Holdings Berhad ............. 10,000 49,080
Ayer Hitam Planting Syndicate Berhad . 51,000 984,068
*Ayer Hitam Tin Dredging Malaysia
Berhad ............................... 36,000 70,105
*Ayer Molek Rubber Co. Berhad ......... 1,000 46,210
Ban Hin Lee Bank Berhad .............. 70,500 337,641
Bandar Raya Developments Berhad ...... 283,000 576,865
Bank Islam (Malaysia) Berhad ......... 66,000 182,862
Batu Kawan Berhad .................... 394,500 827,568
Berjaya Group Berhad ................. 973,500 716,687
Berjaya Industrial Berhad ............ 673,000 564,718
Berjaya Leisure Berhad ............... 525,000 660,796
Berjaya Singer Berhad ................ 142,000 173,109
*Berjuntai Tin Dredging Berhad ........ 36,000 225,134
*Best World Land Berhad ............... 120,100 91,745
Bina Puri Holdings Berhad ............ 20,000 77,578
Bolton Properties Berhad ............. 150,000 284,979
Boustead Holdings Berhad ............. 129,000 288,482
Bukit Katil Rubber Estates Berhad .... 7,000 205,027
*CHG Industries Berhad ................ 16,000 30,144
CI Holdings Berhad ................... 72,000 293,529
Carlsberg Brewery Malaysia Berhad .... 134,250 983,029
Cement Industries of Malaysia Berhad . 178,000 535,444
Chase Perdana Berhad ................. 34,000 96,893
Chemical Co. of Malaysia Berhad ...... 224,000 660,518
Chin Teck Plantations Berhad ......... 75,000 268,652
Chocolate Products (Malaysia) Berhad . 188,100 123,588
Choo Bee Metal Industries Berhad ..... 49,000 58,571
Cold Storage (Malaysia) Berhad ....... 102,000 157,451
Computer Forms Malaysia Berhad ....... 19,000 122,581
Concrete Engineering Products Berhad . 29,000 96,418
<PAGE>
Shares Value+
-------- --------
*Construction & Supplies House Berhad . 64,000 $ 82,074
Country Heights Holdings Berhad ...... 75,000 215,219
Cycle & Carriage Bintang Berhad ...... 130,000 818,127
DMIB Berhad .......................... 150,000 146,052
DNP Holdings Berhad .................. 412,000 348,973
Daibochi Plastic & Packaging Industry
Berhad ............................... 32,200 88,577
Daiman Development Berhad ............ 110,000 151,514
*Damansara Realty Berhad .............. 362,000 204,892
*Dataprep Holdings Berhad ............. 36,000 202,335
Datuk Keramat Holdings Berhad ........ 119,000 200,649
*Denko Industrial Corp. Berhad ........ 19,000 81,971
Diethelm Holdings (Malaysia) Berhad .. 26,000 31,902
Diperdana Corp. Berhad ............... 43,000 335,286
Dutch Baby Milk Industry (Malaysia)
Berhad ............................... 22,000 168,059
Eastern & Oriental Berhad ............ 67,500 146,942
Econstates Berhad .................... 63,000 73,810
*FA Peninsular Berhad ................. 95,000 101,148
*FACB Berhad .......................... 786,000 370,212
FCW Holdings Berhad .................. 224,000 500,930
*Faber Group Berhad Issue 96 .......... 162,000 166,713
Far East Holdings Berhad ............. 74,000 118,915
Federal Flour Mills Berhad ........... 271,250 671,011
Fima Corp. Berhad .................... 39,000 177,518
*Gadek Capital Berhad ................. 48,000 127,291
*General Corp. Berhad ................. 423,000 272,903
George Kent (Malaysia) Berhad ........ 122,998 192,785
George Town Holdings Berhad .......... 147,000 251,352
Glenealy Plantations (Malaysia) Berhad 76,000 258,698
Goh Ban Huat Berhad .................. 75,000 200,376
Gold Coin (Malaysia) Berhad .......... 52,000 194,498
Golden Frontier Berhad ............... 29,000 70,592
*Golden Pharos Berhad ................. 48,000 93,473
Golden Plus Holdings Berhad .......... 172,000 330,861
Gopeng Berhad ........................ 94,500 198,239
*Granite Industries Berhad ............ 111,000 192,432
Guinness Anchor Berhad ............... 275,000 674,847
*Gula Perak Berhad .................... 180,000 148,189
Guthrie Ropel Berhad ................. 160,000 310,311
H&R Johnson (Malaysia) Berhad ........ 27,000 36,335
HLG Capital Berhad ................... 61,000 223,333
Hap Seng Consolidated Berhad ......... 392,000 783,535
Hexza Corp. Berhad ................... 163,000 115,484
Hil Industries Berhad ................ 22,000 64,437
Ho Hup Construction Co. Berhad ....... 80,000 220,067
Hock Hua Bank Berhad (Foreign) ....... 98,000 446,072
IGB Corp. Berhad ..................... 625,000 702,552
IOI Properties Berhad ................ 52,700 173,129
Inchcape Timuran Berhad .............. 57,000 189,511
*Insas Berhad ......................... 644,200 420,712
Instangreen Corp. Berhad ............. 15,000 53,434
Integrated Logistics Berhad .......... 39,000 84,900
Ipmuda Berhad ........................ 22,000 42,668
Island & Peninsular Berhad ........... 155,000 536,810
*Jasa Megah Industries Berhad ......... 58,000 79,889
156
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- --------
Jaya Netting Industries Berhad ....... 21,000 $ 82,703
Jeram Kuantan (Malaysia) Berhad ...... 18,000 68,395
Johan Holdings Berhad ................ 410,000 355,393
*Johor Land Berhad .................... 239,000 208,114
KIG Glass Industrial Berhad .......... 62,000 78,037
KPJ Healthcare Berhad ................ 24,000 56,996
Kamunting Corp. Berhad ............... 393,000 293,992
Kanzen Berhad ........................ 105,000 174,550
Keck Seng (Malaysia) Berhad .......... 316,500 448,474
Kelanamas Industries Berhad .......... 48,000 87,774
Kelang Container Terminal Berhad ..... 169,000 411,379
Kemayan Corp. Berhad ................. 344,000 462,933
Kentucky Fried Chicken Holding
(Malaysia) Berhad .................... 126,666 561,512
Khong Guan Holdings (Malaysia) Berhad 21,000 182,030
Kian Joo Can Factory Berhad .......... 100,500 548,941
Kim Hin Industry Berhad .............. 42,000 69,820
Kluang Rubber Co. (Malaysia) Berhad .. 2,000 135,365
Kramat Tin Dredging Berhad ........... 1,800 26,182
Kretam Holdings Berhad ............... 110,500 293,034
*Kuala Lumpur Industries Holdings
Berhad ............................... 138,000 175,880
Kuala Sidim Berhad ................... 123,000 294,538
*Kuantan Flour Mills Berhad ........... 19,000 60,914
Kuchai Development Berhad ............ 800 20,344
Kulim Malaysia Berhad ................ 239,800 536,264
Kumpulan Belton Berhad ............... 44,100 113,457
Kumpulan Emas Berhad ................. 134,000 114,031
Ladang Perbadanan-Fima Berhad ........ 57,000 151,158
Landmarks Berhad ..................... 209,000 309,385
Larut Consolidated Berhad ............ 206,000 300,051
Leisure Management Berhad ............ 149,999 534,332
Leong Hup Holdings Berhad ............ 29,000 32,025
Lien Hoe Corp. Berhad ................ 240,000 234,633
Lim Kim Hai Holdings Berhad .......... 48,500 259,153
Lion Corp. Berhad .................... 108,500 221,166
Lion Land Berhad ..................... 123,375 123,546
Long Huat Group Berhad ............... 33,000 118,860
MBF Holdings Berhad .................. 1,175,250 553,551
MCB Holdings Berhad .................. 199,000 152,017
MMC Engineering Group Berhad ......... 43,000 136,157
MUI Properties Berhad ................ 483,000 271,466
MWE Holdings Berhad .................. 184,500 205,933
Malayan Cement Berhad ................ 170,000 396,992
Malayan Flour Mills Berhad ........... 92,400 150,678
Malayawata Steel Berhad .............. 182,000 355,860
Malaysia Aica Berhad ................. 126,000 359,074
Malaysia Assurance Alliance Berhad ... 118,125 584,430
Malaysia British Assurance Berhad .... 53,000 213,972
Malaysia Buildings Society Berhad .... 62,000 197,546
Malaysia Smelting Corp. Berhad ....... 37,000 69,123
Malaysian Mosaics Berhad ............. 368,000 501,057
Malaysian Oxygen Berhad .............. 131,500 671,422
Malaysian Pacific Industries ......... 187,000 762,358
Malaysian Packaging Industry ......... 14,000 37,681
Malaysian Plantations Berhad ......... 160,000 234,316
Malaysian Tobacco Co. Berhad ......... 275,000 413,616
Malex Industries Berhad .............. 15,000 157,332
Mamee-Double Decker (Malaysia) Berhad 18,000 57,352
Mancon Berhad ........................ 88,000 268,196
Maruichi Malaysia Steel Tube Berhad .. 39,000 139,699
Matsushita Electric Co. (Malaysia)
Berhad ............................... 44,000 424,936
<PAGE>
Shares Value+
------------ --------
Mechmar Corp. ........................ 94,000 $129,476
Mega First Corp. Berhad .............. 268,000 186,693
*Menang Corp. ......................... 272,000 178,714
Mentiga Corp. Berhad ................. 41,000 100,613
Metacorp Berhad ...................... 193,333 596,872
Metrojaya Berhad ..................... 34,000 123,808
Minho (Malaysia) Berhad .............. 46,000 61,904
Mintye Industries Berhad ............. 12,000 33,010
Muda Holdings Berhad ................. 208,125 192,762
Muhibbah Engineering Berhad .......... 19,000 67,683
Mun Loong Berhad ..................... 40,000 259,648
NCK Corp. Berhad ..................... 18,000 64,477
Nam Fatt Berhad ...................... 112,000 356,857
Nanyang Press (Malaya) Berhad ........ 70,400 260,534
Negara Properties (Malaysia) Berhad .. 86,000 338,690
Negri Sembilan Oil Palms Berhad ...... 34,000 168,217
North Borneo Timbers Berhad .......... 30,000 96,180
Nylex (Malaysia) Berhad .............. 304,500 693,003
O'Connor's Corp. Berhad .............. 21,000 73,145
OSK Holdings ......................... 131,000 233,327
Olympia Industries Berhad ............ 213,000 181,259
PJ Development Holdings Berhad ....... 345,800 277,844
PSC Industries Berhad ................ 52,332 652,466
PWE Industries Berhad ................ 14,000 209,183
*PWE Industries Berhad Issue 96 ....... 25,200 375,781
Pacific Chemicals Berhad ............. 55,000 164,358
Palmco Holdings Berhad ............... 179,000 216,798
Pan Pacific Asia Berhad .............. 64,000 188,720
*Panglobal Berhad ..................... 70,000 163,467
Paramount Corp. Berhad ............... 73,000 89,571
*Parit Perak Holdings Berhad
Issue 96 ............................. 200,000 332,476
Park May Berhad ...................... 48,000 93,473
Peladang Kimia Berhad ................ 78,000 217,653
Pelangi Berhad ....................... 437,500 453,691
*Pengkalen Industrial Holdings Berhad . 46,000 122,897
Pernas International Hotels &
Properties Berhad .................... 554,950 742,422
Petaling Garden Berhad ............... 254,000 343,827
Petaling Tin Berhad .................. 23,000 143,835
Phileo Allied Berhad ................. 170,250 314,017
*Phileo Land Berhad ................... 64,000 144,389
Pilecon Engineering Berhad ........... 290,500 411,633
Poly Glass Fibre (Malaysia) Berhad ... 45,000 156,739
Prime Utilities Berhad ............... 30,000 299,822
Projek Penyelenggaraan Lebuhraya
Berhad ............................... 11,000 35,266
*Promet Berhad ........................ 674,000 565,557
Putera Capital Berhad ................ 82,000 228,815
RJ Reynolds Berhad ................... 200,000 534,336
Rahman Hydraulic Tin Berhad .......... 37,000 706,610
Riverview Rubber Estates Berhad ...... 5,400 45,525
Road Builders (Malaysia) Holdings
Berhad ............................... 55,000 285,177
SCB Developments Berhad .............. 240,500 340,784
*SPK Sentosa Corp. Berhad ............. 51,000 109,005
Samanda Holdings Berhad .............. 73,000 378,508
*Sanda Plastics Industries Berhad ..... 11,000 56,165
Sanyo Industries (Malaysia) Berhad ... 33,600 211,455
Sapura Telecommunications Berhad ..... 187,000 309,385
Sarawak Oil Palms Berhad ............. 117,600 267,643
157
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
--------- ----------
*Sateras Resources (Malaysia) Berhad .. 193,000 $ 145,142
Scientex, Inc. Berhad ................ 75,000 172,175
Selangor Dredging Berhad ............. 355,000 258,539
Selangor Properties Berhad ........... 459,000 508,688
Setegap Berhad ....................... 33,332 94,330
*Setron (Malaysia) Berhad ............. 61,666 135,463
Shanghai Chong Kee Berhad ............ 22,000 93,172
Shangri-La Hotels (Malaysia) Berhad .. 220,000 215,951
Siah Brothers Corp. Berhad ........... 64,000 122,098
*Sin Heng Chan Berhad ................. 20,000 174,154
Sistem Television Malaysia Berhad .... 35,000 69,266
Sitt Tatt Berhad ..................... 85,000 185,039
*South East Asia Lumber, Inc. Berhad .. 79,500 187,225
South Johore Amalgamated Holding
Berhad ............................... 40,500 116,218
South Malaysia Industries Berhad ..... 157,500 124,678
Southern Acids (Malaysia) Berhad ..... 80,700 164,498
Southern Bank Berhad ................. 106,000 299,980
*Sri Hartamas Corp. Berhad ............ 430,000 296,141
Sriwani Holdings Berhad .............. 143,800 355,729
Sungei Bagan Rubber Co. (Malaysia)
Berhad ............................... 2,000 111,617
*Tai Wah Garments Manufacturing Berhad
(Foreign) ............................ 30,000 47,615
Taiping Consolidated Berhad .......... 232,000 193,754
Tajo Berhad .......................... 32,000 77,261
Talam Corp. Berhad ................... 82,000 122,684
Tan & Tan Developments Berhad ........ 159,000 158,591
Tasek Cement Berhad .................. 192,000 539,561
Tenggara Capital Berhad .............. 62,000 147,239
*The Store Corp. Berhad ............... 31,000 55,460
Tiong Nam Transport Holdings Berhad .. 17,000 51,138
*Tongkah Holdings Berhad .............. 33,000 56,687
*Trengganu Development & Management
Berhad ............................... 66,000 96,133
Tronoh Mines Malaysia Berhad ......... 40,000 166,238
UAC Berhad ........................... 67,000 121,987
*Union Paper Holdings Berhad .......... 20,000 123,491
Uniphoenix Corp. Berhad .............. 267,000 355,084
Uniphone Telecommunications Berhad ... 185,000 222,600
United Chemical Industries Berhad .... 18,000 81,932
United Malacca Rubber Estates Berhad . 96,000 680,150
United Malayan Land Berhad ........... 36,000 246,507
United Plantations Berhad ............ 206,000 411,755
Utusan Melayu (Malaysia) Berhad ...... 24,000 33,248
*Wembley Industries Holdings Berhad ... 35,000 62,339
Westmont Industries Berhad ........... 116,520 212,148
Westmont Land (Asia) Berhad .......... 180,600 268,773
Wing Tiek Holdings Berhad ............ 95,800 373,493
Worldwide Holdings Berhad ............ 213,800 363,879
Yee Lee Corp. Berhad ................. 14,000 41,005
Yeo Hiap Seng (Malaysia) Berhad ...... 35,000 93,509
------------
TOTAL COMMON STOCKS
(Cost $43,839,406) ................... 66,259,271
------------
INVESTMENT IN CURRENCY -- (0.9%)
*Malaysian Ringetts
(Cost $2,016,190) .................... 2,011,000
------------
<PAGE>
Shares Value+
--------- --------
RIGHTS/WARRANTS -- (0.0%)
*Pernas International Hotel &
Properties Berhad 12/06/96 ........... 36,000 $ 0
*Tai Wah Garments Manufacturing Berhad
Foreign Rights 12/19/96 .............. 30,000 23,867
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 23,867
------------
TOTAL -- MALAYSIA
(Cost $45,855,596) ................... 68,294,138
------------
HONG KONG -- (21.7%)
COMMON STOCKS -- (21.7%)
ABC Communications (Holdings), Ltd. .. 338,000 80,013
ALCO Holdings, Ltd. .................. 314,000 40,212
ASM Pacific Technology, Ltd. ......... 346,000 293,163
AWT World Transport Holdings, Ltd. ... 167,200 19,249
*Allied Group, Ltd. ................... 5,522,000 578,594
*Allied Industries International, Ltd. 1,856,000 151,255
Anex International Holdings, Ltd. .... 152,000 28,510
*Applied International Holdings, Ltd. . 1,243,000 72,356
*Asia Commercial Holdings, Ltd. ....... 3,640,000 47,086
Asia Financial Holdings, Ltd. ........ 1,233,387 498,588
Associated International Hotels, Ltd. 898,000 720,212
Beauforte Investors Corp., Ltd. ...... 72,000 121,079
Beijing Development (Hong Kong), Ltd. 166,000 33,928
*Benelux International, Ltd. .......... 30,000 1,164
Burwill Holdings, Ltd. ............... 1,480,000 160,818
*CDW International, Ltd. .............. 178,000 17,730
*CEF Concord Holdings, Ltd. ........... 148,500 19,210
*CIL Holdings, Ltd. ................... 122,000 7,102
CNT Group, Ltd. ...................... 980,000 90,007
Cafe de Coral Holdings, Ltd. ......... 485,000 141,162
*Capetronic International Holdings,
Ltd. ................................. 14,490 2,999
Capital Asia, Ltd. ................... 987,361 150,713
Century City International Holdings,
Ltd. ................................. 3,676,045 1,283,916
Champion Technology Holdings, Ltd. ... 1,285,332 226,124
Chen Hsong Holdings, Ltd. ............ 1,275,000 733,943
Cheuk Nang Properties (Holdings), Ltd. 750,008 218,294
*Cheung Wah Development Co., Ltd. ..... 1,286,000 40,923
Chevalier (OA) International, Ltd. ... 1,732,000 197,162
Chevalier Construction Holdings, Ltd. 118,072 9,470
Chevalier Development International,
Ltd. ................................. 52,524 9,716
Chevalier International Holdings, Ltd. 1,618,211 282,593
*China Aerospace International
Holdings, Ltd. ....................... 1,620,000 424,358
China Foods Holdings, Ltd. ........... 1,232,000 191,242
China Merchants Hai Hong Holdings Co.,
Ltd. ................................. 574,000 209,760
China Motor Bus Co., Ltd. ............ 114,200 1,167,039
#China Travel International Investment
Hong Kong, Ltd. ...................... 1,728,000 570,002
*China Treasure Telecom Holdings, Ltd. 230,000 6,843
*China United (Holdings), Ltd. ........ 115,000 5,058
Chow Sang Sang Holdings International,
Ltd. ................................. 1,098,400 351,664
*Chuang's China Investments, Inc. ..... 820,000 37,656
Chun Wo Holdings, Ltd. ............... 169,400 26,953
158
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
-------- --------
Climax International Co., Ltd. ....... 296,000 $ 42,885
Companion Building Material
(Holdings), Ltd. ..................... 421,632 74,722
*Companion Marble (Holdings), Ltd. .... 47,912 6,632
*Continental Holdings, Ltd. ........... 98,825 7,926
*Continental Mariner Investment Co.,
Ltd. ................................. 480,000 88,170
Cosmos Machinery Enterprises, Ltd. ... 500,000 45,275
Crocodile Garments, Ltd. ............. 1,539,000 125,421
Cross Harbour Tunnel Co., Ltd. ....... 365,603 803,990
*Culturecom Holdings, Ltd. ............ 2,161,000 69,606
Dah Sing Financial Holdings, Ltd. .... 215,200 865,755
*Daido Concrete (Hong Kong), Ltd. ..... 223,000 22,212
Dransfield Holdings, Ltd. ............ 190,000 13,272
Dynamic Holdings, Ltd. ............... 158,000 34,745
*East Asiatic Co. (Hong Kong), Ltd. ... 919,000 101,048
#Egana International Holdings, Ltd. ... 1,070,400 249,236
Elec & Eltek International Holdings,
Ltd. ................................. 2,565,659 577,485
Emporer International Holdings, Ltd. . 148,369 47,022
*Englong International, Ltd. .......... 130,000 5,045
FPB Bank Holding Co., Ltd. ........... 1,399,520 629,110
*Fairwood Holdings, Ltd. .............. 426,000 25,900
Far East Consortium International,
Ltd. ................................. 1,555,827 285,787
*Far East Holdings International, Ltd. 70,000 7,968
*Far East Hotels & Entertainment, Ltd. 1,853,000 707,115
*Fong's Industries Co., Ltd. .......... 174,000 7,653
Fortei Holdings, Ltd. ................ 242,000 20,348
Four Seas Mercantile Holdings, Ltd. .. 242,000 119,740
Frankie Dominion International, Ltd. . 589,950 30,526
*Fu Hui Jewelry Co. (Hong Kong), Ltd. . 232,000 21,908
Furama Hotel Enterprises, Ltd. ....... 475,287 823,858
Giordano International, Ltd. ......... 598,000 526,020
Gold Peak Industries (Holdings), Ltd. 1,031,400 707,124
Golden Power International Holdings,
Ltd. ................................. 34,000 2,045
Golden Resources Development
International, Ltd. .................. 971,000 116,814
Goldlion Holdings, Ltd. .............. 693,000 578,210
*Goldtron (Bermuda) Holdings, Ltd. .... 51,111 1,296
Grand Hotel Holdings, Ltd. Series A .. 1,333,000 594,897
Grande Holdings, Ltd. ................ 420,088 167,101
#Great Wall Electronic International,
Ltd. ................................. 2,256,452 321,078
#Guangzhou Investment Co., Ltd. ....... 1,026,000 398,163
HKCB Bank Holding Co., Ltd. .......... 538,000 189,645
*Hanny Holdings, Ltd. ................. 197,280 28,327
Harbour Centre Development, Ltd. ..... 375,000 548,153
Harbour Ring International Holdings,
Ltd. ................................. 1,618,000 152,790
*High Fashion International, Ltd. ..... 178,000 17,960
#Hon Kwok Land Investment Co., Ltd. ... 2,081,950 868,545
Hong Kong Ferry (Holdings) Co., Ltd. . 771,300 1,526,535
*Hong Kong Parkview Group, Ltd. ....... 1,130,000 376,399
Hong Kong Toy Centre International,
Ltd. ................................. 578,000 35,141
Hop Hing Holdings, Ltd. .............. 660,265 83,702
Hsin Chong Construction Group, Ltd. .. 446,018 62,889
Hung Hing Printing Group, Ltd. ....... 406,421 131,434
<PAGE>
Shares Value+
--------- --------
Hwa Kay Thai Holdings, Ltd. .......... 2,444,238 $ 221,327
IDT International, Ltd. .............. 390,664 48,514
IMC Holdings, Ltd. ................... 604,000 359,408
Innovative International (Holdings),
Ltd. ................................. 438,000 181,308
International Pipe, Ltd. ............. 108,000 16,765
*Island Dyeing & Printing Co., Ltd. ... 148,000 146,459
JCG Holdings, Ltd. ................... 196,333 186,669
Jinhui Holdings Co., Ltd. ............ 370,000 92,853
Joyce Boutique Holdings, Ltd. ........ 680,000 193,519
K Wah International Holdings, Ltd. ... 2,138,905 514,632
KPI Co., Ltd. ........................ 220,000 36,143
Ka Wah Bank, Ltd. .................... 1,976,218 850,000
*Kader Holdings Co., Ltd. ............. 496,000 60,312
Keck Seng Investments (Hong Kong),
Ltd. ................................. 572,400 181,409
Kee-Shing Holdings Co., Ltd. ......... 886,000 100,858
King Fook Holdings, Ltd. ............. 1,000,000 94,431
*Kosonic International Holdings, Ltd. . 198,000 6,301
Kumagai Gumi Hong Kong, Ltd. ......... 685,000 775,338
Kwong Sang Hong International, Ltd. .. 604,000 253,929
Lai Sun Garment (International), Ltd. 465,000 745,877
*Lam Soon (Hong Kong), Ltd. ........... 1,209,240 203,352
*Lam Soon Food Industries, Ltd. ....... 435,000 29,823
Lamex Holdings, Ltd. ................. 202,000 74,471
Lap Heng Co., Ltd. ................... 128,000 1,987
Laws International Holdings, Ltd. .... 410,000 65,235
Le Saunda Holdings, Ltd. ............. 236,000 47,319
Leefung-Asco Printers Holdings, Ltd. . 144,000 16,020
Li & Fung, Ltd. ...................... 548,000 510,394
Lippo, Ltd. .......................... 749,760 514,032
Liu Chong Hing Bank, Ltd. ............ 358,600 598,401
Liu Chong Hing Investment, Ltd. ...... 635,200 784,705
*Luks Industrial Co., Ltd. ............ 1,793,212 185,573
M.C. Packaging (Hong Kong), Ltd. ..... 524,000 171,153
*Magnum International Holdings, Ltd. .. 300,000 11,642
*Mansion Holdings, Ltd. ............... 151,800 13,942
Mansion House Group, Ltd. ............ 698,200 61,416
*Megga (S.) International Holdings,
Ltd. ................................. 1,081,000 50,341
Melbourne Enterprises, Ltd. .......... 45,500 329,604
Melco International Development, Ltd. 180,000 59,375
Min Xin Holdings, Ltd. ............... 616,000 302,801
Mingly Corp., Ltd. ................... 3,666,000 1,351,542
Morning Star Holdings, Ltd. .......... 410,000 23,867
Nanyang Holdings, Ltd. ............... 125,000 182,718
National Electronics Holdings, Ltd. .. 1,324,000 75,359
New Island Printing Holdings, Ltd. ... 176,000 45,534
Ngai Lik Industrial Holdings, Ltd. ... 560,000 131,841
*Ocean Information Holdings, Ltd. ..... 122,000 8,838
Ocean-Land Development, Ltd. ......... 206,000 183,869
Oxford Properties & Finance, Ltd. .... 110,000 200,634
Pacific Concord Holding, Ltd. ........ 1,686,000 436,194
*Paramount Publishing Group, Ltd. ..... 620,000 76,994
Paul Y. ITC Construction Holdings,
Ltd. ................................. 731,391 176,923
*Peace Hill Enterprise Group, Ltd. .... 96,000 46,879
*Peace Mark (Holdings), Ltd. .......... 93,864 4,068
Perfectech International Holdings,
Ltd. ................................. 150,000 20,374
Playmate Toys Holdings, Ltd. ......... 837,000 286,922
Pokfulam Development Co., Ltd. ....... 234,000 169,510
*Poly Investments Holdings, Ltd. ...... 2,670,000 122,612
Prestige Properties Holdings, Ltd. ... 965,000 202,225
159
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
--------- --------
*Prod-Art Technology (Holdings), Ltd. . 322,000 $ 12,496
QPL International Holdings, Ltd. ..... 318,000 257,099
Raymond Industrial, Ltd. ............. 605,400 75,181
Rhine Holdings, Ltd. ................. 64,000 4,802
*Rivera Holdings, Ltd. ................ 3,160,000 98,514
Safety Godown Co., Ltd. .............. 408,000 337,779
San Miguel Brewery Hong Kong, Ltd. ... 930,800 454,533
*Seapower International Holdings, Ltd. 260,000 102,581
Seapower Resources International, Ltd. 2,528,000 291,045
Semi-Tech (Global) Co., Ltd. ......... 323,454 562,765
*Shanghai International (Hong Kong),
Ltd. ................................. 215,000 33,931
Shaw Brothers Hong Kong, Ltd. ........ 100,000 126,771
Shell Electric Manufacturing
(Holdings) Co., Ltd. ................. 825,000 514,925
*Shenzhen International Holdings, Ltd. 1,865,000 79,613
Shougang Concord Century Holdings,
Ltd. ................................. 302,000 25,393
Shougang Concord International
Enterprises Co., Ltd. ................ 1,466,000 231,359
Shougang Concord Technology Holdings,
Ltd. ................................. 995,914 76,009
*Shun Ho Construction (Holdings), Ltd. 988,050 149,540
*Shun Ho Resources Holdings, Ltd. ..... 483,000 51,858
*Shun Shing Holdings, Ltd. ............ 408,000 16,625
Silver Grant International Industries,
Ltd. ................................. 255,000 106,381
Sime Darby Hong Kong, Ltd. ........... 418,000 513,680
Sincere Co., Ltd. .................... 505,500 75,853
Sing Tao Holdings, Ltd. .............. 733,000 298,681
Singamas Container Holdings, Ltd. .... 320,000 22,353
South China Brokerage Co., Ltd. ...... 406,000 80,880
South China Industries, Ltd. ......... 1,124,000 155,576
*South China Strategic, Ltd. .......... 1,429,000 54,531
*South Sea Development Co., Ltd. ...... 578,158 27,672
Southeast Asia Properties & Finance,
Ltd. ................................. 159,720 59,400
*Star Telecom International Holdings,
Ltd. ................................. 388,000 135,515
#Starlight International Holdings, Ltd 699,356 86,848
#Stelux Holdings International, Ltd. .. 735,702 175,110
*Styland Holdings, Ltd. ............... 808,000 29,266
Sum Cheong International, Ltd. ....... 230,000 17,851
*Sun Fook Kong Holdings, Ltd. ......... 1,534,000 87,311
Sun Hung Kai & Co., Ltd. ............. 1,825,600 484,119
*Suwa International Holdings, Ltd. .... 1,062,000 57,699
Swank International Manufacturing Co.,
Ltd. ................................. 638,000 103,988
Tack Hsin Holdings, Ltd. ............. 148,000 19,911
Tai Sang Land Development, Ltd. ...... 417,259 229,397
Tak Sing Alliance Holdings, Ltd. ..... 581,973 231,494
Tak Wing Investment Holdings, Ltd. ... 432,800 68,303
Techtronic Industries Co., Ltd. ...... 954,000 144,387
#Tem Fat Hing Fung (Holdings), Ltd. ... 2,060,000 586,249
*Termbray Industries International
(Holdings), Ltd. ..................... 107,134 256,384
Tern Properties Co., Ltd. ............ 51,000 17,153
Texwinca Holdings, Ltd. .............. 278,000 129,461
Tian An China Investments Co., Ltd. .. 2,177,875 301,446
Tian Teck Land, Ltd. ................. 1,098,000 305,375
<PAGE>
Shares Value+
---------- --------
Tristate Holdings, Ltd. .............. 138,000 $ 70,513
#Truly International Holdings, Ltd. ... 214,000 102,425
Tse Sui Luen Jewellry (International),
Ltd. ................................. 1,065,664 327,398
Tung Fong Hung (Holdings), Ltd. ...... 388,800 26,153
Tungtex (Holdings) Co., Ltd. ......... 976,000 97,215
Tysan Holdings, Ltd. ................. 369,600 81,756
UDL Holdings, Ltd. ................... 474,000 49,666
USI Holdings, Ltd. ................... 928,999 381,550
*Ultronics International Holdings, Ltd. 112,000 3,694
Union Bank of Hong Kong, Ltd. ........ 613,184 749,575
Uniworld Holdings, Ltd. .............. 14,880,000 67,370
Varitronix International, Ltd. ....... 495,000 918,860
Wah Ha Realty Co., Ltd. .............. 278,600 64,510
Wah Kwong Shipping Holdings, Ltd. .... 125,500 178,578
*Wah Nam Group, Ltd. .................. 1,934,800 34,289
Wai Kee Holdings, Ltd. ............... 474,294 112,891
Wing On Co. International, Ltd. ...... 565,000 697,982
Wing On International Holdings, Ltd. . 50,000 98,959
Wing Shan International, Ltd. ........ 406,000 53,570
Winsor Industrial Corp., Ltd. ........ 498,000 117,889
*Winsor Properties Holdings, Ltd. ..... 249,000 375,247
*Wo Kee Hong (Holdings), Ltd. ......... 1,620,000 142,500
Wong's International (Holdings), Ltd. 1,012,000 324,002
*Wong's Kong King International
(Holdings), Ltd. ..................... 1,139,600 44,962
World Houseware (Holdings), Ltd. ..... 535,123 28,381
YGM Trading, Ltd. .................... 70,000 91,456
Yangtzekiang Garment Manufacturing
Co., Ltd. ............................ 405,000 66,011
Yaohan Food Processing & Trading Co.,
Ltd. ................................. 124,000 10,426
*Yaohan Hong Kong Corp., Ltd. ......... 760,000 33,426
Yaohan International Caterers, Ltd. .. 512,000 134,118
Yaohan International Holdings, Ltd. .. 974,000 107,095
Yau Lee Holdings, Ltd. ............... 360,000 16,532
Yeebo (International Holdings), Ltd. . 408,000 26,389
*Yiu Wing International Holdings, Ltd. 282,000 52,894
*Yoshiya International Corp., Ltd. .... 408,200 33,266
Yue Yuen Industrial (Holdings), Ltd. . 1,982,000 666,606
------------
TOTAL COMMON STOCKS
(Cost $51,355,293) ................... 50,160,282
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $11,350) ..... 11,351
------------
RIGHTS/WARRANTS -- (0.0%)
*China Treasure Telecom Holdings, Ltd.
Warrants 12/16/96 .................... 230,000 0
*Companion Marble (Holdings), Ltd.
Warrants 10/10/97 .................... 9,582 403
*Four Seas Mercantile Holdings, Ltd.
Warrants 09/30/98 .................... 48,400 5,572
*Morning Star Holdings, Ltd. Rights
12/17/96 ............................. 820,000 21,215
*Rhine Holdings, Ltd. Warrants 12/31/98 8,000 64
*Shougang Concord Technology Holdings,
Ltd. Warrants 12/31/98 ............... 1 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 27,254
------------
TOTAL -- HONG KONG
(Cost $51,366,643) ................... 50,198,887
------------
160
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
--------- --------
AUSTRALIA -- (20.0%)
COMMON STOCKS -- (19.8%)
AAPC, Ltd. ........................... 769,896 $ 520,670
Aberfoyle, Ltd. ...................... 185,050 470,432
#Adelaide Brighton, Ltd. .............. 243,923 337,874
*Agen, Ltd. ........................... 71,000 14,463
*Airboss, Ltd. ........................ 274,800 20,600
Allgas Energy, Ltd. .................. 20,699 222,626
*Allied Queensland Coalfields, Ltd. ... 4,800 3,051
Amalgamated Holdings, Ltd. ........... 207,560 1,099,284
*Ashanti Goldfields Co., Ltd. ......... 15,991 221,502
Ashton Mining, Ltd. .................. 523,700 832,089
Atkins Carlyle, Ltd. ................. 60,966 186,282
*Auridiam Consolidated NL ............. 63,097 29,819
*Aurora Gold, Ltd. .................... 19,225 38,222
#Australian Chemical Holdings, Ltd. ... 61,900 189,136
*Australian Oil & Gas Corp., Ltd. ..... 84,300 90,668
Australian Provincial Newspaper
Holdings, Ltd. ....................... 303,932 594,348
Australian Resources, Ltd. ........... 26,942 15,586
*Awa, Ltd. ............................ 373,000 291,765
*BRL Hardy, Ltd. ...................... 13,947 32,956
Ballarat Brewing Co. Ltd. ............ 56,052 114,178
Bank of Queensland, Ltd. ............. 113,973 524,691
*Beach Petroleum NL ................... 165,200 11,845
*Biota Holdings, Ltd. ................. 82,600 218,061
Blackmores, Ltd. ..................... 27,894 77,048
*Boulder Group NL ..................... 78,500 14,232
Bridgestone Australia, Ltd. .......... 49,000 127,761
Buderim Ginger, Ltd. ................. 7,300 4,342
Caltex Australia, Ltd. ............... 90,000 325,595
Campbell Brothers, Ltd. .............. 37,473 106,866
*Cape Range, Ltd. ..................... 244,600 37,867
#Capral Aluminium, Ltd. ............... 371,237 1,119,195
*Carrington Cotton Corp., Ltd. ........ 22,200 36,177
Central Equity, Ltd. ................. 123,243 114,477
Central Norseman Gold Corp., Ltd. .... 409,800 283,820
Centro Properties, Ltd. .............. 219,519 404,234
Clements Marshall Consolidated, Ltd. . 2,555 1,728
*Climax Mining, Ltd. .................. 134,600 109,673
Coal & Allied Industries, Ltd. ....... 11,250 109,907
Cockburn Corp., Ltd. ................. 5,700 7,059
Computer Power Group, Ltd. ........... 47,260 154,030
*Consolidated Rutile, Ltd. ............ 83,300 171,719
*Coolgardie Gold NL ................... 222,685 23,588
*Coplex Resources NL .................. 231,400 49,965
*Cortecs International, Ltd. .......... 19,800 58,079
Country Road, Ltd. ................... 98,769 144,859
Coventry Group, Ltd. ................. 63,616 243,622
Crane (G.E) Holdings, Ltd. ........... 68,944 589,846
Croesus Mining NL .................... 97,100 64,085
*Cudgen RZ, Ltd. ...................... 36,650 59,725
*DJL, Ltd. ............................ 277,900 2,264
Danks Holdings, Ltd. ................. 6,950 56,572
Datacraft, Ltd. ...................... 127,018 83,831
Davids Limited ....................... 30,000 41,066
Defiance Mills, Ltd. ................. 76,412 74,713
*Delta Gold NL ........................ 373,100 714,407
*Denehurst, Ltd. ...................... 95,000 10,837
*Devex, Ltd. .......................... 225,900 81,909
*Discovery Petroleum NL ............... 185,968 124,252
*Dominion Mining, Ltd. ................ 168,015 123,209
ERG, Ltd. ............................ 293,180 305,772
Eltin, Ltd. .......................... 106,072 249,776
<PAGE>
Shares Value+
--------- --------
*Eltin, Ltd. Issue 96 ................. 26,518 $ 61,364
*Emporer Mines, Ltd. .................. 120,600 209,305
Energy Resources of Australia, Ltd.
Series A ............................. 231,589 1,094,458
*Equatorial Mining NL ................. 864,290 119,718
Evans Deakin Industries, Ltd. ........ 196,596 547,840
FAI Insurances, Ltd. ................. 583,630 356,658
Fai Life, Ltd. ....................... 185,075 135,720
Finemore Holdings, Ltd. .............. 60,000 147,153
Foodland Associated, Ltd. ............ 96,144 454,363
*Forrestania Gold NL .................. 138,485 312,561
#Futuris Corp., Ltd. .................. 621,563 855,903
GUD Holdings, Ltd. ................... 70,170 220,123
GWA International, Ltd. .............. 17,931 33,896
Gibson Chemical Industries, Ltd. ..... 36,300 181,013
*Gold Mines of Australia, Ltd. ........ 553,072 96,889
Goldfields, Ltd. ..................... 132,934 285,952
Gunns, Ltd. .......................... 39,400 78,653
Gwalia Consolidated, Ltd. ............ 101,623 235,988
Harvey Norman Holdings, Ltd. ......... 127,340 664,045
*Helix Resources NL ................... 25,000 68,240
#Henry Walker Group, Ltd. ............. 168,957 371,700
Herald Resources, Ltd. ............... 69,910 55,824
Hills Industries, Ltd. ............... 176,000 248,091
*Hudson Conway, Ltd. .................. 4,855 64,283
*ISR Group, Ltd. ...................... 85,500 52,249
Iama, Ltd. ........................... 36,266 83,626
#Incitec, Ltd. ........................ 195,202 1,025,882
Ipoh, Ltd. ........................... 117,000 200,197
*Johnson's Well Mining NL ............. 10,000 32,592
Joyce Corp., Ltd. .................... 11,893 12,113
Jupiters, Ltd. ....................... 200,762 490,745
#Kalamazoo Holdings, Ltd. ............. 99,600 239,406
Kidston Gold Mines, Ltd. ............. 246,300 311,063
Kurts (Peter) Properties, Ltd. ....... 134,436 152,259
Lanes, Ltd. .......................... 25,598 57,566
Lemarne Corp., Ltd. .................. 20,790 61,830
*Loscam, Ltd. ......................... 235,700 69,138
*MBL Holdings, Ltd. ................... 172 13
MMI Limited .......................... 14,520 46,732
MacMahon Holdings, Ltd. .............. 192,179 165,983
Magellan Petroleum Australia, Ltd. ... 31,200 86,434
Maryborough Sugar Factory, Ltd. ...... 600 5,671
*Matrix Telecommunications Group
Series A ............................. 99,300 161,820
McIntosh Securities, Ltd. ............ 118,300 129,164
*McPherson's, Ltd. .................... 61,500 170,375
*Meekatharra Minerals, Ltd. ........... 46,800 20,973
*Memtec, Ltd. ......................... 15,422 513,945
#Metal Manufactures, Ltd. ............. 295,010 721,125
#Metway Bank, Ltd. .................... 271,368 1,209,480
#Mirvac, Ltd. ......................... 292,184 595,181
*Mount Edon Gold Mines (Australia),
Ltd. ................................. 113,463 151,618
*Mount Kersey Mining NL ............... 73,076 297,713
Mount Leyshon Gold Mines, Ltd. ....... 133,376 277,122
National Can Industries, Ltd. ........ 86,237 175,665
National Consolidated, Ltd. .......... 396,328 326,159
#National Foods, Ltd. ................. 510,583 669,800
OPSM Protector, Ltd. ................. 289,801 668,250
Oil Company of Australia, Ltd. ....... 51,800 80,193
*Orbital Engine Corp., Ltd. ........... 537,358 398,435
*Oroton International, Ltd. ........... 34,600 34,113
#Pacific BBA, Ltd. .................... 275,033 986,030
#Pacific Magazines and Printing, Ltd. . 371,610 1,029,483
161
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
--------- --------
*Pan Pacific Petroleum NL ............. 327,800 $ 37,393
Parbury, Ltd. ........................ 156,125 89,048
*Payce Consolidated, Ltd. ............. 18,000 12,173
Penfold (W.C.), Ltd. ................. 14,100 26,999
*#Peptide Technology, Ltd. ............ 176,600 83,459
*Perilya Mines NL ..................... 123,500 82,515
Permanent Trustee Co., Ltd. .......... 14,000 57,036
*Petroleum Securities Australia, Ltd. . 97,992 447,128
*Petroz NL ............................ 308,910 218,980
*Portman Mining, Ltd. ................. 166,100 338,347
*Power Pacific, Ltd. .................. 302,000 18,455
Prime Television, Ltd. ............... 140,853 268,556
#QUF Industries, Ltd. ................. 160,392 334,561
*Queensland Metals Corp., Ltd. ........ 327,666 296,352
*Raptis Group, Ltd. ................... 12,000 2,347
Reece Australia, Ltd. ................ 32,100 179,948
Resolute Samantha, Ltd. .............. 320,738 674,253
#Ridley Corp., Ltd. ................... 543,746 806,344
Ross Mining NL ....................... 18,629 20,036
#Rothmans Holdings, Ltd. .............. 205,927 1,291,983
Rural Press, Ltd. .................... 198,599 652,131
Savage Resources, Ltd. ............... 813,446 914,662
Schaffer Corp., Ltd. ................. 13,800 24,737
Scott Corp., Ltd. .................... 43,000 82,336
Siddons Ramset, Ltd. ................. 93,534 472,513
#Simsmetal, Ltd. ...................... 134,679 724,264
*Sipa Resources International NL ...... 81,000 36,959
Sons of Gwalia, Ltd. ................. 165,516 903,582
*Southern Pacific Petroleum NL ........ 437,600 1,194,469
Spicers Paper, Ltd. .................. 246,300 455,557
Spotless Group, Ltd. ................. 201,700 419,082
*Spotless Group, Ltd. Issue 96 ........ 22,411 40,173
#Spotless Services, Ltd. .............. 297,300 385,163
*Spotless Services, Ltd. Issue 96 ..... 287,390 348,908
*St. Barbara Mines, Ltd. .............. 375,500 220,290
*Strategic Minerals Corp., NL ......... 13,100 854
*Tandou, Ltd. ......................... 3,100 2,021
Tassal, Ltd. ......................... 365,145 81,818
Telecasters North Queensland, Ltd. ... 5,945 27,369
*Ticor, Ltd. .......................... 48,794 38,565
*Titan Resources NL ................... 50,000 16,703
*Tooth & Co., Ltd. .................... 153,000 44,256
*Transcom International, Ltd. ......... 223,200 22,733
*Triako Resources, Ltd. ............... 5,400 1,738
*Union Gold Mining Co. NL ............. 142,500 134,687
*VA Holdings, Ltd. .................... 189,000 18,480
Villa World, Ltd. .................... 134,700 115,242
*Waco Kwikform, Ltd. .................. 209,308 51,163
*Walhalla Mining Company NL ........... 681 222
#Wattyl, Ltd. ......................... 150,354 606,419
Webster, Ltd. ........................ 32,700 22,914
*Wesfi, Ltd. .......................... 74,000 138,680
Weston (George) Foods, Ltd. .......... 20,100 126,926
Westralian Sands, Ltd. ............... 160,969 522,009
White (Joe) Maltings, Ltd. ........... 23,899 98,339
*Wills (W.D. & H.O.) Holdings, Ltd. ... 259,700 444,369
*Wiluna Mines, Ltd. ................... 240,000 168,175
------------
TOTAL COMMON STOCKS
(Cost $33,564,876) ................... 45,842,559
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Australia Dollar (Cost $509,825) ..... 513,270
------------
<PAGE>
Shares Value+
--------- --------
RIGHTS/WARRANTS -- (0.0%)
*Ross Mining NL Rights 12/09/96 (Cost
$0) .................................. 2,661 $ 444
------------
TOTAL -- AUSTRALIA
(Cost $34,074,701) ................... 46,356,273
------------
KOREA -- (16.6%)
COMMON STOCKS -- (16.5%)
*Aluminum of Korea .................... 7,257 45,531
*Anam Electronics Co. ................. 6,000 91,216
Asia Cement Co., Ltd. ................ 5,226 150,701
*Asia Motors Co., Inc. ................ 27,068 190,730
Asia Paper Manufacturing Co., Ltd. ... 1,590 65,035
*BIF Co., Ltd. ........................ 5,000 11,583
*BYC Co., Ltd. ........................ 330 37,826
*Bank of Che Ju ....................... 4,500 37,464
Bank of Pusan ........................ 15,700 139,231
Bing Grae Co., Ltd. .................. 7,595 115,465
Boo Kook Securities Co., Ltd. ........ 4,635 43,341
Boram Bank Co., Ltd. ................. 22,649 185,827
*Boram Bank Co., Ltd. Issue 96 ........ 4,099 32,147
*Boram Securities Co., Ltd. ........... 5,610 50,766
Boryung Pharmaceutical Co., Ltd. ..... 3,619 96,501
*Bukwang Pharmaceutical Co., Ltd. ..... 850 49,741
Byuck San Corp. ...................... 6,580 96,064
Byuck San Engineering and Construction
Co., Ltd. ............................ 3,360 34,459
Central Investment & Finance ......... 4,887 70,758
*Chang Won Carbureter Industries Co.,
Ltd. ................................. 900 33,772
Cheil Foods & Chemicals, Inc. ........ 1,160 55,985
Cheil Industrial, Inc. ............... 20,731 290,154
*Cho Kwang Leather Co., Ltd. .......... 2,224 48,033
*Cho Kwang Leather Co., Ltd.
Issue 96 ............................. 110 2,163
Chon Bang Co., Ltd. .................. 3,255 196,368
Chong Kun Dang ....................... 3,277 199,672
*Choong Wae Pharmaceutical ............ 2,110 81,976
*Choongnam Spinning Co., Ltd. ......... 15,800 190,637
*Chosun Brewery Co., Ltd. ............. 13,240 351,448
Chosun Refractories Co., Ltd. ........ 1,100 41,940
*Chosun Refractories Co., Ltd.
Issue 96 ............................. 211 7,230
*Chung Chong Bank Co., Ltd. ........... 11,370 74,767
Chung Ho Computer Co., Ltd. .......... 1,520 74,826
*Coryo Securities Co., Ltd. ........... 13,920 139,905
Crown Confectionery Co., Ltd. ........ 1,500 48,504
Dae Chang Industrial Co. ............. 1,600 15,425
Dae Dong Industrial Co., Ltd. ........ 6,233 84,230
Dae Duck Electronics Co., Ltd. ....... 1,160 57,384
Dae Han Fire and Marine Insurance Co.,
Ltd. ................................. 7,273 199,200
Dae Han Jung Suok Co., Ltd. .......... 18,202 456,807
*Dae Han Jung Suok Co., Ltd.
Issue 96 ............................. 470 11,058
*Dae Han Pulp Co., Ltd. ............... 1,000 38,731
Dae Hyun Co., Ltd. ................... 930 17,617
*Dae Ryung Industries, Inc. Issue 96 .. 854 26,791
Dae Ryung Industries, Inc. ........... 2,060 71,583
Dae Sung Electric Wire Co., Ltd. ..... 1,164 47,049
Dae Won Kang Up Co., Ltd. ............ 6,586 126,348
Daeduck Industries Co., Ltd. ......... 560 30,068
Daehan Flour Mills Co., Ltd. ......... 620 38,825
Daehan Synthetic Fiber Co., Ltd. ..... 630 61,951
Daelim Industrial Co., Ltd. .......... 14,462 168,386
162
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
--------- --------
*Daesun Distilling Co., Ltd. .......... 1,160 $ 57,944
Daesung Industrial Co., Ltd. ......... 4,000 241,303
*Daesung Industrial Co., Ltd.
Issue 96 ............................. 2,518 142,497
Daewoo Electronic Components Co., Ltd. 10,979 143,066
*Daewoo Metal Co., Ltd. ............... 1,660 16,965
Daewoo Precision Industries, Ltd. .... 4,870 62,285
*Daewoo Telecom Co., Ltd. ............. 19,870 239,025
*Daewoo Telecom. Co., Ltd. Issue 96 ... 987 11,504
*Daewoong Pharmaceutical Co., Ltd. .... 770 36,140
Daeyoung Electronics Industries Co.,
Ltd. ................................. 1,500 70,584
Daeyu Securities Co., Ltd. ........... 4,860 58,346
Dai Han Paint & Ink Manufacturing Co.,
Ltd. ................................. 680 27,075
*Dai Han Wool Textile Corp. ........... 1,100 20,439
Dainong Corporation Co., Ltd. ........ 6,560 43,137
*Daishin Securities Co., Ltd. ......... 17,020 183,795
*Dong AR Tire Industrial Co., Ltd. .... 1,000 72,394
*Dong Ah Securities Co., Ltd. ......... 6,720 55,297
Dong Il Rubber Belt Co., Ltd. ........ 500 48,625
*Dong Shin Construction Co., Ltd. ..... 7,420 40,377
Dong Shin Pharmaceutical Co., Ltd. ... 1,326 73,596
Dong Sung Co., Ltd. .................. 6,440 33,568
Dong Wha Pharmaceutical Industries
Co., Ltd. ............................ 4,238 138,062
*Dong Won Co., Ltd. ................... 900 51,038
*Dong Yang Textile .................... 2,600 25,253
Dong Yang Tin Plate Industrial Co.,
Ltd. ................................. 3,079 85,074
Dong-A Pharmaceutical Co., Ltd. ...... 16,660 369,865
Dong-Il Corp. ........................ 2,266 120,026
*Dongbu Chemical Co., Ltd. ............ 12,600 127,855
Dongbu Construction Co., Ltd. ........ 2,623 35,446
*Dongbu Industrial Co., Ltd. .......... 4,700 41,964
*Dongbu Securities Co., Ltd. .......... 5,400 43,653
Dongbu Steel Co., Ltd. ............... 11,000 175,193
*Donghae Pulp ......................... 12,501 235,299
Dongkuk Steel Mill Co., Ltd. ......... 13,220 256,807
Dongsuh Securities Co., Ltd. ......... 8,020 90,960
Dongsung Chemical Industries ......... 5,800 135,763
Dongwon Industries Co., Ltd. ......... 15,100 313,369
Doosan Beverage Co., Ltd. ............ 573 17,975
Doosan Construction & Engineering Co.,
Ltd. ................................. 3,140 34,097
Doosan Glass Co., Ltd. ............... 6,000 48,576
*Doosan Glass Co., Ltd. Issue 96 ...... 1,066 8,103
Doosan Industrial Co., Ltd. .......... 11,388 114,732
*Doosan Manufacturing Co., Ltd. ....... 4,551 51,067
Eagon Industrial Co., Ltd. ........... 1,670 30,426
*First Fire & Marine Insurance Co.,
Ltd. ................................. 1,650 46,187
First Technology Co., Ltd. ........... 1,000 31,491
Global Enterprise Co., Ltd. .......... 530 40,287
*HS Chemical Co., Ltd. ................ 1,690 47,511
Haedong Fire and Marine Insurance Co.,
Ltd. ................................. 3,677 110,913
Hai Tai Stores Co., Ltd. ............. 2,850 27,682
*Haitai Confectionery Co., Ltd. ....... 13,270 171,319
*Halla Cement Co., Ltd. ............... 3,810 43,672
*Han Il Iron & Steel Co., Ltd. ........ 720 22,326
*Han Jin Shipping Co., Ltd. ........... 11,671 305,575
Han Kook Tire Manufacturing Co., Ltd. 2,170 83,784
<PAGE>
Shares Value+
--------- --------
*Han Kook Tire Manufacturing Co., Ltd.
Second Issue 96 ...................... 36 $ 1,325
*Han-Il Synthetic Fiber Industrial Co.,
Ltd. ................................. 29,000 206,093
*Hanbo Steel & General Construction
Co., Ltd. ............................ 10,020 124,525
*Hangdo Merchant Bank ................. 1,590 59,472
Hanil Cement Manufacturing Co., Ltd. . 1,830 91,853
Hanil Construction Co., Ltd. ......... 2,330 26,426
*Hanil Securities Co., Ltd. ........... 6,850 62,648
*Hanjin Engineering and Construction
Co., Ltd. ............................ 9,290 134,508
*Hanjin Investment and Securities Co.,
Ltd. ................................. 6,480 53,166
*Hanjin Transportation Co., Ltd. ...... 2,790 58,574
Hankook Caprolactam Corp. ............ 3,400 248,190
Hankook Core Co., Ltd. ............... 1,236 20,431
Hankook Cosmetics Co., Ltd. .......... 3,000 78,185
Hankuk Glass Industries, Inc. ........ 4,800 90,347
Hankuk Paper Manufacturing Co., Ltd. . 2,236 50,720
Hanmi Pharmaceutical Co., Ltd. ....... 2,769 113,593
Hannong Corp. ........................ 1,000 38,610
*Hanshin Construction ................. 7,540 50,946
Hanshin Machinery Co., Ltd. .......... 530 34,532
Hansol Paper Co., Ltd ................ 6,790 199,079
*Hanwha Chemical Corp. ................ 6,680 66,897
*Hanwha Corp. ......................... 30,161 411,220
*Hanwha Corp. Issue 96 ................ 4,695 58,914
*Hanwha Energy Co., Ltd. .............. 26,000 177,558
*Hanwha Machinery Co., Ltd. ........... 16,320 198,880
*Hanwha Machinery Co., Ltd.
Issue 96 ............................. 2,593 29,722
Heesung Cable, Ltd. .................. 29,448 604,025
*Heesung Cable, Ltd. Issue 96 ......... 14,391 295,182
Heung Ah Tire & Rubber ............... 5,000 130,309
*Hotel Shilla, Ltd. ................... 8,200 80,140
Hwa Sung Industrial Co. .............. 2,690 62,641
Hwacheon Machiney Works, Ltd. ........ 1,050 19,764
*Hyosung Corp. ........................ 19,600 124,155
*Hyosung Motors & Machinery, Inc. ..... 6,500 134,110
Hyundai Cement Co., Ltd. ............. 5,600 160,811
*Hyundai Corp. ........................ 13,055 248,877
*Hyundai Corp. Issue 96 ............... 5,220 94,474
Hyundai International Merchant Bank .. 3,509 72,399
Hyundai Mipo Dockyard Co., Ltd. ...... 14,000 199,324
Hyundai Motor Service Co., Ltd. ...... 6,500 196,851
Hyundai Pharmaceutical Co., Ltd. ..... 3,427 101,718
Hyundai Pipe Co., Ltd. ............... 4,500 41,807
*Hyundai Pipe Co., Ltd. Issue 96 ...... 1,800 15,442
Hyundai Precision Industry Co., Ltd. . 12,890 279,947
*Hyundai Securities Co., Ltd. ......... 3,750 57,915
*Hyundai Securities Co., Ltd.
Issue 96 ............................. 306 4,394
*Hyundai Wood Industry ................ 12,472 107,595
*Il Dong Pharmaceutical Co., Ltd. ..... 960 49,228
*Il Dong Pharmaceutical Co., Ltd. Issue
96 ................................... 375 14,479
Il Jin Co., Ltd. ..................... 1,100 41,940
Il Jin Electronics & Machinery Co.,
Ltd. ................................. 1,000 37,765
Il Shin Spinning ..................... 3,021 265,358
Il Sung Construction Co., Ltd. ....... 4,430 43,883
163
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
--------- --------
Il Sung Pharmaceutical Co., Ltd. ..... 1,090 $ 24,988
Il Yang Pharmaceutical Co., Ltd. ..... 5,245 129,100
*Il Yang Pharmaceutical Co., Ltd. Issue
96 ................................... 710 15,848
Inchon Iron & Steel Co., Ltd. ........ 4,190 79,877
*Inchon Iron & Steel Co., Ltd.
Issue 96 ............................. 755 13,573
*International Fire & Marine Insurance
Co., Ltd. ............................ 1,040 49,817
*Isu Chemical Co., Ltd. ............... 17,600 184,537
Jae-Il Engineering, Ltd. ............. 1,790 39,739
Jeewon Industrial Co., Ltd. .......... 1,110 37,768
Jeil Moolsan Co., Ltd. ............... 560 67,568
Jindo Corp. .......................... 9,644 145,451
Jinro, Ltd. .......................... 9,213 217,875
*KIA Motors Service Co., Ltd. ......... 4,020 39,288
*KLB Securities Co. ................... 4,920 40,723
Kang Won Industrial, Ltd. ............ 19,500 319,981
Kangwon Bank Co., Ltd. ............... 42,412 290,150
Keang Nam Enterprises Co., Ltd. ...... 4,860 53,948
Keum Kang Development Industry Co.,
Ltd. ................................. 6,280 106,081
Keumkang Co., Ltd. ................... 3,180 164,986
*Keun Wha Pharmaceutical Co., Ltd. .... 400 4,585
Keyang Electric Machinery Co., Ltd. .. 1,480 30,179
*Keyang Electric Machinery Co., Ltd.
Issue 96 ............................. 296 5,607
*Kia Precision Works Co., Ltd. ........ 2,550 23,168
*Kia Steel Co., Ltd. .................. 32,677 152,582
*Kia Steel Co., Ltd. Issue 96 ......... 7,140 33,598
Kohap Co., Ltd. ...................... 36,812 302,029
Kohap, Inc. .......................... 4,240 37,601
Kolon Construction Co., Ltd. ......... 3,502 36,338
*Kolon Construction Co., Ltd.
Issue 96 ............................. 835 7,758
Kolon International Corp. ............ 10,795 114,098
*Kolon International Corp. Issue 96 ... 4,003 39,895
*Kony Precision Co., Ltd. ............. 2,000 37,403
*Koram Bank, Ltd. ..................... 19,150 192,933
*Koram Bank, Ltd. Issue 96 ............ 3,941 38,516
*Korea Cast Iron Pipe Co., Ltd. ....... 360 22,153
Korea Chemical Co., Ltd. ............. 1,020 77,534
Korea Computer Co., Ltd. ............. 1,400 54,054
Korea Cottrell Co., Ltd. ............. 580 37,230
Korea Electronics Co., Ltd. .......... 10,483 212,493
*Korea Export Packing Industries Co.,
Ltd. ................................. 1,120 27,703
Korea Express Co., Ltd. .............. 6,720 202,703
*Korea First Bank Securities .......... 6,240 67,761
*Korea First Securities Co., Ltd. ..... 8,490 71,706
Korea Green Cross Co., Ltd. .......... 1,110 101,116
*Korea Industrial Leasing Co., Ltd. ... 6,810 75,594
Korea Iron & Steel Co., Ltd. ......... 23,133 267,950
Korea Iron & Steel Works Co., Ltd. ... 400 55,502
Korea Kumho Petrochemical ............ 31,600 274,517
Korea Line Corp. ..................... 3,110 49,157
Korea Zinc Co., Ltd. ................. 7,120 148,620
*Korean Reinsurance Co., Ltd. ......... 3,810 107,110
*Korean Reinsurance Co., Ltd.
Issue 96 ............................. 895 22,677
*Koryo Cement Manufacturing Co., Ltd. . 2,000 13,393
*Kuk Dong Construction Co., Ltd. ...... 7,305 82,851
*Kukje Corp. .......................... 10,380 72,640
Kum Kang Trading Co., Ltd. ........... 3,550 54,398
<PAGE>
Shares Value+
-------- --------
Kum Yang Co., Ltd. ................... 1,700 $ 72,406
Kumho Construction & Engineering Co.,
Ltd .................................. 57,137 494,985
Kumho Electric Co., Ltd. ............. 1,240 48,625
*Kumho Tire Co., Ltd. ................. 26,420 310,805
*Kun Young Co., Ltd. .................. 1,980 7,645
Kunsul Chemical Industrial Co., Ltd. . 620 43,762
Kwang Myung Electric Engineering Co.,
Ltd. ................................. 900 26,822
Kwangju Bank ......................... 20,248 146,583
Kyong Nam Bank ....................... 16,460 162,852
Kyung Nam Energy Co., Ltd. ........... 900 52,775
Kyungbang Co., Ltd. .................. 690 42,792
*Kyungki Bank, Ltd. ................... 18,010 122,776
Kyungnam Wool Textile Co., Ltd. ...... 4,172 69,466
Kyungwon-Century Co., Ltd. ........... 2,700 80,792
LG Cable & Machinery, Ltd. ........... 9,330 151,973
*LG Cable & Machinery, Ltd.
Issue 96 ............................. 1,504 23,772
LG Construction, Ltd. ................ 23,618 470,194
LG Industrial Systems, Ltd. .......... 2,840 72,987
LG International Corp. ............... 41,893 404,373
LG Metals Corp. ...................... 24,400 532,867
Lotte Chilsung Beverage Co., Ltd. .... 550 77,642
Lotte Confectionery Co., Ltd. ........ 750 108,591
Mando Machinery Corp. ................ 1,990 88,119
*Manho Rope & Wire, Ltd. .............. 370 80,357
Maxon Electronics Co., Ltd. .......... 1,250 42,984
Midopa Department Store .............. 16,536 265,358
*Midopa Department Store Issue 96 ..... 3,952 61,512
Miwon Co., Ltd. ...................... 3,840 66,718
Miwon Petrochemical Corp. ............ 14,328 146,945
Nae Wae Semiconductor Co., Ltd. ...... 2,670 46,390
Nam Sung Corp. ....................... 1,760 25,695
*Namhan Paper Manufacturing Co., Ltd. . 6,500 41,566
Namkwang Engineering & Construction
Co., Ltd. ............................ 2,370 28,310
Namyang Dairy Products Co., Ltd. ..... 380 31,636
Nasan Co., Ltd. ...................... 5,951 157,966
*Nasan Co., Ltd. Issue 96 ............. 1,427 35,296
Nong Shim Co., Ltd. .................. 4,028 205,094
On Yang Pulp ......................... 9,828 67,828
*Oriental Brewery Co., Ltd. ........... 2,150 153,053
Oriental Chemical Industries Co., Ltd. 17,683 484,325
*Oriental Chemical Industries Co., Ltd.
Issue 96 ............................. 701 19,025
Oriental Fire & Marine Insurance Co.,
Ltd. ................................. 4,800 124,517
Orion Electric Co., Ltd. ............. 8,538 127,740
Ottogi Corp. ......................... 1,820 54,020
Pacific Chemical Co., Ltd. ........... 14,000 261,824
Pang Rim Spinning .................... 5,000 301,641
Poong San Corp. ...................... 32,000 420,849
Posco Chemical Co., Ltd. ............. 13,000 166,264
Pyung Wha Industrial Co., Ltd. ....... 2,000 70,463
*Rifa Industrial Co. .................. 1,480 35,179
Rocket Electric ...................... 1,950 66,819
STC Corp. ............................ 12,400 224,421
Saehan Media Corp. ................... 11,800 254,850
*Sam Ick Construction Co., Ltd. ....... 18,972 86,070
*Sam Jin Chemical Co., Ltd. ........... 1,000 3,752
*Sam Lip Industrial Co., Ltd. ......... 690 31,137
164
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
--------- --------
Sam Sung Radiator Industrial Co., Ltd. 420 $ 25,693
Sam Yang Co., Ltd. ................... 14,765 472,095
*Sambu Construction Co., Ltd. ......... 3,693 102,484
Samchully Co., Ltd. .................. 1,050 84,755
*Samchully Co., Ltd. First Issue 96 ... 131 10,274
*Samchully Co., Ltd. Second
Issue 96 ............................. 52 3,827
*Samick Musical Instruments
Manufacturing Co., Ltd. .............. 9,136 29,763
*Samlip Foods Industries Co., Ltd. .... 4,060 89,155
*Sammi Corp. .......................... 29,600 100,000
*Sammi Steel Co., Ltd. ................ 49,800 228,931
Samsung Aerospace Industrial Co., Ltd. 17,875 276,062
*Samsung Aerospace Industrial Co., Ltd.
Issue 96 ............................. 8,493 123,993
Samsung Electro-Mechanics Co., Ltd. .. 62 1,721
*Samsung Electro-Mechanics Co., Ltd.
Issue 96 ............................. 525 13,619
Samsung Fine Chemicals ............... 1,441 103,450
*Samsung Fine Chemicals Issue 96 ...... 690 47,454
Samsung Securities Co., Ltd. ......... 6,720 148,378
*Samsung Securities Co., Ltd.
Issue 96 ............................. 1,075 22,050
Samwhan Corp. Co., Ltd. .............. 17,164 335,493
Samyang Foods Co., Ltd. .............. 2,000 73,842
*Samyang Merchant Bank ................ 3,200 32,819
Samyang Tong Sang Co., Ltd. .......... 1,440 27,278
*Samyoung Chemical Co., Ltd. .......... 4,000 55,985
*Se Poong Corp. ....................... 8,500 124,095
Seah Steel Corp. ..................... 2,543 66,889
*Seah Steel Corp. Issue 96 ............ 32 811
*Seoul Securities Co., Ltd. ........... 10,650 114,364
Seyang Shipping Co., Ltd. ............ 2,360 38,441
*Seyang Shipping Co., Ltd. Issue 96 ... 936 13,891
Shin Dong-Ah Fire & Marine Insurance
Co. .................................. 5,670 114,248
Shin Han Investment & Finance Co.,
Ltd. ................................. 2,976 75,405
*Shin Han Securities Co., Ltd. ........ 5,870 48,515
Shin Heung Securities Co., Ltd. ...... 4,100 36,063
*Shin Heung Securities Co., Ltd. Issue
96 ................................... 789 6,188
Shin Ho Petrochemical Co., Ltd. ...... 7,083 43,585
Shin Poong Paper Manufacturing Co.,
Ltd. ................................. 960 27,220
Shin Sung Corp. ...................... 12,771 141,763
Shin Wha Engineering & Construction
Co., Ltd. ............................ 12,597 194,548
*Shin Wha Engineering & Construction
Co., Ltd. Issue 96 ................... 1,914 27,020
Shin Won Corp. ....................... 1,790 43,627
Shin Young Securities Co., Ltd. ...... 4,220 82,486
Shindongbang Corp. ................... 3,935 197,035
*Shinhan Engineering & Construction
Co., Ltd. ............................ 4,260 39,526
*Shinho Paper Co., Ltd. Issue 96 ...... 2,717 18,096
*Shinho Steel Co., Ltd. ............... 2,999 21,711
Shinil Engineering Co., Ltd. ......... 3,180 37,601
*Shinsung Tongsang Co., Ltd. .......... 9,984 89,022
Song Woun Industries Co., Ltd. ....... 380 21,228
*Song Woun Industries Co., Ltd. First
Issue 96 ............................. 140 7,314
<PAGE>
Shares Value+
--------- --------
*Song Woun Industries Co., Ltd. Second
Issue 96 ............................. 138 $ 6,827
*Soosan Heavy Industries Co., Ltd. .... 1,550 26,369
*Soosan Heavy Industries Co., Ltd.
Issue 96 ............................. 386 5,961
Ssang Bang Wool Co., Ltd. ............ 5,589 215,792
Ssangyong Corp. ...................... 9,023 85,135
Ssangyong Fire & Marine Insurance Co.,
Ltd. ................................. 2,630 49,820
*Ssangyong Heavy Industry Co., Ltd. ... 5,700 41,608
*Ssangyong Investment Securities Co.,
Ltd. ................................. 7,380 89,935
*Ssangyong Motor Co. .................. 32,600 340,239
Ssangyong Paper Co., Ltd. ............ 2,040 51,443
Sung Chang Enterprise Co., Ltd. ...... 1,680 123,446
Sung Shin Cement Co., Ltd. ........... 6,515 165,076
Sungwon Construction Co., Ltd. ....... 3,390 44,175
Sunkyong Industries, Ltd. ............ 5,030 89,821
Sunkyong Securities Co., Ltd. ........ 6,700 60,064
*Sunkyong Securities Co., Ltd. Issue 96 727 6,298
Sunkyong, Ltd. ....................... 23,348 369,038
*Sunkyong, Ltd. Issue 96 .............. 3,380 49,346
Tae Il Media Co., Ltd. ............... 4,729 92,435
Tae Kwang Industrial Co., Ltd. ....... 150 61,173
Tae Young Corp. ...................... 900 62,983
*Taegu Department Store Co., Ltd. ..... 2,860 58,318
Tai Han Electric Wire Co., Ltd. ...... 9,403 149,758
Tai Lim Packaging Industries Co., Ltd. 1,210 31,681
Taihan Sugar Industrial Co., Ltd. .... 3,080 117,061
*Taihan Sugar Industrial Co., Ltd.
Issue 96 ............................. 246 8,311
Tong Yang Cement Corp. ............... 16,890 350,516
Tong Yang Investment and Finance Co.,
Ltd. ................................. 4,291 54,362
Tong Yang Mool San Co., Ltd. ......... 6,145 91,938
Tong Yang Nylon Co., Ltd. ............ 14,930 396,308
*Tong Yang Securities Co., Ltd. ....... 6,770 65,756
*Tongil Heavy Industries Co., Ltd. .... 65,180 346,032
Tongkook Corp. ....................... 7,400 45,982
Tongyang Confectionery Co. ........... 1,537 40,057
Trigem Computer, Inc. ................ 8,000 283,783
*Trigem Computer, Inc. Issue 96 ....... 2,036 70,995
Union Steel Manufacturing Co., Ltd. .. 3,000 209,941
Yoosung Enteprise .................... 1,030 32,933
Youl Chon Chemical Co., Ltd. ......... 990 33,446
Young Poong Mining and Construction
Corp. ................................ 2,340 132,133
Youngchang Akki Co., Ltd. ............ 3,200 96,139
Youngone Corp. ....................... 1,670 31,836
Youngpoong Corp. ..................... 2,000 237,934
Yuhan Corp. .......................... 3,417 171,097
*Yuhan Corp. First Issue 96 ........... 397 18,202
*Yuhan Corp. Second Issue 96 .......... 381 18,204
------------
TOTAL COMMON STOCKS
(Cost $45,655,669) ................... 38,312,656
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Korean Won (Cost $218,984) ........... 218,297
------------
RIGHTS/WARRANTS -- (0.0%)
*Byuck San Corp. Rights 01/04/97 ...... 2,307 0
*Hansol Paper Co., Ltd. Rights 12/24/96 924 5,237
165
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
--------- --------
*Nasan Co., Ltd. Rights 12/21/96 ...... 1,397 $ 0
*Pyung Hwa Industrial Co., Ltd. Rights
12/07/96 ............................. 320 2,548
*Samwhan Corp. Co., Ltd. Rights
12/02/96 ............................. 4,119 14,413
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ............................ 22,198
------------
TOTAL -- KOREA
(Cost $45,874,653) ................... 38,553,151
------------
SINGAPORE -- (12.7%)
COMMON STOCKS -- (12.5%)
AV Jennings Homes, Ltd. .............. 30,800 14,160
Acma, Ltd. ........................... 213,600 484,140
*Alliance Technology & Development,
Ltd. ................................. 48,000 25,317
Amtek Engineering, Ltd. .............. 190,500 373,396
*Ana Hotels Singapore, Ltd. ........... 89,000 214,412
Apollo Enterprises, Ltd. ............. 162,000 153,571
Auric Pacific Group, Ltd. ............ 168,000 235,895
Avimo Group, Ltd. .................... 190,250 173,571
Bonvests Holdings, Ltd. .............. 390,000 361,368
British-American Tobacco Co.
(Singapore), Ltd. .................... 119,000 513,150
Bukit Sembawang Estates, Ltd. ........ 48,334 1,116,195
*CK Tang, Ltd. ........................ 83,000 103,528
CSA Holdings, Ltd. ................... 153,000 176,664
CWT Distribution, Ltd. ............... 202,500 165,984
Carnaudmetalbox Asia, Ltd. ........... 106,000 296,165
*Causeway Investment, Ltd. ............ 133,000 116,600
Central Properties, Ltd. ............. 66,000 752,673
Chemical Industries (Far East), Ltd. . 77,910 194,359
Chuan Hup Holdings, Ltd. ............. 395,000 271,686
Cosco Investment (Singapore), Ltd. ... 134,400 138,902
*Creative Technology, Ltd. ............ 12,300 73,204
Focal Finance, Ltd. .................. 95,200 173,708
Fuji Offset Plates Manufacturing, Ltd. 33,750 14,193
GB Holdings, Ltd. .................... 90,000 60,941
GK Goh Holdings ...................... 478,000 623,478
*General Magnetics, Ltd. .............. 94,000 36,180
Goldtron, Ltd. ....................... 473,000 289,936
Guthrie GTS, Ltd. .................... 542,400 260,955
HTP Holdings, Ltd. ................... 321,000 208,204
Hai Sun Hup Group, Ltd. .............. 610,000 439,130
Haw Par Brothers International, Ltd. . 374,200 853,485
Hind Hotels International, Ltd. ...... 112,000 142,096
Hitachi Zosen (Singapore), Ltd. ...... 497,000 294,020
Hong Kok Corp., Ltd. ................. 251,000 354,227
Hotel Grand Central, Ltd. ............ 332,640 291,623
Hotel Plaza, Ltd. .................... 579,000 375,545
Hotel Royal, Ltd. .................... 59,000 138,774
Hour Glass, Ltd. ..................... 138,000 105,246
Hwa Hong Corp., Ltd. ................. 211,000 339,886
*IPC Corp., Ltd. ...................... 140,000 49,893
*Inno-Pacific Holdings, Ltd. .......... 300,500 113,517
Insurance Corp. of Singapore, Ltd. ... 93,250 244,590
Intraco, Ltd. ........................ 167,500 261,458
Isetan (Singapore), Ltd. ............. 61,000 125,217
Jack Chia-MPH, Ltd. .................. 345,000 292,623
Jaya Holdings, Ltd. .................. 122,400 93,349
Jurong Cement, Ltd. .................. 80,500 335,656
Jurong Engineering, Ltd. ............. 87,000 249,280
Keppel Finance, Ltd. ................. 253,750 309,275
Khong Guan Flour Milling, Ltd. ....... 10,000 32,074
<PAGE>
Shares Value+
--------- --------
Kim Eng Holdings, Ltd. ............... 580,200 $ 537,605
L & M Group Investments, Ltd. ........ 209,100 277,210
LC Development, Ltd. ................. 100,333 95,113
Lee Kim Tah Holdings, Ltd. ........... 159,000 130,328
*Liang Court Holdings, Ltd. ........... 66,000 46,101
Lim Kah Ngam, Ltd. ................... 270,999 303,257
Low Keng Huat Singapore, Ltd. ........ 144,000 62,609
Lum Chang Holdings, Ltd. ............. 503,359 444,879
Marco Polo Developments, Ltd. ........ 539,000 1,083,379
Metalock (Singapore), Ltd. ........... 20,000 21,098
Metro Holdings, Ltd. ................. 209,160 733,476
Orchard Parade Holdings, Ltd. ........ 308,800 682,309
Overseas Union Trust (Foreign) ....... 163,800 265,022
PCI, Ltd. ............................ 225,000 121,882
*Pacific Can Investment Holdings, Ltd. 101,000 68,389
Pacific Carriers, Ltd. ............... 434,000 315,524
*Pacific Century Regional Developments,
Ltd. ................................. 34,500 39,590
Pan Malayan Holdings, Ltd. ........... 100,000 152,530
Pan Pacific Public Co., Ltd. ......... 46,500 27,177
*Pan-United Corp., Ltd. ............... 76,000 38,731
Pentex-Schweizer Circuits, Ltd. ...... 79,200 106,127
Pertama Holdings, Ltd. ............... 68,750 21,561
Prima, Ltd. .......................... 75,000 269,957
Provisions Suppliers Corp. ........... 268,600 154,115
Republic Hotels and Resorts, Ltd. .... 413,000 518,090
Resources Development Corp., Ltd. .... 37,500 121,347
Robinson & Co., Ltd. ................. 117,800 507,976
SNP Corp., Ltd. ...................... 68,000 46,529
*SPP, Ltd. ............................ 83,000 39,341
ST Capital, Ltd. ..................... 192,200 243,846
San Teh, Ltd. ........................ 366,672 235,214
Scotts Holdings, Ltd. ................ 319,000 284,212
Sea View Hotel, Ltd. ................. 44,000 426,515
Shangri-La Hotel, Ltd. ............... 147,000 523,877
Sime Singapore, Ltd. ................. 786,000 512,609
Sing Investments & Finance, Ltd.
(Foreign) ............................ 94,500 97,666
Singapore Finance, Ltd. .............. 408,000 665,944
Singapore Reinsurance Corp., Ltd. .... 152,700 182,848
Singapore Technologies Automotive,
Ltd. (Foreign) ....................... 207,600 455,743
Singapura Building Society, Ltd. ..... 65,250 70,691
Singatronics, Ltd. ................... 200,000 92,659
Singmarine Industries, Ltd. .......... 215,500 301,055
Ssangyong Cement (Singapore), Ltd. ... 134,000 309,451
Stamford Tyres Corp., Ltd. ........... 62,000 46,842
Steamers Maritime Holding, Ltd. ...... 316,000 274,783
Superior Metal Printing, Ltd. ........ 157,000 77,213
Tibs Holdings, Ltd. .................. 61,000 112,174
Tiger Medicals, Ltd. ................. 101,000 150,456
Times Publishing, Ltd. ............... 209,000 467,755
*Transmarco, Ltd. ..................... 3,000 25,445
Tuan Sing Holdings, Ltd. ............. 2,220,000 830,720
United Engineers, Ltd. ............... 306,500 524,305
United Overseas Finance, Ltd. ........ 134,500 182,145
United Overseas Insurance, Ltd. ...... 75,500 139,914
United Pulp & Paper Co., Ltd. ........ 105,000 131,718
Van der Horst, Ltd. .................. 167,100 744,387
Van der Horst, Ltd. 3.5% Unsecured
Loan Stock 08/31/98 .................. 23,400 16,345
*Vickers Ballas Holdings, Ltd. ........ 34,000 49,922
WBL Corp., Ltd. ...................... 226,000 462,309
166
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
Shares Value+
--------- --------
Wearnes International (1994), Ltd. .. 33,000 $ 28,225
------------
TOTAL COMMON STOCKS (Cost $24,346,145) 28,961,739
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Singapore Dollars (Cost $417,995) ... 417,364
------------
TOTAL -- SINGAPORE (Cost $24,764,140) 29,379,103
------------
<TABLE>
<CAPTION>
Face
Amount
--------
<S> <C> <C>
(000)
TEMPORARY CASH INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury Bills 4.93%, 01/16/97)
(Cost $580,000) ..................................................... $580 580,000
-------------
TOTAL INVESTMENTS -- (100.8%) (Cost $202,515,733) ..................... 233,361,552
-------------
OTHER ASSETS AND LIABILITIES -- (-0.8%)
Other Assets .......................................................... 2,641,854
Payable for Investment Securities Purchased ........................... (4,325,528)
Other Liabilities ..................................................... (196,413)
-------------
(1,880,087)
-------------
NET ASSETS -- (100.0%) ................................................ $231,481,465
=============
</TABLE>
- ------
+See Note B to Financial Statements.
* Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
167
<PAGE>
STATEMENT OF NET ASSETS
THE UNITED KINGDOM SMALL COMPANY SERIES
NOVEMBER 30, 1996
Shares Value+
----------- ----------
UNITED KINGDOM -- (99.2%)
COMMON STOCKS -- (98.7%)
600 Group P.L.C. ................... 135,000 $ 538,971
*AAF Industries P.L.C. .............. 53,256 26,857
ABI Leisure Group P.L.C. ........... 73,000 100,011
*ADT ................................ 8,430 167,216
AIM Group P.L.C. ................... 36,930 217,278
API Group P.L.C. ................... 66,214 781,923
ASDA Property Holdings P.L.C. ...... 94,000 259,933
ASW Holdings P.L.C. ................ 415,900 255,182
Abacus Polar P.L.C. ................ 150,000 409,744
Abbeycrest P.L.C. .................. 61,590 164,099
Abbott Mead Vickers P.L.C. ......... 70,875 756,545
Aberdeen Trust P.L.C. .............. 38,500 58,894
Acatos & Hutcheson P.L.C. .......... 79,000 366,525
Adam & Harvey Group P.L.C. ......... 10,500 55,599
Admiral P.L.C. ..................... 135,000 833,986
Adscene Group P.L.C. ............... 92,000 245,123
Adwest Group P.L.C. ................ 204,250 492,699
Aerospace Engineering P.L.C. ....... 79,904 33,915
*African Lakes Corp. P.L.C. ......... 6,208 5,583
Airflow Streamlines P.L.C. ......... 20,500 64,786
Airsprung Furniture Group P.L.C. ... 58,000 231,558
Alba P.L.C. ........................ 115,625 524,787
Alexanders Holdings P.L.C. ......... 188,000 39,504
Alexandra Workwear P.L.C. .......... 91,243 125,004
*Alexon Group P.L.C. ................ 154,500 433,723
*Allied Leisure P.L.C. .............. 265,166 238,473
Allied London Properties P.L.C. .... 182,000 223,338
Allied Textile Companies P.L.C. .... 169,238 540,529
*Alphameric P.L.C. .................. 1,637 977
Alumasc Group P.L.C. ............... 85,000 464,376
Alvis P.L.C. ....................... 150,000 300,059
Amber Day Holdings P.L.C. .......... 392,530 171,559
Amber Industrial Holdings P.L.C. ... 42,000 93,548
Amey P.L.C. ........................ 50,000 299,638
Amstrad P.L.C. ..................... 19,702 50,672
Andrews Sykes Group P.L.C. ......... 38,727 312,480
*Anglesey Mining P.L.C. ............. 55,000 3,467
Anglian Group P.L.C. ............... 157,850 565,187
Anglo Eastern Plantations P.L.C. ... 57,166 110,030
*Anglo United P.L.C. ................ 826,666 10,422
Appleyard Group P.L.C. ............. 160,627 206,561
Applied Distribution Group P.L.C. .. 25,000 12,397
Arcadian International P.L.C. ...... 234,669 179,488
Archer Group Holding P.L.C. ........ 99,000 153,938
Arcolectric Holdings P.L.C. Class A
Non-Voting ......................... 10,000 13,448
Arlen P.L.C. ....................... 200,728 165,338
Armitage Brothers P.L.C. ........... 4,000 17,146
Armour Trust P.L.C. ................ 98,500 53,813
*Ascot Holdings P.L.C. .............. 50,000 273,163
Ash & Lacy P.L.C. .................. 101,098 297,405
Ashtead Group P.L.C. ............... 175,998 631,645
Associated British Engineering
P.L.C. ............................. 534,500 33,694
*Aukett Associates P.L.C. ........... 33,500 5,350
Austin Reed Group P.L.C. ........... 77,000 279,584
Avesco P.L.C. ...................... 18,666 96,800
Avon Rubber P.L.C. ................. 65,511 759,856
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Avonside Group P.L.C. .............. 50,000 $ 24,375
Azlan Group P.L.C. ................. 10,000 99,767
BM Group P.L.C. .................... 276,000 127,588
BNB Resources P.L.C. ............... 59,000 158,191
BPP Holdings P.L.C. ................ 62,450 378,447
BSG International P.L.C. ........... 684,597 1,101,898
Babcock International Group P.L.C. . 122,557 153,484
Baggeridge Brick P.L.C. ............ 98,000 183,683
Bailey (Ben) Construction P.L.C. ... 26,000 12,675
*Bailey (C.H.) P.L.C. ............... 109,500 17,026
*Bailey (C.H.) P.L.C. Class B ....... 10,000 5,379
Baldwin P.L.C. ..................... 51,000 111,450
Bandt P.L.C. ....................... 315,000 103,255
*Bank Leumi (U.K.), Ltd. ............ 5,767 41,686
Banks (Sidney C.) P.L.C. ........... 38,507 189,660
Barbour Index P.L.C. ............... 41,000 229,507
Barcom P.L.C. ...................... 120,000 100,860
Bardon Group P.L.C. ................ 966,879 516,040
Barlows P.L.C. ..................... 50,000 39,924
Barr & Wallace Arnold Trust P.L.C. . 16,000 59,306
Barr Transport P.L.C. .............. 47,000 254,798
*Barton Transport P.L.C. (Deferred) . 1,250 5,778
Baynes (Charles) P.L.C. ............ 341,378 760,360
Beales Hunter P.L.C. ............... 22,254 65,466
Bearing Power International P.L.C. . 81,757 24,394
Beattie (James) P.L.C. ............. 107,247 274,930
Beauford P.L.C. .................... 1,312 838
Bellway P.L.C. ..................... 135,000 691,017
*Bellwinch P.L.C. ................... 163,266 45,284
Bemrose Corp. P.L.C. ............... 94,500 650,509
*Benchmark Group P.L.C. ............. 13,446 39,894
*Benson Group P.L.C. ................ 64,880 48,533
Bentalls P.L.C. .................... 101,500 219,249
Beradin Holdings P.L.C. ............ 37,000 24,568
Berisford P.L.C. ................... 200,000 484,128
Bespak P.L.C. ...................... 60,718 484,308
*Betacom P.L.C. ..................... 195,000 70,476
Bett Brothers P.L.C. ............... 41,000 119,578
Betterware P.L.C. .................. 228,870 438,593
*Beverley Group P.L.C. .............. 86,820 2,189
Bibby (J.) & Sons P.L.C. ........... 262,300 599,660
Bilton P.L.C. ...................... 180,000 662,650
Birkby P.L.C. ...................... 119,513 374,681
*Birkdale Group P.L.C. .............. 33,600 3,671
*Birse Group P.L.C. ................. 515,900 177,782
Black (A & C) P.L.C. ............... 2,250 13,994
Black (Peter) Holdings P.L.C. ...... 134,495 706,519
Black Arrow Group P.L.C. ........... 56,500 56,986
Blacks Leisure Group P.L.C. ........ 69,959 391,024
Blagden Industries P.L.C. .......... 173,875 618,180
Blick P.L.C. ....................... 74,555 441,778
Blockleys P.L.C. ................... 73,678 53,876
Bodycote International P.L.C. ...... 56,000 666,012
*Bolton Group (International), Ltd. . 23,000 5,413
Booker P.L.C. ...................... 11,760 82,237
Boosey & Hawkes P.L.C. ............. 47,500 648,761
Boot (Henry) & Sons P.L.C. ......... 65,000 251,310
*Booth Industries Group P.L.C. ...... 5,000 3,656
Borthwicks P.L.C. .................. 157,500 70,161
Bostrom P.L.C. ..................... 43,000 180,708
168
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Bourne End Properties P.L.C. ....... 185,454 $ 125,479
Bradstock Group P.L.C. ............. 130,000 128,933
Brammer (H.) P.L.C. ................ 111,000 1,201,646
Brasway P.L.C. ..................... 200,833 85,244
Breedon P.L.C. ..................... 75,428 117,285
Brent International P.L.C. ......... 239,531 475,129
*Brent Walker Group P.L.C. .......... 128,571 4,323
Bridgend Group P.L.C. .............. 93,000 31,267
Bridon P.L.C. ...................... 180,000 310,145
Bridport-Gundry P.L.C. ............. 22,000 48,262
*Bridport-Gundry P.L.C. Issue 96 .... 16,500 36,057
Bristol Evening Post P.L.C. ........ 40,500 292,746
Bristol Scotts P.L.C. .............. 7,000 20,180
Bristol Water Holdings P.L.C. ...... 12,000 257,193
Britannia Group P.L.C. ............. 50,000 23,114
British Borneo Petroleum Syndicate
P.L.C. ............................. 90,498 970,571
*British Building and Engineering
Appliances, Ltd. ................... 32,000 25,551
British Dredging P.L.C. ............ 45,600 92,751
British Fittings Group P.L.C. ...... 62,658 94,269
British Mohair Holdings P.L.C. ..... 31,500 58,776
British Polythene Industries P.L.C. 56,740 697,704
British Steam Specialties Group
P.L.C. ............................. 63,505 650,119
*British Thornton Holdings P.L.C. ... 35,000 11,179
Britton Group P.L.C. ............... 372,200 957,272
Brockhampton Holdings P.L.C. ....... 12,000 41,353
Brockhampton Holdings P.L.C. Series
A Non-Voting ....................... 48,000 86,336
Brooke Industrial Holdings P.L.C. .. 7,788 15,709
*Brooke Industrial Holdings P.L.C.
Issue 96 ........................... 7,787 15,772
Brooks Service Group P.L.C. ........ 25,500 39,436
*Brown & Jackson P.L.C. ............. 622,019 151,614
Budgens P.L.C. ..................... 399,285 305,395
Bulgin (A.F.) & Co. P.L.C. ......... 4,000 4,203
Bulgin (A.F.) & Co. P.L.C. Class A
Non-Voting ......................... 52,000 10,927
*Bullers P.L.C. ..................... 97 0
Bullough P.L.C. .................... 292,000 346,051
Bulmer (H.P.) Holdings P.L.C. ...... 60,500 551,725
Burn Stewart Distillers P.L.C. ..... 142,500 170,075
Burndene Investments P.L.C. ........ 285,500 151,177
Burnfield P.L.C. ................... 85,475 163,799
Burton Group P.L.C. ................ 40,525 101,332
Burtonwood Brewery P.L.C. .......... 52,000 150,786
CLS Holdings P.L.C. ................ 100,000 188,272
CRT Group P.L.C. ................... 149,251 693,713
Caffyns P.L.C. ..................... 6,000 28,745
*Cairn Energy P.L.C. ................ 190,000 1,127,447
Cala P.L.C. ........................ 98,400 162,929
*Calderburn P.L.C. .................. 107,636 47,948
Camellia P.L.C. .................... 2,950 121,494
*Campari International P.L.C. ....... 25,000 0
Canning (W.) P.L.C. ................ 68,354 314,260
*Cantab Pharmaceuticals P.L.C. ...... 50,000 529,515
Cantors P.L.C. ..................... 40,750 180,499
Cape P.L.C. ........................ 132,000 360,575
Capita Group P.L.C. ................ 121,000 948,866
Capital Corp. P.L.C. ............... 135,000 439,119
Capital Industries P.L.C. .......... 67,500 208,213
*Capital Industries P.L.C. Issue 96 . 8,437 25,642
Carclo Engineering Group P.L.C. .... 179,777 767,601
*Cardinal Business Group P.L.C. ..... 25,000 5,043
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Carlisle Group P.L.C. .............. 125,000 $ 21,538
Carr's Milling Industries P.L.C. ... 19,000 100,288
Castings P.L.C. .................... 102,000 462,947
*Castle Mill International P.L.C. ... 31,500 1,986
Cater Allen Holdings P.L.C. ........ 78,833 501,582
*Cathay International P.L.C. ........ 439,600 127,472
Cattle's Holdings P.L.C. ........... 127,280 547,732
Caverdale Group P.L.C. ............. 63,924 128,947
Chamberlin & Hill P.L.C. ........... 18,000 44,782
Channel Holdings P.L.C. ............ 130,500 66,908
Chemring Group P.L.C. .............. 49,000 288,292
Chesterfield Properties P.L.C. ..... 25,000 227,986
Chloride Group P.L.C. .............. 571,500 341,045
*Christie Group P.L.C. .............. 50,000 35,721
Chrysalis Group P.L.C. ............. 72,036 605,463
Church & Co. P.L.C. ................ 26,500 214,937
City Centre Restaurants P.L.C. ..... 465,500 1,009,432
*City Site Estates P.L.C. ........... 20,000 16,810
Claremont Garments (Holdings) P.L.C. 135,700 418,585
Clark (Matthew) P.L.C. ............. 50,000 245,006
Clarkson (Horace) P.L.C. ........... 60,489 110,325
Clayhithe P.L.C. ................... 41,500 49,879
*Clinical Computing P.L.C. .......... 40,000 20,172
Clinton Cards P.L.C. ............... 46,000 144,213
Cliveden P.L.C. .................... 27,140 0
*Clubhaus P.L.C. .................... 20,800 29,196
Clyde Blowers P.L.C. ............... 11,781 60,402
*Clyde Blowers P.L.C. Issue 96 ...... 7,854 40,268
Clyde Petroleum P.L.C. ............. 997,500 1,341,438
*Coal Investments P.L.C. ............ 1,102 0
*Coda Group P.L.C. .................. 14,898 28,925
Cohen (A.) & Co. P.L.C. ............ 2,100 17,121
Cohen (A.) & Co. P.L.C. Class A
Non-Voting ......................... 1,500 12,229
Colefax & Fowler Group P.L.C. ...... 60,000 89,261
*Colorvision P.L.C. ................. 50,000 0
Community Hospitals Group P.L.C. ... 81,333 454,597
Computer People Group P.L.C. ....... 50,999 559,384
Concentric P.L.C. .................. 133,026 413,691
*Conrad P.L.C. ...................... 30,000 3,404
Conrad Ritblat Group P.L.C. ........ 33,090 127,936
*Consolidated Coal P.L.C. ........... 9,166 3,775
Cook (William) P.L.C. .............. 53,750 291,843
Cooper (Frederick) P.L.C. .......... 86,954 50,429
Cornwell Parker P.L.C. ............. 78,333 215,293
Cosalt P.L.C. ...................... 30,700 111,212
*Costain Group P.L.C. ............... 112,060 77,233
Country Casuals Holdings P.L.C. .... 5,040 8,049
Countryside Property P.L.C. ........ 183,454 185,032
Courts P.L.C. ...................... 60,542 989,724
Coutts Consulting Group P.L.C. ..... 92,000 85,832
Cradley Group Holdings P.L.C. ...... 80,000 82,033
*Cray Electronic Holdings P.L.C. .... 250,000 151,290
Crest Nicholson P.L.C. ............. 311,250 347,935
Crestacare P.L.C. .................. 381,864 162,083
*Creston Land & Estates P.L.C. ...... 50,000 6,724
Cropper (James) P.L.C. ............. 22,000 128,697
Cullen's Holdings P.L.C. ........... 38,645 11,044
Culver Holdings P.L.C. ............. 338 611
Cussins Property Group P.L.C. ...... 43,750 50,745
Daejan Holdings P.L.C. ............. 23,000 496,820
Dagenham Motors Group P.L.C. ....... 65,000 104,894
Dalepak Foods P.L.C. ............... 31,500 41,567
Dart Group P.L.C. .................. 37,000 152,694
169
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Davis Service Group P.L.C. ......... 332,480 $1,251,933
Dawson Group P.L.C. ................ 100,674 266,542
Dawson International P.L.C. ........ 397,721 381,084
Debenham Tewson & Chinnocks Holdings
P.L.C. ............................. 89,500 91,022
*Delaney Group P.L.C. ............... 270,000 9,077
Delyn Group P.L.C. . ............... 22,500 28,367
Dencora P.L.C. ..................... 23,000 63,794
Densitron International P.L.C. ..... 42,386 35,269
Derwent Valley Holdings P.L.C. ..... 65,000 479,673
Development Securities P.L.C. ...... 62,000 203,233
Dewhirst Group P.L.C. .............. 344,760 1,095,334
Dewhurst P.L.C. .................... 9,000 8,094
Dewhurst P.L.C. Class A Non-Voting . 15,500 13,679
Diploma P.L.C. ..................... 96,000 597,091
Dixon Motors P.L.C. ................ 1,556 6,448
Doeflex P.L.C. ..................... 25,762 124,505
Dolphin Packaging P.L.C. ........... 63,110 209,524
Domino Printing Sciences P.L.C. .... 127,187 674,543
*Donelon Tyson P.L.C. ............... 322,588 0
Dowding & Mills P.L.C. ............. 400,875 589,637
Drummond Group P.L.C. .............. 26,250 20,077
Dyson (J.& J.) P.L.C. Class A Non-
Voting ............................. 28,500 57,490
EBC Group P.L.C. ................... 30,000 22,946
EIS Group P.L.C. ................... 113,333 656,317
ERA Group P.L.C. ................... 400,000 40,344
Eadie Holdings P.L.C. .............. 118,000 24,795
East Surrey Holdings P.L.C. ........ 9,200 15,775
East Surrey Holdings P.L.C. ........ 36,800 136,094
Eclipse Blinds P.L.C. .............. 103,670 219,579
Edinburgh Fund Managers ............ 68,000 647,555
Elbief P.L.C. ...................... 23,500 10,073
Eleco Holdings P.L.C. .............. 104,685 19,357
Electron House P.L.C. .............. 70,000 187,095
Electronic Data Processing P.L.C. .. 55,200 59,850
Elliott (B.) & Co. P.L.C. .......... 6,087 8,800
Ellis & Everard P.L.C. ............. 216,782 1,127,851
Emess P.L.C. ....................... 288,250 123,560
English & Overseas Properties P.L.C. 190,000 65,475
Epwin Group P.L.C. ................. 58,000 212,058
Etam P.L.C. ........................ 159,500 357,940
Eurocamp P.L.C. .................... 93,439 296,864
Eurocopy P.L.C. .................... 131,000 137,632
Euromoney Publications P.L.C. ...... 30,000 764,015
European Colour P.L.C. ............. 82,090 103,495
European Motor Holdings P.L.C. ..... 140,000 211,806
Evans Halshaw Holdings P.L.C. ...... 77,454 309,225
Evans of Leeds P.L.C. .............. 80,000 171,462
Ewart P.L.C. ....................... 30,000 27,484
Ex-Lands Properties P.L.C. ......... 208,000 45,454
Excalibur Group P.L.C. ............. 228,630 52,845
Expamet International P.L.C. ....... 152,749 247,784
FII Group P.L.C. ................... 41,166 76,120
Faber Prest P.L.C. ................. 29,500 147,529
Falcon Holdings P.L.C. ............. 5,500 13,267
*Farringford P.L.C. ................. 30,000 5,799
Fenner P.L.C. ...................... 215,276 569,959
Ferguson International Holdings
P.L.C. ............................. 105,000 410,374
Fife Indmar P.L.C. ................. 24,000 19,970
Finlay (James) P.L.C. .............. 239,500 318,054
First Choice Holidays .............. 570,500 556,226
First Technology P.L.C. ............ 36,750 395,989
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Firth (G.M.) Holdings P.L.C. ....... 163,080 $ 166,539
*Fitch P.L.C. ....................... 15,500 9,445
Five Oaks Investments P.L.C. ....... 150,000 66,189
*Flare Group P.L.C. ................. 20,600 52,116
Fletcher King P.L.C. ............... 17,500 9,267
Folkes Group P.L.C. ................ 28,000 28,241
Folkes Group P.L.C. Non-Voting ..... 65,500 60,558
Forminster P.L.C. .................. 32,500 46,164
Forth Ports P.L.C. ................. 51,000 540,105
Forward Technology Industries P.L.C. 84,260 55,948
*Foster (John) & Son P.L.C. ......... 27,500 3,236
French (Thomas) & Sons P.L.C. ...... 32,000 32,544
Friendly Hotels P.L.C. ............. 49,415 126,261
Frogmore Estates P.L.C. ............ 51,000 446,659
Frost Group P.L.C. ................. 175,080 416,448
*Futura Holdings P.L.C. ............. 9,000 0
GBE International P.L.C. ........... 134,666 122,242
GEI International P.L.C. ........... 87,000 175,496
GWR Group P.L.C. ................... 35,698 111,916
Galliford P.L.C. ................... 239,500 74,481
Gardiner Group P.L.C. .............. 310,500 172,244
Garton Engineering P.L.C. .......... 10,248 26,271
Gaskell P.L.C. ..................... 9,000 21,181
Geest P.L.C. ....................... 85,000 371,501
Gent (S.R.) P.L.C. ................. 98,000 93,077
Gerrard & National Holdings P.L.C. . 97,000 441,884
Gibbs & Dandy P.L.C. ............... 4,500 6,165
Gibbs & Dandy P.L.C. Class A Non-
Voting ............................. 11,000 11,557
Gieves Group P.L.C. ................ 60,000 60,516
Gleeson (M.J.) Group P.L.C. ........ 25,000 369,190
Gold Greenlees Trott P.L.C. ........ 64,432 236,116
Goldsmiths Group P.L.C. ............ 50,000 336,620
Goode Durrant P.L.C. ............... 122,500 795,890
Goodhead Group P.L.C. .............. 36,000 17,852
Grainger Trust, Ltd. ............... 22,000 122,965
Grampian Holdings P.L.C. ........... 200,324 399,042
Grampian Television P.L.C. ......... 70,000 375,956
Graseby P.L.C. ..................... 155,480 361,986
Graystone P.L.C. ................... 77,496 171,307
Greene King P.L.C. ................. 78,000 883,080
Greenway Holdings P.L.C. ........... 60,197 52,113
*Greenwich Resources P.L.C. ......... 219,332 45,165
Greggs P.L.C. ...................... 26,000 590,031
Greycoat P.L.C. .................... 185,000 508,460
Guiness Peat Group P.L.C. .......... 147,629 84,376
HTV Group P.L.C. ................... 187,000 1,174,086
Haden Maclellan Holdings P.L.C. .... 296,914 504,104
Haggas (John) P.L.C. ............... 59,000 128,933
Hall Engineering (Holdings) P.L.C. . 110,528 594,552
Halstead (James) Group P.L.C. ...... 74,955 450,448
Hambro Countrywide P.L.C. .......... 849,000 1,341,520
Hampden Group P.L.C. ............... 25,000 34,671
Hampson Industries P.L.C. .......... 191,639 217,448
Hardy Oil & Gas P.L.C. ............. 273,750 1,304,593
Hardys & Hansons P.L.C. ............ 48,000 238,836
Harris (Philip) P.L.C. ............. 25,866 109,354
Hartstone Group P.L.C. ............. 789,819 142,726
Havelock Europa P.L.C. ............. 64,250 329,413
Hawtal Whiting Holdings P.L.C. ..... 22,588 51,450
Hawtin P.L.C. ...................... 146,500 134,831
*Hay (Norman) P.L.C. ................ 48,000 23,803
Haynes Publishing Group P.L.C. ..... 38,635 181,847
Hazlewood Foods P.L.C. ............. 200,000 312,666
170
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Headlam Group P.L.C. ............... 99,696 $ 475,115
Heath (C.E.) P.L.C. ................ 75,000 98,339
Heath (Samuel) & Sons P.L.C. ....... 7,500 19,731
Helene P.L.C. ...................... 416,326 48,989
Helical Bar P.L.C. ................. 35,000 229,457
Hemingway Properties P.L.C. ........ 200,000 112,627
Henderson Administration Group
P.L.C. ............................. 52,000 1,022,720
Henlys Group P.L.C. ................ 5,931 55,234
Hewden-Stuart P.L.C. ............... 115,000 264,842
Hewetson P.L.C. .................... 31,428 35,132
*Hi-Tech Sports P.L.C. .............. 132,446 85,717
Hicking Pentecost P.L.C. ........... 49,096 271,938
*Hickson International P.L.C. ....... 500,000 516,908
Higgs & Hill P.L.C. ................ 109,500 138,972
*High-Point P.L.C. .................. 13,500 9,645
Hill & Smith Holdings P.L.C. ....... 105,101 128,089
Hodder Headline P.L.C. ............. 61,000 222,001
Hogg Robinson P.L.C. ............... 211,000 993,135
*Hollas Group P.L.C. ................ 354,000 37,192
Holliday Chemical Holdings P.L.C. .. 100,000 208,444
*Holmes & Marchant Group P.L.C. ..... 54,000 7,262
Holt (Joseph) P.L.C. ............... 6,000 277,365
Home Counties Newspapers Holdings
P.L.C. ............................. 25,000 102,121
Hopkinsons Group P.L.C. ............ 210,557 99,105
*Horace Small Apparel P.L.C. ........ 82,500 124,814
How Group P.L.C. ................... 88,000 56,213
Howard Holdings P.L.C. ............. 57,730 17,468
Howden Group P.L.C. ................ 700,168 853,312
Hunting P.L.C. ..................... 218,695 591,878
*Huntingdon International Holdings
P.L.C. ............................. 138,000 219,219
ISA International P.L.C. ........... 95,214 340,116
Ibstock P.L.C. ..................... 625,200 672,615
Ideal Hardware P.L.C. .............. 20,000 215,168
*Incepta Group P.L.C. ............... 176,000 62,130
Industrial Control Services Group
P.L.C. ............................. 26,666 56,480
Intereurope Technology Services
P.L.C. ............................. 23,500 38,318
International Business
Communications Holdings P.L.C. ..... 96,470 480,822
*International Tool & Supply P.L.C. . 141,500 10,704
Ipeco Holdings P.L.C. .............. 74,931 86,282
Isotron P.L.C. ..................... 30,500 183,292
Ivory & Sime P.L.C. ................ 78,125 371,002
JBA Holdings P.L.C. ................ 50,000 399,238
JIB Group P.L.C. ................... 298,500 556,974
JLI Group P.L.C. ................... 103,000 105,617
Jackson Group P.L.C. ............... 78,000 51,792
Jacobs (John I.) P.L.C. ............ 116,000 147,222
*Jarvis P.L.C. ...................... 175,086 406,161
Jarvis Porter Group P.L.C. ......... 99,894 368,588
Jerome (S.) & Sons Holdings P.L.C. . 27,562 31,274
Johnson & Firth Brown P.L.C. ....... 339,666 472,485
Johnson Group Cleaners P.L.C. ...... 119,535 544,543
Johnston Group P.L.C. .............. 26,000 205,418
Johnston Press P.L.C. .............. 135,176 409,016
Jones & Shipman P.L.C. ............. 29,500 20,580
Jones Stroud Holdings P.L.C. ....... 42,500 310,775
Joseph (Leopold) Holdings P.L.C. ... 14,000 109,433
Jourdan (Thomas) P.L.C. ............ 40,000 15,801
Kalamazoo Computer Group P.L.C. .... 56,120 107,073
Kelsey Industries P.L.C. ........... 7,500 47,593
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Kendell P.L.C. ..................... 568,260 $ 7,164
Kenwood Appliances P.L.C. .......... 120,000 444,793
King & Shaxson Holdings P.L.C. ..... 39,500 121,843
Kode International P.L.C. .......... 43,100 80,783
Kunick P.L.C. ...................... 600,000 224,414
*LEP Group P.L.C. ................... 2,115,000 0
Laing (John) P.L.C. ................ 110,875 505,092
Lambert Howarth Group P.L.C. ....... 34,000 65,727
*Lambert Smith Hampton P.L.C. ....... 3,591 5,282
Lamont Holdings P.L.C. ............. 72,231 223,413
Leeds Group P.L.C. ................. 86,938 191,447
Leigh Interests P.L.C. ............. 156,499 319,636
Leslie Wise Group P.L.C. ........... 107,000 88,135
*Liberty P.L.C. ..................... 51,875 346,627
Life Sciences International P.L.C. . 381,662 587,040
Lilleshall P.L.C. .................. 80,564 91,414
Linton Park P.L.C. ................. 39,000 233,390
Linx Printing Technologies P.L.C. .. 36,000 69,291
*Lionheart P.L.C. ................... 20,997 2,735
*Lister & Co. P.L.C. ................ 41,000 9,649
Lloyd Thompson Group P.L.C. ........ 154,000 462,090
Locker (Thomas) Holdings P.L.C. .... 95,250 68,449
London Scottish Bank P.L.C. ........ 281,000 455,828
Lookers P.L.C. ..................... 53,160 101,873
Lopex P.L.C. ....................... 154,948 67,722
*Lovell (Y.J.) Holdings P.L.C. ...... 70,932 9,539
Lowe (Robert H.) & Co. P.L.C. ...... 1,551 593
Lowndes Lambert Group Holdings
P.L.C. ............................. 202,000 375,216
*Lyles (S.) P.L.C. .................. 16,000 16,541
Lynx Holdings P.L.C. ............... 100,000 133,640
M & W P.L.C. ....................... 7,200 13,495
M.R. Data Management Group P.L.C. .. 136,158 186,539
ML Holdings P.L.C. ................. 398,132 257,665
MS International P.L.C. ............ 71,500 29,447
MTM P.L.C. ......................... 109,250 169,876
MacDonald Martin Distillies P.L.C.
Class A ............................ 20,000 284,930
MacFarlane Group Clansman P.L.C. ... 292,687 870,852
Macro 4 P.L.C. ..................... 50,000 418,149
Mallett P.L.C. ..................... 37,437 48,457
Manchester United P.L.C. ........... 62,500 586,249
Manders P.L.C. ..................... 83,340 273,184
Manganese Bronze Holdings P.L.C. ... 46,184 319,469
Mansfield Brewery P.L.C. ........... 155,500 849,535
Marling Industries P.L.C. .......... 478,398 86,450
Marshalls P.L.C. ................... 298,741 670,415
Martin Internationl Holdings P.L.C. 97,000 48,917
Matthews (Bernard) P.L.C. .......... 298,000 646,210
Maunders (John) Group P.L.C. ....... 61,000 182,010
Mayflower Corp. P.L.C. ............. 619,012 1,461,986
McAlpine (Alfred) P.L.C. ........... 171,111 376,805
McCarthy & Stone P.L.C. ............ 227,968 362,137
McKay Securities P.L.C. ............ 58,000 149,659
McLeod Russel Holdings P.L.C. ...... 149,524 427,295
Meggitt P.L.C. ..................... 522,190 886,579
Melrose Energy P.L.C. .............. 250,000 116,619
*Mentmore Abbey P.L.C. .............. 76,090 114,477
Menvier-Swain Group P.L.C. ......... 6,358 31,101
*Merchant Retail Group P.L.C. ....... 263,766 99,763
Merrydown P.L.C. ................... 35,000 54,422
Metal Bulletin P.L.C. .............. 24,000 500,266
Metalrax Group P.L.C. .............. 335,219 600,131
*Micro Focus Group P.L.C. ........... 34,500 524,850
171
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Microgen Holdings P.L.C. ........... 105,000 $ 262,110
Mitie Group P.L.C. ................. 125,000 402,389
Molins P.L.C. ...................... 68,000 1,028,772
Moorfield Estates P.L.C. ........... 150,000 76,906
More Group P.L.C. .................. 79,193 840,674
Morland & Co. P.L.C. ............... 66,380 655,561
Mosaic Investments P.L.C. .......... 33,000 19,693
Moss Brothers Group P.L.C. ......... 53,600 1,051,936
Mowlem (John) & Co. P.L.C. ......... 419,943 815,342
Mucklow (A & J) Group P.L.C. ....... 175,000 401,549
NSM P.L.C. ......................... 58,474 17,202
Narborough Plantations P.L.C. ...... 63,829 26,824
Neepsend P.L.C. .................... 66,250 46,217
Nestor -- BNA P.L.C. ............... 180,200 377,131
Newman Tonks Group P.L.C. .......... 300,834 546,158
*Newmarket Venture Capital P.L.C. ... 80,000 7,396
Nichols (JN) (Vimto) P.L.C. ........ 98,750 306,268
Nightfreight P.L.C. ................ 125,000 135,531
Nobo Group P.L.C. .................. 41,107 65,991
*Norcros P.L.C. ..................... 292,857 430,756
Northamber P.L.C. .................. 44,444 230,481
Novo Group P.L.C. .................. 113,000 71,232
*OEM P.L.C. ......................... 12,000 7,464
*OMI International P.L.C. ........... 173,158 62,582
Ocean Wilson Holdings, Ltd. ........ 84,250 120,381
Oceana Consolidated Co. P.L.C. ..... 19,200 43,572
*Oceonics Group P.L.C. .............. 52,760 17,738
Ockham Holdings P.L.C. ............. 122,000 167,142
*Oliver Group P.L.C. ................ 68,000 44,009
Olives Property P.L.C. ............. 126,208 60,464
Osborne & Little P.L.C. ............ 17,500 243,430
*Osprey Communications P.L.C. ....... 23,524 11,468
*Owen & Robinson P.L.C. ............. 9,485 1,873
Oxford Instruments P.L.C. .......... 122,000 921,844
P & P P.L.C. ....................... 129,250 305,263
PSIT P.L.C. ........................ 185,933 476,644
PWS Holdings P.L.C. ................ 134,428 37,286
Page (Michael) Group P.L.C. ........ 147,975 990,009
Park Food Group P.L.C. ............. 382,500 331,136
Parkland Group P.L.C. .............. 30,000 91,530
Partridge Fine Arts P.L.C. ......... 58,000 73,124
Paterson Zochonis P.L.C. ........... 22,000 165,310
Paterson Zochonis P.L.C. Non- Voting 27,000 174,286
Peek P.L.C. ........................ 291,608 490,193
Pemberstone P.L.C. ................. 9,158 9,314
Pendragon P.L.C. ................... 95,750 551,273
Perkins Foods P.L.C. ............... 300,000 383,268
*Perkins Foods P.L.C. Issue 96 ...... 50,000 63,878
Perpetual P.L.C. ................... 1,500 57,238
Perry Group P.L.C. ................. 61,666 197,473
*Pex P.L.C. ......................... 47,500 5,190
Phoenix Timber Group P.L.C. ........ 31,000 8,598
Photo-Me International P.L.C. ...... 145,000 292,494
Pifco Holdings P.L.C. .............. 20,000 95,145
Pifco Holdings P.L.C. Class A ...... 20,000 95,145
Pittards P.L.C. .................... 60,985 73,299
*Pittencrieff Resources P.L.C. ...... 74,000 51,002
Pizza Express P.L.C. ............... 84,508 749,356
Plantation & General Investment
P.L.C. ............................. 96,224 72,789
Plysu P.L.C. ....................... 117,800 317,825
Polypipe P.L.C. .................... 15,000 54,338
*Porter Chadburn P.L.C. ............. 256,000 129,101
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Portmeirion Potteries (Holdings)
P.L.C. ............................. 28,000 $ 251,814
Portsmouth & Sunderland Newspapers
P.L.C. ............................. 30,000 373,182
Porvair P.L.C. ..................... 35,000 136,203
Premier Consolidated Oilfields
P.L.C. ............................. 2,450 1,349
Pressac Holdings P.L.C. ............ 94,000 335,780
*Prestwick Holdings P.L.C. .......... 90,000 57,490
Princedale Group P.L.C. ............ 250,000 149,189
Property Partnerships P.L.C. ....... 10,000 41,016
Prospect Industries P.L.C. ......... 372,477 29,741
Protean P.L.C. ..................... 71,076 172,647
*Proudfoot P.L.C. ................... 202,646 71,536
Prowting P.L.C. .................... 173,630 294,791
QS Holdings P.L.C. ................. 95,775 61,984
*Quadrant Group P.L.C. .............. 113,253 21,894
Quality Care Homes P.L.C. .......... 42,708 231,530
Quality Software Products Holdings
P.L.C. ............................. 5,000 19,752
Quick Group P.L.C. ................. 56,165 139,260
RCO Holdings P.L.C. ................ 27,000 102,121
REA Holdings P.L.C. ................ 54,926 263,142
Radamec Group P.L.C. ............... 35,000 60,306
*Raine P.L.C. ....................... 467,965 108,164
Ransom (William) & Son P.L.C. ...... 30,000 27,232
Ransomes P.L.C. .................... 308,000 282,173
Rea Brothers Group P.L.C. .......... 106,562 110,165
Readicut International P.L.C. ...... 473,263 350,044
Rebus Group P.L.C. ................. 75,000 92,665
Record Holdings P.L.C. ............. 89,727 85,220
*Reece P.L.C. ....................... 283,750 11,925
Reed Executive P.L.C. .............. 116,500 264,379
Reg Vardy P.L.C. ................... 128,597 636,625
Regal Hotel Group P.L.C. ........... 200,000 188,272
*Regent Corp. P.L.C. ................ 2,488 21
Relyon Group P.L.C. ................ 45,777 251,245
Renishaw P.L.C. .................... 147,339 864,392
Renold P.L.C. ...................... 180,000 800,324
Rexmore P.L.C. ..................... 32,500 66,378
Ricardo Group P.L.C. ............... 119,709 216,323
*Richards Group P.L.C. .............. 16,000 2,286
Richards P.L.C. .................... 61,500 46,005
Richardsons Westgarth P.L.C. ....... 96,928 137,681
*Richmond Oil & Gas P.L.C. .......... 220,000 16,642
*Rodime P.L.C. ...................... 261,000 13,162
Rolfe & Nolan P.L.C. ............... 24,000 138,178
Ropner P.L.C. ...................... 63,300 120,772
*Ross Group P.L.C. .................. 13,200 666
Rotork P.L.C. ...................... 219,500 987,020
Rowe Evans Investments P.L.C. ...... 114,417 208,683
*Roxspur P.L.C. ..................... 585,225 61,485
Rubicon Group P.L.C. ............... 47,890 161,006
Russell (Alexander) P.L.C. ......... 47,500 76,254
Rutland Trust P.L.C. ............... 774,000 686,327
S & U P.L.C. ....................... 29,040 203,076
SEP Industrial Holdings P.L.C. ..... 200,000 173,143
Sanderson Bramall Motor Group P.L.C. 79,166 357,315
Sanderson Electrons P.L.C. ......... 90,000 229,204
Saville (J.) Gordon Group P.L.C. ... 247,761 222,820
Savills P.L.C. ..................... 104,000 151,223
Scholl P.L.C. ...................... 166,250 834,207
*Scottish Ice Rink Co. (1928) P.L.C. 13,000 0
Scottish Metropolitan Property
P.L.C. ............................. 314,266 462,246
Secure Trust Group P.L.C. .......... 40,000 376,544
172
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Seet P.L.C. ........................ 7,000 $ 5,589
*Sennah Rubber Co., Ltd. (Guernsey) . 1,214 101,424
Serco Group P.L.C. ................. 90,000 1,006,079
Servomex P.L.C. .................... 30,000 190,373
Seton Healthcare Group P.L.C. ...... 88,366 663,246
Shaftesbury P.L.C. ................. 112,500 301,634
Shandwick P.L.C. ................... 302,640 254,369
Shanks & McEwan Group P.L.C. ....... 192,000 390,530
Sharpe & Fisher P.L.C. ............. 45,497 160,609
Sheffield Insulations Group P.L.C. . 200,900 825,708
Sherwood Group P.L.C. .............. 270,000 270,053
Shiloh P.L.C. ...................... 14,500 24,496
*ShopRite Group P.L.C. .............. 204,780 65,405
Sidlaw Group P.L.C. ................ 176,071 335,932
*Signet Group P.L.C. ................ 736,900 315,876
Silentnight Holdings P.L.C. ........ 129,000 639,705
Simon Engineering P.L.C. ........... 378,141 219,301
Sims Food Group P.L.C. ............. 99,000 45,765
Sinclair (William) Holdings P.L.C. . 53,000 176,850
Sindall (William) P.L.C. ........... 50,500 164,263
Singapore Para Rubber Estates P.L.C. 26,000 109,265
Singer & Friedlander Group P.L.C. .. 364,000 777,093
Sirdar P.L.C. ...................... 145,266 190,470
Sketchley P.L.C. ................... 141,800 234,790
Smart (J.) & Co. (Contractors)
P.L.C. ............................. 22,500 75,645
South Staffordshire Water Holdings
P.L.C. ............................. 11,600 553,301
Southend Property Holdings P.L.C. .. 250,000 123,974
*Spring Ram Corp. P.L.C. ............ 616,000 139,792
St. Modwen Properties P.L.C. ....... 50,000 52,952
Stanley Leisure Organisation P.L.C. 250,258 1,074,847
Stat-Plus Group P.L.C. ............. 58,000 202,308
Staveley Industries P.L.C. ......... 276,000 881,516
Steel Burrill Jones Group P.L.C. ... 165,682 83,553
Sterling Industries P.L.C. ......... 76,000 374,964
Stirling Group P.L.C. .............. 336,000 237,223
Stoddard Sekers International P.L.C. 179,100 51,934
Stratagem Group P.L.C. ............. 70,315 91,605
Stylo P.L.C. ....................... 117,000 301,899
Sutcliffe Speakman P.L.C. .......... 418,864 204,192
Swallowfield P.L.C. ................ 15,000 56,860
Swan (John) and Sons P.L.C. ........ 1,000 6,472
*Sycamore Holdings P.L.C. ........... 4,316 617
Syltone P.L.C. ..................... 50,400 133,438
T & S Stores P.L.C. ................ 253,910 740,537
TGI P.L.C. ......................... 59,560 113,637
*Talbex Group P.L.C. (In
Receivership) ...................... 385,000 0
Tamaris P.L.C. ..................... 206,460 9,544
*Tandem Group P.L.C. ................ 127,365 18,199
Tay Homes P.L.C. ................... 76,266 144,229
Taylor Nelson AGB P.L.C. ........... 546,475 498,354
Telemetrix P.L.C. .................. 246,722 257,139
*Tex Holdings P.L.C. ................ 14,000 26,476
Thorntons P.L.C. ................... 188,000 613,094
Thorpe (F.W.) P.L.C. ............... 24,000 65,156
Tibbett & Britten Group P.L.C. ..... 98,400 1,055,318
Tie Rack P.L.C. .................... 125,000 392,934
Tilbury Douglas P.L.C. ............. 97,183 841,328
Time Products P.L.C. ............... 192,000 1,182,886
Tinsley Robor P.L.C. ............... 60,000 106,912
Tomkinsons P.L.C. .................. 14,800 54,733
Tops Estates P.L.C. ................ 10,050 25,594
*Torday & Carlisle P.L.C. ........... 65,000 43,160
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Town Centre Securities P.L.C. ...... 150,000 $ 211,806
Toye & Co. P.L.C. .................. 2,000 3,362
Trace Computers P.L.C. ............. 33,552 12,690
Trafford Park Estates P.L.C. ....... 50,000 103,802
Transtec P.L.C. .................... 251,525 505,262
Trinity Holdings P.L.C. ............ 54,000 261,883
Triplex Lloyd P.L.C. ............... 165,282 579,294
*Try Group P.L.C. ................... 243,407 57,283
Tunstall Group P.L.C. .............. 89,000 441,347
UDO Holdings P.L.C. ................ 71,000 217,816
UK Estates P.L.C. .................. 50,000 23,954
UK Safety P.L.C. ................... 135,833 31,967
Ugland International Holdings P.L.C. 65,850 73,058
*Ugland International Holdings P.L.C.
Issue 96 ........................... 153,650 161,429
Ulster Television, Ltd. ............ 125,000 438,111
Unigroup P.L.C. .................... 92,595 158,765
Union P.L.C. ....................... 47,000 73,872
United Industries P.L.C. ........... 122,292 107,926
Usborne P.L.C. ..................... 111,066 36,407
Vardon P.L.C. ...................... 188,000 251,242
Verity Group P.L.C. ................ 250,000 109,265
*Verson International Group P.L.C. .. 401,163 111,269
Vert (Jacques) P.L.C. .............. 20,000 12,608
Vibroplant P.L.C. .................. 113,500 128,786
Victoria Carpet Holdings P.L.C. .... 12,000 21,181
*Videologic Group P.L.C. ............ 311,666 275,053
Vinten Group P.L.C. ................ 4,500 53,292
Volex Group P.L.C. ................. 85,206 669,606
Vosper Thornycroft Holdings P.L.C. . 20,000 295,352
WSP Group P.L.C. ................... 50,000 41,185
Wace Group P.L.C. .................. 195,000 255,680
Waddington (John) P.L.C. ........... 253,285 1,124,038
Wagon Industrial Holdings P.L.C. ... 30,000 151,038
*Wakebourne P.L.C. .................. 27,850 7,491
Walker Greenbank P.L.C. ............ 313,000 307,800
Ward Holdings P.L.C. ............... 130,000 79,763
Wardle Storeys P.L.C. .............. 58,000 478,228
Warner Estate Holdings P.L.C. ...... 70,000 223,573
Warner Howard P.L.C. ............... 63,817 278,919
*Water Hall Group P.L.C. ............ 248,445 3,132
Waterman Partnership Holdings P.L.C. 45,000 33,284
*Wates City of London Properties
P.L.C. ............................. 230,000 328,636
Watson & Philip P.L.C. ............. 115,400 758,491
Watts, Blake, Bearne & Co. P.L.C. .. 50,500 367,151
*Waverly Mining Finance P.L.C. ...... 42,500 42,151
Wehmiller (Barry) International
P.L.C. ............................. 182,322 380,039
Wellman P.L.C. ..................... 204,833 98,132
*Wembley P.L.C. ..................... 6,053 39,174
West Trust P.L.C. .................. 145,194 76,882
Westbury P.L.C. .................... 220,444 837,480
*Western Selection P.L.C. ........... 35,525 7,763
Wetherspoon (JD) P.L.C. ............ 6,034 126,029
Whatman P.L.C. ..................... 56,500 542,316
Whessoe P.L.C. ..................... 71,875 114,781
Whitecroft P.L.C. .................. 105,000 253,285
Wholesale Fittings P.L.C. .......... 38,500 307,413
Widney P.L.C. ...................... 39,528 34,884
*Wiggins Group P.L.C. ............... 1,076,500 144,768
Willoughby's Consolidated P.L.C. ... 9,000 27,232
Wilshaw P.L.C. ..................... 223,409 124,871
Windsor P.L.C. ..................... 83,441 27,352
173
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
Shares Value+
--------- --------------
<S> <C> <C>
Wintrust P.L.C. ........................................................ 22,500 $ 120,086
Wolstenholme Rink P.L.C. ............................................... 15,500 181,086
Worthington Group P.L.C. ............................................... 64,484 70,458
Wyko Group P.L.C. ...................................................... 178,666 420,473
Wyndeham Press Group P.L.C. ............................................ 63,066 233,231
York Waterworks P.L.C. ................................................. 17,000 93,590
Yorklyde P.L.C. ........................................................ 25,555 81,620
Yorkshire Chemicals P.L.C. ............................................. 110,400 424,984
Young & Co's Brewery P.L.C. ............................................ 10,000 88,673
Young & Co's Brewery P.L.C. Class A .................................... 8,034 82,719
Young (H.) Holdings P.L.C. ............................................. 44,419 98,189
Zetters Group P.L.C. ................................................... 14,500 25,837
--------------
TOTAL COMMON STOCKS (Cost $147,127,566) ................................. 180,434,470
--------------
INVESTMENT IN CURRENCY -- (0.4%) ........................................
*British Pound Sterling (Cost $732,362) ................................. 775,091
--------------
RIGHTS/WARRANTS -- (0.1%) ...............................................
*Arcadian International P.L.C. Rights Open Expiration ................... 78,223 2,301
*Bodycote International P.L.C. Rights 12/17/96 .......................... 18,666 33,731
*Carlisle Group P.L.C. Warrants 06/25/01 ................................ 25,000 2,206
*More Group P.L.C. Rights 12/16/96 ...................................... 19,798 9,319
*Select Industries P.L.C. Warrants 05/20/99 ............................. 85 0
--------------
TOTAL RIGHTS/WARRANTS (Cost $0) ......................................... 47,557
--------------
TOTAL -- UNITED KINGDOM (Cost $147,859,928) ............................. 181,257,118
--------------
UNITED STATES -- (0.1%)
COMMON STOCKS -- (0.1%)
Western Star Truck Holdings (Cost $105,194) ............................ 3,818 111,676
--------------
Face
Amount
---------
(000)
TEMPORARY CASH INVESTMENTS -- (0.8%) ....................................
Repurchase Agreement, PNC Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury Bills 4.93%, 01/16/97) (Cost
$1,414,000) ........................................................... $ 1,414 1,414,000
--------------
TOTAL INVESTMENTS -- (100.1%) (Cost $149,379,122) ....................... 182,782,794
--------------
OTHER ASSETS AND LIABILITIES -- (-0.1%)
Other Assets ............................................................ 643,048
Payable for Investment Securities Purchased ............................. (755,189)
Other Liabilities ....................................................... (45,309)
--------------
(157,450)
--------------
NET ASSETS -- (100.0%) .................................................. $182,625,344
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements
174
<PAGE>
STATEMENT OF NET ASSETS
THE CONTINENTAL SMALL COMPANY SERIES
NOVEMBER 30, 1996
Shares Value+
----------- ----------
FRANCE -- (28.3%) ....................
COMMON STOCKS -- (27.8%) .............
Agricole de la Crau ................ 440 $ 42,475
Agricole de la Pointe-a-Pitre ...... 450 49,990
Airfeu SA .......................... 600 17,813
Apem SA ............................ 1,000 43,095
Arbel SA ........................... 2,280 42,403
Assystem SA ........................ 2,657 209,669
Aurea .............................. 600 9,303
*#Axime SA ........................... 3,090 366,941
Bail-Investissement (Societe
Immobiliere pour le Commerce &
l'Industrie) ....................... 2,367 346,821
Bains de Mer et du Cercle des
Etrangers a Monaco ................. 4,615 426,054
Banque Nationale de Paris
Intercontinentale .................. 12,465 1,134,050
*Banque Transatlantique ............. 3,030 70,222
Bazar de l'Hotel de Ville SA ....... 9,950 933,825
Berger Levrault SA ................. 476 75,580
Bioblock Scientific SA ............. 1,373 89,675
Bis SA ............................. 19,800 1,998,583
Boiron SA .......................... 1,900 238,364
Bollore Technologies SA ............ 20,366 2,188,341
Brioche Pasquier SA ................ 2,600 357,058
Brosse et Dupont ................... 3,170 230,722
*Burelle SA ......................... 4,030 194,129
But SA ............................. 7,650 483,528
CCMX ............................... 7,100 58,475
*CDE (Comptoir des Entrepeneurs SA) . 8,713 17,606
CEGID .............................. 4,500 498,180
CFC (Cie Financiere des Cardans) ... 296 64,631
CFPI (Cie Francaise, de Produits
Industriels SA) .................... 627 38,550
COM 1 SA ........................... 450 26,719
CPR (Cie Parisienne de Reescompte) . 9,762 796,516
Caisse Regionale de Credit Agricole
Mutuel de la Brie .................. 236 15,314
Cambodge ........................... 1,605 413,162
Caoutchoucs de Padang .............. 1,423 313,436
#Carbone Lorraine ................... 6,649 1,077,390
Cardif SA .......................... 1,140 174,679
*Caves & Producteurs Reunis de
Roquefort .......................... 192 67,481
Cegedim SA ......................... 1,600 123,808
Centenaire-Blanzy .................. 2,207 166,550
*Centrest (Societe Developpement
Regional du Centre-Est) ............ 1,705 310
Change de La Bourse SA ............. 614 31,635
*Christian Dalloz SA ................ 674 246,570
Cipe France SA ..................... 2,400 284,084
Cofigeo (Cie Financiere Geo) ....... 400 95,844
Compagnie Financiere de CIC et de
l'Union Europeene SA Series D ...... 10,650 645,609
*Concorde Cie d'Assurances Contre les
Risques de Toute Nature SA ......... 2,992 495,706
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Consortium International de
Diffusion et de Representation Sante
Cider Sante ........................ 600 $ 23,559
Continentale d'Assurances SA ....... 810 57,263
Continentale d'Entreprises SA ...... 7,122 248,949
*Costimex SA ........................ 700 17,161
Courtois SA ........................ 100 8,198
*Credit Foncier de France ........... 11,873 159,413
Credit Foncier et Communal d'Alsace
et de Lorraine ..................... 800 106,493
Credit National .................... 4,900 282,494
*Cristalleries de Baccarat .......... 1,567 142,564
DMC (Dollfus Mieg et Cie) .......... 25,400 561,904
Damart SA .......................... 2,290 1,811,034
*Darblay SA ......................... 305 23,367
Dassault Electronique SA ........... 17,400 1,516,376
Degremont .......................... 9,600 744,685
Deveaux SA ......................... 1,011 135,161
Didot-Bottin ....................... 810 128,924
Dietrich et Cie .................... 27,775 1,137,919
Distriborg Groupe SA ............... 1,050 65,763
Docks Lyonnais ..................... 1,110 25,512
Docks des Petroles d'Ambes ......... 100 10,764
*#Dynaction SA ....................... 10,660 246,848
EBF SA ............................. 62,063 2,335,832
ECIA (Equipements et Composants pour
l'Industrie Automobile) ............ 17,571 2,476,969
*Electra Systemes SA ................ 19,192 47,419
EMI France SA ...................... 300 94,809
Electricite de Strasbourg .......... 7,928 751,649
Emin Leydier Emballages SA ......... 1,056 73,016
*Emprunt Conjoint de Banque du
Batiment et des Travaux Publics et de
Financiere de Gestion et
d'Investissement SA ................ 29,814 43,399
Euro RSCG Worldwide SA ............. 20,787 2,289,317
Europe 1 Communication ............. 4,782 1,032,238
*Expand SA .......................... 412 24,944
Explosifs et de Produits Chimiques . 524 95,346
*Fichet-Bauche ...................... 3,515 44,535
*Fidei (Compagnie Financiere pour
l'Immoblilier d'Entrepise) ......... 9,399 56,347
#Filipacchi Medias SA ............... 3,563 749,315
Financiere Moncey SA ............... 631 323,900
*Financiere et Immobiliere de l'Etang
de Berre et de la Mediterranee SA .. 400 5,899
Fininfo SA ......................... 976 98,142
Fives-Lille ........................ 8,400 793,181
Fonciere (Cie) ..................... 2,823 270,351
Fonciere Lyonnaise SA .............. 4,302 457,309
*Fonciere Lyonnaise SA Em 96 ........ 114 11,354
Fonciere du Chateau d'Eau de Paris . 12,009 418,394
Fonderies Franco Belge ............. 410 43,780
Fraikin SA ......................... 3,284 169,641
Francaise des Ferrailles ........... 5,288 339,299
Francaise des Magasins Uniprix ..... 2,886 105,026
France SA .......................... 8,440 1,956,024
175
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
France-Africaine de Recherches
Petrolieres Francarep .............. 3,864 $ 178,361
Frankoparis SA ..................... 4,387 58,818
Fructivie SA ....................... 34 4,311
*GCI (Groupe Chatellier Industrie SA) 8,721 2,673
GFI Industries SA .................. 1,369 199,018
GTM Entrepose ...................... 14,338 718,136
*Galeries Lafayette SA .............. 5,664 1,958,154
Gantois Series ..................... 647 133,836
Gascogne SA ........................ 6,302 548,000
Gaumont ............................ 14,206 1,178,165
Gautier France SA .................. 1,680 80,444
Genefim (Societe Immobiliere pour le
Commerce et l'Industrie SA) ........ 6,161 97,589
*Generale de Geophysique SA ......... 14,976 1,073,935
Generale de Transport et d'Industrie 12,890 572,779
Gevelot ............................ 1,792 343,229
Gifrer Barbezat SA ................. 550 71,634
*Grand Bazar de Lyon ................ 650 16,807
Grands Moulins de Strasbourg ....... 110 27,242
Groupe Andre SA .................... 5,833 427,895
Groupe Guillin SA .................. 1,200 35,166
Groupe Norbert Dentressangle SA .... 1,580 211,232
Groupe Zanni ....................... 4,100 82,613
Groupe du Louvre SA ................ 6,753 183,667
Groupement pour le Financement de la
Construction SA .................... 19,075 1,652,119
Guerbet SA ......................... 1,990 95,288
Guitel-Etienne-Mobilor SA .......... 160 5,225
Guyenne et Gascogne SA ............. 5,200 1,892,358
HIT SA ............................. 600 37,924
Hoteliere Lutetia Concorde ......... 2,505 84,492
*Hotels et Casinos de Deauville ..... 2,055 177,515
ICBT Groupe SA ..................... 1,200 45,968
IMS International Metal Service SA . 1,263 171,754
Immeubles de France ................ 25,528 1,535,298
Immeubles de Lyon .................. 3,562 341,122
Immobanque ......................... 1,098 133,543
Immobiliere Marseillaise ........... 656 821,728
Industrie des Transports ........... 600 44,819
Industrielle et Financiere
d'Entreprise SA .................... 300 12,929
Industrielle et Financiere
d'Ingenierie SA .................... 40,100 618,282
*Infogrames Entertainment SA ........ 1,550 135,673
Informatique et Realite SA ......... 793 101,764
Interbail SA ....................... 7,000 288,259
Intertechnique SA .................. 4,150 691,534
*Jet Multimedia SA .................. 500 65,600
Labinal SA ......................... 15,925 2,784,816
Lacroix Indu ....................... 593 30,667
Laurent Bouillet ................... 480 29,420
Legris Industries SA ............... 32,350 1,412,718
Lille-Bonnieres & Colombes ......... 19,020 1,657,556
Locindus (Cie Financiere pour la
Location d'Immeubles Industrials et
Commerciaux) ....................... 1,600 235,970
*Lucia .............................. 254 3,162
*MRM ................................ 1,424 38,184
Manitou BF SA ...................... 1,773 196,962
*Manoir Industries SA ............... 123 4,382
Marie Brizard & Roger International
SA ................................. 266 45,599
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Matussiere et Forest SA ............ 13,600 $ 173,224
*Maxi-livre/Profrance SA ............ 1,200 45,509
Mediascience SA .................... 150 14,710
Metal Deploye ...................... 328 24,313
*#Metaleurop SA ...................... 58,400 514,537
*Metrologie International ........... 12,040 32,054
Michel Thierry SA .................. 700 87,818
Montupet SA ........................ 3,245 329,410
*Mors ............................... 32,445 43,500
*Moulinex SA ........................ 108,711 2,644,378
*Musee Grevin SA .................... 822 13,233
*NAF NAF SA ......................... 4,200 36,361
*Nationale de Navigation ............ 8,880 130,198
*Nodet-Gougis SA .................... 3,500 0
Nord-Est ........................... 3,240 79,619
*Nordon & Cie ....................... 800 53,630
*Olipar ............................. 250 4,070
PSB Industries SA .................. 1,240 80,513
Papeteries de Clairefontaine ....... 1,600 330,665
Papiers Peints (Societe Francaise
des) ............................... 200 36,391
Parisienne de Chauffage Urbain ..... 200 16,625
Paul Predault SA ................... 2,199 78,340
*Pier Import Europe SA .............. 2,100 15,526
*Piper-Heidsieck .................... 1,282 422,341
Pithiviers-le-Vieil (Sucriere de) .. 1,825 1,146,524
Plastic Omnium ..................... 12,036 993,817
Primisteres Reynoird SA ............ 800 41,601
Publicis SA ........................ 20,150 1,725,930
Radiall SA ......................... 1,340 137,311
Rallye SA .......................... 28,700 1,154,377
Reassurances SA (Francaise de) ..... 14,349 2,308,592
*Renard (Fromagerie F. Paul) ........ 200 78,529
Reunion (Banque de la) ............. 987 222,316
Rhin & Moselle Assurances Cie
Generale d'Assurances et de
Reassurances SA .................... 1,922 312,909
Robertet SA ........................ 269 51,523
*Rocamat ............................ 5,579 13,891
Rochefortaise Communication SA ..... 11,420 590,577
*Rochette ........................... 98,470 445,105
Rougier SA ......................... 2,040 132,067
*Rouleau-Guichard SA ................ 300 19,766
Rue Imperiale de Lyon .............. 450 411,990
*SAGA (Societe Anonyme de Gerance et
d'Armement) ........................ 6,425 106,448
SAMSE SA ........................... 1,100 176,978
SAT SA (SA des Telecommunications) . 2,832 867,880
*SDR de Bretagne SA ................. 714 3,207
*SEDIVER (Societe Europeene
d'Isolateurs en Verre et Composite). 551 9,424
*SEUPAR (Societe Europeene de
Participations Industrielles et
Financieres) ....................... 35 409
*SFI (Societe Financiere Immobail SA) 4,807 92,163
SFIM (Societe de Fabrication
d'Instruments de Mesure) ........... 2,940 590,703
SGCA (Societe Generale de Courtage
d'Assurances) ...................... 554 68,971
*SGE (Societe Generale d'Enterprise
SA) ................................ 14,000 312,929
176
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
SOCIM (Societe Immobiliere
d'Investissement) .................. 3,829 $ 206,814
SOGEPAG (Societe Exploitation de
Parcs et Garages) .................. 379 10,163
Sabate SA .......................... 600 53,346
*Sabeton ............................ 1,350 186,688
Salins du Midi & des Salines
de l'Est ........................... 9,282 790,597
Sarreguemines Digoin et Vitry-le-
Francois SA ........................ 330 37,924
Saupiquet .......................... 4,500 636,947
*Savoisienne ........................ 3,963 75,829
Sechilienne ........................ 220 41,505
Securidev SA ....................... 1,500 22,410
*Selectibanque SA ................... 7,100 98,456
Sidergie SA ........................ 800 89,638
Signaux et d'Equipements
Electroniques SA ................... 23,983 1,071,219
Silic (Societe Immobiliere de
Location pour l'Industrie et le
Commerce) .......................... 3,064 430,756
*Simmonds ........................... 575 30,121
Skis Rossignol SA .................. 46,668 1,251,392
Smoby SA ........................... 500 52,193
Societe Dauphin Office Technique
d'Affichage SDCS ................... 2,192 138,548
Societe Europeene de Propulsion SA
SEP ................................ 1,935 231,637
Societe d'Etudes et de Realizations
pour les Industries du Bois Seribo.. 450 16,549
*Sodero (Societe de Developpement
Regional de l'Ouest) ............... 4,181 16,497
*Sofal .............................. 5,231 50,597
Sofitam SA ......................... 1,889 114,331
Sogeparc SA ........................ 2,156 306,820
Soie SA ............................ 390 25,323
Solitaire Produits d'Entretien
Francais Prodef .................... 300 35,396
Sommer-Allibert SA ................. 17,200 490,864
Sophia SA .......................... 11,700 425,108
Sopra Conseil et Assistance en
Informatique SA .................... 1,380 103,084
Strafor Facom SA ................... 33,703 2,473,662
Sylea SA ........................... 4,159 467,599
Taittinger SA ...................... 2,540 698,123
Tanneries de France ................ 158 7,520
Teisseire France SA ................ 700 22,256
*Teleflex Lionel-Dupont ............. 7,625 140,203
Thermal de Bagnoles de l'Orne ...... 245 25,340
Touax SA ........................... 3,604 82,835
*Transports en Commun de Nice ....... 100 1,379
*Trouvay et Cauvin SA ............... 1,500 25,254
Unilog SA .......................... 632 65,367
Union Generale du Nord SA .......... 994 30,462
Union Immobiliere de France ........ 3,100 248,131
*Union Industrielle de Credit SA,
Paris .............................. 20,120 83,239
Vallourec (Usines a Tubes de
Lorraine Escaut et Vallourec Reunies) 31,700 1,724,951
Vermandoise de Sucreries ........... 323 309,328
*Via Banque ......................... 20,692 645,609
Viel et Cie ........................ 2,641 65,254
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Vilmorin et Cie SA ................. 1,620 $ 143,352
*Vilmorin et Cie SA Em 96 ........... 729 61,925
Virax .............................. 954 23,041
Virbac SA .......................... 1,713 195,546
Vulcanic SA ........................ 400 18,847
Zuber-Laederich SA ................. 1,800 22,444
-------------
TOTAL COMMON STOCKS
(Cost $87,192,364) .................. 93,204,337
-------------
INVESTMENT IN CURRENCY -- (0.5%)
*French Francs (Cost $1,866,027) .... 1,848,041
-------------
RIGHTS/WARRANTS -- (0.0%)
*Derichebourg Finances Warrants
07/15/98 ........................... 5,288 45,577
*Union Industrielle de Credit SA,
Paris Rights 12/12/96 .............. 20,120 1,541
*Vilmorin et Cie SA Warrants 06/29/01 729 5,962
-------------
TOTAL RIGHTS/WARRANTS
(Cost $329,842) ..................... 53,080
-------------
TOTAL -- FRANCE
(Cost $89,388,233) .................. 95,105,458
-------------
GERMANY -- (20.5%)
COMMON STOCKS -- (20.5%)
*AGIV Ag Fuer Industrie &
Verkehrwesen ....................... 28,200 364,315
Aachener Strassenbahn und Energie
versorguns AG ...................... 188 54,448
Aachener und Muenchener
Lebensversicherung AG .............. 316 141,907
Aachener und Muenchener
Versicherungs AG ................... 1,500 419,785
Ackermann Vermoegensverwaltungs AG . 1,350 164,302
Agrippina Rueckversicherung AG,
Koeln .............................. 177 217,722
*Agrob AG ........................... 290 72,665
Aigner (Etienne) AG ................ 600 296,778
*Alexanderwerk AG ................... 230 12,873
Allweiler AG ....................... 289 50,784
Alte Leipziger Versicherungs AG
Series C ........................... 1,043 274,920
*Amira Verwaltungs AG ............... 200 192,646
Andreae-Noris Zahn AG, Anzag ....... 3,320 1,287,810
Apoca Parking AG ................... 1,650 185,242
*Augsburger Kammgarn Spinnerei AG ... 660 15,034
BDAG Balcke-Duerr AG ............... 3,291 532,257
*Barmag AG .......................... 1,200 110,901
Bau (Walter) AG .................... 100 14,774
Bayerische Handelsbank AG .......... 2,120 527,068
Berliner Elektro Holding Ag (Vormals
Berliner Electro-Beteiligungen AG). 4,950 95,037
Berliner Kindl-Brauerei AG ......... 1,000 318,907
Binding-Brauerei AG ................ 2,925 951,839
Biotest AG ......................... 8,060 230,810
Blaue Quellen Mineral und
Heilbrunnen AG ..................... 300 441,263
Bochum-Gelsenkirchener
Strassenbahnen AG .................. 228 63,807
Boss (Hugo) AG ..................... 870 1,087,146
*Brau und Brunnen AG ................ 4,000 275,952
177
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Braunschweig-Hannoversche
Hypotekenbank AG ................... 1,150 $ 493,980
Breitenburger Portland-Cement-
Fabrik AG .......................... 25 20,664
Bremer Strassenbahn AG ............. 307 37,963
*Bremer Woll-Kaemmerei AG ........... 1,996 112,368
Brillant AG ........................ 850 154,344
Buckau (Walther) AG ................ 900 121,835
*Ceag Industrie-Aktien und Anlagen AG 2,067 126,455
Computer 2000 AG ................... 398 87,811
*Concordia Bau und Boden AG ......... 32,189 377,092
*DLW AG ............................. 3,940 256,427
DSL Holding AG ..................... 5,850 651,058
Data Modul AG ...................... 1,950 44,038
*Deutsche Babcock AG, Oberhausen .... 2,900 77,006
Deutsche Bank Luebeck AG ........... 1,200 1,062,154
Deutsche Hypotheken Bank AG,
Hannover/Berlin .................... 2,500 600,390
Deutsche Kontinentale
Rueckversicherungs AG .............. 1,872 242,452
Deutsche Spezialglas AG ............ 1,600 189,522
Deutsche Steinzeug Cremer & Breuer
AG ................................. 5,560 383,573
Deutsche Verkehrs-Bank AG .......... 4,750 562,642
*Didier-Werke AG .................... 6,800 520,898
*Dierig Holding AG .................. 1,500 102,506
Doag-Holding AG .................... 750 64,920
*Dortmunder Actien-Brauerei AG ...... 1,650 112,756
Duerr Beteiligungs AG .............. 31,750 981,533
Duerrkopp Adler AG ................. 2,219 177,636
Dyckerhoff & Widmann AG ............ 4,919 624,279
Dyckerhoff AG ...................... 2,798 937,826
Eichbaum-Brauereien AG, Mannheim ... 672 85,285
Erlus Baustoffwerke AG ............. 297 105,347
*Erste Kulmbacher Actien Brauerei AG 432 16,167
Escada AG .......................... 2,052 341,889
*Escom AG ........................... 4,200 1,011
*Ex-Cell-O Holding AG ............... 800 88,253
Fag Kugelfischer Georg Schaeffer AG 85,500 1,068,402
Felten & Guilleaume Energietechnik
AG ................................. 3,250 359,583
Flender (A. Friedrich) AG .......... 400 25,252
Forst Ebnath AG .................... 24 13,496
Fraenkisches Ueberlandwerk AG,
Nuernberg .......................... 896 227,426
Fuchs Petrolub AG Oel & Chemie ..... 2,231 276,606
Fuchs Petrolub AG Oel & Chemie
(Stimmrechtslos) ................... 55 5,298
Gea AG ............................. 1,300 395,965
Geestemuender Bank AG .............. 750 84,445
Gerresheimer Glas AG ............... 19,150 421,263
Gilde Brauerei AG .................. 400 292,092
*Gildemeister AG .................... 1,400 61,321
Goldschmidt AG ..................... 3,200 1,343,313
Grosskraftwerk Franken AG .......... 789 243,915
Hagen Batterie AG .................. 1,000 143,183
Hamborner AG ....................... 2,100 486,560
Hamburger Hochbahn AG Series A ..... 4,257 282,599
Harpener AG ........................ 7,100 1,201,432
Hasen-Braeu AG ..................... 100 110,641
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Heilit & Woerner Bau AG ............ 425 $ 30,426
Heilit & Woerner Bau AG ............ 1,701 143,364
*Hein Lehmann AG, Duesseldorf ....... 2,400 58,575
Heinrich Industrie & Handels AG .... 350 151,481
*Herlitz AG ......................... 3,462 389,799
Hermes Kreditversicherungs AG,
Hamburg und Berlin ................. 400 96,323
Hermes Kreditversicherungs AG,
Hamburg und Berlin ................. 1,166 288,370
Hindrichs-Auffermann AG ............ 3,580 50,327
Holsten-Brauerei AG, Hamburg ....... 3,077 690,898
*Honsel-Werke AG .................... 200 10,739
Horten AG .......................... 3,250 452,652
Hucke AG ........................... 6,900 121,699
*Hutschenreuther AG ................. 1,050 68,337
Hypothekenbank In Hamburg AG ....... 1,252 838,469
ICN (Immobilien Consult Nuernberg
AG) ................................ 737 201,458
IFA Hotel & Touristik AG ........... 5,900 113,277
Ikon AG Praezisionstechnik ......... 626 69,261
Iwka AG ............................ 6,224 1,375,235
Jacobsen (W.) AG, Kiel ............. 37 58,998
KM Europa Metal AG ................. 7,550 609,798
KM Europa Metal AG Em 95 ........... 10,570 784,237
*KSB AG ............................. 2,387 338,670
KWS Kleinwanzlebener Saatzucht AG .. 1,650 885,942
*Kali und Salz Beteiligungs AG ...... 13,950 1,461,731
Kampa-Haus AG ...................... 7,200 229,144
*Kaufhalle AG ....................... 7,800 852,847
*Kaufring AG ........................ 1,600 82,265
*Kempinski AG, Berlin ............... 686 250,023
*Kennametal Hertal AG Werkzeuge &
Hartstoffe ......................... 50 6,378
Keramag Keramische Werke AG ........ 1,300 494,956
Kiekert AG ......................... 10,250 306,866
*Kloeckner Humboldt-Deutz AG ........ 16,750 76,855
*Kloeckner-Werke AG ................. 23,800 867,426
*Koeln-Duesseldorfer Deutsche
Rheinschiffahrt AG ................. 300 12,105
Kolb und Schuele AG ................ 10,000 76,147
*Kolbenschmidt AG, Neckarsulm ....... 75,000 839,570
Kraftuebertragungswerke Rheinfelden
AG ................................. 4,684 1,301,704
Kraftwerk Altwuerttemberg AG ....... 314 351,500
Kromschroder (G.) AG ............... 765 151,855
*Kueppersbusch AG ................... 525 54,670
Kupferberg (Christian Adalbert) &
Cie KG A.A. ........................ 151 93,853
*Leffers AG, Bielefeld .............. 1,225 217,654
Lehnkering-Montan-Transport AG ..... 1,050 138,383
Leifheit AG ........................ 13,500 544,745
Leonische Drahtwerke AG ............ 2,000 584,445
*Linotype-Hell AG ................... 4,300 358,217
Loewenbraue Holding AG ............. 60 89,815
MG Vermoegensverwaltungs AG ........ 4,040 283,970
*MLF Holding fuer Umwelttechnologie
AG ................................. 165 3,007
*MLF Holding fuer Umwelttechnologie
AG Em 95 ........................... 33 601
*Magda Media Verlaf AG .............. 7,380 62,681
*Maihak (H.) AG ..................... 275 38,677
Main Kraftwerke AG ................. 1,189 553,293
Mainzer Aktien-Bierbrauerei AG ..... 563 150,231
Mannesmann AG ...................... 3,801 1,586,945
178
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Mannheimer Versicherung AG ......... 2,257 $ 940,111
Markt und Kuehlhallen AG ........... 1,400 217,768
Mauser Waldeck AG .................. 1,667 179,014
Mittelschwaebische Ueberlandzentrale
AG ................................. 355 149,024
*Moenus AG Em 95 .................... 15,750 29,829
*Moksel (A.) AG ..................... 13,500 79,076
Muehle Rueningen AG ................ 160 36,446
*Mueller-Weingarten AG .............. 579 103,628
*Nak Stoffe AG ...................... 1,046 2,927
*Neue Baumwoll-Spinnerei und Weberei
Hof AG ............................. 1,217 38,969
*Niedermayr Papierwarenfabrik AG .... 60 15,268
Nordcement AG ...................... 2,000 813,537
Norddeutsche Steingutfabrik AG ..... 5,960 92,707
Nuernberger Hypothekenbank AG ...... 2,387 668,018
*Orenstein & Koppel AG .............. 3,778 70,077
Otavi Minen AG ..................... 600 68,728
Otto Reichelt AG ................... 11,950 182,769
Parkbrauerei AG .................... 300 49,788
*Patrizier-Braeu AG ................. 737 57,559
*Pfaff (G.M.) AG .................... 8,000 177,026
*Pfleiderer Bau und Verkehrssysteme
AG ................................. 600 172,600
Phoenix AG, Hamburg ................ 47,500 568,825
*Pittler Maschinenfabrik AG ......... 3,350 65,408
Plettac AG ......................... 5,554 1,072,123
Progress-Werk Oberkirch AG ......... 500 61,829
Rathgeber AG ....................... 8 3,645
Reckitt und Colman Deutschland AG .. 540 140,579
Reichelbraeu AG, Kulmbach .......... 550 114,546
*Reichelt (F.) AG ................... 1,290 83,117
Reiter Ingolstadt Spinnereimaschinen
AG ................................. 1,200 121,132
*Renk AG ............................ 1,940 90,908
Rheinboden Hypothekenbank AG ....... 2,650 431,175
Rheinmetall Berlin AG .............. 5,000 631,305
Rhoen Klinikum AG .................. 15,240 1,586,983
Riedel de Haen AG .................. 573 939,772
*Rosenthal AG ....................... 1,650 119,736
*Rothenberger AG .................... 300 20,599
Salamander AG, Kornwesteim ......... 5,172 521,744
Schlenk (Carl) AG .................. 65 18,021
*Schmalbach-Lubeca AG ............... 2,350 517,719
*Schneider Rundfunkwerke AG ......... 473 51,718
Schwaebische Zellstoff AG .......... 1,925 340,774
*Sektkellerei Schloss Wachenheim AG . 252 27,882
Sinalco AG ......................... 110 55,841
*Sinn AG ............................ 1,973 372,385
Sinner AG, Karlsruhe ............... 416 111,006
Sixt AG ............................ 100 36,446
Sloman Neptun Schiffahrts AG ....... 35 3,349
Stern-Brauerei Carl Funke AG ....... 1,100 59,421
Stoehr & Co. AG .................... 1,600 160,364
Stolberger Zink AG ................. 2,560 39,987
Stollwerck AG ...................... 1,358 437,494
*Strabag AG ......................... 2,000 157,501
*Stumpf (Otto) AG ................... 1,375 18,345
Stuttgarter Hofbraeu AG ............ 1,800 419,395
Sued-Chemie AG ..................... 2,186 1,118,253
Sueddeutsche Bodencreditbank AG .... 3,344 887,961
Tarkett AG ......................... 22,500 484,705
*Terrex Handels AG .................. 1,250 341,686
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Traub AG ........................... 2,538 $ 52,858
*Triton-Belco AG, Hamburg ........... 1,186 67,154
*Tucher Braeu AG .................... 750 42,564
Ueberlandwerk Unterfranken AG ...... 40 7,680
VBH (Vereinigter Baubeschlag-
Handel) AG ......................... 6,415 124,000
VGT AG ............................. 293 61,022
*VK Muehlen AG ...................... 1,312 145,161
*Varta AG ........................... 5,500 1,052,392
Vereinigte Deutsche Nickel-Werke AG 1,380 201,185
Vereinte Versicherung AG ........... 130 87,992
Verseidag AG ....................... 2,753 210,529
Voegele (Joseph) AG ................ 750 108,363
*Vogtlaendische Baumwollspinnerei AG 559 20,555
Volksfuersorge Holding AG (Vormals
Volksfuersorge Deutsche
Lebensversicherung AG) ............. 650 222,942
Vossloh AG ......................... 6,450 228,783
WCM Beteiligungs und Grundbesitz AG 43,850 414,099
WMF (Wuerttembergische
Metallwarenfabrik AG) .............. 3,033 485,596
*Walter AG .......................... 1,350 367,263
*Wanderer-Werke AG .................. 1,437 128,081
*Weil der Stadt AG, Weil der Stadt .. 80 1,979
Weinig (Michael) AG ................ 2,500 805,402
Weru AG ............................ 150 61,308
Westag & Getalit ................... 700 146,697
Wickrather Bauelemente AG .......... 465 68,093
Wuerttembergische & Badische
Versicherungs AG Series A/B ........ 112 254,396
Wuerttembergische Hypothekenbank AG 1,613 824,084
Wuerttembergische Lebensversicherung
AG ................................. 443 161,458
Wuerzburger Hofbraeu AG ............ 133 59,294
*Zanders Feinpapiere AG ............. 4,450 275,138
Zeag Zementwerk Lauffen-
Elektrizitaetswerk Heilbronn AG .... 1,942 473,967
--------------
TOTAL COMMON STOCKS
(Cost $65,097,108) .................. 68,695,341
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $120,391) ....... 119,959
--------------
PREFERRED STOCK -- (0.0%)
Westag & Getalit (Cost $38,373) .... 260 49,073
--------------
TOTAL -- GERMANY
(Cost $65,255,872) .................. 68,864,373
--------------
SWITZERLAND -- (10.2%)
COMMON STOCKS -- (10.1%)
AFG Arbonia Foster Holding AG, Arbon 522 218,735
*Accumulatoren-Fabrik Oerlikon,
Zuerich ............................ 30 16,692
Afipa SA, Vevey .................... 20 3,300
Afipa SA, Vevey Series A ........... 80 15,810
Aletsch AG, Moerel ................. 50 92,095
Ascom Holding AG, Bern ............. 907 967,559
Attisholz Holding AG, Attisholz .... 1,079 427,294
179
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
BHB Beteiligungs und
Finanzgesellschaft ................. 150 $ 23,024
Banque Cantonale de Geneve ......... 840 207,583
Banque Cantonale du Jura ........... 450 118,457
Banque Privee Edmond de Rothschild
SA, Geneve ......................... 120 419,033
Basellandschaftliche Kantonalbank .. 500 140,061
Basler Kantonalbank (Participating) 500 132,003
Bernische Kraftwerke AG, Bern ...... 600 603,223
Bobst SA, Prilly ................... 140 192,863
Bossard Holding AG, Zug ............ 635 230,510
Brauerei Eichhof ................... 42 90,253
Bucher Holding AG, Niederweningen .. 671 486,642
Bucherer AG, Luzern (Participating) 300 115,119
CKW (Centralschweizerische
Kraftwerke), Luzern ................ 670 617,552
CKW (Centralschweizerische
Kraftwerke), Luzern (Participating) . 1,500 130,084
Calida Holding AG, Oberkirch ....... 99 71,040
Canon (Schweiz) AG, Dietlikon ...... 3,706 233,225
Carlo Gavazzi Holding AG, Baar
Series B ........................... 83 63,062
Chemin de Fer Brigue-Viege-Zermatt,
Zermatt ............................ 370 57,360
Chemin de Fer du Gornergrat, Sion .. 70 104,758
Chocoladefabriken Lindt & Spruengli
AG, Kilchberg ...................... 16 314,351
Chocoladefabriken Lindt & Spruengli
AG, Kilchberg (Participating) ...... 74 129,486
Crossair AG fuer Europaeischen
Regionalluffverkehr ................ 103 35,572
Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel ......... 192 117,882
Crossair AG fuer Europaeischen
Regionalluftverkehr, Basel
(Genusschen) ....................... 330 37,483
Daetwyler Holding AG, Atldorf ...... 388 647,659
Danzas Holding AG, Basel ........... 90 103,607
Danzas Holding AG, Basel
(Participating) .................... 1,502 308,930
Dipling Fust AG, Oberbueren ........ 1,680 515,733
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg ......... 8,400 1,843,745
ESEC Holding SA, Cham .............. 65 279,106
Edipresse SA, Lausanne ............. 262 50,470
Edipresse SA, Lausanne (Nominal) ... 1,310 48,761
Energie Electrique du Simplon SA
Simplon Village .................... 70 59,363
*Escor AG, Duedingen ................ 496 10,278
*Feldschloesschen-Huerlimann Holding
AG ................................. 231 81,550
*Feldschloesschen-Huerlimann Holding
AG (Participating) .................. 350 22,832
Financiere Michelin, Granges- Paccot 637 293,323
*Financiere Tradition, Lausanne ..... 50 21,105
Fischer (Georg) AG, Schaffhausen ... 1,202 1,205,690
Fischer (Georg) AG, Schaffhausen
(Namen) ............................ 200 38,066
Forbo Holding AG, Eglisau .......... 1,100 447,429
Fotolabo SA, Ropraz ................ 1,200 469,685
Fuchs Petrolub AG, Frauenfeld ...... 2,001 620,417
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
GZB Genossenschaftliche Zentralbank
AG, Basel .......................... 941 $ 608,075
Galenica Holding AG, Bern
Series B ........................... 180 68,381
Generale d'Affichage, Geneve ....... 150 68,035
*Generali (Switzerland) Holdings,
Adliswil ........................... 1,210 227,513
Golay-Buchel Holding SA, Lausanne .. 40 26,094
*Grands Magasins Jelmoli SA, Zuerich 931 510,871
*Grands Magasins Jelmoli SA, Zuerich
(Namen) ............................ 2,835 300,253
Gurit-Heberlein AG, Wattwil SG ..... 310 645,932
HPI Holding SA, Yverdon-les-Bains .. 200 35,994
Hero, Lenzburg ..................... 340 156,562
Hilti AG, Schaan (Participating) ... 600 379,893
Immuno International AG, Zuerich ... 1,545 1,057,667
*Industrieholding Cham AG, Cham ..... 216 125,986
*Interdiscount Holdings SA,
Jegenstorf ......................... 4,840 62,775
Kardex AG, Zuerich ................. 630 178,411
Kardex AG, Zuerich (Participating) . 610 161,044
Keramik Holding AG Laufen, Laufen .. 600 309,900
Kraftwerk Laufenburg, Laufenburg ... 8,475 1,827,686
Kuoni Reisen Holding AG, Zuerich ... 120 267,076
Lem Holding SA, Plan-les-Ovates .... 120 24,866
Loeb Holding AG, Bern
(Participating) .................... 620 90,407
Logitech International SA, Apples .. 4,805 636,119
*Maag Holding AG, Zuerich ........... 820 166,769
Magazine Zum Globus, Zuerich ....... 400 217,345
Magazine Zum Globus, Zuerich
(Participating) .................... 396 187,211
*Mikron Holding AG, Biel ............ 624 72,553
Moevenpick-Holding, Zuerich ........ 1,320 379,893
Moevenpick-Holding, Zuerich
(Participating) .................... 443 118,995
*Monteforno Acciaierie & Laminatoi
SA, Giornico ....................... 600 1,381
Motor-Columbus AG, Baden ........... 930 1,948,503
*Netstal-Maschinen AG, Nafaels ...... 2 860
Nokia-Maillefer Holding SA ......... 150 59,862
*Omnium Geneve SA, Geneve ........... 110 6,120
Orell Fuessli Graphische Betriebe
AG, Zuerich ........................ 240 195,242
*Oz Holding, Zuerich ................ 240 98,173
Phoenix Mecano AG, Stein am Rhein .. 2,749 1,392,433
Phonak Holding AG .................. 80 72,448
Porst Holding AG, Jegenstorf ....... 1,844 266,057
Prodega AG, Moosseedoff
(Participating) .................... 400 118,189
Publicitas Holding SA, Lausanne .... 625 112,241
Rieter Holding AG, Winterthur ...... 980 282,041
SIG (Schweizerische Industrie
Gesellschaft Holding AG) ........... 140 169,762
SIG (Schweizerische Industrie
Gesellschaft Holding AG), Neuhausen
am Rheinfall ....................... 112 269,900
Sarna Kunststoff Holding AG, Sarnen 94 89,455
*Saurer AG, Arbon ................... 660 286,692
180
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Schweizerische National
Versicherungs Gesellschaft, Basel .. 132 $ 256,301
*Sibra Holding SA, Fribourg
Series B ........................... 1,000 166,539
Siegfried AG, Zofingen ............. 1,066 944,919
Sika Finanz AG, Baar ............... 780 186,769
Sopracenerina ...................... 2,295 228,972
*Suedelektra Holding AG, Zug ........ 970 842,701
*Swisslog Holding AG, Aarau ......... 500 133,922
UMS Schweizerische Metallwerke
Holding AG, Bern ................... 2,560 182,717
Unigestion Holding, Geneve ......... 2,891 154,201
Usego-Trimerco Holding AG,
Volketswil ......................... 2,040 208,227
Vaudoise Assurances Holding,
Lausanne ........................... 20 44,513
Villars Holding SA, Fribourg ....... 150 17,239
*Von Moos Holding AG, Luzern ........ 1,400 80,583
*Von Roll AG, Gerlafingen ........... 32,024 557,901
*WMH Walter Meier Holding AG, Staefa 50 20,530
Zehnder Holding AG ................. 100 37,299
Zellweger Luwa AG, Uster ........... 804 542,993
*Zschokke Holding SA, Geneve ........ 80 17,498
*Zueblin Holding AG, Zuerich ........ 700 45,664
Zuercher Ziegeleien Holding, Zuerich 1,415 781,888
Zuger Kantonalbank ................. 500 625,480
--------------
TOTAL COMMON STOCKS
(Cost $27,173,199) .................. 33,838,381
--------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swiss Francs (Cost $173,336) ....... 168,899
--------------
RIGHTS/WARRANTS -- (0.0%)
*Feldschloesschen-Huerlimann Holding
AG Warrants 12/15/98 (Cost $5,011).. 3,010 3,812
--------------
TOTAL -- SWITZERLAND
(Cost $27,351,546) .................. 34,011,092
--------------
NETHERLANDS -- (9.3%)
COMMON STOCKS -- (9.3%)
A.I.R. Holdings NV ................. 1,300 29,408
ACF Holding NV (Certificate) ....... 15,757 255,000
Aalberts Industries NV ............. 4,870 601,688
Ahrend NV .......................... 23,672 1,222,046
Atag Holding NV .................... 4,300 229,466
Athlon Groep NV .................... 5,350 262,224
Athlon Groep NV (Certificate) ...... 3,500 172,564
Bam Groep NV ....................... 5,015 277,803
Batenburg Beheer NV ................ 1,000 136,891
Beers NV ........................... 16,625 626,813
Begemann Groep NV .................. 13,451 230,165
Bijenkorf Beheer KBB NV, Amsterdam . 1,000 73,086
Boer Winkelbedrijven NV ............ 12,387 840,649
Boskalis Westminster NV ............ 46,207 916,635
*Braat Beheer NV .................... 3,880 33,984
Cap Volmac Group NV ................ 14,000 426,334
Cindu International NV ............. 1,750 96,433
Content Beheer ..................... 14,750 590,342
Crown Van Gelder NV ................ 2,400 217,865
Delft Instruments NV ............... 12,808 293,455
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Econosto NV ........................ 16,232 $ 293,758
Eriks Holdings NV .................. 9,000 721,462
*Flexovit International NV .......... 14,700 177,355
GTI Holding NV ..................... 4,507 580,368
Gamma Holding NV ................... 18,338 850,951
Geveke NV .......................... 8,662 301,462
Goudsmit NV Voorheen Eduard ........ 2,066 183,352
Grand Hotel Krasnapopski NV ........ 323 53,584
Grolsche NV ........................ 32,100 1,238,196
Hoek's (W.A.) Machine &
Zuurstoffafabriek NV .... .......... 14,850 1,463,466
*Hollandia Industriele Maatschappij
NV ................................. 500 18,997
Hollandsche Beton Groep NV ......... 5,047 957,291
Internatio-Mueller NV .............. 62,728 1,568,200
Kas-Associatie NV .................. 7,830 345,174
Kempen & Co. NV .................... 22,200 444,258
Kondor Wessels Groep NV ............ 1,000 38,805
Koninklijke Frans Maas Groep NV .... 14,215 575,526
Koninklijke Ten Cate NV ............ 12,010 599,803
Koppelpoort Holding NV ............. 250 53,654
Landre & Glinderman NV ............. 2,032 69,187
MacIntosh NV ....................... 19,733 454,408
*Multihouse NV ...................... 20,000 51,044
NBM-Amstelland NV .................. 47,736 988,501
NKF Holding NV ..................... 19,313 694,551
Nagron Nationaal Grondbezit NV ..... 3,931 362,090
Nederlandsche Apparatenfabriek Nedap 4,250 344,881
Nedlloyd Groep NV, Rotterdam ....... 22,900 581,798
Norit NV ........................... 30,731 417,115
Otra NV ............................ 23,000 397,564
Pakhoed NV ......................... 17,159 521,538
Polynorm NV ........................ 3,431 286,580
Reesink NV ......................... 2,050 170,041
Roto Smeets de Boer NV ............. 1,000 42,807
Rubber Cultuur Maatschappij
Amsterdam NV ....................... 40,800 68,631
Samas-Groep NV, Zaandam ............ 11,576 462,637
Schuitema NV, Amersfoort ........... 300 739,559
Schuttersveld Holding .............. 11,354 457,058
Smit Internationale NV ............. 10,790 582,059
Sphinx NV .......................... 22,968 279,773
Stork NV ........................... 8,500 282,512
*Textielgroep Twenthe NV ............ 1,000 20,882
Tulip Computers NV ................. 11,467 114,404
Twentsche Kabel Holding NV ......... 18,270 927,277
Ubbink NV .......................... 1,500 44,374
Van Dorp Groep NV .................. 3,261 45,964
Van der Giessen de Noord ........... 4,433 106,968
Van der Moolen Holding NV .......... 6,756 356,610
Volker Stevin NV ................... 13,780 1,246,914
Vredestein NV ...................... 20,514 254,640
Wegener NV ......................... 20,403 1,840,294
--------------
TOTAL -- NETHERLANDS
(Cost $16,382,886) .................. 31,211,174
--------------
ITALY -- (9.1%)
COMMON STOCKS -- (9.1%)
Acquedotto de Ferrari Galliera SpA . 54,000 153,521
Aedes SpA (Sta Ligure Lombarda per
Imprese & Costruzioni) ............. 42,000 183,273
Allianz Subalpina SpA .............. 55,125 365,192
*#Ansaldo Trasporti SpA .............. 199,533 232,843
#Attivita Immobiliari ............... 181,400 200,889
181
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Auschem SpA (In Liquidation) ....... 82,000 $ 0
#Avir Finanziara SpA ................ 114,000 1,205,950
Banca Agricola Milanese ............ 48,000 314,182
#Banco di Chiavari e della Riviera
Ligure SpA, Chiavari ............... 175,000 323,967
#Bassetti SpA ....................... 67,500 229,835
*Bastogi SpA ........................ 1,683,000 63,425
*Boero (Bartolomeo) SpA ............. 8,925 37,765
Bonifica dei Terreni Ferraresi e per
Imprese Agricole Roma .............. 11,600 79,609
*Brioschi Finanziaria SpA, Milano ... 200,000 24,463
CALP (Cristalleria Artistica la
Piana SpA) ......................... 48,000 163,914
CAMFIN (Cam Finanziaria) ........... 20,500 31,445
CEMENTIR (Cementarie del Tirreno
SpA), Roma ......................... 661,563 438,272
*CIGA SpA (Compagnia Italiana Grandi
Alberghi) .......................... 76,890 33,552
CMI SpA ............................ 36,428 85,019
Caffaro SpA Sta per l'Industria
Chimica ed Elettrochimica .......... 297,550 289,189
*Calcestruzzi SpA ................... 51,560 116,074
Caltagirone SpA .................... 343,085 239,763
*Cantoni ITC SpA .................... 121,000 162,000
Cartiere Burgo SpA ................. 85,000 407,438
*Cartiere Sottrici Binda SpA ........ 1,299,375 27,491
*Cementeria di Augusta SpA .......... 105,000 169,736
*Cementerie Siciliane SpA ........... 82,200 255,975
*#Cementerie di Sardegna SpA ......... 77,000 218,909
Cia Assicuratrice Unipol SpA ....... 182,000 570,367
*Cogefar-Impresit Costruzioni
Generali SpA ....................... 337,000 269,823
#Comau Finanziara SpA ............... 353,000 455,107
Condotta Acque Potabili SpA, Torino 28,000 75,901
#Costa Crociere SpA ................. 195,000 373,884
Costa Crociere SpA (Risp) .......... 26,000 31,802
Cucirini SpA ....................... 30,000 22,810
*Dalmine SpA ........................ 3,001,700 674,762
Danieli & C.Officine Meccaniche SpA 93,500 638,582
*Dataconsyst C.G.S. SpA, Monza ...... 220 0
*Del Favero SpA ..................... 86,000 34,116
*Editoriale SpA ..................... 210,000 65,950
*Editoriale l'Espresso SpA .......... 55,000 141,818
*Editoriale la Repubblica SpA ....... 125,000 159,091
#Ericsson SpA ....................... 61,500 712,383
*Euromobiliare SpA .................. 73,500 89,901
*FIAR (Fabbrica Italiana
Apparecchiature Radioelettriche SpA) 22,990 65,816
*FMC (Fabbrica Milanese Condutorri
SpA) ............................... 25,000 13,140
*FONSPA (Credito Fondiaro e
Industriale Istituto per i
Finanziamenti a Medio e Lungo Termine
SpA) ............................... 269,000 478,420
#Falck (Acciaierie & Ferriere
Lombarde) .......................... 305,200 1,092,666
Finarte Casa d'Aste SpA (Milano) ... 56,266 40,846
*Fincasa 44 SpA ..................... 150,036 17,360
*Finrex Finanziaria Immobiliaria SpA
(In Liquidation) ................... 36,000 2,880
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Firs-Italiana de Assicurazioni
Compagnia di Assicurazioni
Eriassicurazioni (In Liquidation) .. 90,000 $ 0
*Fochi (Filippo) SpA ................ 216,000 16,280
*Fornara Societa Finanziaria e di
Participazioni SpA ................. 310,000 14,757
*Gabetti Holding SpA ................ 70,000 45,818
*Gerolimich SpA (In Liquidation) .... 297,400 0
Gewiss SpA ......................... 103,000 1,307,504
*Gifim Iniziative Immobiliari Gifim
SpA ................................ 60,000 6,347
*Gottardo Ruffoni SpA ............... 279,832 19,130
*Grassetto SpA ...................... 279,125 80,026
*ITAJOLLY (Cia Italiana del Jolly
Hotels SpA) ........................ 48,500 179,570
#Immobiliare Metanopoli SpA ......... 1,062,500 737,603
#Industrie Zignago S. Margherita SpA 61,000 334,744
*Istituto Finanziario Pro Arte SpA
Finarte ............................ 202,693 98,499
*Linificio & Canapificio Nazionale
SpA ................................ 118,000 49,931
#Maffei SpA ......................... 75,000 109,091
#Magneti Marelli SpA ................ 396,666 460,264
Magona d'Italia SpA, Firenze ....... 40,000 132,231
*Mandelli SpA ....................... 41,000 56,899
Manifattura Lane Gaetano Marzotto &
Figli SpA .......................... 144,000 904,463
Marangoni SpA, Rovereto ............ 50,303 159,639
#Merloni Elettrodomestici SpA ....... 210,000 416,529
Montefibre SpA, Milano ............. 275,267 149,236
*NAI SpA (Navigazione Alta Italia) .. 139,760 18,481
*Necchi SpA ......................... 131,400 64,723
*Perlier SpA ........................ 120,700 20,748
Pininfarina SpA .................... 64,570 597,673
*Poligrafici Editoriale SpA ......... 226,000 446,770
*Premafin Finanziaria SpA ........... 1,025,000 340,198
Previdente Cia Italiana
Assicurazione SpA .................. 149,590 741,769
#Ratti SpA .......................... 155,900 288,608
Recordati Industria Chimica E
Farmaceutica SpA ................... 34,000 273,349
Rejna SpA, Milano .................. 19,000 125,620
Risanamento di Napoli SpA .......... 26,700 295,686
Riva Finanziaria SpA ............... 23,800 99,134
*Rodriquez SpA ...................... 41,250 25,364
SISA (Societa Imballaggi Speciali
Asti SpA) .......................... 65,000 43,405
*SMI STA Metallurgica Italiana SpA .. 365,280 153,116
*SNIA Fibre SpA ..................... 328,000 117,321
SOPAF (Societa Partecipazioni
Finanziarie SpA) ................... 40,000 46,545
*Saffa SpA, Milano .................. 100,500 176,415
#Safilo (Sta Azionaria Fabbrica
Italiana Lavorazione Occhiali SpA).. 50,100 909,253
Saiag SpA (Industrie Articoli Gomma) 43,000 193,038
#Sasib SpA .......................... 186,000 590,281
*Schiapparelli 1824 SpA ............. 300,000 21,421
#Serfi SpA (Servizi Finanziari) ..... 72,000 387,967
*Simint SpA ......................... 82,488 295,048
#Sogefi SpA ......................... 260,000 578,446
*Sondel Nordelettrica SpA ........... 728,892 1,513,204
#Sorin Biomedica SpA ................ 407,610 1,495,693
182
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
*Stefanel SpA ....................... 190,800 $ 162,101
#Tecnost SpA ........................ 170,000 410,248
Teknecomp SpA ...................... 148,643 92,380
*Terme Demaniali di Acqui SpA ....... 39,900 20,049
*Texmantova SpA ..................... 40,000 35,702
Trenno SpA ......................... 147,333 302,459
*Tripcovich (D.) & Co. SpA
Navigazione Rimorchi e Salvataggi
Trieste ............................ 113,898 27,863
*#UNICEM (Unione Cementi Marchini
Emiliane e di Augusta-Casale) ...... 159,600 1,079,476
*Unione Manifatture SpA (In
Liquidation) ....................... 156,000 0
*Unipar (Unione Nazionale di
Participazione SpA) (In Liquidation) 539,000 0
Vianini Industria SpA .............. 126,000 66,645
Vianini Lavori SpA ................. 191,000 328,331
Vittoria Assicurazioni SpA ......... 59,500 208,496
Zucchi (Vincenzo) SpA .............. 97,000 423,273
--------------
TOTAL COMMON STOCKS
(Cost $43,667,211) .................. 30,375,976
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $806) ........... 811
--------------
RIGHTS/WARRANTS -- (0.0%) ............
*Unipol SpA Warrants 12/31/99
(Cost $76,471) ..................... 52,000 16,674
--------------
TOTAL -- ITALY (Cost $43,744,488) .... 30,393,461
--------------
SWEDEN -- (8.0%)
COMMON STOCKS -- (7.8%)
Acrimo AB Series B ................. 2,800 41,707
*Active I Malmoe AB Series A ........ 4,160 57,008
*Active I Malmoe AB Series B ........ 4,160 59,176
Allgon AB Series B ................. 32,700 786,631
Alma Industri & Handel AB
Series B ........................... 5,200 90,623
*Anders Dioes AB .................... 28,800 200,766
Angpannefoereningen AB Series B .... 10,800 168,913
*Arcona AB Series A ................. 161,200 109,252
*Arcona AB Series B ................. 10,000 6,420
*Argonaut AB Series A ............... 81,000 159,261
*Argonaut AB Series B ............... 171,500 344,865
B & N Bylock & Nordsjoefrakt AB
Series B ........................... 41,800 420,273
*BPA AB Series A .................... 74,000 214,940
*BPA AB Series B .................... 56,700 161,312
*Benima Ferator Engineering AB ...... 13,400 78,642
Berg (C.F.) & Co. AB Series B ...... 6,200 34,170
Bergman & Beving AB Series B ....... 28,000 846,652
*Bilspedition AB Series A ........... 88,300 303,825
*Bilspedition AB Series B ........... 136,700 476,470
Bongs Fabriker AB Series B ......... 6,000 51,836
Boras Waefveri AB Series B ......... 8,600 74,298
Carbo AB ........................... 11,100 310,836
Catena AB Series A ................. 66,700 745,140
*Celsius Industrier AB Series B ..... 60,100 792,262
*Concordia Maritime AB Series B ..... 37,300 98,896
Eldon AB Series B .................. 10,800 228,435
*#Enator AB .......................... 60,100 1,468,146
Enea Data AB Series B .............. 2,000 60,475
Esselte AB Series A ................ 40,100 910,889
Esselte AB Series B ................ 34,500 791,390
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
FFNS Gruppen AB Series B ........... 13,000 $ 106,502
*Fabege Fastigh AB Birger Gustavsson
Series B ........................... 1,216,900 308,145
*Fastighits AB Celtica .............. 5,800 25,918
Finnveden AB Series B .............. 18,100 310,047
Foereningsbanken AB Series A ....... 383,200 1,797,989
Forcenergy AB Series B ............. 32,100 389,685
*Frontline AB ....................... 90,800 315,132
Garphyttan Industrier AB ........... 39,000 487,972
Getinge Industrier AB Series B ..... 24,036 463,642
Geveko AB Series B ................. 8,300 86,542
Gullspangs Kraft AB Series B ....... 7,500 124,004
ICB Shipping AB Series B ........... 61,500 677,888
JP Bank Series A ................... 14,000 63,603
JP Bank Series B ................... 8,000 36,226
*Jacobson and Widmark AB ............ 13,400 71,855
Kjessler & Mannerstrale AB ......... 8,500 57,608
*Kloevern Foervaltnings AB
Series B ........................... 89,460 301,154
Lindex AB .......................... 16,100 386,103
Linjebuss AB Series A .............. 30,700 413,845
Marieberg Tidnings AB Series A ..... 51,900 1,345,140
NCC AB Series A .................... 4,500 62,337
NCC AB Series B .................... 69,400 992,388
Nobelpharma AB ..................... 45,460 778,715
Nolato AB Series B ................. 15,300 207,388
*Nordstroem & Thulin AB Series B .... 162,800 421,944
OEM International AB Series B ...... 3,200 46,712
OM Gruppen AB ...................... 9,700 281,746
Oestgoeta Enskilda Bank ............ 118,200 392,621
*Piren AB ........................... 539,500 123,755
*Platzer Bygg AB Series B ........... 36,000 97,058
Rottneros Bruk AB .................. 366,600 442,312
Sandblom & Stohne AB Series B ...... 8,400 66,314
Scandiaconsult AB .................. 14,300 97,769
Scribona AB Series A ............... 40,100 439,018
Scribona AB Series B ............... 31,700 344,694
Siab AB Series A ................... 89,600 547,196
Siab AB Series B ................... 34,800 212,527
*Sifab Fastignets AB ................ 21,600 124,835
*Skandigen AB, Series A ............. 13,300 104,007
Skrinet AB Series B ................ 11,700 149,877
*Solitair Kapital AB ................ 90,000 79,765
Spendrups Bryggeri AB Series B ..... 19,900 130,424
Stena Line AB Series B ............. 128,000 554,822
Svedala Industri ................... 60,000 1,027,780
Swepart Mecan AB Series B .......... 25,000 163,849
Tivox AB Series B .................. 7,200 14,049
VBB Gruppen AB Series B ............ 20,900 70,045
Wallenstam Byggnads AB Series B .... 16,700 136,814
Westergyllen AB Series B ........... 4,300 67,253
Zetterbergs Industri AB Series B ... 5,200 158,010
--------------
TOTAL COMMON STOCKS
(Cost $19,615,771) .................. 26,198,533
--------------
INVESTMENT IN CURRENCY -- (0.2%)
*Swedish Krona (Cost $635,807) ...... 629,158
--------------
RIGHTS/WARRANTS -- (0.0%)
*Enator AB Rights 12/11/96
(Cost $0) ........................... 60,100 129,806
--------------
TOTAL -- SWEDEN
(Cost $20,251,578) .................. 26,957,497
--------------
183
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
SPAIN -- (7.8%)
COMMON STOCKS -- (7.8%)
*Ahorro Familiar SA ................. 6,051 $ 42,037
*Algodonera de San Antonio SA ....... 8,800 73,362
*Amper SA ........................... 34,400 569,572
*Asturiana del Zinc SA .............. 33,100 289,992
Azkoyen SA ......................... 4,200 350,135
*BAMI SA (Inmobiliara de
Construcciones y Terrenos) ......... 23,634 32,655
Banco Guipuzcoano SA ............... 4,150 133,902
Banco Pastor SA .................... 18,100 1,061,829
Banco Zaragozano SA ................ 45,598 934,486
Banco de Alicante .................. 6,100 177,985
Banco de Andalucia ................. 4,100 579,159
Banco de Castilla SA ............... 2,100 1,060,618
Banco de Credito Balear SA ......... 9,850 383,964
Banco de Galicia SA ................ 7,550 771,027
Banco de Valencia .................. 51,350 879,946
Banco de Vasconia SA ............... 8,900 486,391
*Banco de Vitoria SA ................ 27,700 252,304
Bodegas y Bebidas SA ............... 12,876 317,552
CAF (Construcciones y Auxiliar de
Ferrocarriles SA) .................. 9,500 355,288
*CAI (Corporacion Alimentaria Iberica
SA) ................................ 11,200 0
*CARTEMAR (Cartera de Valores del Mar
SA) ................................ 4,016 4,030
*CINSA (Compania de Inversiones SA) . 1,400 10,699
*Citroen Hispania SA ................ 650 30,606
Conservera Campofrio SA ............ 8,500 314,936
Construcciones Lain SA ............. 127,600 147,742
*Coporacion Financiera Reunida SA ... 60,085 186,447
Cubiertas y Mzov SA ................ 10,395 825,662
*Dimetal SA ......................... 3,500 7,159
ENHER SA (Empresa Nacional
Hidroelectrica del Ribargozana SA)
Series B ........................... 28,325 588,146
ERZ (Electricas Reunidas de
Zaragoza) .......................... 54,937 1,844,662
ESSA (Estacionamientos Subterraneos
SA) ................................ 8,875 130,847
Ebro Agricolas Compania de
Alimentacion SA .................... 89,900 1,249,093
*El Aguila SA ....................... 39,200 196,681
Elecnor SA ......................... 8,100 217,271
Empresa Nacional de Celulosa SA .... 8,200 101,590
*Ercros SA .......................... 33,200 19,989
*Erpo SA ............................ 3,289 1,752
*Espanola del Zinc SA ............... 6,500 33,817
*Estacionamientos Urbanos SA ........ 4,200 152,374
Europistas Concesionaria Espanola SA 119,698 1,071,784
*Filo SA ............................ 61,297 141,000
Financiera y Minera Series A/C ..... 5,200 49,572
GESA (Gas y Electricidad SA) ....... 17,000 957,931
General Azucarera de Espana SA ..... 15,850 632,532
Grupo Anaya SA ..................... 16,500 318,410
Hornos Ibericos Alba SA ............ 46,600 525,172
*Huarte SA .......................... 42,500 59,379
Hullas del Coto Cortes ............. 8,666 160,142
Iberica de Autopistas SA
Concesionaria de Estado Iberpistas.. 45,070 843,649
Iberica del Frio SA ................ 3,000 111,154
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Inbesos SA ......................... 1,610 $ 19,822
Indo Internacional SA .............. 5,600 196,681
*Inmobiliaria Alcazar SA ............ 5,126 42,535
*Inmobiliaria Urbis SA .............. 29,100 117,254
*Inmobiliaria Zabalburu SA .......... 5,800 72,528
Inmobiliaria del Sur SA ............ 1,380 53,794
Koipe SA ........................... 8,400 453,879
*LSB (La Seda de Barcelona SA)
Series B ........................... 25,200 119,824
Lingotes Especiales SA ............. 4,140 37,549
*Max Center Leisa SA ................ 3,000 5,210
*Nicolas Correa SA .................. 1,575 24,315
*Nueva Montana Quijano SA
Series B ........................... 100,500 93,091
OCP Construcciones SA .............. 14,930 373,970
Papelera de Navarra SA ............. 6,000 49,556
*Pascual Hermanos SA ................ 7,610 4,406
Pescanova SA ....................... 23,252 287,173
Portland Valderrivas SA ............ 8,075 492,416
*Prim SA ............................ 3,100 12,563
*Radiotronica SA .................... 2,137 27,383
*Santana Motor SA Series A .......... 22,100 24,309
Sarrio SA .......................... 105,100 322,885
*Sefanitro (Sdad Espanola de
Fabricaciones Nitrogenadas SA) ..... 1,600 7,657
*Sindibank (Sindicato de Banqueros de
Barcelona) ......................... 10,540 199,328
*Sotogrande SA ...................... 69,786 145,982
Tableros de Fibras SA Series B ..... 21,876 211,921
*Transportes Ferroviarios Especiales
Tranfesa ........................... 24,000 133,385
*Trenzas y Cables de Acero SA ....... 7,083 21,924
Uniland Cementera SA ............... 5,750 214,377
*Union y el Fenix-Espanol Cia de
Seguros Reunidos SA ................ 19,550 158,452
Unipapel SA ........................ 13,484 238,871
Uralita SA ......................... 122,725 909,425
Vidrala SA ......................... 10,340 630,536
*Vidriera Leonesa SA, Vilesa ........ 6,959 54,791
Viscofan Industria Navarra de
Envolturas Celulosicas SA .......... 46,425 716,712
Zeltia SA .......................... 3,664 80,181
--------------
TOTAL COMMON STOCKS
(Cost $26,926,608) .................. 26,241,117
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $64,105) ...... 63,714
--------------
TOTAL -- SPAIN (Cost $26,990,713) .... 26,304,831
--------------
BELGIUM -- (4.9%)
COMMON STOCKS -- (4.9%)
*Abfin SA ........................... 2,560 10,188
Afrifina ........................... 3,480 384,713
Axa Belgium SA ..................... 7,270 566,031
BMT NV ............................. 2,040 294,144
Banque Belgo-Zairoise Belgolaise SA 1,155 423,184
Banque Nationale de Belgique ....... 810 1,199,905
Belge des Betons ................... 425 198,002
Belgo Katanga NPV .................. 408 212,634
Belgo Katanga NPV VVPR ............. 136 68,730
*Belvuco NV ......................... 531 120,758
Bernheim-Comofi SA ................. 5,295 282,645
CFE (Compagnie Francois
d'Entreprises) ..................... 2,080 524,927
184
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
CMB (Cie Maritime Belge) ........... 500 $ 37,982
Carrieres Unies Porphyre ........... 20 22,994
*Chanic SA .......................... 175 5,527
Chimique et Metallurgique Campine,
Beerse ............................. 370 55,512
City Hotels SA ..................... 1,290 166,038
Cofinimmo SA ....................... 4,330 486,886
Cokeries & Houilleres d'Anderlues .. 100 9,476
Commerciale de Brasserie SA COBRHA . 115 38,412
Credit General SA de Banque,
Bruxelles .......................... 3,459 621,659
Creyf's Interim .................... 1,500 115,130
Deceuninck Plastics Industries SA .. 7,370 1,226,781
*Electrorail SA (Reunies
d'Electricite & de Transports) ..... 11,416 15,505
Engrais Rosier SA .................. 655 101,788
Fabrique de Fer de Charleroi ....... 77 167,814
Financiere d'Obourg ................ 440 1,876,184
Floridienne NV ..................... 2,033 78,983
Ford Motor Co. SA Belgium .......... 1,110 237,707
*Forges de Clabecq SA ............... 3,460 19,999
*Franki NV (Cie Internationale des
Pieux Armes Frankignoul SA) ........ 5,875 107,628
Glaces de Charleroi ................ 70 148,136
Glaverbel SA ....................... 2,900 341,661
*Immobel (Cie Immobiliere de Belgique
SA) ................................ 10,600 709,792
*Intercomfina SA .................... 11,000 1,390
Mecaniver SA, Bruxelles ............ 128 41,744
Metiers Automatiques Picanol ....... 403 217,666
*PCB SA Bruxelles ................... 6,504 79,913
*Papeteries de Catala SA ............ 315 44,773
Plantations Nord-Sumatra SA ........ 650 66,519
*Recticel SA ........................ 8,450 87,810
*Roton (Compagnie Industrielle et
Financiere Roton) .................. 30 663
*SA D'Ieteren V.V.P.R. .............. 3,150 398
SABCA (Sa Belge de Constructions
Aeronautiques) ..................... 4,280 128,427
*SCF SA ............................. 2,850 18,004
SIPEF (Societe Internationale de
Plantations & de Finance), Anvers... 1,175 174,431
SIPEF (Societe Internationale de
Plantations & de Finance), Anvers
(Precompte Reduit) ................. 370 54,343
Sa d'Ieteren ....................... 15,000 3,084,334
Sait Radioholland .................. 6,088 140,374
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
Shares Value+
----------- ----------
Sait Radioholland (Precompte Reduit) 152 $ 3,572
Sapec SA ........................... 3,560 157,423
Sapec SA (Taux Reduit) ............. 75 3,316
Sidro .............................. 4,040 302,426
Spadel NPV ......................... 325 384,949
Surongo SA ......................... 20 3,039
*Telinfo SA ......................... 5,790 257,862
Ter Beke NV ........................ 2,212 231,261
UNIBRA ............................. 1,600 99,558
*Uco Textiles NV .................... 2,124 159,669
--------------
TOTAL COMMON STOCKS
(Cost $10,633,754) .................. 16,621,319
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $11,654) ...... 11,636
--------------
TOTAL -- BELGIUM
(Cost $10,645,408) .................. 16,632,955
--------------
Face
Amount
-----------
(000)
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreement, PNC Securities
Corp. 5.45%, 12/02/96 (Collateralized
by U.S. Treasury Bills 4.93%,
01/16/97)
(Cost $4,360,000) .................. $ 4,360 4,360,000
--------------
TOTAL INVESTMENTS -- (99.4%) (Cost
$304,370,724) ....................... 333,840,841
--------------
OTHER ASSETS AND LIABILITIES -- (0.6%)
Other Assets ......................... 4,099,312
Payable for Investment Securities
Purchased ........................... (1,953,676)
Other Liabilities .................... (104,060)
--------------
2,041,576
--------------
NET ASSETS -- (100.0%) ............... $335,882,417
==============
- ------
+See Note B to Financial Statements.
* Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
185
<PAGE>
STATEMENT OF NET ASSETS
THE DFA INTERNATIONAL VALUE SERIES
NOVEMBER 30, 1996
Shares Value+
-------- ----------
JAPAN -- (34.9%)
COMMON STOCKS -- (34.9%)
Achilles Corp. .................... 184,000 $ 630,580
Aica Kogyo Co., Ltd. .............. 47,000 272,170
Aichi Bank, Ltd. .................. 10,100 834,271
#Aichi Machine Industry Co., Ltd. .. 82,000 525,290
Aichi Steel Works, Ltd. ........... 187,000 903,779
Aida Engineering, Ltd. ............ 84,000 592,724
#Aisin Seiki Co., Ltd. ............. 137,000 2,191,037
Alps Electric Co., Ltd. ........... 134,000 1,636,731
#Amada Co., Ltd. ................... 266,000 2,225,237
Amada Metrecs Co., Ltd. ........... 67,000 747,715
Amada Sonoike Co., Ltd. ........... 81,000 447,707
Amano Corp ........................ 31,000 351,406
Ando Corp. ........................ 12,000 51,142
*Aoki Corp. ........................ 361,000 932,636
Aoki International Co., Ltd. ...... 49,000 955,888
#Aomori Bank, Ltd. ................. 170,000 930,668
Aoyama Trading Co., Ltd. .......... 41,100 1,170,158
#Asahi Breweries, Ltd. ............. 399,000 4,277,504
#Asahi Denka Kogyo KK .............. 67,000 573,445
Asahi Organic Chemicals Industry
Co., Ltd. ......................... 90,000 589,192
Asanuma Corp. ..................... 65,000 298,155
Ashikaga Bank, Ltd. ............... 560,000 3,060,808
*Asics Corp. ....................... 197,000 495,097
Atsugi Nylon Industrial Co., Ltd. . 253,000 984,877
#Awa Bank, Ltd. .................... 158,550 1,000,342
Bank of Ikeda, Ltd. ............... 13,000 742,531
Bank of Iwate, Ltd. ............... 16,300 888,049
#Bank of Kinki, Ltd. ............... 186,000 1,184,974
Bank of Kyoto, Ltd. ............... 305,400 1,623,612
Bank of Nagoya, Ltd. .............. 177,000 1,228,735
Bank of Okinawa, Ltd. ............. 1,000 37,434
*#Bank of Osaka, Ltd. ............... 223,000 587,873
Bank of Saga, Ltd. ................ 161,000 905,448
Bank of Yokohama, Ltd. ............ 56,000 406,467
Bank of the Ryukyus, Ltd. ......... 1,000 34,886
Best Denki Co., Ltd. .............. 3,000 37,434
Brother Industries, Ltd. .......... 248,000 1,176,801
Bunka Shutter Co., Ltd. ........... 70,000 460,721
#CMK Corp. ......................... 38,000 537,610
CSK Corp. ......................... 56,400 1,590,896
Calpis Food Industry Co., Ltd. .... 70,000 456,415
#Canon Sales Co., Inc. ............. 59,000 1,482,777
#Casio Computer Co., Ltd. .......... 256,000 2,078,594
*Central Finance Co., Ltd. ......... 98,000 334,130
*Central Glass Co., Ltd. ........... 109,000 337,153
Chiba Bank, Ltd. .................. 136,000 1,031,353
Chiba Kogyo Bank, Ltd. ............ 19,400 688,717
Chiyoda Fire and Marine Insurance
Co., Ltd. ......................... 304,000 1,568,084
Chudenko Corp. .................... 56,000 1,697,715
Chuetsu Pulp and Paper Co., Ltd. .. 106,000 482,496
Chugoku Bank, Ltd. ................ 185,000 3,039,982
#Chukyo Coca-Cola Bottling Co., Ltd. 42,000 409,666
Chukyo Sogo Bank, Ltd. ............ 127,000 569,156
#Chuo Trust and Banking Co., Ltd. .. 213,000 2,133,743
Citizen Watch Co., Ltd. ........... 296,000 2,309,736
Cleanup Corp. ..................... 45,000 494,288
<PAGE>
Shares Value+
-------- ----------
Dai Tokyo Fire & Marine Insurance
Co., Ltd. ......................... 376,000 $2,279,789
Dai-Dan Co., Ltd. ................. 42,000 487,170
Daicel Chemical Industries, Ltd. .. 345,000 1,640,114
#Daido Hoxan, Inc. ................. 114,000 637,118
Daido Steel Co., Ltd. ............. 400,000 1,574,692
Daiei OMC, Inc. ................... 190,000 746,309
Daiichi Corp. Hiroshima ........... 31,700 674,112
Daiichi Pharmaceutical Co., Ltd. .. 33,000 516,169
Daikyo, Inc. ...................... 168,000 909,385
#Daio Paper Corp. .................. 98,750 963,203
Daisan Bank, Ltd. ................. 130,000 624,868
Daishi Bank, Ltd. ................. 263,000 1,266,467
Daito Trust Construction Co., Ltd. 130,200 1,704,728
#Daiwa Bank, Ltd. .................. 116,000 672,759
#Daiwa Danchi Co., Ltd. ............ 106,000 553,286
Daiwa House Industry Co., Ltd. .... 242,000 3,359,930
Daiwa Securities Co., Ltd. ........ 100,000 1,080,844
*Daiwabo Co., Ltd. ................. 92,000 331,459
Descente, Ltd. .................... 62,000 350,861
Dowa Fire & Marine Insurance Co.,
Ltd. .............................. 194,000 968,295
Ehime Bank, Ltd. .................. 136,000 644,148
Eighteenth Bank, Ltd. ............. 161,000 1,259,139
Ezaki Glico Co., Ltd. ............. 121,000 1,095,167
Fuji Denki Reiki Co., Ltd. ........ 43,000 415,641
#Fuji Fire & Marine Insurance Co.,
Ltd. .............................. 164,000 726,327
Fuji Oil Co., Ltd. ................ 81,000 615,685
Fuji Photo Film Co., Ltd. ......... 476,000 14,932,513
Fujisawa Pharmaceutical Co., Ltd. . 296,000 2,627,065
Fujita Corp. ...................... 457,000 1,445,694
#Fujitsu, Ltd. ..................... 554,000 5,306,327
Fukuda Corp. ...................... 9,000 66,828
Fukui Bank, Ltd. .................. 256,000 1,138,278
Fukuoka City Bank, Ltd. ........... 182,000 1,303,427
*#Fukutoku Bank, Ltd. ............... 27,000 54,332
Fuso Pharmaceutical Industries,
Ltd. .............................. 81,000 481,872
Futaba Corp. ...................... 16,000 663,620
#Futaba Industrial Co., Ltd. ....... 57,000 1,016,784
Gakken Co., Ltd. .................. 94,000 619,508
*Godo Steel, Ltd. .................. 147,000 723,374
#Gun-Ei Chemical Industry Co., Ltd. 86,000 355,940
Gunze, Ltd. ....................... 223,000 1,250,211
*#Hanshin Electric Railway Co., Ltd. 141,000 579,859
#Hanshin Sogo Bank, Ltd. ........... 101,000 301,757
*Haseko Corp. ...................... 390,000 1,199,473
Hazama Corp. ...................... 279,000 926,731
#Heiwado Co., Ltd. ................. 54,000 877,856
Higo Bank, Ltd. ................... 235,000 1,631,371
Hiroshima Bank, Ltd. .............. 542,000 2,991,002
Hiroshima-Sogo Bank, Ltd. ......... 136,000 763,656
Hitachi Cable, Ltd. ............... 69,000 518,409
Hitachi Koki Co., Ltd. ............ 113,000 941,336
#Hitachi Maxell, Ltd. .............. 94,000 1,941,125
Hitachi Plant Engineering &
Construction Co., Ltd. ............ 22,000 144,605
#Hitachi Transport System, Ltd. .... 103,000 995,606
Hitachi, Ltd. ..................... 2,599,000 24,208,618
Hokkai Can Co., Ltd., Tokyo ....... 50,000 328,647
186
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Hokkaido Bank, Ltd. ............... 346,000 $ 875,641
Hokkaido Takushoku Bank, Ltd.,
Takugin ........................... 861,000 1,891,476
Hokuetsu Bank ..................... 183,000 900,527
Hokuriku Bank, Ltd. ............... 634,000 3,320,422
#Horiba, Ltd. ...................... 6,000 70,650
House Foods Corp. ................. 105,000 1,789,982
Hyakugo Bank, Ltd. ................ 241,000 1,535,369
Hyakujushi Bank, Ltd. ............. 296,000 1,916,977
Inax Corp. ........................ 222,000 1,870,808
Ines Corp. ........................ 16,000 255,888
#Intec, Inc. ....................... 33,000 452,373
Itochu Fuel Corp. ................. 109,000 769,130
Itoham Foods, Inc. ................ 209,000 1,316,810
Izumi Co., Ltd. ................... 20,000 304,042
Izumiya Co., Ltd. ................. 105,000 1,688,489
Japan Airport Terminal Co., Ltd. .. 4,000 56,942
#Japan Pulp and Paper Co., Ltd. .... 131,000 678,023
*Japan Steel Works, Ltd. ........... 81,000 213,533
Japan Synthetic Rubber Co., Ltd. .. 65,000 432,953
Japan Vilene Co., Ltd. ............ 16,000 83,374
Japan Wool Textile Co., Ltd. ...... 42,000 356,151
Joshin Denki Co., Ltd. ............ 51,000 636,380
Juroku Bank, Ltd. ................. 317,000 1,629,569
Kagawa Bank, Ltd. ................. 72,650 612,865
Kagoshima Bank, Ltd. .............. 193,000 1,382,206
Kandenko Co., Ltd. ................ 30,000 287,346
Kaneka Corp. ...................... 319,000 1,892,135
Kansai Paint Co., Ltd., Osaka ..... 18,000 81,933
Kanto Auto Works, Ltd., Yokosuka .. 59,000 447,944
#Kanto Natural Gas Development Co.,
Ltd. .............................. 17,000 135,492
#Kasumi Co., Ltd. .................. 44,000 345,272
Katokichi Co., Ltd. ............... 51,000 1,039,719
*Kawasho Corp. ..................... 90,000 318,717
Keiyo Bank, Ltd. .................. 275,000 1,353,251
Keiyo Co., Ltd. ................... 44,000 483,304
Kikkoman Corp. .................... 35,000 262,961
Kinden Corp. ...................... 67,000 930,228
Kinseki, Ltd. ..................... 25,000 320,738
Kitano Construction Corp. ......... 43,000 232,381
Kitz Corp. ........................ 129,000 541,845
#Kiyo Bank, Ltd. ................... 269,000 1,134,622
Koa Fire & Marine Insurance Co.,
Ltd. .............................. 45,000 247,935
Koito Manufacturing Co., Ltd. ..... 146,000 1,057,153
Kokusai Securities Co., Ltd. ...... 152,000 1,803,163
#Komatsu Forklift Co., Ltd., Tochigi 81,000 513,190
Komatsu, Ltd. ..................... 919,000 7,744,473
Komori Corp. ...................... 71,000 1,522,320
Konica Corp. ...................... 66,000 469,772
Koyo Seiko Co., Ltd. .............. 37,000 341,388
Kumagai Gumi Co., Ltd. ............ 625,000 1,768,453
Kurabo Industries, Ltd. ........... 249,000 787,698
Kureha Chemical Industry Co., Ltd. 204,000 950,088
Kurimoto, Ltd. .................... 128,000 1,203,515
Kyudenko Corp. .................... 74,000 793,322
#Lintec Corp. ...................... 33,000 507,469
#Long Term Credit Bank of Japan,
Ltd. .............................. 548,000 3,467,135
#Maeda Corp. ....................... 169,000 1,315,764
#Makita Corp. ...................... 148,000 1,976,801
Marubeni Corp. .................... 445,000 2,013,840
Marudai Food Co., Ltd. ............ 120,000 689,631
Maruetsu, Inc. .................... 137,000 1,000,413
<PAGE>
Shares Value+
--------- ----------
Maruichi Steel Tube, Ltd. ......... 89,000 $ 1,454,657
Marusan Securities Co., Ltd. ...... 30,000 249,121
#Maruzen Showa Unyu Co., Ltd. ...... 81,000 385,070
#Matsushita Electric Industrial Co.,
Ltd. .............................. 1,567,000 27,126,450
#Matsushita Electric Works, Ltd. ... 286,000 2,663,972
Matsushita Refrigeration Co. ...... 81,000 511,766
#Matsushita Seiko Co., Ltd. ........ 133,000 939,649
*Mazda Motor Corp. ................. 660,000 2,818,629
Meija Seika Kaisha, Ltd. Tokyo .... 148,000 880,457
Michinoku Bank, Ltd. .............. 140,000 1,002,636
#Mitsubishi Gas Chemical Co., Inc. . 461,000 1,750,018
#Mitsubishi Oil Co., Ltd. .......... 85,000 563,928
#Mitsui Construction Co., Ltd. ..... 167,000 550,308
Mitsui Fudosan Co., Ltd. .......... 332,000 3,938,489
#Mitsui Petrochemical Industries,
Ltd. .............................. 288,000 1,652,583
Mitsui Trust & Banking Co., Ltd. .. 81,000 775,835
Mitsuuroko Co., Ltd. .............. 61,000 428,286
Miyazaki Bank, Ltd. ............... 101,000 576,889
#Mizuno Corp. ...................... 124,000 967,592
Mori Seiki Co., Ltd. .............. 88,000 1,268,190
Musashino Bank, Ltd. .............. 21,700 949,613
NHK Spring Co., Ltd. .............. 222,000 891,511
NOK Corp. ......................... 149,000 1,073,638
Nagase & Co., Ltd. ................ 140,000 1,190,861
Naigai Co., Ltd. .................. 12,000 49,666
Nakayama Steel Works, Ltd. ........ 117,000 608,647
Nanto Bank, Ltd. .................. 248,000 1,699,824
Nichicon Corp. .................... 76,000 908,260
Nichiei Construction Co., Ltd. .... 55,000 399,692
Nichimen Corp. .................... 388,000 1,568,366
Nifco, Inc. ....................... 55,000 604,130
#Nihon Cement Co., Ltd. ............ 293,000 1,815,158
Nihon Kohden Corp. ................ 21,000 168,295
Nihon Nohyaku Co., Ltd. ........... 7,000 43,181
Nippon Beet Sugar Manufacturing
Co., Ltd. ......................... 118,000 519,490
Nippon Chemi-Con Corp. ............ 112,000 653,497
#Nippon Credit Bank, Ltd. .......... 1,599,000 4,074,780
Nippon Densetsu Kogyo Co., Ltd. ... 62,000 610,193
Nippon Flour Mills Co., Ltd. ...... 21,000 109,429
Nippon Hodo Co., Ltd. ............. 108,000 1,290,685
Nippon Meat Packers, Inc., Osaka .. 209,000 2,736,467
Nippon Metal Industry Co., Ltd. ... 148,000 552,724
Nippon Oil Co., Ltd. .............. 1,137,000 6,424,350
#Nippon Paint Co., Ltd., Osaka ..... 245,000 1,005,404
Nippon Road Co., Ltd. ............. 90,000 555,975
Nippon Sanso Corp. ................ 267,000 1,058,146
Nippon Sheet Glass Co., Ltd. ...... 403,000 1,660,870
Nippon Shinpan Co., Ltd., Tokyo ... 286,000 1,791,898
Nippon Shinyaku Co., Ltd. ......... 62,000 550,264
*Nippon Suisan Kaisha, Ltd. ........ 49,000 183,858
Nippon Synthetic Chemical Industry
Co., Ltd. ......................... 87,000 418,946
Nippon Yakin Kogyo Co., Ltd. ...... 141,000 477,021
Nishi-Nippon Bank, Ltd. ........... 23,540 145,005
Nissan Shatai Co., Ltd. ........... 158,000 819,156
Nissei Sangyo Co., Ltd. ........... 77,000 1,014,938
Nisshin Oil Mills, Ltd. ........... 135,000 982,250
#Nisshin Steel Co., Ltd. ........... 940,000 2,882,777
#Nisshinbo Industries, Inc. ........ 218,000 1,915,641
Nissin Food Products Co., Ltd. .... 24,000 533,568
Nittetsu Mining Co., Ltd. ......... 77,000 663,093
*Nitto Boseki Co., Ltd. ............ 43,000 130,738
187
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
#Nitto Denko Corp. ................. 116,000 $1,661,511
Noritz Corp. ...................... 55,000 749,121
North Pacific Bank, Ltd. .......... 125,000 673,330
Ogaki Kyoritsu Bank, Ltd. ......... 50,000 302,285
Oita Bank, Ltd. ................... 133,000 1,007,434
Okamura Corp. ..................... 44,000 329,807
Okumura Corp. ..................... 229,000 1,493,128
Okura Industrial Co., Ltd. ........ 18,000 106,766
Olympus Optical Co., Ltd. ......... 244,000 2,294,200
Omron Corp. ....................... 24,000 457,645
Optec Dai-Ichi Denko Co., Ltd. .... 103,000 398,243
#Parco Co., Ltd. ................... 49,000 452,109
Pioneer Electronic Corp. .......... 166,000 3,573,814
#Q.P. Corp. ........................ 146,000 1,308,612
#Rengo Co., Ltd. ................... 177,000 1,108,972
*Renown, Inc. ...................... 256,000 722,109
*Rhythm Watch Co., Ltd. ............ 135,000 473,330
Royal Co., Ltd. ................... 39,000 736,819
Ryosan Co., Ltd. .................. 37,000 868,102
Ryoyo Electro Corp. ............... 29,000 527,504
#SXL Corp. ......................... 77,000 616,406
Sakai Chemical Industry Co., Ltd. . 97,000 495,228
San-In Godo Bank, Ltd. ............ 163,000 1,231,810
Sanki Engineering Co., Ltd. ....... 78,000 815,641
Sankyo Aluminum Industry Co., Ltd. 235,000 1,067,619
*#Sankyo Seiki Manufacturing Co.,
Ltd. .............................. 75,000 475,176
Sanyo Electric Co., Ltd. .......... 1,804,000 8,449,315
Sanyo Shokai, Ltd. ................ 77,000 470,255
Sanyo Special Steel Co., Ltd. ..... 178,000 594,376
Seino Transportation Co., Ltd. .... 141,000 1,870,914
*Seiren Co., Ltd. .................. 8,000 46,397
Seiyo Food Systems, Inc. .......... 73,000 667,135
Sekisui House, Ltd. ............... 655,000 7,021,968
Sekisui Jushi Co., Ltd. ........... 44,000 514,236
#Sekisui Plastics Co., Ltd. ........ 82,000 403,515
Senko Co., Ltd. ................... 107,000 543,462
Senshukai Co., Ltd. ............... 44,000 537,434
*Settsu Corp. ...................... 202,000 498,787
Shiga Bank, Ltd. .................. 220,000 1,194,728
Shimizu Bank, Ltd. ................ 8,900 574,042
Shinagawa Fuel Co., Ltd. .......... 76,000 547,627
Shinmaywa Industries, Ltd. ........ 107,000 893,234
Shinwa Bank, Ltd. ................. 149,000 818,322
Shionogi & Co., Ltd. .............. 324,000 2,539,613
#Shiseido Co., Ltd. ................ 364,000 4,382,074
*#Shokusan Jutaku Sogo Co., Ltd. .... 116,000 305,800
Showa Electric Wire & Cable Co.,
Ltd., Kawasaki .................... 47,000 216,415
#Showa Sangyo Co., Ltd. ............ 168,000 745,518
Sintokogio, Ltd., Nagoya .......... 56,000 469,455
Snow Brand Milk Products Co., Ltd. 294,000 1,831,687
#Stanley Electric Co., Ltd. ........ 187,000 1,142,047
Star Micronics Co., Ltd. .......... 42,000 299,315
Sumisho Computer Systems Corp. .... 20,000 284,710
#Sumitomo Corp. .................... 774,000 6,563,357
Sumitomo Metal Industries, Ltd.,
Osaka ............................. 177,000 471,274
Sumitomo Realty & Development Co.,
Ltd. .............................. 375,000 2,603,251
Sumitomo Warehouse Co., Ltd. ...... 10,000 57,381
Sun Wave Corp. .................... 46,000 537,610
Suruga Bank, Ltd. ................. 246,000 1,523,989
<PAGE>
Shares Value+
--------- ----------
Suzuki Motor Corp. ................ 50,000 $ 522,847
*Suzutan Co., Ltd. ................. 2,000 8,137
*TEC Corp. ......................... 239,000 1,058,489
#TOC Co., Ltd. ..................... 52,000 502,636
Tadano, Ltd. ...................... 22,000 182,882
Taihei Dengyo Kaisha, Ltd. ........ 33,000 353,779
Taiheiyo Securities Co., Ltd. ..... 86,000 291,705
Taikisha, Ltd. .................... 33,000 495,870
Taisei Corp. ...................... 185,000 1,029,042
#Taisei Prefab Construction Co.,
Ltd. .............................. 56,000 292,302
Taisei Rotec Corp. ................ 79,000 432,487
#Taiyo Yuden Co., Ltd. ............. 82,000 1,109,666
Takiron Co., Ltd. ................. 59,000 320,404
Tamura Corp. ...................... 18,000 105,975
Tanabe Seiyaku Co., Ltd. .......... 220,000 1,817,223
Teijin, Ltd. ...................... 272,000 1,297,856
Tenma Corp. ....................... 30,000 508,787
*#Toa Steel Co., Ltd. ............... 126,000 455,062
Tochigi Sogo Bank, Ltd. ........... 62,000 610,193
Toda Corp. ........................ 50,000 382,250
Toenec Corp. ...................... 91,000 664,508
Toho Bank, Ltd. ................... 203,000 1,350,360
Tokai Rika Co., Ltd. .............. 67,000 568,146
Tokico, Ltd. ...................... 116,000 454,622
Toko, Inc. ........................ 78,000 438,664
Tokushu Paper Manufacturing Co.,
Ltd. .............................. 39,000 317,689
Tokuyama Corp. .................... 48,000 277,540
Tokyo Broadcasting System, Inc. ... 137,000 2,227,153
*Tokyo Securities Co., Ltd. ........ 118,000 448,981
#Tokyo Sowa Bank, Ltd. ............. 199,000 996,749
Tokyo Steel Manufacturing Co., Ltd. 142,000 2,096,309
Tokyo Style Co., Ltd. ............. 94,000 1,387,698
*Tokyo Tatemono Co., Ltd. .......... 211,000 967,856
*Tokyo Tekko Co., Ltd. ............. 9,000 41,283
Tokyo Tomin Bank, Ltd. ............ 26,800 1,398,875
#Tokyu Car Corp. ................... 104,000 466,081
#Tokyu Construction Co., Ltd. ...... 211,000 732,381
Tokyu Department Store Co., Ltd. .. 34,000 182,847
#Tokyu Store Chain Corp. ........... 63,000 476,652
#Tomoku Co., Ltd. .................. 81,000 423,506
#Tonami Transportation Co., Ltd. ... 91,000 518,972
Topcon Corp. ...................... 9,000 71,573
Toshiba Engineering & Construction
Co., Ltd. ......................... 67,000 558,726
Toshoku, Ltd. ..................... 94,000 467,522
Tostem Viva Corp. ................. 54,000 354,464
Towa Bank, Ltd. ................... 102,000 653,409
Toyo Engineering Corp. ............ 162,000 868,366
Toyo Information System Co., Ltd. . 32,000 362,742
#Toyo Ink Manufacturing Co., Ltd. .. 269,000 1,257,540
#Toyo Kanetsu K.K. ................. 128,000 517,399
Toyo Kohan Co., Ltd. .............. 62,000 452,197
Toyo Seikan Kaisha, Ltd ........... 55,000 1,744,728
Toyo Suisan Kaisha, Ltd. .......... 105,000 1,051,845
#Toyo Tire & Rubber Co., Ltd. ...... 33,000 126,432
Toyo Trust & Banking Co., Ltd. .... 715,000 6,176,142
#Toyoda Machine Works, Ltd. ........ 118,000 1,027,575
#Toyota Auto Body Co., Ltd. ........ 86,000 876,626
Toyota Motor Corp. ................ 400,000 10,931,459
Toyota Tsusho Corp. ............... 232,000 1,396,485
Tsubaki Nakashima Co., Ltd. ....... 36,000 341,652
Tsutsunaka Plastic Industry Co.,
Ltd. .............................. 37,000 295,220
188
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Unisia Jecs Corp. ................. 130,000 $ 684,271
Victor Co. of Japan, Ltd. ......... 234,000 2,446,924
#Wacoal Corp. ...................... 141,000 1,709,842
Yakult Honsha Co., Ltd. ........... 162,000 1,779,438
#Yamagata Bank, Ltd. ............... 140,000 761,511
Yamaguchi Bank, Ltd. .............. 133,000 1,986,819
Yamaichi Securities Co., Ltd. ..... 1,118,000 5,904,374
Yamamura Glass Co., Ltd. .......... 109,000 511,476
Yamatake Honeywell Co., Ltd. ...... 50,000 812,830
#Yamato Kogyo Co., Ltd. ............ 96,000 953,251
Yasuda Trust & Banking Co., Ltd. .. 1,020,000 4,813,181
#Yodogawa Steel Works, Ltd. ........ 200,000 1,207,381
Yokogawa Bridge Corp. ............. 35,000 369,069
Yokogawa Electric Corp. ........... 238,000 2,133,216
Yokohama Reito Co., Ltd. .......... 40,000 449,912
Yurtec Corp. ...................... 57,200 799,192
-------------
TOTAL COMMON STOCKS
(Cost $516,051,132) ............... 473,563,262
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $435,623) ...... 430,337
-------------
TOTAL -- JAPAN
(Cost $516,486,755) ............... 473,993,599
-------------
UNITED KINGDOM -- (19.5%)
COMMON STOCKS -- (19.3%)
ASDA Group P.L.C. ................. 1,435,300 2,859,096
Abbey National P.L.C. ............. 805,600 9,452,411
Anglian Water P.L.C. .............. 170,300 1,670,411
Argyll Group P.L.C. ............... 672,577 4,398,042
Arjo Wiggins Appleton P.L.C. ...... 521,500 1,407,010
Associated British Foods P.L.C. ... 571,200 4,239,226
Associated British Ports Holdings
P.L.C. ............................ 244,400 1,131,854
BAA P.L.C. ........................ 663,960 5,496,875
BICC P.L.C. ....................... 134,750 637,639
Bank of Scotland (Governor and
Company of the) ................... 1,550 7,634
Barclays P.L.C. ................... 981,055 16,928,560
Barratt Developments P.L.C. ....... 93,000 362,693
Bass P.L.C. ....................... 564,700 7,442,204
Beazer Homes P.L.C. ............... 101,257 291,064
Berkeley Group P.L.C. ............. 58,112 595,398
British Gas P.L.C. ................ 2,818,900 10,377,470
British Land Co. P.L.C. ........... 275,946 2,242,788
British Petroleum Co. P.L.C. ...... 6,667 77,162
British Steel P.L.C. .............. 1,292,200 3,611,263
British Telecommunications P.L.C. . 3,087,096 19,641,911
British Vita P.L.C. ............... 134,000 482,044
Brixton Estate P.L.C. ............. 142,200 458,953
Bryant Group P.L.C. ............... 224,555 507,707
Burford Holdings P.L.C. ........... 171,000 390,933
Burton Group P.L.C. ............... 460,700 1,151,975
Calor Group P.L.C. ................ 63,000 313,473
Camas P.L.C. ...................... 37,100 41,785
Capital Shopping Centres P.L.C. ... 235,407 1,292,023
Chelsfield P.L.C. ................. 194,800 866,129
Christies International P.L.C. .... 61,000 253,276
Coats Viyella P.L.C. .............. 445,250 1,002,943
*Columbus Group P.L.C. ............. 37,347 9,574
Commercial Union P.L.C. ........... 436,934 4,847,608
Courtaulds Textiles P.L.C. ........ 63,150 263,796
Delta P.L.C. ...................... 90,000 549,939
English China Clays P.L.C. ........ 184,387 556,368
First Leisure Corp. P.L.C. ........ 16,900 98,579
General Accident P.L.C. ........... 305,900 3,766,646
<PAGE>
Shares Value+
--------- ----------
Grand Metropolitan P.L.C. ......... 10,120 $ 79,190
*Grantchester Holdings P.L.C. ...... 13,153 27,417
Great Portland Estates P.L.C. ..... 197,275 635,051
Great Universal Stores P.L.C. ..... 643,500 7,420,623
Greenalls Group P.L.C. ............ 106,446 1,074,509
Greene King P.L.C. ................ 59,000 667,971
Guardian Royal Exchange P.L.C. .... 574,138 2,586,538
Hambros P.L.C. .................... 107,954 439,159
Harrisons & Crosfield P.L.C.. ..... 433,000 949,874
Highland Distilleries Co. P.L.C. .. 106,000 601,378
Hillsdown Holdings P.L.C. ......... 452,044 1,363,995
House of Fraser P.L.C. ............ 140,000 376,544
ICI (Imperial Chemical Industries
P.L.C.) ........................... 559,900 7,270,707
Iceland Group P.L.C. .............. 153,000 205,754
Kwik Save Group P.L.C. ............ 94,551 475,231
Ladbroke Group P.L.C. ............. 742,213 2,557,703
Laird Group P.L.C. ................ 62,400 439,508
Lasmo P.L.C. ...................... 613,035 2,267,126
Lex Service P.L.C. ................ 84,933 480,429
London Electricity P.L.C. ......... 106,088 1,152,037
Lonrho P.L.C. ..................... 498,030 1,126,018
Marley P.L.C. ..................... 211,318 463,569
Meyer International P.L.C. ........ 77,743 481,578
Mirror Group P.L.C. ............... 255,000 990,193
National Grid Group P.L.C. ........ 36,720 120,984
National Power P.L.C. ............. 113,000 877,583
National Westminster Bank P.L.C. .. 1,115,244 12,963,725
North West Water Group P.L.C. ..... 329,907 3,277,530
Northern Electric P.L.C. .......... 60,000 594,065
Peel Holdings P.L.C. .............. 32,500 232,188
Persimmon P.L.C. .................. 162,000 559,622
Pilkington P.L.C. ................. 662,136 1,652,880
Powell Duffryn P.L.C. ............. 47,037 336,439
Powergen P.L.C. ................... 426,853 4,165,319
Racal Electronics P.L.C. .......... 173,300 801,123
Redland P.L.C. .................... 324,705 2,019,568
RJB Mining ........................ 64,000 564,816
Rolls-Royce P.L.C. ................ 305,473 1,317,128
Royal & Sun Alliance Insurance
Group, Inc. P.L.C. ................ 912,179 6,877,177
Rugby Group P.L.C. ................ 396,000 639,049
Sainsbury (J.) P.L.C. ............. 729,394 4,604,048
Scottish & Newcastle P.L.C. ....... 47,600 511,300
Scottish Hydro-Electric P.L.C. .... 244,000 1,279,712
Scottish Power P.L.C. ............. 101,169 573,970
Sears P.L.C. ...................... 968,300 1,513,772
Severn Trent P.L.C. ............... 240,845 2,651,836
Shell Transport & Trading Co.
P.L.C. ............................ 1,919,015 31,903,797
Slough Estates P.L.C. ............. 238,300 1,045,520
South West Water P.L.C. ........... 80,253 782,451
Stakis P.L.C. ..................... 296,033 450,356
T & N P.L.C. ...................... 323,397 1,027,461
Tarmac P.L.C. ..................... 574,116 854,104
Taylor Woodrow P.L.C. ............. 233,719 589,322
Tesco P.L.C. ...................... 1,370,531 7,833,133
Thames Water P.L.C. ............... 255,396 2,479,327
Transport Development Group P.L.C. 49,200 144,321
Unilever P.L.C. ................... 517,500 12,196,243
United Biscuits Holdings P.L.C. ... 338,741 1,215,719
Vaux Group P.L.C. ................. 83,553 353,941
Welsh Water P.L.C. ................ 90,166 1,123,127
Wessex Water P.L.C. ............... 133,963 790,423
189
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
-------- ----------
Whitbread P.L.C. .................. 306,600 $ 3,950,500
Wilson (Connolly) Holdings P.L.C. . 113,000 282,080
Wilson Bowden P.L.C. .............. 84,200 633,392
Wimpey (George) P.L.C. ............ 221,750 467,816
Wolverhampton & Dudley Breweries
P.L.C. ............................ 38,700 394,557
Yorkshire Water P.L.C. ............ 128,436 1,475,683
-------------
TOTAL COMMON STOCKS
(Cost $211,133,083) ............... 261,983,671
-------------
INVESTMENT IN CURRENCY -- (0.2%)
*British Pound Sterling
(Cost $2,618,075) ................. 2,673,375
-------------
PREFERRED STOCK -- (0.0%)
Hyder P.L.C. (Cost $111,389) ...... 76,860 138,569
-------------
RIGHTS/WARRANTS -- (0.0%)
*Capital Shopping Centres P.L.C.
Rights 12/03/96 ................... 117,703 1,731
*Stakis P.L.C. Rights 12/11/96 ..... 169,161 20,616
-------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ......................... 22,347
-------------
TOTAL -- UNITED KINGDOM
(Cost $213,862,547) ............... 264,817,962
-------------
GERMANY -- (7.7%)
COMMON STOCKS -- (7.7%)
*AGIV AG fuer Industrie &
Verkehrswesen ..................... 34,600 446,996
*Ava Allgemeine Handelsgesellschaft
der Verbraucher AG, Bielefeld ..... 2,300 625,708
#BASF AG ........................... 475,500 17,605,724
#BHF Bank .......................... 74,700 1,810,983
BMW (Bayerische Motorenwerke AG),
Muenchen .......................... 3,836 2,489,093
Badenwerk AG ...................... 3,552 1,329,486
Bankgesellschaft Berlin AG ........ 141,000 2,317,117
#Bayer AG .......................... 174,500 7,028,835
#Bayerische Hypotheken und
Wechselbank AG .................... 224,800 7,059,291
#Bayerische Vereinsbank AG ......... 200,550 8,412,267
Berliner Kraft & Licht Bewag AG
Series A .......................... 6,450 1,759,740
Bilfinger & Berger Bau AG,
Mannheim .......................... 28,000 1,051,481
#Commerzbank AG .................... 310,250 7,632,574
#Continental AG .................... 83,100 1,438,633
DBV Holding AG .................... 2,300 751,448
*Deutsche Babcock AG, Oberhausen ... 2,500 68,337
#Deutsche Bank AG .................. 107,000 5,104,523
Deutsche Hypothekenbank
Frankfurt AG ...................... 300 175,724
Deutsche Lufthansa AG ............. 48,000 618,549
Deutsche Pfandbrief und
Hypothekenbank AG ................. 31,100 1,355,729
#Dresdner Bank AG, Frankfurt ....... 394,600 11,723,716
Dyckerhoff AG ..................... 525 175,967
GEA AG ............................ 1,700 517,800
Heidelberger Zement AG,
Heidelberg ........................ 9,000 656,622
Hochtief AG ....................... 43,500 1,726,977
*Holzmann (Philipp) AG ............. 3,700 898,210
Karstadt AG ....................... 1,750 608,770
#Man AG, Muenchen .................. 9,500 2,241,295
Preussag AG ....................... 3,050 716,596
<PAGE>
Shares Value+
-------- ----------
*Ruetgerswerke AG .................. 467 $ 73,036
*Schmalbach-Lubeca AG .............. 2,670 588,217
#Siemens AG ........................ 63,500 3,062,382
#Spar Handels AG ................... 26,000 761,471
Thuega AG ......................... 357 104,556
Thyssen Industrie AG, Essen ....... 6,700 536,349
Vereins & Westbank AG ............. 4,376 1,019,595
#Volkswagen AG ..................... 24,050 9,649,740
WCM Beteiligungs und Grundbesitz AG 49,600 468,400
-------------
TOTAL COMMON STOCKS
(Cost $88,279,939) ................ 104,611,937
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $2,387) ........ 2,352
-------------
TOTAL -- GERMANY
(Cost $88,282,326) ................ 104,614,289
-------------
FRANCE -- (7.4%)
COMMON STOCKS -- (7.4%)
Accor SA .......................... 5,592 721,894
Alcatel Alsthom Cie Generale
d'Electricite SA .................. 82,742 7,515,085
Au Bon Marche SA .................. 3,670 879,366
#Axa SA ............................ 64,575 3,886,126
Banque Nationale de Paris ......... 60,800 2,419,889
Bongrain SA ....................... 763 294,473
Bouygues .......................... 12,764 1,420,395
CPR (Cie Parisienne de Reescompte) 8,300 677,227
Cardif SA ......................... 929 142,348
*Centrale du Groupe des
Assurances Nationales SA .......... 30,900 668,780
Christian Dior SA ................. 21,100 3,091,649
Ciments Vicat ..................... 800 62,900
Credit Commercial de France ....... 13,391 648,134
*Credit Foncier de France .......... 17,100 229,594
Credit National ................... 7,912 456,141
Dassault Aviation SA .............. 4,200 904,999
ECIA (Equipements et Composants
pour l'Industrie Automobile) ...... 2,300 324,229
Elf Aquitaine SA .................. 150,084 13,108,275
Eridania Beghin-Say SA ............ 15,600 2,441,142
Esso SA ........................... 2,576 277,780
Financiere de Paribas SA Series A . 68,172 4,683,642
France SA ......................... 2,240 519,134
GTM Entrepose ..................... 7,977 399,538
Groupe Andre SA ................... 3,228 236,798
Groupe Danone ..................... 26,100 3,859,261
LaFarge Coppee SA ................. 51,357 3,269,693
Labinal SA ........................ 3,200 559,586
Pechiney International SA ......... 26,150 470,810
Peugeot SA ........................ 27,550 3,387,684
Rallye SA ......................... 14,220 571,959
Rhone-Poulenc SA Series A ......... 163,380 5,282,234
Rue Imperiale de Lyon ............. 310 283,815
Saint Louis (SLB) ................. 4,300 1,094,560
Saint-Gobain ...................... 47,348 6,783,433
Societe Centrale d'Investissements 100 13,312
Societe Centrale des Assurances
Generales de France SA ............ 73,600 2,445,815
Societe Generale Paris ............ 50,307 5,492,241
Sommer-Allibert SA ................ 11,000 313,925
Sophia SA ......................... 7,700 279,772
Suez SA ........................... 89,657 3,867,220
190
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
-------- ----------
Thomson CSF ....................... 64,203 $ 2,072,056
Total SA Series B ................. 110,983 8,987,476
UAP SA ............................ 186,397 4,966,064
-------------
TOTAL COMMON STOCKS
(Cost $91,651,604) ................ 100,010,454
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $278,371) ..... 275,094
-------------
TOTAL -- FRANCE
(Cost $91,929,975) ................ 100,285,548
-------------
SWITZERLAND -- (6.1%)
COMMON STOCKS -- (6.1%)
Ascom Holding AG, Bern ............ 600 640,061
Baloise Holding, Basel ............ 3,219 7,189,018
Banque Cantonale Vaudois .......... 5,795 1,552,153
Bobst SA, Prilly .................. 1,912 2,633,952
CS Holding, Zuerich (Namen) ....... 152,128 16,199,355
Danzas Holding AG, Basel .......... 1,452 1,671,527
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg ........ 3,173 696,453
Fischer (Georg) AG, Schaffhausen .. 890 892,732
Fischer (Georg) AG,
Schaffhausen(Namen) ............... 1,017 193,566
Forbo Holding AG, Eglisau ......... 6,081 2,473,469
*Grands Magasins Jelmoli SA,
Zuerich ........................... 500 274,367
Julius Baer Holding AG, Zuerich ... 1,916 2,058,634
*Oerlikon-Buehrle Holding AG,
Zuerich ........................... 35,681 3,683,112
Pargesa Holding SA, Geneve ........ 1,935 2,175,576
Rieter Holding AG, Winterthur ..... 6,897 1,984,939
SBG (Schweizerische
Bankgesellschaft) ................. 1,678 1,581,415
SBV (Schweizerischer Bankverein)
(Namen) ........................... 82,332 16,270,522
SIG (Schweizerische Industrie
Gesellschaft Holding AG),
Neuhausen am Rheinfall ............ 840 2,024,252
*Saurer AG, Arbon .................. 6,027 2,618,021
Schindler Holding AG, Hergiswil ... 1,179 1,177,190
Schindler Holding AG, Hergiswil
(Participating) ................... 95 99,812
Schweizerische Bankgesellschaft SBG 1,975 378,175
Schweizerische National
Versicherungs Gesellschaft, Basel . 981 1,904,781
Sig Schweizerische Industrie
Gesellschaft Holding AG ........... 1,233 1,495,119
*Societe International Pirelli SA,
Basel ............................. 4,100 569,532
Sulzer AG, Winterthur ............. 9,924 5,712,203
Sulzer AG, Winterthur
(Participating) ................... 175 91,865
*Swissair Schweizerische Luftverkehr
AG, Zuerich ....................... 6,438 4,891,497
*Von Roll AG, Gerlafingen .......... 15,045 262,104
-------------
TOTAL COMMON STOCKS
(Cost $79,719,998) ................ 83,395,402
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $605) .......... 590
-------------
TOTAL -- SWITZERLAND
(Cost $79,720,603) ................ 83,395,992
-------------
NETHERLANDS -- (4.7%)
COMMON STOCKS -- (4.7%)
ABN Amro Holding NV ............... 264,757 17,153,919
<PAGE>
Shares Value+
-------- ----------
Akzo Nobel NV ..................... 2,900 $ 385,041
Bijenkorf Beheer KBB NV,
Amsterdam ......................... 10,285 751,688
DSM NV ............................ 30,500 2,954,466
Fortis Amev NV .................... 138,270 4,611,673
Gist-Brocades NV .................. 11,712 360,735
Hollandsche Beton Groep NV ........ 2,952 559,921
Ing Groep NV ...................... 596,807 20,909,016
KLM Royal Dutch Airlines NV ....... 75,607 1,951,573
#Koninklijke Hoogovens NV .......... 27,500 1,060,760
Koninklijke KNP BT ................ 86,000 1,960,441
Nationale Investeringsbank NV
Series A .......................... 8,074 693,128
Nedlloyd Groep NV, Rotterdam ...... 17,100 434,443
Pakhoed NV ........................ 26,728 812,382
Philips Electronics NV ............ 149,900 6,060,342
Royal Dutch Petroleum Co., Den Haag 400 67,471
Stad Rotterdam .................... 39,030 1,539,466
Stork NV .......................... 25,575 850,028
-------------
TOTAL COMMON STOCKS
(Cost $44,380,116) ................ 63,116,493
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $11,369) 11,250
-------------
RIGHTS/WARRANTS -- (0.0%)
*Stad Rotterdam Rights 01/10/97
(Cost $0) ......................... 39,030 0
-------------
TOTAL -- NETHERLANDS
(Cost $44,391,485) ................ 63,127,743
-------------
HONG KONG -- (4.6%)
COMMON STOCKS -- (4.6%)
Allied Properties (Hong Kong), Ltd. 1,778,000 280,598
#Amoy Properties, Ltd. ............. 2,451,000 3,424,203
CDL Hotels International, Ltd. .... 1,201,616 617,867
Century City International
Holdings, Ltd. .................... 1,482,646 517,838
Chinese Estates Holdings, Ltd. .... 1,831,653 2,120,599
Consolidated Electric Power Asia,
Ltd. .............................. 420,800 990,694
*Evergo China Holdings, Ltd. ....... 285,279 53,878
#Great Eagle Holdings, Ltd. ........ 447,680 1,858,939
HKR International, Ltd. ........... 979,440 1,450,694
Hang Lung Development Co., Ltd. ... 1,321,000 2,947,707
#Hong Kong & Shanghai Hotels, Ltd. . 1,119,624 2,230,413
Hopewell Holdings, Ltd. ........... 4,292,000 2,831,537
Hysan Development Co., Ltd. ....... 1,007,000 3,849,279
Lai Sun Development Co., Ltd. ..... 774,800 1,177,660
Lai Sun Garment (International),
Ltd. .............................. 71,000 113,887
Miramar Hotel & Investment Co.,
Ltd. .............................. 565,000 1,107,270
New World Development Co., Ltd. ... 1,240,739 8,386,083
*Orient Telecom & Technology
Holdings, Ltd. .................... 117,800 43,429
Paliburg Holdings, Ltd. ........... 1,768,500 1,498,438
Realty Development Corp., Ltd.
Series A .......................... 204,000 876,114
#Regal Hotels International
Holdings, Ltd. .................... 3,771,816 1,244,180
Semi-Tech (Global) Co., Ltd. ...... 350,818 610,375
Sino Hotels (Holdings), Ltd. ...... 543,653 268,996
#Sino Land Co., Ltd. ............... 2,585,200 3,293,994
#Stelux Holdings International, Ltd. 451,552 107,478
Tai Cheung Holdings, Ltd. ......... 571,000 550,281
191
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
#Tsim Sha Tsui Properties, Ltd. .... 1,224,000 $ 2,216,674
Wharf Holdings, Ltd. .............. 2,142,000 11,083,371
Wheelock and Co., Ltd. ............ 1,975,000 5,799,431
-------------
TOTAL COMMON STOCKS
(Cost $43,619,997) ................ 61,551,907
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $210,371) ................... 210,344
-------------
RIGHTS/WARRANTS -- (0.0%)
*Hong Kong & Shanghai Hotels, Ltd.
Warrants 12/10/98 (Cost $0) ....... 86,124 5,069
-------------
TOTAL -- HONG KONG
(Cost $43,830,368) ................ 61,767,320
-------------
AUSTRALIA -- (3.3%)
COMMON STOCKS -- (3.3%)
#Australia and New Zealand Banking
Group, Ltd. ....................... 521,054 3,426,171
Australian National Industries,
Ltd. .............................. 381,934 395,225
#Boral, Ltd. ....................... 600,440 1,570,462
Burns, Philp & Co., Ltd. .......... 249,443 436,981
#CSR, Ltd. ......................... 508,054 1,664,136
#Caltex Australia, Ltd. ............ 121,480 439,481
Coles Myer, Ltd. .................. 89,760 335,698
#Commonwealth Bank of Australia .... 315,795 3,082,584
#Email, Ltd. ....................... 143,654 412,015
Energy Resources of Australia, Ltd.
Series A .......................... 84,525 399,453
Fosters Brewing Group, Ltd. ....... 853,236 1,592,053
#Gio Australia Holdings, Ltd. ...... 307,433 841,671
Goodman Fielder, Ltd. ............. 615,866 782,823
#Hardie (James) Industries, Ltd. ... 266,410 753,239
MIM Holdings, Ltd. ................ 816,440 1,164,167
#National Australia Bank, Ltd ...... 732,984 9,137,739
News Corp., Ltd. .................. 1,011,349 5,389,291
Pacific Dunlop, Ltd. .............. 506,319 1,163,392
#Pacific Magazines and Printing,
Ltd. .............................. 104,970 290,802
Pasminco, Ltd. .................... 75,500 125,496
Pioneer International, Ltd. ....... 385,982 1,069,298
Publishing and Broadcasting, Ltd. . 165,625 780,021
#Santos, Ltd. ...................... 261,045 1,063,502
Southcorp Holdings, Ltd. .......... 237,026 780,243
#St. George Bank, Ltd. ............. 64,170 448,613
Stockland Trust Group Units ....... 141,647 376,251
*#TNT, Ltd. ......................... 258,188 509,101
Weston (George) Foods, Ltd. ....... 37,020 233,771
#Westpac Banking Corp. ............. 939,489 5,626,416
-------------
TOTAL COMMON STOCKS
(Cost $35,005,388) ................ 44,290,095
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $18,094) .. 18,765
-------------
TOTAL -- AUSTRALIA
(Cost $35,023,482) ................ 44,308,860
-------------
ITALY -- (3.0%)
COMMON STOCKS -- (2.9%)
#Banca Commerciale Italiana SpA .... 2,435,000 4,475,570
#Banca Toscana ..................... 400,000 737,851
*#Banca di Roma ..................... 4,571,000 4,200,787
Banco Ambrosiano Veneto SpA ....... 349,000 777,607
*#Banco di Napoli ................... 335,000 129,814
<PAGE>
Shares Value+
--------- ----------
*CIR SpA (Cie Industriale Riunite),
Torino ............................ 885,000 $ 506,132
*Campart SpA ....................... 27,740 11,023
#Cartiere Burgo SpA ................ 172,000 824,463
Cia Assicuratrice Unipol SpA ...... 106,036 332,305
#Credito Italiano .................. 3,030,000 3,325,488
#Fiat SpA .......................... 2,101,000 6,153,673
*Finmeccanica SpA .................. 1,395,000 681,590
#Ifil Finanziaria Partecipazioni
SpA, Torino ....................... 499,000 1,468,132
#Istituto Bancario San Paolo Torino
SpA ............................... 567,000 3,561,322
#Istituto Mobiliare Italiano IMI SpA 222,500 1,873,413
#Italcementi Fabbriche Riunite
Cemento SpA, Bergamo .............. 222,000 1,299,709
#Italmobiliare SpA, Milano ......... 14,330 225,964
#Magneti Marelli SpA ............... 500,000 580,165
Milano Assicurazioni SpA .......... 49,520 139,147
*Olivetti (Ing C & C) SpA, Ivrea ... 1,364,414 480,815
Pirelli SpA ....................... 447,000 818,638
#Telecom Italia SpA ................ 2,290,000 5,405,157
#Toro Assicurazioni Cia Anonima
d'Assicurazione di Torino SpA ..... 82,500 1,161,818
-------------
TOTAL COMMON STOCKS
(Cost $40,146,822) ................ 39,170,583
-------------
INVESTMENT IN CURRENCY -- (0.1%)
*Italian Lira (Cost $867,013) ...... 860,093
-------------
RIGHTS/WARRANTS -- (0.0%)
*Unipol SpA Warrants 12/31/99
(Cost $44,553) .................... 30,296 9,715
-------------
TOTAL -- ITALY (Cost $41,058,388) ... 40,040,391
-------------
SWEDEN -- (2.6%)
COMMON STOCKS -- (2.6%)
*Celsius Industrier AB Series B .... 24,200 319,014
*Diligentia AB ..................... 50,770 812,955
Electrolux AB Series B ............ 8,900 521,658
Foereningsbanken AB Series A ...... 187,200 878,350
Gullspangs Kraft AB Series B ...... 10,700 176,912
Kinnevik Industrifoervaltnings AB
Series A .......................... 3,200 86,751
Kinnevik Industrifoervaltnings AB
Series B .......................... 11,500 322,038
Marieberg Tidnings AB Series A .... 24,000 622,030
Mo Och Domsjoe AB Series A ........ 2,000 54,517
Mo Och Domsjoe AB Series B ........ 59,400 1,623,579
NCC AB Series A ................... 45,400 628,912
NCC AB Series B ................... 69,900 999,538
*Naeckebro AB ...................... 21,630 389,846
SSAB Swedish Steel Series A ....... 90,200 1,477,918
SSAB Swedish Steel Series B ....... 33,300 543,137
Skandinaviska Enskilda Banken
Series A .......................... 496,200 4,619,424
Skandinaviska Enskilda Banken
Series C .......................... 23,700 202,987
Stadshypotek AB Series A .......... 15,200 452,819
Stora Kopparbergs Bergslags AB
Series A .......................... 259,100 3,550,637
Stora Kopparbergs Bergslags AB
Series B .......................... 57,600 780,755
Svenka Cellulosa AB Series B ...... 161,400 3,461,920
Svenska Cellulosa AB Series A ..... 57,000 1,226,856
Svenska Handelsbanken Series A .... 200,300 5,489,715
Svenska Handelsbanken Series B .... 20,000 527,296
192
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
Shares Value+
--------- ----------
Svenska Kullagerfabriken AB
Series A .......................... 14,600 $ 303,374
Svenska Kullagerfabriken AB
Series B .......................... 5,500 116,742
Sydkraft AB Series C .............. 8,800 174,335
Trelleborg AB Series B ............ 101,400 1,329,143
Trelleborg AB Series C ............ 5,000 70,008
Volvo AB Series A ................. 51,600 1,129,843
Volvo AB Series B ................. 104,400 2,293,737
-------------
TOTAL COMMON STOCKS
(Cost $25,851,387) ................ 35,186,746
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $35,454) ...... 35,646
-------------
TOTAL -- SWEDEN
(Cost $25,886,841) ................ 35,222,392
-------------
SPAIN -- (2.3%)
COMMON STOCKS -- (2.3%)
Autopistas del Mare Nostrum SA .... 43,300 668,468
Banco Central Hispanoamericano SA . 110,500 2,750,772
Banco Pastor SA ................... 5,700 334,388
Dragados y Construcciones SA ...... 37,289 518,103
Ebro Agricolas Compania de
Alimentacion SA ................... 38,300 532,150
Fabricacion de Automoviles Renault
de Espana SA ...................... 9,146 180,025
Fuerzas Electricas de Cataluna SA
Series A .......................... 140,700 1,124,080
GESA (Gas y Electricidad SA) ...... 8,900 501,505
Iberdrola SA ...................... 626,700 7,232,084
Metrovacesa (Inmobiliaria
Metropolitana Vasco Central) ...... 11,000 395,677
Sevillana de Electricidad ......... 200,600 1,881,351
#Telefonica de Espana SA ........... 577,700 12,664,361
Union Electrica Fenosa SA ......... 195,500 1,472,852
Uralita SA ........................ 24,500 181,552
Vallehermoso SA ................... 27,900 580,398
-------------
TOTAL COMMON STOCKS
(Cost $21,435,506) ................ 31,017,766
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $34,291) ..... 33,406
-------------
TOTAL -- SPAIN (Cost $21,469,797) ... 31,051,172
-------------
SINGAPORE -- (1.4%)
COMMON STOCKS -- (1.4%)
*Creative Technology, Ltd. ......... 138,650 825,180
First Capital Corp., Ltd. ......... 444,000 1,265,859
Hotel Properties, Ltd. ............ 716,000 1,183,977
Industrial & Commercial Bank, Ltd. 13,000 47,719
Natsteel, Ltd. .................... 595,000 1,238,346
Neptune Orient Lines, Ltd. ........ 1,329,000 1,146,180
Shangri-La Hotel, Ltd. ............ 242,000 862,438
Singapore Airlines, Ltd. (Foreign) 40,000 376,336
Singapore Land, Ltd. .............. 632,000 3,626,230
Straits Steamship Land, Ltd. ...... 750,000 2,394,868
Straits Trading Co., Ltd. ......... 552,000 1,353,443
Tuan Sing Holdings, Ltd. .......... 1,179,000 441,180
United Industrial Corp., Ltd. ..... 2,487,000 2,127,156
United Overseas Land, Ltd. ........ 936,000 1,481,055
-------------
TOTAL COMMON STOCKS
(Cost $19,255,421) ................ 18,369,967
-------------
<PAGE>
Shares Value+
--------- ----------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $51,346) .. $ 51,539
-------------
TOTAL -- SINGAPORE
(Cost $19,306,767) ................ 18,421,506
-------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
#Banque Bruxelles Lambert .......... 15,400 3,249,274
Banque Bruxelles Lambert
(Precompte Reduit) ................ 128 26,886
CMB (Cie Martime Belge) ........... 7,500 569,725
Cofinimmo SA ...................... 4,150 466,646
Electrafina SA .................... 8,000 740,366
Generale de Banque SA ............. 630 338
Generale de Banque SA ............. 6,930 2,462,492
Glaverbel SA ...................... 7,022 827,292
Glaverbel SA VVPR ................. 22 1
Groupe Bruxelles Lambert SA,
Bruxelles ......................... 6,300 799,937
Nationale a Portefeuille .......... 4,700 287,997
Powerfin SA ....................... 10,150 1,602,969
Societe Generale de Belgique SA ... 19,080 1,449,381
Sofina SA ......................... 500 292,956
Solvay SA ......................... 3,500 2,147,426
*Union Miniere SA .................. 20,400 1,388,566
-------------
TOTAL COMMON STOCKS
(Cost $14,401,716) ................ 16,312,252
-------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $452,499) .... 446,307
-------------
TOTAL -- BELGIUM
(Cost $14,854,215) ................ 16,758,559
-------------
Face
Amount
-----------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97)
(Cost $15,310,000) ................ $15,310 15,310,000
-------------
TOTAL INVESTMENTS -- (99.7%) (Cost
$1,251,413,549) ................... 1,353,115,333
--------------
OTHER ASSETS AND LIABILITIES --
(0.3%)
Other Assets ........................ 7,078,597
Payable for Investment Securities
Purchased ......................... (2,984,540)
Other Liabilities ................... (357,664)
--------------
3,736,393
--------------
NET ASSETS -- (100.0%) Applicable to
115,124,686 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................ $1,356,851,726
===============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 11.79
===============
- ----------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
193
<PAGE>
STATEMENT OF NET ASSETS
THE EMERGING MARKETS SERIES
NOVEMBER 30, 1996
Shares Value+
--------- ---------
INDONESIA - (11.2%)
COMMON STOCKS - (11.2%)
PT Andayani Megah (Foreign) ......... 35,000 $ 14,932
PT Asahimas Flat Glass Co., Ltd.
(Foreign) ........................... 75,000 50,395
PT Astra International (Foreign) .... 234,000 588,993
PT Bakrie & Brothers (Foreign) ...... 258,500 402,528
PT Bank Dagang Nasional Indonesia
(Foreign) ........................... 246,000 244,006
PT Bank Danamon (Foreign) ........... 560,500 538,023
PT Bank International Indonesia
(Foreign) ........................... 412,800 383,038
PT Bank Niaga (Foreign) ............. 52,000 122,014
PT Barito Pacific Timber (Foreign) .. 672,000 437,201
PT Bimantara Citra (Foreign) ........ 393,000 540,710
*PT Charoen Pokphand Indonesia
(Foreign) ........................... 38,000 43,366
PT Ciputra Development (Foreign) .... 132,000 112,628
PT Citra Marga Nusaphala Persada
(Foreign) ........................... 214,000 180,311
PT Dankos Laboratories (Foreign) .... 21,000 15,678
PT Duta Pertiwi (Foreign) ........... 50,000 43,195
PT Gadjah Tunggal (Foreign) ......... 298,000 127,133
PT Hanjaya Mandala Sampoerna ........ 356,500 1,817,481
PT Hero Supermarket (Foreign) ....... 78,000 57,402
PT Indah Kiat Pulp & Paper Corp.
(Foreign) ........................... 458,500 332,530
PT Indocement Tunggal Prakarsa
(Foreign) ........................... 518,000 834,236
*PT Indocement Tunggal Prakarsa
(Foreign) ........................... 103,000 165,881
PT Indofood Sukses Makmur
(Foreign) ........................... 328,000 685,666
PT Indorama Synthetics .............. 264,030 473,091
PT Indosat (Foreign) ................ 373,500 1,031,746
PT Inti Indorayon Utama (Foreign) ... 257,000 194,614
PT Jakarta International Hotel and
Development (Foreign) ............... 362,500 243,574
PT Japfa Comfeed Indonesia
(Foreign) ........................... 29,000 20,414
PT Jaya Real Property (Foreign) ..... 100,000 127,986
PT Kabelmetal Indonesia (Foreign) ... 53,000 22,611
PT Kalbe Farma ...................... 150,000 175,981
PT Kawasan Industri Jababeka
(Foreign) ........................... 195,250 249,893
PT Lippo Bank (Foreign) ............. 214,000 340,081
PT Lippo Land Development ........... 87,000 193,003
PT Matahari Putra Prima (Foreign) ... 136,000 153,754
PT Mayora Indah (Foreign) ........... 288,720 132,412
PT Modern Photo Film Co. (Foreign) .. 77,000 192,993
PT Mulia Industrindo (Foreign) ...... 425,340 444,575
PT Pabrik Kertas Tjiwi Kimia
(Foreign) ........................... 106,860 103,145
PT Pakuwon Jati (Foreign) ........... 312,000 113,140
PT Panasia Indosyntec (Foreign) ..... 103,600 25,414
PT Perusahaan Rokok TPAJ Gudang Garam
(Foreign) ........................... 282,000 1,200,064
PT Polysindo Eka Perkasa (Foreign) .. 481,000 256,506
PT Semen Cibinong (Foreign) ......... 33,000 84,471
<PAGE>
Shares Value+
---------- ---------
PT Semen Gresik (Foreign) ........... 213,500 $651,248
PT Summarecon Agung (Foreign) ....... 85,280 26,377
PT Tambang Timah (Persero)
(Foreign) ........................... 252,000 397,782
PT Telekomunikasi Indonesia
(Persero) (Foreign) ................. 2,064,500 3,413,070
PT Tempo Scan Pacific (Foreign) ..... 19,500 30,365
PT Tigaraksa Satria (Foreign) ....... 25,200 38,031
PT Unggul Indah Corp. (Foreign) ..... 55,000 64,233
PT United Tractors (Foreign) ........ 15,000 31,997
------------
TOTAL COMMON STOCKS
(Cost $17,452,683) .................. 18,169,918
------------
RIGHTS/WARRANTS - (0.0%)
*PT Bank Niaga (Foreign) Rights
12/16/96 ............................ 10,400 5,768
------------
TOTAL - INDONESIA
(Cost $17,452,683) .................. 18,175,686
------------
MALAYSIA - (11.0%)
COMMON STOCKS - (9.8%)
AMMB Holdings Berhad ................ 45,400 361,187
AMMB Holdings Berhad 7.5%
Unsecured Loan Stock 1999 ........... 2,000 1,441
Amsteel Corp. Berhad ................ 96,000 69,915
Aokam Perdana Berhad ................ 10,000 12,982
Asiatic Development Berhad .......... 62,000 54,969
Berjaya Leisure Berhad .............. 10,000 12,587
Commerce Asset Holding Berhad ....... 28,000 213,893
DCB Holdings Berhad ................. 82,000 280,744
Edaran Otomobil Nasional Berhad ..... 26,000 256,244
Ekran Berhad ........................ 21,000 90,600
*Faber Group Berhad .................. 169,600 174,534
Genting Berhad ...................... 80,000 569,958
Golden Hope Plantations Berhad ...... 115,000 200,277
Guiness Anchor Berhad ............... 21,000 51,534
Hicom Holdings Berhad ............... 118,000 340,946
Highlands and Lowlands Berhad ....... 43,000 74,205
Hong Leong Credit Berhad ............ 30,000 185,236
Hong Leong Industries Berhad ........ 7,000 23,827
*Hong Leong Industries Berhad
Issue 96 ............................ 2,800 9,453
Hume Industries (Malaysia) Berhad ... 28,000 182,862
Jaya Tiasa Holdings Berhad .......... 26,000 144,073
Kamunting Corp. Berhad .............. 40,000 29,923
Kedah Cement Holdings Berhad ........ 37,000 70,295
Kuala Lumpur Kepong Berhad .......... 81,500 196,774
Land - General Berhad ............... 35,000 85,197
Leader Universal Holdings Berhad .... 36,000 81,219
*Lingui Development Berhad ........... 37,000 69,416
Lion Land Berhad .................... 1,000 1,001
Magnum Corp. Berhad ................. 171,500 339,402
Malakoff Berhad ..................... 16,000 72,828
Malayan Banking Berhad .............. 100,000 989,511
Malayan Cement Berhad ............... 19,000 44,370
Malayan United Industries Berhad .... 50,000 37,404
Malaysia Mining Corp. Berhad ........ 40,000 45,755
Malaysian Airlines System ........... 88,000 228,142
Malaysian Helicopter Services
Berhad .............................. 53,000 65,031
Malaysian International Shipping
Corp. (Foreign) ..................... 85,666 271,256
194
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
----------- ---------
Malaysian Oxygen Berhad ............. 7,000 $ 35,741
*Malaysian Resources Corp. Berhad .... 37,000 162,557
Multi-Purpose Holdings Berhad ....... 86,000 166,792
Nestle (Malaysia) Berhad ............ 26,000 203,760
New Straits Times Press (Malaysia)
Berhad .............................. 17,000 96,220
Nylex (Malaysia) Berhad ............. 12,000 27,311
Oriental Holdings Berhad ............ 16,800 118,361
Perlis Plantations Berhad ........... 27,500 80,546
Perusahaan Otomobil Nasional
Berhad .............................. 62,000 392,638
Petronas Gas Berhad ................. 113,000 460,677
Public Bank Berhad (Foreign) ........ 10,666 22,797
RJ Reynolds Berhad .................. 13,000 34,732
Rashid Hussain Berhad ............... 23,000 143,835
*Renong Berhad ....................... 281,000 518,290
Resorts World Berhad ................ 125,000 628,340
Rothmans of Pall Mall Malaysia
Berhad .............................. 32,000 335,642
Sarawak Enterprise Corp. Berhad ..... 136,000 237,926
Shell Refining Co. Federation of
Malaysia Berhad ..................... 25,000 74,213
Sime Darby Berhad (Malaysia) ........ 266,800 997,926
Sime UEP Properties Berhad .......... 21,000 53,196
*Sri Hartamas Corp. Berhad ........... 65,000 44,765
Tan Chong Motor Holdings Berhad ..... 57,000 101,975
*Technology Resources (Industries)
Berhad .............................. 86,000 175,302
Telekom Malaysia Berhad ............. 229,000 2,084,702
Tenaga Nasional Berhad .............. 326,000 1,483,872
UMW Holdings Berhad ................. 14,800 70,295
United Engineers (Malaysia) Berhad .. 86,198 781,292
YTL Corp. Berhad .................... 64,500 347,200
------------
TOTAL COMMON STOCKS
(Cost $14,415,065) .................. 15,819,894
------------
INVESTMENT IN CURRENCY - (1.2%)
*Malaysian Ringetts
(Cost $2,003,082) ................... 1,997,111
------------
RIGHTS/WARRANTS - (0.0%)
*Hong Leong Industries Berhad Rights
12/17/96 ............................ 1,400 1,441
*Hong Leong Industries Berhad Rights
12/17/96 ............................ 1,750 0
*Multi-Purpose Holdings Berhad Rights
12/19/96 ............................ 53,000 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ........................... 1,441
------------
TOTAL - MALAYSIA
(Cost $16,418,147) .................. 17,818,446
------------
TURKEY - (10.7%)
COMMON STOCKS - (10.7%)
Akbank .............................. 16,058,250 1,805,180
*Akcansa Cimento Sanayi ve Ticaret SA 1,292,130 116,203
Aksa ................................ 3,136,091 429,182
Aksigorta A.S. ...................... 3,744,000 102,475
Alarko Holding ...................... 1,163,620 190,524
Alarko Sanayii ve Ticaret A.S. ...... 656,000 96,188
Arcelik A.S. ........................ 6,852,736 643,072
Aygaz ............................... 1,946,480 261,624
Bekoteknik Sanayi A.S. .............. 1,915,927 164,811
<PAGE>
Shares Value+
----------- ---------
Bossa Ticaret ve Sanayi Isletmeleri
A.S. ................................ 1,725,000 $ 145,015
Brisa Bridgestone Sanbanci Lastik San
& Tic A.S. .......................... 1,116,000 490,909
CIMSA A.S. (Cimento Sanayi ve
Ticaret) ............................ 985,000 80,880
Cimentas A.S. ....................... 414,813 46,631
Cukurova Elektrik A.S. .............. 518,000 519,013
Dogan Sirketler Grubu Holdings A.S. . 6,314,700 117,282
Doktas .............................. 54,400 4,626
*EGE Biracilik ve Malt Sanayii A.S. .. 1,619,040 419,399
*Eczacibasi Ilac ..................... 2,130,940 110,401
Enka Holding ........................ 324,998 117,546
Erciyas Biracilik ................... 3,127,160 366,822
Eregli Demir ve Celik Fabrikalari
Turk A.S. ........................... 6,353,000 900,474
Es Kisehir Bankasi ESBANK ........... 6,870,000 67,827
*Es Kisehir Bankasi ESBANK Issue 96 .. 1,144,999 9,635
Good Year Lastikleri A.S. ........... 586,000 260,635
Guney Biracilik ..................... 772,800 56,657
Hurriyet Gazette .................... 1,382,000 70,248
*Ihlas Holding ....................... 1,951,650 281,396
*Izmir Demir Celik ................... 4,092,600 32,805
Kartonsan ........................... 1,134,000 105,308
Koc Holding A.S. .................... 9,959,999 2,044,575
Kordsa Kord Bezi Sanayi ve Ticaret
A.S. ................................ 434,000 159,091
Migros Turk A.S. .................... 548,700 536,364
Netas Northern Electric
Telekomunikasyon A.S. ............... 1,254,000 266,613
Otosan Otomobil A.S. ................ 1,389,000 570,264
Peg Profilo A.S. .................... 3,145,860 236,785
*Raks Elektroniks A.S. ............... 307,000 64,521
Sarkuysan Elektrolitik Bakir Sanayi
A.S. ................................ 794,000 56,659
Tat Konserve ........................ 900,998 129,909
Teletas ............................. 700,000 58,162
Tofas Turk Otomobil Fabrikasi A.S. .. 8,894,250 330,383
Trakya Cam Sanayii A.S. ............. 8,084,792 434,666
Tuborg Bira ve Malt Sanayi A.S. ..... 195,000 8,482
Turcas Petrolculuk A.S. ............. 1,982,955 143,440
Turk Demir Dokum .................... 1,513,496 122,796
Turk Siemens Kablo ve Elektrik
Sanayi A.S. ......................... 399,000 96,532
*Turk Sise Cam ....................... 5,523,886 620,965
Turkiye Garanti Bankasi A.S. ........ 17,966,000 913,228
Turkiye Is Bankasi A.S. Series C .... 9,970,200 1,803,015
USAS (Ucak Servisi A.S.) ............ 59,500 133,773
Yapi ve Kredi Bankasi A.S. .......... 26,301,274 668,459
------------
TOTAL - TURKEY
(Cost $15,680,983) .................. 17,411,450
------------
ARGENTINA - (10.1%)
COMMON STOCKS - (10.1%)
*Acindar Industria Argentina de Aceros
SA Series A ......................... 164,000 213,292
*Alpargatas SA Industrial y Comercial 150,000 114,799
Astra Cia Argentina de Petroleos SA . 170,670 317,583
Bagley y Cia, Ltd. SA Series B ...... 106,228 228,488
Banco Frances del Rio de la Plata SA 70,850 705,261
Banco de Galicia y Buenos Aires SA
Series A ............................ 140,199 767,218
*Banco del Sud Sociedad Anonima Series
B ................................... 29,000 319,137
195
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
---------- ---------
Buenos Aires Embotelladora SA
Series B ............................ 100 $ 26,011
*CIADEA SA ........................... 63,799 278,921
Capex SA Series A ................... 18,000 142,261
*Celulosa Argentina SA Series B ...... 300,000 82,836
Central Costanera SA Series B ....... 20,000 64,228
Central Puerto SA Series B .......... 16,000 48,021
*Corcemar Corporacion Cementera
Argentina SA Series B ............... 19,226 91,363
*Indupa SA Industrial y Comercial .... 387,000 211,393
*Industrias Petroq Koppers ........... 28,000 109,247
Irsa Inversiones y Representaciones
SA .................................. 73,979 228,693
Juan Minetti SA ..................... 74,265 263,754
Ledesma SA .......................... 134,000 164,891
Metrogas SA Series B ................ 363,000 332,288
Molinos Rio de la Plata SA Series B . 103,387 344,427
Naviera Perez Companc SA
Series B ............................ 379,002 2,601,072
Nobleza-Piccardo Sdad Industrial
Comercial y Financiera Pica ......... 25,542 106,045
*Sevel Argentina SA Series C ......... 79,034 209,529
*Siderar SAIC Series A ............... 21,280 57,906
Siderca SA Series A ................. 532,000 880,839
*Sociedad Comercial del Plata ........ 113,000 278,100
Telecom Argentina Stet-France SA
Series B ............................ 317,000 1,249,517
Telefonica de Argentina SA Series B . 738,000 1,901,168
Transportadora de Gas del Sur SA
Series B ............................ 398,000 995,428
YPF Sociedad Anonima Yacimientos
Petroliferos Fiscales Series D ...... 130,000 3,043,309
------------
TOTAL - ARGENTINA
(Cost $14,491,117) .................. 16,377,025
------------
PHILIPPINES - (9.7%)
COMMON STOCKS - (9.7%)
*Aboitiz Equity Ventures, Inc. ....... 2,376,400 244,114
Ayala Land, Inc. Series B ........... 1,329,000 1,441,048
Bacnotan Consolidated Industries,
Inc. ................................ 47,450 180,528
*Belle Corp. ......................... 1,111,000 295,883
C & P Homes, Inc. ................... 1,963,500 971,142
*Centennial City, Inc. ............... 3,285,000 549,916
*DMCI Holdings, Inc. ................. 564,000 386,243
Far East Bank and Trust Co.
(Foreign) ........................... 142,200 505,848
Far East Bank and Trust Co., Ltd. ... 25,800 91,778
Fil-Estate Land, Inc. ............... 506,000 481,281
*Filinvest Land, Inc. ................ 1,693,000 599,030
Guoco Holdings (Philippines), Inc. .. 1,080,000 250,647
*International Container Terminal
Services, Inc. ...................... 314,000 241,915
*Ionics Circuits, Inc. ............... 154,600 111,756
La Tondena Distillers, Inc. ......... 179,000 371,157
*Megaworld Properties & Holdings, Inc. 930,000 362,673
Metro Pacific Corp. ................. 1,481,000 388,788
Metropolitan Bank & Trust Co. ....... 80,480 1,867,783
*Mondragon International Philippines,
Inc. ................................ 340,700 165,269
Petron Corp. ........................ 3,515,000 1,136,718
Philippine Long Distance Telephone
Co. ................................. 24,430 1,426,725
*Philippine National Bank ............ 49,000 610,543
*Philippine Savings Bank ............. 100,000 207,350
<PAGE>
Shares Value+
---------- ---------
*Pilipino Telephone Corp. ............ 488,500 $ 427,465
RFM Corp. ........................... 974,000 181,578
*Republic Glass Holding Corp. ........ 265,000 53,436
*Robinson's Land Corp. Series B ...... 1,132,000 211,033
SM Prime Holdings, Inc. ............. 3,715,000 890,447
*Security Bank Corp. ................. 87,000 148,950
*Southeast Asia Cement Holdings, Inc. 2,398,780 255,539
*Union Bank of the Philippines ....... 283,200 307,077
Universal Robina Corp. .............. 748,000 369,959
------------
TOTAL COMMON STOCKS
(Cost $17,106,729) .................. 15,733,619
------------
RIGHTS/WARRANTS - (0.0%)
*Security Bank Corp. Rights 12/19/96 . 34,800 26,480
------------
TOTAL PHILIPPINES
(Cost $17,106,729) .................. 15,760,099
------------
PORTUGAL - (9.6%)
COMMON STOCKS - (9.5%)
BCP (Banco Comercial Portugues SA) .. 157,439 2,051,170
Banco Espirito Santo e Commercial de
Lisboa .............................. 101,900 1,765,523
Banco Pinto & Sotto Mayor SA ........ 129,900 878,834
Banco Totta & Acores SA ............. 53,700 946,324
Banco de Fomento e Extenor SA ....... 29,400 488,737
Cimpor Cimentos de Portugal SA ...... 28,685 599,760
*Companhia de Seguros Mundial
Confianca SA ........................ 52,000 498,892
Companhia de Seguros
Tranquilidade SA .................... 20,600 435,361
Compania Geral de Credito Predial
Portugues SA ........................ 1,500 14,333
*Compania Geral de Credito Predial
Portugues SA Issue 96 ............... 180 1,616
Corticeira Amorim Sociedad Gestora
Participacoes Sociais SA ............ 15,200 166,495
*EFACEC (Empresa Fabril de Maquinas
Electricas) ......................... 13,200 107,080
Engil Sociedade Gestora de
Participacoes Sociais SA ............ 16,500 177,332
*Filmes Lusomundo SA ................. 8,300 90,380
Jeronimo Martins (Estabelecimentos
Jeronimo Martins & Filho
Administracao e Participacoes
Financeiros SA) ..................... 16,100 1,480,328
*Lusotur Sociedad Financeira de
Turismo SA .......................... 5,500 81,579
Mague-Gestao e Participacoes SA ..... 4,800 105,155
Modelo Continente SGPS SA ........... 37,300 1,213,452
Portucel Industrial Empresa
Produtora de Celulose SA ............ 42,600 249,506
Portugal Telecom SA ................. 60,428 1,604,145
Salvador Caetano Industrias
Metalurgicas e Veiculos de Transporte
SA .................................. 9,064 170,826
Sociedad Construcoes Soares da Costa
SA .................................. 9,730 89,965
Sociedade de Investimento e Gestao
SGPS SA ............................. 23,500 363,402
*Sonae Industria-Sociedade Gestora de
Participacoes Sociais SA ............ 13,800 114,259
Sonae Investimentos Sociedade Gestora
de Participacoes Sociais SA ......... 46,500 1,392,603
196
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
---------- -----------
Uniceruniao Cervejeira SA ........... 22,700 $ 384,964
------------
TOTAL COMMON STOCKS
(Cost $13,671,481) .................. 15,472,021
------------
INVESTMENT IN CURRENCY - (0.1%)
*Portuguese Escudos
(Cost $186,649) ..................... 185,867
------------
RIGHTS/WARRANTS - (0.0%)
*EFACEC (Empresa Fabril de Maquinas
Electricas) Rights 12/05/96 ......... 13,200 85
*EFACEC (Empresa Fabril de Maquinas
Electricas) Rights 12/21/96 ......... 13,200 35,126
------------
TOTAL RIGHTS/WARRANTS
(Cost $32,771) ...................... 35,211
------------
TOTAL - PORTUGAL
(Cost $13,890,901) .................. 15,693,099
------------
ISRAEL - (9.6%)
COMMON STOCKS - (9.6%)
*Africa-Israel Investments, Ltd. ..... 284 361,345
*Africa-Israel Investments, Ltd. ..... 155 184,157
Agis Industries (1983), Ltd. ........ 21,736 162,808
American Israeli Paper Mills, Ltd. .. 3,291 120,340
Bank Hapoalim B.M. .................. 1,082,174 1,592,557
Bank Leumi Le-Israel ................ 1,244,374 1,559,816
Bezek, Ltd. ......................... 635,246 1,543,764
*Blue Square Chain Stores Properties
Investment .......................... 17,894 137,604
CLAL Electronics Industries, Ltd. ... 3,262 274,928
CLAL Industries, Ltd. ............... 122,865 523,561
CLAL Insurance, Ltd. ................ 34,785 214,701
CLAL Israel, Ltd. ................... 26,920 621,288
Delek Israel Fuel Corp., Ltd.
Series C ............................ 7,802 187,517
Elbit, Ltd. ......................... 5,196 217,760
Elite Industries, Ltd. .............. 13,500 60,762
Elron Electronic Industries, Ltd. ... 5,350 192,326
First International Bank of Israel .. 2,433 275,509
IDB Bankholding Corp., Ltd. ......... 164,307 606,264
IDB Development Corp., Ltd.
Series A ............................ 39,687 679,760
*Israel Chemicals, Ltd. .............. 1,054,000 916,409
Koor Industries, Ltd. ............... 12,116 1,048,299
*Makhteshim Chemical Works, Ltd. ..... 46,900 285,587
*Matav Cable Israel .................. 19,027 167,770
Osem Investment, Ltd. ............... 62,780 348,724
Property and Building Corp., Ltd. ... 3,099 158,754
Super-Sol, Ltd. Series B ............ 15,160 371,257
Tadiran, Ltd. ....................... 107,303 456,587
Tambour ............................. 26,898 51,401
Teva Pharmaceutical Industries, Ltd. 4,865 2,230,869
------------
TOTAL - ISRAEL (Cost $15,768,116) .... 15,552,424
------------
MEXICO - (9.3%)
COMMON STOCKS - (9.3%)
*Altos Hornos de Mexico S.A. ......... 85,000 187,500
Apasco S.A. de C.V. ................. 61,000 405,223
CEMEX (Cementos de Mexico S.A. de
C.V.) Series B ...................... 219,000 792,653
*Carso Global Telecom S.A. de C.V.
Telecom Series A1 ................... 192,000 438,134
*Cifra S.A. de C.V. Series C ......... 649,000 891,881
<PAGE>
Shares Value+
----------- ---------
*Controladora Comercial Mexicana S.A.
de C.V. Series B .................... 175,000 $ 158,405
*Desc S.A. de C.V. Series B .......... 58,000 319,853
*Desc S.A. de C.V. Series C .......... 625 3,399
El Puerto de Liverpool S.A.
Series C1 ........................... 295,500 228,518
*Empresas ICA Sociedad
Controladora S.A. de C.V. ........... 33,000 468,978
Empresas la Moderna S.A. de C.V.
Series A ............................ 120,000 557,556
Fomento Economico Mexicano S.A. de
C.V. Series B ....................... 119,000 405,819
*Gruma S.A. de C.V. Series B ......... 59,281 326,917
Grupo Carso S.A. de C.V.
Series A-1 .......................... 203,000 1,031,985
Grupo Celanese S.A. Series B-1 ...... 120,000 184,077
*Grupo Financiero Banamex Accival S.A.
de C.V. Series B .................... 336,000 662,799
*Grupo Financiero Banamex Accival S.A.
de C.V. Series L .................... 13,187 23,940
*Grupo Financiero Bancomer S.A. de
C.V. Series B ....................... 817,380 328,486
*Grupo Financiero Bancomer S.A. de
C.V. Series L ....................... 7,792 2,558
*Grupo Financiero GBM Atlantico S.A.
de C.V. Series B .................... 30,000 19,777
Grupo Financiero Inbursa S.A. de C.V.
Series B ............................ 169,699 539,990
*Grupo Financiero Invermexico S.A. de
C.V. Series B ....................... 542,811 46,794
*Grupo Financiero Invermexico S.A. de
C.V. Series L ....................... 500 42
*Grupo Financiero Serfin S.A. de C.V.
Series B ............................ 715,102 308,234
*Grupo Gigante S.A. Series B ......... 341,400 97,815
Grupo Industrial Alfa S.A. Series A . 138,290 615,362
Grupo Industrial Bimbo S.A. de C.V.
Series A ............................ 98,000 558,456
*Grupo Mexico S.A. de C.V. Series B .. 127,000 412,170
Grupo Modelo S.A. de C.V.
- Series C .......................... 36,000 201,040
*Grupo Televisa S.A. (Certificate
Representing Series A, Series D,
+ Series L) ......................... 50,000 678,245
Hylsamex S.A. de C.V. Series B ...... 54,000 207,429
Industrias Penoles S.A. de C.V. ..... 91,000 327,060
Kimberly Clark de Mexico S.A. de C.V.
Series A ............................ 45,000 873,986
*Seguros Comercial America S.A. de
C.V. Series B ....................... 630,000 189,288
Telefonos de Mexico S.A. Series A ... 50,000 76,318
Telefonos de Mexico S.A. Series L ... 1,420,000 2,167,447
*Tolmex S.A. de C.V. Series B-2 ...... 16,000 56,795
Vitro S.A. .......................... 121,600 223,529
------------
TOTAL - MEXICO
(Cost $14,648,332) .................. 15,018,458
------------
BRAZIL - (8.8%)
COMMON STOCKS - (3.5%)
Acos Especiais Itabira-Acesita Aces . 25,963,524 54,044
Antarctica Paulista I.B.B.C. Anta ... 2,000 183,948
Banco Bamerindus do Brazil SA ....... 2,400 39,500
Banco Bradesco SA ................... 109,319,164 746,152
*Banco do Estado de Sao Paulo SA ..... 5,100,000 29,625
Embraco SA .......................... 130,000 70,481
197
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
----------- ---------
Lojas Americanas SA ................. 10,520,000 $ 137,496
*Mannesmann SA ....................... 149,000 21,217
Petroquimica do Sul ................. 3,160,000 147,766
Siderurgica Nacional Sid Nacional ... 13,700,000 374,034
Souza Cruz Industria e Comercio ..... 53,000 302,227
Telecomunicacoes Brasileiras SA ..... 54,050,000 3,495,537
VSMA (Cia Vidraria Santa Marina) .... 46,000 146,965
------------
TOTAL COMMON STOCKS (Cost $4,418,888) 5,748,992
------------
PREFERRED STOCK - (5.3%)
Aracruz Celulose SA Series B ........ 197,999 318,209
Banco Bradesco SA ................... 80,023,042 584,930
Banco Itau SA ....................... 2,090,000 819,489
Banco do Brasil SA .................. 25,190,000 217,050
Belgo Mineira ....................... 970,000 62,920
Brasiliero de Petroleo Ipiranga ..... 7,900,000 103,253
Brasmotor SA ........................ 600,000 169,614
*COFAP (Cia Fabricadora De Pecas) .... 5,100 41,722
Cervejaria Brahma ................... 2,060,767 1,219,023
Cimento Portland Itau ............... 550,000 157,082
Copene-Petroquimica do Nordeste SA
Series A ............................ 340,000 125,085
Coteminas Cia Tecidos Norte de Minas 400,000 137,477
Duratex SA .......................... 2,900,000 115,141
Ericsson Telecomunicacoes SA ........ 11,120,000 173,006
IKPC Industrias Klabin de Papel e
Celulose SA ......................... 176,875 169,529
Investimentos Itau SA ............... 690,000 514,377
Lojas Americanas SA ................. 1,610,000 22,757
Multibras Eletrodomesticos SA ....... 315,000 414,755
*Paranapanema SA ..................... 2,120,000 19,498
Sadia Concordia SA .................. 100,000 75,516
*Siderurgica Paulista Casipa Series B 65,000 59,783
Siderurgica de Tubarao Sid Tubaroo
Series B ............................ 9,820,000 147,362
Telecomunicacoes Brasileiras SA ..... 137,922 10,442
USIMINAS (Usinas Siderurgicas de
Minas Gerais SA) .................... 390,390,000 389,294
Unibanco Unias de Bancos Brasileiros
SA .................................. 15,510,000 434,562
Vale do Rio Doce .................... 68,160 1,431,960
Votorantim Celulose e Papel SA ...... 8,515,325 154,247
White Martins SA .................... 224,700,000 328,490
------------
TOTAL PREFERRED STOCK
(Cost $7,167,442) ................... 8,416,573
------------
RIGHTS/WARRANTS - (0.0%)
*Banco do Brasil SA Series A 06/30/01 5,038,000 8,292
*Banco do Brasil SA Series B 06/30/06 7,557,000 11,340
*Banco do Brasil SA Series C 06/30/11 12,595,000 18,900
------------
TOTAL RIGHTS/WARRANTS
(Cost $0) ........................... 38,532
------------
TOTAL - BRAZIL (Cost $11,586,330) .... 14,204,097
------------
THAILAND - (8.1%)
COMMON STOCKS - (8.1%)
Adkinson Securities Public Co., Ltd.
(Foreign) ........................... 2,100 2,056
Advanced Info Service Public Co.,
Ltd. ................................ 21,000 245,123
<PAGE>
Shares Value+
--------- ---------
Advanced Info Service Public Co.,
Ltd. (Foreign) ...................... 84,100 $998,132
Amarin Plaza Public Co., Ltd.
(Foreign) ........................... 7,400 4,783
Asia Securities Trading Public Co.,
Ltd. (Foreign) ...................... 52,300 87,576
Ayudhya Insurance Public Co., Ltd.
(Foreign) ........................... 1,000 7,521
*Bangkok Bank of Commerce Public Co.,
Ltd. (Foreign) ...................... 152,949 95,855
*Bangkok Expressway Public Co., Ltd. . 39,000 45,065
*Bangkok Expressway Public Co., Ltd.
(Foreign) ........................... 307,900 355,779
Bangkok Land Public Co., Ltd.
(Foreign) ........................... 65,200 36,392
Bangkok Metropolitan Bank Public Co.,
Ltd. (Foreign) ...................... 401,559 208,408
Bangkok Rubber Public Co., Ltd.
(Foreign) ........................... 14,600 6,434
Bangkok Steel Industry Public Co.,
Ltd. (Foreign) ...................... 20,000 10,967
Bank of Asia Public Co., Ltd.
(Foreign) ........................... 12,870 21,551
Bank of Ayudhya Public Co., Ltd.
(Foreign) ........................... 19,250 60,698
Banpu Public Co., Ltd. (Foreign) .... 23,400 465,617
Berli Jucker Public Co., Ltd.
(Foreign) ........................... 10,100 37,583
Capital Nomura Securities Public Co.,
Ltd. (Foreign) ...................... 14,000 15,629
Charoen Pokphand Feedmill Public Co.,
Ltd. (Foreign) ...................... 14,000 44,144
*Christiani and Nielson (Thai) Public
Co., Ltd. (Foreign) ................. 7,097 2,168
*Compass East Industry (Thailand)
Public Co., Ltd. (Foreign) .......... 2,400 12,221
Dusit Thani Public Co., Ltd.
(Foreign) ........................... 8,933 9,797
Ekachart Finance and Securities Co.,
Ltd. (Foreign) ...................... 10,200 10,787
First Bangkok City Bank Public Co.,
Ltd. (Foreign) ...................... 126,550 141,272
First City Investment Public Co.,
Ltd. (Foreign) ...................... 44,200 28,566
Five Stars Property Public Co., Ltd.
(Foreign) ........................... 3,800 8,484
*GSS Array Technology Public Co., Ltd.
(Foreign) ........................... 3,200 4,638
General Finance and Securities
Public Co., Ltd. (Foreign) .......... 46,300 102,466
Hana Microelectronics Co., Ltd.
(Foreign) ........................... 6,000 32,197
Hemaraj Land and Development Public
Co., Ltd. (Foreign) ................. 27,500 134,646
*ITF Finance and Securities Public
Co., Ltd. ........................... 8,025 4,794
*International Broadcasting Corp.
Public Co., Ltd. (Foreign) .......... 2,900 5,225
International Cosmetics Public Co.,
Ltd. (Foreign) ...................... 3,500 17,548
International Engineering Public Co.,
Ltd. (Foreign) ...................... 2,000 5,131
Italian Thai - Foreign .............. 83,700 550,787
198
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
Shares Value+
--------- ---------
Italian Thai Development Public Co.,
Ltd. ................................ 29,000 $190,834
Jasmine International Public Co.,
Ltd. ................................ 16,000 35,723
Jasmine International Public Co.,
Ltd. (Foreign) ...................... 133,800 298,731
Juldis Develop Public Co., Ltd.
(Foreign) ........................... 1,000 783
Kiatnakin Finance and Securities
Public Co., Ltd. (Foreign) .......... 12,800 23,940
Krisda Mahanakorn Public Co., Ltd.
(Foreign) ........................... 23,300 23,273
Krung Thai Bank Public Co., Ltd.
(Foreign) ........................... 344,270 984,399
Land and House Public Co., Ltd.
(Foreign) ........................... 1,000 7,912
MK Real Estate Development Public
Co., Ltd. (Foreign) ................. 2,925 3,638
Mutual Fund Public Co., Ltd.
(Foreign) ........................... 500 3,545
*NTS Steel Group Public Co., Ltd.
(Foreign) ........................... 35,500 15,643
*Nakornthon Bank Public Co., Ltd. .... 16,000 43,243
Nakornthon Bank Public Co., Ltd.
(Foreign) ........................... 48,134 130,092
National Finance and Securities
Public Co., Ltd. (Foreign) .......... 96,000 219,976
Natural Park Public Co., Ltd.
(Foreign) ........................... 105,000 199,471
*New Imperial Hotel Public Co., Ltd.
(Foreign) ........................... 30,000 19,389
*Padaeng Industry Public Co., Ltd
(Foreign) ........................... 7,800 3,666
Phatra Thanakit Public Co., Ltd.
(Foreign) ........................... 26,000 96,749
Phoenix Pulp and Paper Public Co.,
Ltd. (Foreign) ...................... 52,700 110,437
Poonipat Finance and Securities
Public Co., Ltd. (Foreign) .......... 4,987 4,835
Power-P Public Co., Ltd. (Foreign) .. 1,600 5,954
Premier Enterprises Public Co., Ltd.
(Foreign) ........................... 6,000 6,992
Property Perfect Public Co., Ltd.
(Foreign) ........................... 26,050 40,815
Quality Houses Public Co., Ltd.
(Foreign) ........................... 18,000 16,921
Regional Container Lines Public Co.,
Ltd. (Foreign) ...................... 500 5,210
Robinson Department Store Public Co.,
Ltd. (Foreign) ...................... 24,700 29,992
Saha-Union Public Co. Ltd.
(Foreign) ........................... 48,700 44,351
Sammakorn Public Co., Ltd.
(Foreign) ........................... 7,500 11,457
Sanyo Universal Electric Public Co.,
Ltd. (Foreign) ...................... 6,500 19,222
Securities One Public Co., Ltd.
(Foreign) ........................... 42,630 223,753
Serm Suk Public Co., Ltd. (Foreign) . 1,000 17,626
Shangri-La Hotel Public Co., Ltd.
(Foreign) ........................... 12,000 10,576
Shinawatra Computer and
Communications Public Co., Ltd. ..... 10,000 130,043
<PAGE>
Shares Value+
--------- ---------
Shinawatra Computer and
Communications Public Co., Ltd.
(Foreign) ........................... 52,400 $693,741
Siam Cement Public Co., Ltd.
(Foreign) ........................... 10,000 347,826
Siam City Bank Public Co., Ltd.
(Foreign) ........................... 32,000 37,603
Siam City Cement Public Co., Ltd. ... 7,000 46,612
Siam City Cement Public Co., Ltd.
(Foreign) ........................... 47,200 314,297
Siam Commercial Bank Public Co., Ltd.
(Foreign) ........................... 5,000 43,478
Siam Pulp & Paper Co., Ltd.
(Foreign) ........................... 46,200 88,672
Sino-Thai Engineering and
Construction Public Co., Ltd.
(Foreign) ........................... 2,900 7,554
*Somprasong Land Public Co., Ltd.
(Foreign) ........................... 5,400 1,608
Srithai Superware Public Co., Ltd.
(Foreign) ........................... 16,400 80,298
Swedish Motors Corp. Public Co., Ltd.
(Foreign) ........................... 7,000 8,774
TPI Polene Public Co., Ltd. ......... 18,000 36,310
TPI Polene Public Co., Ltd.
(Foreign) ........................... 101,238 204,221
Tanayong Public Co., Ltd. (Foreign) . 46,000 39,640
*Telecomasia Corp. Public Co., Ltd. .. 272,000 564,669
*Telecomasia Corp. Public Co., Ltd.
(Foreign) ........................... 499,200 1,036,334
Thai Carbon Black Public Co., Ltd.
(Foreign) ........................... 5,000 19,683
Thai German Ceramic Industry
Public Co., Ltd. (Foreign) .......... 11,100 13,043
Thai Glass Industries Public Co.,
Ltd. (Foreign) ...................... 15,400 48,860
Thai Military Bank Public Co., Ltd.
(Foreign) ........................... 19,200 50,764
Thai Petrochemical Industry Public
Co., Ltd. ........................... 81,000 82,491
Thai Petrochemical Industry Public
Co., Ltd. (Foreign) ................. 649,950 661,915
Thai Plastic and Chemicals Public
Co., Ltd. (Foreign) ................. 29,300 99,273
*Thai Telephone & Telecommunication
Public Co., Ltd. (Foreign) .......... 300,000 475,911
Thaimex Finance and Securities Public
Co., Ltd. (Foreign) ................. 4,100 6,263
Tipco Asphalt Public Co., Ltd. ...... 9,000 56,404
Tipco Asphalt Public Co., Ltd.
(Foreign) ........................... 42,900 268,860
Tuntex (Thailand) Public Co., Ltd.
(Foreign) ........................... 91,828 64,744
United Communication Industry
Public Co., Ltd. .................... 23,000 185,586
United Communication Industry
Public Co., Ltd. (Foreign) .......... 82,300 664,074
Wattachak Public Co., Ltd. (Foreign) 24,300 45,248
------------
TOTAL COMMON STOCKS
(Cost $18,620,698) .................. 13,093,987
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Thailand Baht (Cost $309) ........... 307
------------
TOTAL - THAILAND
(Cost $18,621,007) .................. 13,094,294
------------
199
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount Value+
-------- ------------
<S> <C> <C>
(000)
TEMPORARY CASH INVESTMENTS -- (2.9%)
Repurchase Agreement, Chase Manhattan Bank N.A. 5.40%,
12/02/96 (Collateralized by U.S. Treasury Notes 6.125%,
05/31/97) (Cost $4,641,000) ............................ $4,641 $ 4,641,000
--------------
TOTAL INVESTMENTS - (101.0%) (Cost $160,305,345) ........ 163,746,078
--------------
OTHER ASSETS AND LIABILITIES -- (-1.0%)
Other Assets ............................................ 453,324
Payable for Investment Securities Purchased ............. (2,005,046)
Other Liabilities ....................................... (119,211)
--------------
(1,670,933)
--------------
NET ASSETS - (100.0%) ................................... $162,075,145
==============
</TABLE>
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements.
200
<PAGE>
STATEMENT OF NET ASSETS
DFA ONE-YEAR FIXED INCOME SERIES
NOVEMBER 30, 1996
Face
Amount Value+
--------- --------------
(000)
BONDS -- (41.7%)
Albertson's, Inc. Medium Term Notes
5.650%, 03/26/98 .................. $ 4,530 $ 4,526,376
Associates Corp. of North America
Corporate Bonds
7.250%, 05/15/98 .................. 1,000 1,020,139
8.800%, 08/01/98 .................. 2,000 2,094,040
6.500%, 09/09/98 .................. 16,650 16,830,819
Bayerische Landesbank U.S. Finance,
Inc. Medium Term Notes
6.250%, 07/01/98 .................. 22,000 22,187,792
Canada (Government of) Bonds
6.400%, 09/10/98 .................. 22,540 22,804,913
Chevron Canada Financial, Ltd.
Corporate Bonds
5.600%, 04/01/98 .................. 23,100 23,068,653
Chubb Capital Corp. Medium Term
Notes
6.000%, 02/01/98 .................. 5,000 5,015,740
Colgate-Palmolive Co. Medium Term
Notes
6.710%, 02/16/98 .................. 10,000 10,107,400
6.630%, 02/16/98 .................. 1,540 1,555,114
6.550%, 02/16/98 .................. 10,000 10,088,870
DuPont (E.I.) de Nemours & Co.
Corporate Bonds
8.650%, 12/01/97 .................. 1,050 1,080,163
FCC National Bank Medium Term Notes
6.000%, 04/02/98 .................. 23,000 23,083,396
6.144%, 10/30/98 .................. 2,000 2,006,828
Ford Motor Credit Co. Corporate
Bonds
6.250%, 02/26/98 .................. 21,850 21,981,930
General Electric Capital Corp.
Medium Term Notes
7.875%, 11/15/97 .................. 2,000 2,041,552
8.700%, 02/09/98 .................. 4,000 4,133,664
7.050%, 03/27/98 .................. 4,750 4,826,822
7.020%, 04/13/98 .................. 3,000 3,049,806
6.844%, 04/23/98 .................. 10,725 10,878,421
IBM Credit Corp. Medium Term Notes
6.375%, 05/11/98 .................. 24,000 24,182,328
KFW International Finance, Inc.
Medium Term Notes
8.250%, 03/18/98 .................. 8,650 8,923,193
Lilly (Eli) & Company Medium Term
Notes
6.200%, 11/06/97 .................. 3,000 3,014,802
Morgan (J.P.) & Co. Corporate Bonds
6.362%, 08/05/98 .................. 19,000 19,172,976
Morgan Guaranty Trust Corporate
Bonds
6.000%, 10/01/98 .................. 6,000 6,022,296
National Rural Utilities Cooperative
Finance Corp. Medium Term Notes
8.500%, 02/15/98 .................. 9,850 166,953
Norwest Corp. Medium Term Notes
7.700%, 11/15/97 .................. 3,000 3,056,361
6.000%, 10/13/98 .................. 2,000 2,005,434
<PAGE>
DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED Face
Amount Value+
--------- --------------
(000)
Ontario Hydro Medium Term Notes
5.800%, 03/31/98 .................. $17,850 $ 17,864,244
Paccar Financial Corp. Medium Term
Notes
8.090%, 11/14/97 .................. 3,910 3,995,891
7.350%, 02/02/98 .................. 5,210 5,306,187
5.280%, 03/20/98 .................. 5,000 4,974,100
Pepsico, Inc. Corporate Bonds
6.125%, 01/15/98 .................. 7,350 7,384,648
Pitney Bowes Credit Medium Term
Notes
6.305%, 09/23/98 .................. 24,230 24,426,941
Rockwell International Corp.
Corporate Bonds
7.625%, 02/17/98 .................. 2,850 2,914,587
Society National Bank, Cleveland
Bank Note
6.125%, 11/21/97 .................. 24,000 24,117,864
Upjohn Co. Medium Term Notes
5.920%, 02/17/98 .................. 5,000 5,013,540
Wachovia Bank Medium Term Notes
5.375%, 04/15/98 .................. 3,350 3,333,223
--------------
TOTAL BONDS (Cost $365,911,020) .... 358,258,006
--------------
COMMERCIAL PAPER -- (37.5%)
Barclays U.S. Funding Corp. C.P.
5.300%, 01/10/97 .................. 14,460 14,368,564
Barton Capital Corp. C.P.
5.430%, 12/16/96 .................. 1,286 1,282,678
5.360%, 01/10/97 .................. 8,450 8,396,567
5.310%, 01/10/97 .................. 4,811 4,780,578
5.350%, 01/15/97 .................. 4,000 3,971,695
5.340%, 01/17/97 .................. 4,000 3,970,491
Beta Finance, Inc. C.P.
5.480%, 12/06/96 .................. 2,000 1,997,873
5.300%, 02/03/97 .................. 12,690 12,563,205
CC USA Inc. C.P.
5.300%, 02/14/97 .................. 4,000 3,953,372
Caisse des Depots et Consignments
C.P.
5.290%, 01/09/97 .................. 21,000 20,870,371
Ciesco L.P. C.P.
5.400%, 12/05/96 .................. 12,000 11,989,060
5.420%, 12/18/96 .................. 13,000 12,962,469
5.350%, 01/07/97 .................. 2,000 1,988,257
Corporate Asset Funding Co., C.P.
5.400%, 12/17/96 .................. 9,900 9,872,924
5.420%, 12/19/96 .................. 12,000 11,963,533
Delaware Funding Corp. C.P.
5.280%, 12/03/96 .................. 1,125 1,124,316
Electricite de France C.P.
5.420%, 12/09/96 .................. 16,500 16,474,928
5.330%, 12/30/96 .................. 1,100 1,094,866
Fleet Funding Corp. C.P.
5.290%, 12/16/96 .................. 1,034 1,031,329
Glaxo Wellcome P.L.C. C.P.
5.410%, 12/03/96 .................. 6,000 5,996,353
5.460%, 12/04/96 .................. 1,000 999,240
5.430%, 12/09/96 .................. 1,240 1,238,116
5.410%, 12/19/96 .................. 10,000 9,969,611
5.300%, 01/27/97 .................. 6,790 6,729,352
201
<PAGE>
DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED Face
Amount Value+
--------- --------------
(000)
Hahn Issuing Co. C.P.
5.290%, 12/10/96 .................. $ 1,005 $ 1,003,320
Halifax Building Society C.P.
5.400%, 12/09/96 .................. 13,000 12,980,247
Hewlett Packard Inc. C.P.
5.450%, 12/05/96 .................. 15,000 14,986,325
5.400%, 12/06/96 .................. 9,000 8,990,427
McKenna Triangle National Corp. C.P.
5.400%, 12/06/96 .................. 9,000 8,990,427
5.420%, 12/13/96 .................. 8,840 8,821,195
Michelin Tire Corp. C.P.
5.300%, 12/20/96 .................. 2,570 2,561,799
Ontario Hydro C.P.
5.420%, 12/09/96 .................. 7,000 6,989,364
Panasonic Finance, Inc. C.P.
5.300%, 12/26/96 .................. 2,000 1,991,870
Sheffield Receivables Corp. C.P.
5.320%, 01/17/97 .................. 12,630 12,536,825
Sigma Finance Corp. C.P.
5.440%, 12/03/96 .................. 22,000 21,986,628
5.460%, 12/09/96 .................. 2,000 1,996,961
5.320%, 02/03/97 .................. 2,000 1,980,017
Stanley Works C.P.
5.330%, 12/06/96 .................. 6,000 5,993,583
Teco Finance, Inc. C.P.
5.340%, 12/03/96 .................. 5,000 4,996,961
Toronto Dominion Holdings USA, Inc.
C.P.
5.420%, 12/05/96 .................. 22,000 21,979,943
Triple-A-One Plus Funding Corp. C.P.
5.350%, 01/10/97 .................. 2,697 2,679,946
USAA Capital Corporation C.P.
5.320%, 01/16/97 .................. 1,330 1,320,388
Union Bank of Switzerland C.P.
5.900%, 12/02/96 .................. 210 209,904
--------------
TOTAL COMMERCIAL PAPER
(Cost $312,699,789) ............... 322,585,878
--------------
AGENCY OBLIGATIONS -- (13.4%)
Federal Home Loan Bank
5.715%, 03/20/98 .................. 22,000 22,041,536
6.060%, 10/02/98 .................. 25,000 25,148,625
Federal National Mortage Association
5.940%, 08/14/98 .................. 25,000 25,105,925
6.410%, 07/17/98 .................. 13,000 13,132,600
<PAGE>
DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED Face
Amount Value+
--------- --------------
(000)
Student Loan Marketing Association
7.000%, 03/03/98 .................. $ 9,400 $ 9,561,868
6.250%, 06/30/98 .................. 20,000 20,178,400
--------------
TOTAL AGENCY OBLIGATIONS (Cost
$114,459,177) ..................... 115,168,954
--------------
U.S. TREASURY OBLIGATIONS -- (5.2%)
U.S. Treasury Notes
5.000%, 01/31/98 .................. 4,000 3,976,876
6.000%, 05/31/98 .................. 20,000 20,131,260
6.250%, 06/30/98 .................. 20,000 20,212,500
--------------
TOTAL U.S. TREASURY
OBLIGATIONS (Cost $43,846,222) .... 44,320,636
--------------
SUPRANATIONAL OBLIGATIONS -- (0.6%)
African Development Bank
(Cost $5,538,171)
10.000%, 11/01/97 ................. 5,345 5,551,114
--------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97)
(Cost $4,744,000) ................. 4,744 4,744,000
--------------
TOTAL INVESTMENTS -- (99.0%)
(Cost $847,198,379) ............... 850,628,588
--------------
OTHER ASSETS AND LIABILITIES --
(1.0%)
Other Assets ....................... 8,787,482
Payable for Fund Shares Redeemed ... (31,661)
Other Liabilities .................. (91,362)
--------------
8,664,459
--------------
NET ASSETS -- (100.0%) Applicable to
85,666,560 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................ $859,293,047
==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 10.03
==============
- ------
+See Note B to Financial Statements
See accompanying Notes to Financial Statements
202
<PAGE>
STATEMENT OF NET ASSETS
DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
November 30, 1996
Face
Amount Value+
-------- --------------
(000)
BONDS -- (63.6%)
Albertson's, Inc. Medium Term Notes
5.650%, 03/26/98 .................. $3,300 $3,297,360
Anheuser-Busch Companies, Inc.
Corporate Bonds
7.500%, 12/01/97 .................. 2,800 2,849,386
Associates Corp. of North America
Corporate Bonds
7.300%, 03/15/98 .................. 2,500 2,547,993
Bayerische Landesbank U.S. Finance,
Inc. Medium Term Notes
6.250%, 07/01/98 .................. 3,000 3,025,605
Canada (Government of) Bonds
6.400%, 09/10/98 .................. 3,300 3,338,785
Chevron Canada Financial, Ltd.
Corporate Bonds
5.600%, 04/01/98 .................. 2,500 2,496,608
Coca Cola Company, Inc. Corporate
Bonds
7.875%, 09/15/98 .................. 2,625 2,716,216
Colgate-Palmolive Co. Medium Term
Notes
6.630%, 02/16/98 .................. 3,300 3,332,386
DuPont (E.I.) de Nemours & Co.
Corporate Bonds
8.650%, 12/01/97 .................. 2,500 2,571,818
FCC National Bank Medium Term Notes
6.144%, 10/30/98 .................. 3,000 3,010,242
Ford Motor Credit Co. Corporate
Bonds
9.250%, 06/15/98 .................. 3,000 3,150,657
General Electric Capital Corp.
Medium Term Notes
7.840%, 02/05/98 .................. 2,500 2,562,008
Interamerican Development Bank
Corporate Bonds
9.450%, 09/15/98 .................. 3,000 3,185,703
KFW International Finance, Inc.
Medium Term Notes
8.250%, 03/18/98 .................. 3,000 3,094,749
Lilly (Eli) & Company Medium Term
Notes
6.200%, 11/06/97 .................. 2,500 2,512,335
Morgan (J.P.) & Co. Corporate Bonds
6.362%, 08/05/98 .................. 3,000 3,027,312
National Rural Utilities Cooperative
Finance Corp. Medium Term Notes
6.875%, 06/15/98 .................. 3,000 3,049,113
Norwest Corp. Medium Term Notes
6.000%, 10/13/98 .................. 3,000 3,008,151
Ontario Hydro Medium Term Notes
5.800%, 03/31/98 .................. 1,575 1,576,257
Paccar Financial Corp. Medium Term
Notes
7.320%, 07/15/98 .................. 3,000 3,069,807
Pepsico, Inc. Corporate Bonds
6.125%, 01/15/98 .................. 2,500 2,511,785
<PAGE>
DFA TWO-YEAR CORPORATE FIXED INCOME SERIES
CONTINUED Face
Amount Value+
-------- --------------
(000)
Pitney Bowes Credit Medium Term
Notes
6.305%, 09/23/98 .................. $3,000 $3,024,384
Rockwell International Corp.
Corporate Bonds
7.625%, 02/17/98 .................. 2,500 2,556,655
Upjohn Co. Medium Term Notes
5.920%, 02/17/98 .................. 3,000 3,008,124
WMX Technologies, Inc. Medium Term
Notes
8.125%, 02/01/98 .................. 3,000 3,079,275
Wachovia Bank Medium Term Notes
5.375%, 04/15/98 .................. 3,000 2,984,976
Wal-Mart Stores, Inc. Corporate
Bonds
5.500%, 03/01/98 .................. 3,460 3,453,049
--------------
TOTAL BONDS (Cost $77,542,128) ..... 78,040,739
--------------
U.S. TREASURY OBLIGATIONS -- (26.3%)
U.S. Treasury Notes
8.125%, 02/15/98 .................. 7,000 7,207,813
6.125%, 03/31/98 .................. 20,000 20,153,125
5.125%, 03/31/98 .................. 5,000 4,976,563
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $32,085,318) ................ 32,337,501
--------------
AGENCY OBLIGATIONS -- (5.7%)
Federal National Mortage Association
5.940%, 08/14/98 .................. 2,000 2,008,474
Student Loan Marketing Association
6.250%, 06/30/98 .................. 5,000 5,044,599
--------------
TOTAL AGENCY OBLIGATIONS (Cost
$6,985,723) ....................... 7,053,073
--------------
SUPRANATIONAL OBLIGATIONS -- (0.7%)
African Development Bank
(Cost $769,030)
10.000%, 11/01/97 ................. 745 773,729
--------------
TEMPORARY CASH INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Bills 4.93%, 01/16/97)
(Cost $2,324,000) ................. 2,324 2,324,000
--------------
TOTAL INVESTMENTS -- (98.2%) (Cost
$119,706,199) ..................... 120,529,042
--------------
OTHER ASSETS AND LIABILITIES -- (1.8%)
Other Assets ....................... 2,281,810
Liabilities ........................ (24,534)
--------------
2,257,276
--------------
NET ASSETS -- (100.0%) Applicable to
12,146,971 Outstanding $.01 Par
Value Shares (Unlimited Number of
Shares Authorized) ................ $122,786,318
===============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE ........ $ 10.11
===============
- ----------
+See Note B to Financial Statements
See accompanying Notes to Financial Statements
203
<PAGE>
STATEMENT OF NET ASSETS
THE DFA TWO-YEAR GOVERNMENT SERIES
NOVEMBER 30, 1996
<TABLE>
<CAPTION>
Face
Amount Value+
-------- -------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (97.5%)
U.S. Treasury Notes .....................................
5.125%, 02/28/98 ....................................... $ 5,000 $ 4,975,000
6.125%, 03/31/98 ....................................... 3,000 3,022,969
6.000%, 09/30/98 ....................................... 40,000 40,287,555
5.875%, 10/31/98 ....................................... 30,800 30,949,188
5.500%, 11/15/98 ....................................... 22,800 22,753,688
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $101,631,285) .................................... 101,988,400
-------------
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Securities Corp. 5.45%,
12/02/96 (Collateralized by U.S. Treasury Bills 4.93%,
01/16/97)
(Cost $1,914,000) ...................................... 1,914 1,914,000
-------------
TOTAL INVESTMENTS -- (99.3%) (Cost $103,545,285) ........ 103,902,400
-------------
OTHER ASSETS AND LIABILITIES -- (0.7%)
Other Assets .......................................... 766,136
Liabilities ........................................... (21,286)
-------------
744,850
-------------
NET ASSETS -- (100.0%) .................................. $104,647,250
=============
</TABLE>
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
204
<PAGE>
STATEMENT OF NET ASSETS
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
NOVEMBER 30, 1996
Face
Amount @ Value+
--------- ------------
(000)
CANADA -- (29.0%)
BONDS -- (28.4%)
Alberta (Province of)
7.750%, 02/04/98 .................... 7,000 $ 5,453,007
Bayerische Landesbank Girozentrale
8.375%, 11/23/98 .................... 1,627 1,303,651
British Columbia (Providence of)
10.000%, 10/09/98 ................... 4,000 3,283,648
British Columbia (Province of) Series
BCCD-O
7.000%, 03/02/98 .................... 7,000 5,420,912
Canada (Government of)
6.500%, 09/01/98 .................... 11,000 8,545,495
Denmark (Kingdom of)
7.500%, 03/10/98 .................... 3,000 2,334,594
Deutsche Finance BV, Netherlands
7.750%, 01/28/98 .................... 9,000 6,996,440
Electricite de France
7.750%, 02/09/98 .................... 9,000 7,001,780
European Investment Bank
9.000%, 08/17/98 .................... 2,000 1,607,267
Export Development Corp.
6.625%, 08/12/98 .................... 3,000 2,323,471
General Electric Capital Corp.
8.000%, 01/27/98 .................... 3,000 2,336,819
General Electric Capital Corp.
Series B & C Euro Medium Term Notes
6.375%, 11/09/98 .................... 2,000 1,544,679
KFW International Finance, Inc.
7.750%, 02/25/98 .................... 4,000 3,110,419
Kellogg Co.
6.250%, 10/12/98 .................... 5,000 3,854,283
Minnesota Mining & Manufacturing Co.
6,500%, 10/15/98 .................... 8,800 6,816,166
Norway (Kingdom of)
7.250%, 10/22/98 .................... 2,000 1,568,409
Ontario (Province of)
10.625%, 07/15/98 ................... 9,300 7,617,241
Ontario-Hydro
10.375%, 06/16/98 ................... 2,000 1,633,667
Rabobank Nederland Euro Medium Term
Notes
7.250%, 03/31/98 .................... 6,000 4,651,835
Regional Municipality of Ottawa
Carleton
9.375%, 05/15/98 .................... 5,184 4,149,891
Toyota Credit Canada, Inc.
7.125%, 06/01/98 .................... 2,550 1,980,812
World Bank (European Bank for
Reconstruction and Development)
7.375%, 03/30/98 .................... 2,000 1,553,578
World Bank (International Bank for
Reconstruction and Development)
7.250%, 03/23/98 .................... 3,000 2,324,805
6.250%, 10/15/98 .................... 5,000 3,854,283
------------
TOTAL BONDS (Cost $88,099,951) ....... 91,267,152
------------
<PAGE>
DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
Face
Amount @ Value+
-------- --------------
(000)
INVESTMENT IN CURRENCY -- (0.6%)
*Canadian Dollars (Cost $1,764,401) .. $ 1,756,127
------------
TOTAL -- CANADA
(Cost $89,864,352) .................. 93,023,279
------------
UNITED STATES -- (16.7%)
BONDS -- (16.4%)
Associates Corp. of North America
6.625%, 05/15/98 .................... 5,250 5,309,430
Bayerische Landesbank Girozentrale
6.250%, 07/01/98 .................... 6,000 6,051,000
Chevron Canada Finance, Ltd.
5.600%, 04/01/98 .................... 2,225 2,221,981
Chubu Electric Power Co., Inc.
8.250%, 09/25/98 .................... 3,515 3,656,655
Emerson Electric Co.
7.875%, 06/05/98 .................... 8,000 8,221,600
FCC National Bank
6.144%, 10/30/98 .................... 2,000 2,006,828
Ford Motor Credit Co.
6.250%, 02/26/98 .................... 7,000 7,041,300
Pitney Bowes Credit Corp.
6.305%, 09/23/98 .................... 8,000 8,065,024
Tokyo Electric Power Co., Inc.
8.750%, 08/28/98 .................... 5,700 5,965,620
Wachovia Bank Euro Medium Term Notes
4.900%, 10/15/98 .................... 2,000 1,966,284
Wal-Mart Stores, Inc.
5.500%, 03/01/98 .................... 1,750 1,746,500
------------
TOTAL BONDS (Cost $51,901,326) ....... 52,252,222
------------
AGENCY OBLIGATIONS -- (0.3%)
Federal Home Loan Bank
(Cost $999,172)
5.715%, 03/20/98 .................... 1,000 1,001,888
------------
TOTAL -- UNITED STATES
(Cost $52,900,498) .................. 53,254,110
------------
GERMANY -- (13.9%)
BONDS -- (13.9%)
Belgium (Kingdom of)
6.375%, 03/30/98 .................... 9,000 6,064,237
Dresdner Finance BV, Amsterdam
8.000%, 03/17/98 .................... 8,000 5,500,814
Eurofima Europaeische Gesellschaft
Fuer Die Finanzierung Von
Eisenbahnmaterial, Basel
6.250%, 07/20/98 .................... 5,000 3,383,339
International Finance Corp. Euro
Medium Term Notes
5.000%, 04/27/98 .................... 2,000 1,327,302
LKB Baden-Wuerttemberg Finance NV
7.000%, 02/09/98 .................... 11,000 7,443,345
Landesbank Hessen-Thueringen
Girozentrale
5.500%, 08/14/98 .................... 4,500 3,029,775
205
<PAGE>
DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
Face
Amount @ Value+
-------- --------------
(000)
Landesbank Hessen-Thueringen
Girozentrale
8.500%, 10/01/98 .................... 8,000 $ 5,662,219
McDonald's Corp.
6.250%, 05/27/98 .................... 3,000 2,026,294
Nippon Telegraph & Telephone Corp.
6.125%, 02/08/98 .................... 6,587 4,410,482
Treuhandanstalt
6.125%, 06/25/98 .................... 8,000 5,402,929
------------
TOTAL BONDS (Cost $45,036,560) ....... 44,250,736
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $616) ............ 607
------------
TOTAL -- GERMANY
(Cost $45,037,176) .................. 44,251,343
------------
UNITED KINGDOM -- (12.6%)
BONDS -- (12.1%)
Abbey National Treasury Services
P.L.C.
7.750%, 06/23/98 .................... 4,000 6,798,636
Deutsche Siedlungs &
Landesrentenbank
7.750%, 08/12/98 .................... 4,669 7,935,708
Eksportfinans ASA
7.250%, 11/30/98 .................... 2,000 3,371,077
KFW International Finance, Inc.
7.875%, 07/06/98 .................... 3,115 5,300,198
National & Provincial Building
Society
8.250%, 11/04/98 .................... 1,000 1,717,142
National Grid Co. P.L.C.
7.375%, 03/26/98 .................... 3,000 5,065,694
Nordic Investment Bank
7.750%, 08/13/98 .................... 5,000 8,497,455
------------
TOTAL BONDS (Cost $36,199,815) ....... 38,685,910
------------
INVESTMENT IN CURRENCY -- (0.5%)
*British Pound Sterling
(Cost $1,584,385) ................... 1,595,800
------------
TOTAL -- UNITED KINGDOM
(Cost $37,784,200) .................. 40,281,710
------------
NETHERLANDS -- (10.6%)
BONDS -- (10.6%)
Austria (Republic of)
6.250%, 03/25/98 .................... 2,000 1,200,696
Bank Voor Nederlandsche
Gemeenten NV
6.750%, 10/15/98 .................... 13,000 7,928,944
Credit Local de France SA
7.000%, 03/09/98 .................... 4,500 2,722,448
Denmark (Kingdom of)
6.125%, 08/20/98 .................... 9,000 5,429,234
General Electric Capital Corp.
7.000%, 02/24/98 .................... 6,500 3,928,654
<PAGE>
DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
Face
Amount @ Value+
-------- --------------
(000)
Netherlands (Kingdom of)
6.750%, 10/01/98 .................... 3,000 $ 1,835,847
6.250%, 07/15/98 .................... 12,000 7,245,940
Sara Lee Corp.
6.500%, 05/15/98 .................... 3,179 1,917,726
Toyota Motor Credit Corp. Euro Medium
Term Notes
6.750%, 03/23/98 .................... 2,500 1,506,671
------------
TOTAL BONDS (Cost $34,282,137) ....... 33,716,160
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $39) ...... 39
------------
TOTAL -- NETHERLANDS
(Cost $34,282,176) .................. 33,716,199
------------
JAPAN -- (7.7%)
BONDS -- (7.7%)
Deutsche Bank Finance NV
4.375%, 07/16/98 .................... 125,000 1,162,127
Inter-American Development Bank
4.250%, 07/16/98 .................... 700,000 6,507,909
European Investment Bank
4.375%, 06/30/98 .................... 800,000 7,437,610
Oesterreichische Kontrollbank AG
6.500%, 09/19/98 .................... 700,000 6,772,407
World Bank (International Bank of
Reconstruction and Development)
5.250%, 08/19/98 .................... 300,000 2,836,555
------------
TOTAL BONDS
(Cost $25,464,754) .................. 24,716,608
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $15) ............. 15
------------
TOTAL -- JAPAN
(Cost $25,464,769) .................. 24,716,623
------------
FRANCE -- (5.9%)
BONDS -- (5.9%)
Caisse Nationale des Autoroutes
10.000%, 03/05/98 ................... 7,000 1,441,295
Regie Autonome des Transports
Parisiens SA
8.800%, 03/14/98 .................... 22,880 4,649,623
France (Republic of)
4.500%, 10/12/98 .................... 34,000 6,594,867
Halifax Building Society Euro Medium
Term Notes
7.500%, 03/06/98 .................... 30,000 5,998,850
------------
TOTAL BONDS
(Cost $18,883,781) .................. 18,684,635
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $6) ............. 6
------------
TOTAL -- FRANCE
(Cost $18,883,787) 18,684,641
------------
206
<PAGE>
DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
Face
Amount @ Value+
--------- --------------
<S> <C> <C>
(000)
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96 (Collateralized by U.S.
Treasury Bills 4.93%, 01/16/97)
(Cost $4,026,000) ...................................... $4,026 $ 4,026,000
--------------
TOTAL INVESTMENTS -- (97.7%) (Cost $308,242,958) ........ 311,953,905
--------------
OTHER ASSETS AND LIABILITIES -- (2.3%)
Unrealized Gain on Forward Foreign Currency Contracts .. 2,284,554
Other Assets ........................................... 11,788,658
Payable for Investment Securities Purchased ............ (6,690,890)
Other Liabilities ...................................... (63,967)
--------------
7,318,355
--------------
NET ASSETS -- (100.0% ) Applicable to 30,862,945
Outstanding $.01 Par Value Shares (Unlimited number of
shares authorized) ..................................... $319,272,260
==============
NET ASSET VALUE OFFERING AND REDEMPTION PRICE PER SHARE . $ 10.34
==============
- ------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
[@00de]nominated in Local Currency
</TABLE>
See accompanying Notes to Financial Statements
207
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR (OR PERIOD) ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. The U.S. The Enhanced The U.S. The U.S.
6-10 Small Large U.S. Large Small Cap Large Cap
Company Company Company Value Value
Series Series Series(1) Series Series
------------ ---------- -------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Investment Income
Dividends .......................... $ 2,686 $ 5,468 $ 1 $ 12,048 $ 17,208
Interest ........................... 382 98 425 1,278 718
Income from Securities Lending ..... 114 7 --- 242 18
------------ ---------- -------------- ----------- -----------
Total Investment Income ......... 3,182 5,573 426 13,568 17,944
------------ ---------- -------------- ----------- -----------
Expenses
Investment Advisory Services ....... 81 62 4 1,933 699
Accounting & Transfer Agent Fees ... 176 67 9 625 451
Custodian's Fees ................... 49 64 5 174 126
Legal Fees ......................... 4 71 1 14 10
Audit Fees ......................... 8 9 1 27 19
Shareholders' Reports .............. 7 5 1 23 17
Trustees' Fees and Expenses ........ 3 3 1 9 6
Other .............................. 16 10 3 36 23
------------ ---------- -------------- ----------- -----------
Total Expenses .................. 344 291 25 2,841 1,351
------------ ---------- -------------- ----------- -----------
Net Investment Income .............. 2,838 5,282 401 10,727 16,593
------------ ---------- -------------- ----------- -----------
Net Realized and Unrealized Gain
(Loss) on Investments
Net Realized Gain (Loss) on Investment
Securities ......................... 30,043 (18) 142 57,358 52,525
Net Realized Loss on Foreign Currency
Transactions ....................... -- -- (28) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Futures ............................ -- -- 3,290 -- --
Swap Contract ...................... -- -- 380 -- --
Investment Securities and Foreign
Currency ........................ 10,563 63,985 67 131,332 82,209
Translation of Foreign Currency
Denominated Amounts ............. -- -- 172 -- --
------------ ---------- -------------- ----------- -----------
Net Gain on Investment Securities .. 40,606 63,967 4,023 188,690 134,734
------------ ---------- -------------- ----------- -----------
Net Increase in Net Assets Resulting
from Operations .................... $43,444 $69,249 $4,424 $199,417 $151,327
============ ========== ============== =========== ===========
</TABLE>
- ------
(1) For the period July 3, (commencement of operations) to November 30, 1996.
See accompanying Notes to Financial Statements
208
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR (OR PERIOD) ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The The The United The
Japanese Pacific Rim Kingdom Continental The DFA
Small Small Small Small International
Company Company Company Company Value
Series(1) Series(1) Series(1) Series(1) Series
----------- ------------- ------------ ------------- ---------------
<S> <C> <C> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes
Withheld of $116, $3, $273, $47
and $2,119, respectively) ........ $ 659 $ 1,843 $ 1,659 $ 463 $ 25,231
Interest ............................ 59 58 43 86 1,492
Income from Securities Lending ...... 413 30 -- 33 815
----------- ------------- ------------ ------------- ---------------
Total Investment Income .......... 1,131 1,931 1,702 582 27,538
----------- ------------- ------------ ------------- ---------------
Expenses
Investment Advisory Services ........ 106 65 52 100 2,124
Accounting & Transfer Agent Fees .... 122 80 65 118 690
Custodian's Fees .................... 47 128 14 54 871
Legal Fees .......................... 4 2 2 3 16
Audit Fees .......................... 16 11 9 16 28
Shareholders' Reports ............... 7 4 4 7 20
Trustees' Fees and Expenses ......... 2 1 1 2 10
Other ............................... 11 6 5 9 54
----------- ------------- ------------ ------------- ---------------
Total Expenses ................... 315 297 152 309 3,813
----------- ------------- ------------ ------------- ---------------
Net Investment Income ............... 816 1,634 1,550 273 23,725
----------- ------------- ------------ ------------- ---------------
Net Realized and Unrealized Gain (Loss)
on Investments and Foreign Currency
Net Realized Gain (Loss) on Investment
Securities .......................... (540) 1,507 (65) 4,083 27,321
Net Realized Foreign Exchange Gain
(Loss) on Foreign Currency
Transactions ........................ (33) (3) 65 4 (82)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ......................... (31,608) 11,126 16,738 3,231 80,434
Translation of Foreign Currency
Denominated Amounts .............. (6) 11 8 (71) 9
----------- ------------- ------------ ------------- ---------------
Net Gain (Loss) on Investment
Securities and Foreign Currency .. (32,187) 12,641 16,746 7,247 107,682
----------- ------------- ------------ ------------- ---------------
Net Increase (Decrease) in Net Assets
Resulting from Operations ........... ($ 31,371) $14,275 $18,296 $7,520 $131,407
=========== ============= ============ ============= ===============
</TABLE>
- ------
(1) For the period August 9 (commencement of operations) to November 30,
1996.
See accompanying Notes to Financial Statements
209
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR (OR PERIODS) ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
The The DFA Two-Year The DFA Two-Year
Emerging One-Year Corporate Two-Year Global
Markets Fixed Income Fixed Income Government Fixed Income
Series Series Series(1) Series(1) Series(2)
---------- -------------- -------------- ------------ --------------
<S> <C> <C> <C> <C> <C>
Investment Income
Dividends, (Net of Foreign Taxes
Withheld of $196, $0, $0, $0 and
$0, respectively) ................ $2,253 -- -- -- --
Interest ............................ 282 $44,220 $3,344 $2,752 $10,100
---------- -------------- -------------- ------------ --------------
Total Investment Income .......... 2,535 44,220 3,344 2,752 10,100
---------- -------------- -------------- ------------ --------------
Expenses
Investment Advisory Services ........ 111 386 82 69 108
Accounting & Transfer Agent Fees .... 137 200 26 23 227
Custodian's Fees .................... 388 96 7 6 68
Legal Fees .......................... 55 5 1 1 6
Audit Fees .......................... 6 8 2 2 12
Shareholders' Reports ............... 7 7 2 1 10
Trustees' Fees and Expenses ......... 2 3 1 1 3
Other ............................... 26 23 1 1 4
---------- -------------- -------------- ------------ --------------
Total Expenses ................... 732 728 122 104 438
---------- -------------- -------------- ------------ --------------
Net Investment Income ................. 1,803 43,492 3,222 2,648 9,662
---------- -------------- -------------- ------------ --------------
Net Realized and Unrealized Gain (Loss)
on Investments and Foreign Currency
Net Realized Gain (Loss) on Investment
Securities .......................... 43 (301) 164 504 241
Net Realized Foreign Exchange Gain
(Loss) on Foreign Currency
Transactions ........................ (78) -- -- -- 527
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency ......................... 5,536 3,135 823 357 3,711
Translation of Foreign Currency
Denominated Amounts .............. 7 -- -- -- 2,297
---------- -------------- -------------- ------------ --------------
Net Gain on Investment Securities and
Foreign Currency ................. 5,508 2,834 987 861 6,776
---------- -------------- -------------- ------------ --------------
Net Increase in Net Assets Resulting
from Operations ..................... $7,311 $46,326 $4,209 $3,509 $16,438
========== ============== ============== ============ ==============
</TABLE>
- ------
(1) For the period June 7 (commencement of operations) to November 30, 1996.
(2) For the period February 9 (commencement of operations) to November 30,
1996.
See accompanying Notes to Financial Statements
210
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The Enhanced
U.S. Large
The U.S. 6-10 Small The U.S. Large Company
Company Series Company Series Series
-------------------------- -------------------------- --------------
Year Ended Year Ended Year Ended Year Ended July 3, to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1995 1996
------------ ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ........................... $ 2,838 $ 2,254 $ 5,282 $ 1,965 $ 401
Net Realized Gain (Loss) on
Investment Securities ........................ 30,043 16,628 (18) 172 142
Net Realized Loss on Foreign Currency
Transactions................................... -- -- -- -- (28)
Change in Unrealized Appreciation
(Depreciation) of:
Futures ...................................... -- -- -- -- 3,290
Swap Contract ................................ -- -- -- -- 380
Investment Securities and Foreign Currency ... 10,563 29,313 63,985 21,274 67
Translation of Foreign Currency
Denominated Amounts ........................ -- -- -- -- 172
------------ ------------ ------------ ------------ --------------
Net Increase in Net Assets Resulting from
Operations .................................. 43,444 48,195 69,249 23,411 4,424
------------ ------------ ------------ ------------ --------------
Distributions From:
Net Investment Income ........................... (2,841) (2,197) (1,215) (1,886) (332)
Net Realized Gains .............................. (12,248) (12,660) (686) -- --
------------ ------------ ------------ ------------ --------------
Total Distributions .......................... (15,089) (14,857) (1,901) (1,886) (332)
------------ ------------ ------------ ------------ --------------
Capital Share Transactions (1):
Shares Issued ................................... 73,274 44,394 32,324 31,424 25,091
Shares Issued in Lieu of Cash Distributions ..... 14,860 12,291 1,744 1,585 332
Shares Redeemed ................................. (70,072) (11,669) (10,535) (6,073) (302)
------------ ------------ ------------ ------------ --------------
Net Increase from Capital Share Transactions . 18,062 45,016 23,533 26,936 25,121
------------ ------------ ------------ ------------ --------------
Transactions in Interest (1):
Contributions ................................... -- -- 309,297 -- --
Withdrawals ..................................... -- -- (30,855) -- --
------------ ------------ ------------ ------------ --------------
Net Increase from Transactions in Interest ...... -- -- 278,442 -- --
------------ ------------ ------------ ------------ --------------
Total Increase ............................... 46,417 78,354 369,323 48,461 29,213
Net Assets
Beginning of Period ............................. 221,984 143,630 97,118 48,657 --
------------ ------------ ------------ ------------ --------------
End of Period ................................... $268,401 $221,984 $466,441 $97,118 $29,213
============ ============ ============ ============ ==============
(1) Shares Issued and Redeemed:
Shares Issued ................................ 6,163 4,479 2,257 2,738 2,484
Shares Issued in Lieu of Cash Distribution ... 1,340 1,283 121 135 28
Shares Redeemed .............................. (5,840) (1,104) (754) (484) (27)
------------ ------------ ------------ ------------ --------------
1,663 4,658 1,624 2,389 2,485
============ ============ ============ ============ ==============
</TABLE>
(1) For The U.S. Large Company Series, Capital Share Transactions and Shares
Issued and Redeemed are reported through May 31, 1996, Transactions in
Interest are reported for the period June 1, through November 30, 1996.
Effective June 1, 1996, the Series was reorganized as a partnership.
See accompanying Notes to Financial Statements
211
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The U.S. Small Cap The U.S. Large Cap
Value Series Value Series
---------------------------- ----------------------------
Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............................ $ 10,727 $ 5,958 $ 16,593 $ 8,688
Net Realized Gain on Investment Securities ....... 57,358 22,264 52,525 21,645
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities ............................ 131,332 92,111 82,209 68,474
------------ ------------ ------------ ------------
Net Increase in Net Assets
Resulting from Operations ..................... 199,417 120,333 151,327 98,807
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income ............................ (10,581) (5,753) (16,460) (8,440)
Net Realized Gains ............................... (15,728) (7,740) (11,101) (5,278)
------------ ------------ ------------ ------------
Total Distributions ........................... (26,309) (13,493) (27,561) (13,718)
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued .................................... 470,306 172,434 470,093 209,434
Shares Issued in Lieu of Cash Distributions ...... 25,751 10,353 25,800 11,274
Shares Redeemed .................................. (45,295) (15,561) (54,744) (81,618)
------------ ------------ ------------ ------------
Net Increase from Capital Share Transactions .. 450,762 167,226 441,149 139,090
------------ ------------ ------------ ------------
Total Increase ................................ 623,870 274,066 564,915 224,179
Net Assets
Beginning of Period .............................. 624,343 350,277 423,027 198,848
------------ ------------ ------------ ------------
End of Period .................................... $1,248,213 $624,343 $987,942 $423,027
============ ============ ============ ============
(1) Shares Issued and Redeemed:
Shares Issued ................................. 32,133 13,765 33,894 18,580
Shares Issued in Lieu of Cash Distribution .... 1,749 774 1,923 1,049
Shares Redeemed ............................... (3,121) (1,423) (3,976) (7,857)
------------ ------------ ------------ ------------
30,761 13,116 31,841 11,772
============ ============ ============ ============
</TABLE>
See accompanying Notes to Financial Statements
212
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The United The
The Japanese The Pacific Kingdom Continental
Small Rim Small Small Small
Company Company Company Company
Series Series Series Series
-------------- ------------- ------------ -------------
Aug. 9 to Aug. 9 to Aug. 9 to Aug. 9 to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1996 1996 1996
-------------- ------------- ------------ -------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income .................................. $ 816 $ 1,634 $ 1,550 $ 273
Net Realized Gain (Loss) on Investment Securities ...... (540) 1,507 (65) 4,083
Net Realized Gain (Loss) on Foreign Currency Transactions (33) (3) 65 4
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ........ (31,608) 11,126 16,738 3,231
Translation of Foreign Currency Denominated Amounts . (6) 11 8 (71)
-------------- ------------- ------------ -------------
Net Increase (Decrease) in Net Assets Resulting from
Operations ...................................... (31,371) 14,275 18,296 7,520
-------------- ------------- ------------ -------------
Transactions in Interest:
Contributions ........................................ 393,877 232,462 178,848 360,586
Withdrawals .......................................... (32,824) (15,256) (14,519) (32,224)
-------------- ------------- ------------ -------------
Net Increase from Transactions in Interest ........... 361,053 217,206 164,329 328,362
-------------- ------------- ------------ -------------
Total Increase ....................................... 329,611 231,481 182,625 335,882
Net Assets
Beginning of Period .................................. -- -- -- --
-------------- ------------- ------------ -------------
End of Period ........................................ $329,682 $231,481 $182,625 $335,882
============== ============= ============ =============
</TABLE>
See accompanying Notes to Financial Statements
213
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA International The Emerging
Value Series Markets Series
---------------------------- ----------------------------
Year Ended Year Ended Year Ended Year Ended
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............................ $ 23,725 $ 10,034 $ 1,803 $ 516
Net Realized Gain (Loss) on Investment Securities . 27,321 5,849 43 (168)
Net Realized Loss on Foreign Currency Transactions . (82) (10) (78) (57)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency ....... 80,434 17,388 5,536 (2,549)
Translation of Foreign Currency
Denominated Amounts............................ 9 (27) 7 (3)
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations .................... 131,407 33,234 7,311 (2,261)
------------ ------------ ------------ ------------
Distributions From:
Net Investment Income ............................ (23,445) (9,950) -- --
Net Realized Gains ............................... (4,744) (1,200) -- --
------------ ------------ ------------ ------------
Total Distributions ........................... (28,189) (11,150) -- --
------------ ------------ ------------ ------------
Capital Share Transactions (1):
Shares Issued .................................... 1,084,901 315,270 -- --
Shares Issued in Lieu of Cash Distributions ...... 28,189 11,150 -- --
Shares Redeemed .................................. (468,842) (87,499) -- --
------------ ------------ ------------ ------------
Net Increase From Capital Share Transactions .. 644,248 238,921 -- --
------------ ------------ ------------ ------------
Transactions in Interest:
Contributions .................................... -- -- 108,247 37,476
Withdrawals ...................................... -- -- (2,834) (1,588)
------------ ------------ ------------ ------------
Net Increase from Transactions in Interest .... -- -- 105,413 35,888
------------ ------------ ------------ ------------
Total Increase ................................ 747,466 261,005 112,724 33,627
Net Assets
Beginning of Period .............................. 609,386 348,381 49,351 15,724
------------ ------------ ------------ ------------
End of Period .................................... $1,356,852 $609,386 $162,075 $49,351
============ ============ ============ ============
(1) Shares Issued and Redeemed:
Shares Issued ................................. 95,652 30,947 N/A N/A
Shares Issued in Lieu of Cash Distribution .... 2,494 1,069
Shares Redeemed ............................... (40,798) (8,862)
------------ ------------
57,348 23,154
============ ============
</TABLE>
See accompanying Notes to Financial Statement
214
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
The DFA The DFA
Two-Year The DFA Two-Year
Corporate Two-Year Global
The DFA One-Year Fixed Income Government Fixed Income
Fixed Income Series Series Series Series
-------------------------- -------------- ------------ --------------
Year Ended Year Ended June 7 to June 7 to Feb. 9 to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1996 1996
------------ ------------ -------------- ------------ --------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net Investment Income ............................. $ 43,492 $ 37,419 $ 3,222 $ 2,648 $ 9,662
Net Realized Gain (Loss) on Investment Securities . (301) 2,292 164 504 241
Net Realized Gain on Foreign
Currency Transactions ............................ -- -- -- -- 527
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency ..... 3,135 7,204 823 357 3,711
Translation of Foreign Currency
Denominated Amounts............................ -- -- -- -- 2,297
------------ ------------ -------------- ------------ --------------
Net Increase in Net Assets Resulting from
Operations..................................... 46,326 46,915 4,209 3,509 16,438
------------ ------------ -------------- ------------ --------------
Distributions From:
Net Investment Income ............................. (42,530) (36,973) (3,053) -- (6,900)
Net Realized Gains ................................ -- -- -- -- --
------------ ------------ -------------- ------------ --------------
Total Distributions ............................ (42,530) (36,973) (3,053) -- (6,900)
------------ ------------ -------------- ------------ --------------
Capital Share Transactions (1):
Shares Issued ..................................... 520,113 243,191 126,154 -- 323,241
Shares Issued in Lieu of Cash Distributions ....... 32,939 26,791 1,641 -- 6,900
Shares Redeemed ................................... (403,109) (166,656) (6,165) -- (20,407)
------------ ------------ -------------- ------------ --------------
Net Increase From Capital Share Transactions ... 149,943 103,326 121,630 -- 309,734
------------ ------------ -------------- ------------ --------------
Transactions in Interest:
Contributions ..................................... -- -- -- 109,613 --
Withdrawals ....................................... -- -- -- (8,475) --
------------ ------------ -------------- ------------ --------------
Net Increase from Transactions in Interest ..... -- -- -- 101,138 --
------------ ------------ -------------- ------------ --------------
Total Increase ................................. 153,739 113,268 122,786 104,647 319,272
Net Assets
Beginning of Period ............................... 705,554 592,286 -- -- --
------------ ------------ -------------- ------------ --------------
End of Period ..................................... $ 859,293 $ 705,554 $122,786 $104,647 $319,272
============ ============ ============== ============ ==============
(1) Shares Issued and Redeemed:
Shares Issued .................................. 52,148 24,470 12,591 N/A 32,201
Shares Issued in Lieu of Cash Distribution ..... 3,311 2,710 163 683
Shares Redeemed ................................ (40,380) (16,810) (607) (2,021)
------------ ------------ -------------- --------------
15,079 10,370 12,147 30,863
============ ============ ============== ==============
</TABLE>
See accompanying Notes to Financial Statements
215
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. 6-10 Small Company Series
--------------------------------------------------
Year Year Year Feb. 3
Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............. $ 11.26 $ 9.54 $ 10.39 $ 10.00
---------- ---------- ---------- ---------
Income From Investment
- ----------------------
Operations (2)
--------------
Net Investment Income .......... 0.13 0.12 0.12 0.10
Net Gain (Losses) on Securities
(Realized and Unrealized) ... 1.92 2.50 (0.07) 0.54
---------- ---------- ---------- ---------
Total From Investment
Operations ..................... 2.05 2.62 0.05 0.64
- ---------------------------------------------------------------------------------------
Less Distributions (2)
- ----------------------
Net Investment Income .......... (0.13) (0.12) (0.11) (0.10)
Net Realized Gains ............. (0.62) (0.78) (0.79) (0.15)
---------- ---------- ---------- ---------
Total Distributions ............. (0.75) (0.90) (0.90) (0.25)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of Period (2) $ 12.56 $ 11.26 $ 9.54 $ 10.39
========================================================================================
Total Return (2) ................. 19.17% 29.19% 0.59% 6.35%#
- ----------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ..................... $268,401 $221,984 $143,630 $161,925
Ratio of Expenses to Average Net
Assets .......................... 0.13% 0.15% 0.17% 0.17%*
Ratio of Net Investment Income to
Average Net Assets .............. 1.05% 1.18% 1.11% 1.18%*
Portfolio Turnover Rate .......... 32.38% 21.16% 27.65% 32.88%*
Average Commission Rate (1) ...... $ 0.0586 N/A N/A N/A
- ----------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The Enhanced
U.S. Large
Company
The U.S. Large Company Series Series
--------------------------------------------------- --------------
Year Year Year Feb. 8 July 3
Ended Ended Ended to to
Nov. 30, Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993 1996
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............. $ 13.48 $ 10.11 $ 10.27 $ 10.00 $ 10.00
---------- ---------- ---------- ----------- -----------
Income From Investment
- ----------------------
Operations (2)
--------------
Net Investment Income .......... 0.15 0.30 0.28 0.24 0.16
Net Gain (Losses) on Securities
(Realized and Unrealized) ... 1.41 3.36 (0.14) 0.26 1.74
---------- ---------- ---------- ----------- -----------
Total From Investment
Operations ..................... 1.56 3.66 0.14 0.50 1.90
- ----------------------------------------------------------------------------------------------------------
Less Distributions (2)
- ----------------------
Net Investment Income .......... (0.16) (0.29) (0.29) (0.23) (0.14)
Net Realized Gains ............. (0.08) -- (0.01) -- --
---------- ---------- ---------- ----------- -----------
Total Distributions ............. (0.24) (0.29) (0.30) (0.23) (0.14)
- ----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period (2) $ 14.80 $ 13.48 $ 10.11 $ 10.27 $ 11.76
==========================================================================================================
Total Return (2) ................. 11.60%# 36.77% 1.30% 5.05%# 18.95%#
- ----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ..................... $466,441 $97,118 $48,657 $37,853 $29,213
Ratio of Expenses to Average Net
Assets .......................... 0.12% 0.02%(a) 0.02%(a) 0.02%*(a) 0.29%*(b)
Ratio of Net Investment Income to
Average Net Assets .............. 2.12% 2.61%(a) 2.83%(a) 2.87%*(a) 4.60%*(b)
Portfolio Turnover Rate .......... 14.09% 2.38% 8.52% 34.36%* 211.07%*
Average Commission Rate (1) ...... $ 0.0212 N/A N/A N/A $ 0.0200
- ----------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
(a) Had certain reimbursements not been in effect the ratios of expenses to
average net assets for the periods ended November 30, 1995, 1994 and 1993
would have been 0.18%, 0.33% and 0.48%, respectively, and the ratios of
net investment income to average net assets for the period November 30,
1995, 1994 and 1993, would have been 2.45%, 2.52% and 2.41%,
respectively.
(b) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
(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 fiscal
years beginning after September 1, 1995.
(2) For the U.S. Large Company Series, items are calculated for the period
December 1, 1995 through May 31, 1996. Effective June 1, 1996, this
Series was reorganized as a partnership, and these items are no longer
applicable.
See accompanying Notes to Financial Statements
216
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The U.S. Small Cap Value Series
----------------------------------------------------
Year Year Year March 2
Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ........... $ 14.02 $ 11.15 $ 11.04 $ 10.00
------------ ---------- ---------- ----------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income ......... 0.15 0.14 0.12 0.08
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 2.88 3.06 0.16 1.09
------------ ---------- ---------- ----------
Total From Investment
Operations .................. 3.03 3.20 0.28 1.17
- -----------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ......... (0.15) (0.14) (0.12) (0.07)
Net Realized Gains ............ (0.32) (0.19) (0.05) (0.06)
------------ ---------- ---------- ----------
Total Distributions ........... (0.47) (0.33) (0.17) (0.13)
- -----------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 16.58 $ 14.02 $ 11.15 $ 11.04
=========================================================================================
Total Return .................... 22.14% 28.81% 2.52% 11.69%#
- -----------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $1,248,213 $624,343 $350,277 $95,681
Ratio of Expenses to Average Net
Assets ........................ 0.29% 0.32% 0.32% 0.33%*
Ratio of Net Investment Income to
Average Net Assets ............ 1.11% 1.22% 1.50% 1.35%*
Portfolio Turnover Rate ......... 14.91% 20.62% 8.22% 1.07%*
Average Commission Rate (1) .... $ 0.0658 N/A N/A N/A
- -----------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The U.S. Large Cap Value Series
-------------------------------------------------
Year Year Year Feb. 19
Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 13.29 $ 9.92 $ 10.59 $ 10.00
-------- ---------- ---------- ---------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income ......... 0.31 0.32 0.33 0.20
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 2.57 3.53 (0.65) 0.58
-------- ---------- ---------- ---------
Total From Investment
Operations .................. 2.88 3.85 (0.32) 0.78
- --------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ......... (0.31) (0.31) (0.35) (0.18)
Net Realized Gains ............ (0.34) (0.17) -- (0.01)
-------- ---------- ---------- ---------
Total Distributions ........... (0.65) (0.48) (0.35) (0.19)
- --------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 15.52 $ 13.29 $ 9.92 $ 10.59
======================================================================================
Total Return .................... 22.48% 39.26% (3.13)% 7.79%#
- --------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $987,942 $423,027 $198,848 $90,271
Ratio of Expenses to Average Net
Assets ........................ 0.19% 0.21% 0.22% 0.23%*
Ratio of Net Investment Income to
Average Net Assets ............ 2.37% 2.84% 3.72% 3.75%*
Portfolio Turnover Rate ......... 20.12% 29.41% 39.33% 0.75%*
Average Commission Rate (1) ..... $ 0.0499 N/A N/A N/A
- --------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized See accompanying Notes to Financial Statements
(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 fiscal
years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
217
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The
The The United The
Japanese Pacific Rim Kingdom Continental
Small Small Small Small
Company Company Company Company
Series Series Series Series
----------- ------------- ----------- -------------
Aug. 9 Aug. 9 Aug. 9 Aug. 9
to to to to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1996 1996 1996
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ N/A+ N/A+ N/A+ N/A+
----------- ------------- ----------- -------------
Income From Investment Operations
- ---------------------------------
Net Investment Income ......... -- -- -- --
Net Gain (Losses) on Securities
(Realized and Unrealized) .. -- -- -- --
----------- ------------- ----------- -------------
Total From Investment
Operations ................. -- -- -- --
- -----------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ......... -- -- -- --
Net Realized Gains ............ -- -- -- --
----------- ------------- ----------- -------------
Total Distributions ............. -- -- -- --
- -----------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. N/A+ N/A+ N/A+ N/A+
===============================================================================================
Total Return .................... N/A+ N/A+ N/A+ N/A+
- -----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $329,682 $231,481 $182,625 $335,882
Ratio of Expenses to Average Net
Assets ........................ 0.29%*(a) 0.45%*(a) 0.29%*(a) 0.31%*(a)
Ratio of Net Investment Income to
Average Net Assets ............ 0.76%*(a) 2.50%*(a) 2.94%*(a) 0.27%*(a)
Portfolio Turnover Rate ......... 1.67%* 8.04%* 4.55%* 6.69%*
Average Commission Rate (1) ..... $ 0.0427 $ 0.0102 $ 0.0050 $ 0.0392
- -----------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA International
Value Series
-----------------------------------------
Year Year Feb. 15
Ended Ended to
Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 10.55 $ 10.06 $ 10.00
------------ ---------- -----------
Income From Investment Operations
- ---------------------------------
Net Investment Income ......... 0.23 0.20 0.13
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 1.32 0.52 0.07
------------ ---------- -----------
Total From Investment
Operations ................. 1.55 0.72 0.20
- ------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ......... (0.23) (0.21) (0.13)
Net Realized Gains ............ (0.08) (0.02) (0.01)
------------ ---------- -----------
Total Distributions ............. (0.31) (0.23) (0.14)
- ------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 11.79 $ 10.55 $ 10.06
==============================================================================
Total Return .................... 14.85% 7.20% 1.99%#
- ------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $1,356,852 $609,386 $348,381
Ratio of Expenses to Average Net
Assets ........................ 0.36% 0.42% 0.45%*(b)
Ratio of Net Investment Income to
Average Net Assets ............ 2.23% 2.14% 1.84%*(b)
Portfolio Turnover Rate ......... 12.23% 9.75% 1.90%*
Average Commission Rate (1) ..... $ 0.0112 N/A N/A
- ------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
+ Not applicable as The Japanese Small Company Series, The Pacific Rim Small
Company Series, The United Kingdom Small Company Series and The Continental
Small Company Series are organized as Partnerships.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
(b) Had certain waivers not been in effect, the ratio of expenses to average
net assets for the period ended November 30, 1994 would have been 0.48%,
and the ratio of net investment income to average net assets for the
period ended November 30, 1994 would have been 1.81%.
(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
218
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The Emerging Markets Series
-------------------------------------
Year Year April 25
Ended Ended to
Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ N/A+ N/A+ N/A+
---------- ---------- ----------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income ......... -- -- --
Net Gain (Losses) on Securities
(Realized and Unrealized) .. -- -- --
---------- ---------- ----------
Total From Investment
Operations ................... -- -- --
- -----------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ......... -- -- --
Net Realized Gains ............ -- -- --
---------- ---------- ----------
Total Distributions ........... -- -- --
- -----------------------------------------------------------------------------
Net Asset Value, End of Period .. N/A+ N/A+ N/A+
================ ................ ========== ========== ==========
Total Return .................... N/A+ N/A+ N/A+
---------------- ................ ---------- ---------- ----------
Net Assets, End of Period
(thousands) ................... $162,075 $49,351 $15,724
Ratio of Expenses to Average Net
Assets ........................ 0.66% 0.87% 1.49%*
Ratio of Net Investment Income to
Average Net Assets ............ 1.63% 1.70% 0.56%*
Portfolio Turnover Rate ......... 0.37% 8.17% 1.28%*
Average Commission Rate (2) ..... $ 0.0010 N/A N/A
- -----------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
The DFA One-Year Fixed Income Series(1)
---------------------------------------------------------
Year Year Year Feb. 8
Ended Ended Ended to
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1994 1993
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period ............ $ 10.00 $ 9.84 $ 10.06 $ 10.00
---------- ---------- ---------- ----------
Income From Investment
- ----------------------
Operations
----------
Net Investment Income ......... 0.56 0.60 0.44 0.31
Net Gain (Losses) on Securities
(Realized and Unrealized) .. 0.03 0.16 (0.18) 0.03
---------- ---------- ---------- ----------
Total From Investment
Operations ................... 0.59 0.76 0.26 0.34
- ------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ......... (0.56) (0.60) (0.43) (0.28)
Net Realized Gains ............ -- -- (0.05) --
---------- ---------- ---------- ----------
Total Distributions ........... (0.56) (0.60) (0.48) (0.28)
- ------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .. $ 10.03 $ 10.00 $ 9.84 $ 10.06
================================================================================================
Total Return .................... 6.10% 7.91% 2.61% 3.39%#
- ------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands) ................... $859,293 $705,554 $592,286 $608,428
Ratio of Expenses to Average Net
Assets ........................ 0.09% 0.10% 0.10% 0.10%*
Ratio of Net Investment Income to
Average Net Assets ............ 5.62% 6.04% 4.41% 3.80%*
Portfolio Turnover Rate ......... 95.84% 81.31% 140.82% 111.67%*
Average Commission Rate (2) ..... N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
+ Not applicable as The Emerging Markets Series is organized as a
partnership.
(1) (Restated to reflect a 900% stock dividend as of January 2, 1996)
(2) 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
219
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
The DFA The DFA
Two-Year The DFA Two-Year
Corporate Two-Year Global
Fixed Income Government Fixed Income
Series Series Series
-------------- ------------ --------------
June 7 to June 7 to Feb 9 to
Nov. 30, Nov. 30, Nov. 30,
1996 1996 1996
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period ........ $ 10.00 N/A+ $ 10.00
------------ ------------ --------------
Income From Investment Operations
- ---------------------------------
Net Investment Income ..................... 0.28 -- 0.34
Net Gain (Losses) on Securities
(Realized and Unrealized) .............. 0.09 -- 0.25
------------ ------------ --------------
Total From Investment Operations ........... 0.37 -- 0.59
- ------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ..................... (0.26) -- (0.25)
Net Realized Gains ........................ -- -- --
------------ ------------ --------------
Total Distributions ....................... (0.26) -- (0.25)
- ------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .............. $ 10.11 N/A+ $ 10.34
================================================================================================
Total Return ................................ 3.76%# N/A+ 6.01%#
- ------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) ....... $122,786 $104,647 $319,272
Ratio of Expenses to Average Net Assets ..... 0.23%*(a) 0.23%*(a) 0.20%*(a)
Ratio of Net Investment Income to Average
Net Assets ................................. 6.11%*(a) 5.95%*(a) 4.51%*(a)
Portfolio Turnover Rate ..................... 81.97%* 200.59%* 87.07%*
- ------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
+ Not applicable as The DFA Two-Year Government Series is organized as a
partnership.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements
220
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 1996, The Trust consisted of fifteen investment portfolios: The
U.S. 6-10 Small Company Series, The U.S. Large Company Series, The Enhanced
U.S. Large Company Series, The U.S. Small Cap Value Series, The U.S. Large
Cap Value Series (the "Domestic Equity Portfolios"), The Japanese Small
Company Series, The Pacific Rim Small Company Series, The United Kingdom
Small Company Series, The Continental Small Company Portfolio, The DFA
International Value Series and The Emerging Markets Series (the
"International Equity Portfolios"), The DFA One-Year Fixed Income Series, The
DFA Two-Year Corporate Fixed Income Series, The DFA Two-Year Government
Series and The DFA Two-Year Global Fixed Income Series (the "Fixed Income
Portfolios") (collectively, the "Series").
On August 9, 1996, four portfolios of DFA Investment Dimensions Group,
Inc. (the "Fund"); The Japanese Small Company Portfolio, The Pacific Rim
Small Company Portfolio, The United Kingdom Small Company Portfolio, The
Continental Small Company Portfolio, respectively, transferred their
investable assets for shares with equal values of a corresponding Series of
the Trust (the "Transfer").
On June 1, 1996 the U.S. Large Company Series ("this Series") was
reorganized from an entity taxed as a corporation to an entity taxed as a
partnership for income tax purposes. This reorganization was accomplished by
an amendment to the organization document of the Series which for income tax
purposes was treated as a liquidation of this Series, immediate distribution
of its assets to its sole shareholder at May 31, 1996, which was the U.S.
Large Company Portfolio (the "Portfolio") and subsequent contribution of
those assets from the Portfolio, along with a nominal contribution from the
Advisor to this Series to create the partnership. On June 2, 1996, an
unrelated investment company contributed assets valued at $225,957,696 to
this Series in exchange for a 63.4% interest in this Series. The total net
assets of this Series increased to $356,632,854 immediately following this
transaction. These transactions are expected to be tax-free events to all
parties involved based on rulings obtained from the Internal Revenue Service.
For financial reporting purposes, this Series continues to exist and as such,
will maintain all of its previous operating history throughout the financial
statements.
On December 20, 1995, the Board of Trustees of The DFA Investment Trust
Company approved a 900% stock dividend under Delaware Trust Law, which is
treated as a 10 for 1 stock split for financial reporting purposes for The
DFA One-Year Fixed Income Series. 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 this series. All share and per
share data as of and for the period ended November 30,1995 and all prior
periods 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 the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent bid and
asked prices. Securities held by the International Equity Portfolios which
are listed on a securities exchange are valued at the last quoted sale price.
Price information on listed securities is taken from the exchange where the
security is primarily traded.
221
<PAGE>
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.
Fixed income instruments held by The Enhanced U.S. Large Company Series
and the Fixed Income Portfolios are valued on the basis of prices provided by
a pricing service when such prices are believed to reflect the fair market
value of such securities.
2. Foreign Currency Translation: Securities, other assets and liabilities
of The Enhanced U.S. Large Company Series, the International Equity
Portfolios and The DFA Two-Year Global Fixed Income Series whose values are
initially expressed in foreign currencies are translated to U.S. dollars at
the bid price of such currency against U.S. dollars last quoted by a major
bank. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to
market daily based on daily exchange rates and exchange gains or losses are
realized upon ultimate receipt or disbursement. The Enhanced U.S. Large
Company Series and The DFA Two-Year Global Fixed Income Series also enter
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 isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange 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 amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. Federal Income Taxes: It the intention of The U.S. 6-10 Small Company
Series, The Enhanced U.S. Large Company Series, The U.S. Small Cap Value
Series, The U.S. Large Cap Value Series The DFA International Value Series,
The DFA One-Year Fixed Income Series, The DFA Two-Year Corporate Fixed Income
Series, and The DFA Two-Year Global Fixed Income Series to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series,
The Continental Small Company Series, The Emerging Markets Series and The DFA
Two-Year Government Series are treated as partnerships for federal income tax
purposes. Any interest, dividends and gains or losses of these Series will be
deemed to have been "passed through" to their Feeder Funds.
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 an accrual
basis. Discount and premium on securities purchased are amortized over the
lives of the respective securities. Expenses directly attributable to a
Series are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
222
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. (the "Advisor") provides investment
advisory services to the Trust. For the year ended November 30, 1996, the
Series' advisory fees were computed daily and paid monthly to the Advisor
based on the following effective annual rates:
The U.S. 6-10 Small Company Series ............... .03 of 1%
The U.S. Large Company Series .................... .025 of 1%
The Enhanced U.S. Large Company Series ........... .05 of 1%
The U.S. Small Cap Value Series .................. .20 of 1%
The U.S. Large Cap Value Series .................. .10 of 1%
The Japanese Small Company Series ................ .10 of 1%
The Pacific Rim Small Company Series ............. .10 of 1%
The United Kingdom Small Company Series .......... .10 of 1%
The Continental Small Company Series ............. .10 of 1%
The DFA International Value Series ............... .20 of 1%
The Emerging Markets Series ...................... .10 of 1%
The DFA One-Year Fixed Income Series ............. .05 of 1%
The DFA Two-Year Corporate Fixed Income Series ... .15 of 1%
The DFA Two-Year Government Series ............... .15 of 1%
The DFA Two-Year Global Fixed Income Series ...... .05 of 1%
Through November 30, 1995 the Advisor had agreed to bear all of the
ordinary operating expenses of The U.S. Large Company Series except for the
advisory fee. Effective December 1, 1995, The U.S. Large Company Series is
obligated to bear all of its expenses including its advisory fee.
Beginning December 1, 1994, The DFA International Value Series began to
reimburse the Advisor for fees waived over the preceding twelve month period.
For the year ended November 30, 1995 this reimbursement to the advisor
amounted to $52,864. No additional previously waived fees are subject to
future reimbursement.
Certain officers of the Series are also officers, directors and
shareholders of the Advisor.
223
<PAGE>
D. PURCHASE AND SALES OF SECURITIES:
For the year ended November 30, 1996, the Series made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
------------------------ ------------------------
Purchases Sales Purchases Sales
(000) (000) (000) (000)
----------- --------- ----------- ---------
<S> <C> <C> <C> <C>
The U.S. 6-10 Small Company Series ............ -- -- $ 88,010 $ 84,230
The U.S. Large Company Series ................. -- -- 282,929 34,231
The Enhanced U.S. Large Company Series ........ -- -- 23,592 11,016
The U.S. Small Cap Value Series ............... -- -- 569,123 139,425
The U.S. Large Cap Value Series ............... -- -- 563,336 138,264
The Japanese Small Company Series ............. -- -- 66,542 1,460
The Pacific Rim Small Company Series .......... -- -- 17,404 5,500
The United Kingdom Small Company Series ....... -- -- 8,388 2,574
The Continental Small Company Series .......... -- -- 18,588 8,815
The DFA International Value Series ............ -- -- 751,137 125,444
The Emerging Markets Series ................... -- -- 103,945 393
The DFA One-Year Fixed Income Series .......... $244,649 $86,129 430,616 228,288
The DFA Two-Year Corporate Fixed Income Series 88,635 50,399 78,392 --
The DFA Two-Year Government Series ............ 193,216 92,635 -- --
The DFA Two-Year Global Fixed Income Series ... 10,964 10,950 482,606 182,334
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1996, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of futures, swap
contract, investment securities and foreign currencies for each Series were
as follows:
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 6-10 Small Company Series ............ $ 75,533 $(26,221) $ 49,312
The U.S. Large Company Series ................. 150,865 (3,615) 147,250
The Enhanced U.S. Large Company Series ........ 3,743 (6) 3,737
The U.S. Small Cap Value Series ............... 294,999 (74,357) 220,642
The U.S. Large Cap Value Series ............... 154,809 (7,938) 146,871
The Japanese Small Company Series ............. 15,069 (51,869) (36,800)
The Pacific Rim Small Company Series .......... 58,636 (27,790) 30,846
The United Kingdom Small Company Series ....... 66,676 (33,272) 33,404
The Continental Small Company Series .......... 84,963 (55,493) 29,470
The DFA International Value Series ............ 175,106 (73,404) 101,702
The Emerging Markets Series ................... 18,185 (14,744) 3,441
The DFA One-Year Fixed Income Series .......... 3,554 (124) 3,430
The DFA Two-Year Corporate Fixed Income Series 823 -- 823
The DFA Two-Year Government Series ............ 357 -- 357
The DFA Two-Year Global Fixed Income Series ... 6,178 (2,467) 3,711
</TABLE>
At November 30, 1996, The DFA One-Year Fixed Income Series had a capital
loss carryover for federal income tax purposes of approximately $3,032,000 of
which $2,705,000 and $327,000 expire on November 30, 2003 and 2004,
respectively.
224
<PAGE>
F. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
At November 30, 1996 Net Assets Consist of:
------------------------------------------------------------------------------------------------------
(Amounts in thousands)
Unrealized
Appreciation
(Depreciation)
of
Undistributed Futures, Swap
Net Realized Contract,
Undistributed Foreign Investment Unrealized Net
Net Undistributed Exchange Securities Foreign
Paid-In Investment Net Realized Gain and Foreign Exchange Total Net
Capital Income Gain (Loss) (Loss) Currency Gain Assets
----------- --------------- --------------- --------------- --------------- -------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
The U.S. 6-10 Small Company
Series ............... $ 188,994 $ 116 $29,979 -- $ 49,312 -- $ 268,401
The Enhanced U.S. Large
Company Series ....... 25,121 69 142 $(28) 3,737 $ 172 29,213
The U.S. Small Cap Value
Series ............... 970,037 418 57,116 -- 220,642 -- 1,248,213
The U.S. Large Cap Value
Series ............... 788,054 528 52,489 -- 146,871 -- 987,942
The DFA International Value
Series ............... 1,227,618 377 27,211 (82) 101,702 26 1,356,852
The DFA One-Year Fixed
Income Series ........ 854,699 4,204 (3,040) -- 3,430 -- 859,293
The DFA Two-Year Corporate
Fixed Income Series .. 121,630 169 164 -- 823 -- 122,786
The DFA Two-Year Global
Fixed Income Series .. 309,734 2,762 241 527 3,711 2,297 319,272
</TABLE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series 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 Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
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 Trust's custodian or a third party sub-custodian. All open
repurchase agreements were entered into on November 29, 1996.
2. Forward Foreign Currency Contracts: The Enhanced U.S. Large Company
Series and The DFA Two-Year Global Fixed Income Series may enter into forward
foreign currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies. At November 30, 1996,
The Enhanced U.S. Large Company and The DFA Two-Year Global Fixed Income
Series had entered into the following contracts and the related net
unrealized foreign exchange gain is reflected in the accompanying financial
statements:
225
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
<TABLE>
<CAPTION>
Unrealized
Foreign
Expiration Contract Value at Exchange Gain
Date Currency Sold Amount November 30, 1996 (Loss)
------------ -------------------------------------- ------------- ----------------- ---------------
<S> <C> <C> <C> <C> <C>
12/09/96 1,880,647 Canadian Dollar $ 1,413,701 $ 1,392,833 $ 20,868
12/12/96 5,100,882 French Francs 1,000,860 975,976 24,884
12/18/96 523,068 British Pound Sterling 869,862 879,167 (9,305)
12/18/96 2,144,166 Canadian Dollar 1,603,235 1,588,957 14,278
12/19/96 1,040,871 Canadian Dollar 780,556 771,353 9,203
12/23/96 1,053,405 Canadian Dollar 786,358 780,705 5,653
12/23/96 2,149,695 Netherlands Guilder 1,275,783 1,246,766 29,017
12/23/96 2,144,848 German Marks 1,426,096 1,395,252 30,844
12/23/96 1,067,355 Canadian Dollar 795,228 790,980 4,248
12/23/96 1,079,266 Canadian Dollar 804,522 799,634 4,888
12/24/96 80,063,014 Japanese Yen 718,054 702,829 15,225
12/26/96 3,249,567 French Francs 639,553 622,053 17,500
12/27/96 1,049,809 Canadian Dollar 783,615 777,968 5,647
01/02/97 1,091,090 Canadian Dollar 809,114 809,050 64
------------- ----------------- ---------------
$13,706,537 $13,533,523 $173,014
============= ================= ===============
</TABLE>
The DFA Two-Year Global Fixed Income Series
<TABLE>
<CAPTION>
Unrealized
Foreign
Expiration Contract Value at Exchange Gain
Date Currency Sold Amount November 30, 1996 (Loss)
- ------------ ----------------------------------------- -------------- ----------------- ---------------
<S> <C> <C> <C> <C> <C>
12/04/96 2,075,878 British Pound Sterling $ 3,380,567 $ 3,490,270 $ (109,703)
12/04/96 1,022,929 British Pound Sterling 1,665,840 1,720,080 (54,240)
12/04/96 3,257,141 Canadian Dollar 2,439,441 2,411,004 28,437
12/09/96 9,543,703 Canadian Dollar 7,174,098 7,067,819 106,279
12/09/96 2,422,269 British Pound Sterling 3,968,888 4,071,265 (102,377)
12/12/96 6,383,325 Netherlands Guilders 3,781,591 3,694,476 87,115
12/12/96 8,338,582 Canadian Dollar 6,262,548 6,176,108 86,440
12/16/96 5,334,556 German Marks 3,544,555 3,466,864 77,691
12/16/96 15,009,301 Netherlands Guilders 8,889,659 8,692,801 196,858
12/16/96 11,093,185 Canadian Dollar 8,318,849 8,217,515 101,334
12/18/96 2,907,954 British Pound Sterling 4,835,928 4,887,617 (51,689)
12/18/96 4,395,436 Canadian Dollar 3,286,553 3,257,138 29,415
12/18/96 34,732,641 French Francs 6,814,330 6,650,883 163,447
12/18/96 223,858,288 Japanese Yen 2,012,209 1,963,444 48,765
12/18/96 2,164,347 Netherlands Guilders 1,279,921 1,254,872 25,049
12/18/96 4,420,006 German Marks 2,929,096 2,873,949 55,147
12/23/96 3,146,227 Canadian Dollar 2,344,082 2,331,404 12,678
12/23/96 33,096,920 French Francs 6,508,736 6,336,026 172,710
12/23/96 9,375,284 Netherlands Guilders 5,563,967 5,437,354 126,613
12/23/96 2,765,432 British Pound Sterling 4,629,333 4,646,270 (16,937)
12/23/96 268,310,895 Japanese Yen 2,406,376 2,355,059 51,317
12/23/96 2,125,084 Canadian Dollar 1,583,520 1,574,723 8,797
12/23/96 1,755,965 Canadian Dollar 1,308,956 1,300,908 8,048
12/23/96 13,040,126 German Marks 8,670,297 8,482,400 187,897
12/26/96 328,318,750 Japanese Yen 2,948,529 2,881,098 67,431
12/27/96 29,393,731 German Marks 19,621,983 19,114,003 507,980
12/27/96 3,110,801 British Pound Sterling 5,252,587 5,230,155 22,432
12/27/96 13,318,874 Canadian Dollar 9,941,684 9,869,190 72,494
12/27/96 2,363,803 Canadian Dollar 1,761,403 1,752,387 9,016
12/30/96 2,041,024,011 Japanese Yen 18,022,287 17,926,547 95,740
12/30/96 948,611 British Pound Sterling 1,584,180 1,594,948 (10,768)
12/30/96 33,980,190 French Franc 6,559,882 6,505,286 54,596
12/30/96 18,559,697 German Mark 12,158,334 12,076,496 81,838
12/31/96 8,385,788 British Pound Sterling 14,042,002 14,092,345 (50,343)
12/31/96 26,965,327 Netherlands Guilders 15,732,396 15,635,541 96,855
12/31/96 67,871,216 Canadian Dollar 50,405,656 50,307,464 98,192
-------------- ----------------- ---------------
$261,630,263 $259,345,709 $2,284,554
============== ================= ===============
</TABLE>
226
<PAGE>
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. The Enhanced U.S. Large Company Series and The DFA Two-Year Global
Fixed Income Series will enter into forward contracts only for hedging
purposes.
3. Foreign Market 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.
4. Futures Contracts. During the year ended November 30, 1996, the
Enhanced U.S. Large Company Series ("Enhanced") entered into futures
contracts in accordance with its investment objectives. Upon entering into a
futures contract, the Enhanced deposits cash or pledges U.S. Government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are
received from or paid to the broker each day, based on the daily fluctuation
in the market value of the contract. These receipts or payments are known as
"variation margin" and are recorded daily by Enhanced as unrealized gains or
losses until the contracts are closed. When the contracts are closed,
Enhanced records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it
was closed.
At November 30, 1996, Enhanced had outstanding 70 long futures contracts
on the S & P 500 Index, 67 of which expire December 20, 1996 and 3 of which
expire March 21, 1997. The value of such contracts on November 30, 1996 was
$26,549,325 which resulted in an unrealized gain of $3,289,750.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities and from the possibility of an illiquid secondary market for these
instruments.
5. Equity Index Swaps - Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based
on the daily fluctuations in the indices on which the contract is based. The
daily net fluctuation is recorded as unrealized gains or losses by Enhanced.
At the termination of the agreement, Enhanced will receive from or pay to the
counter party, the accumulated net unrealized gain or loss, which will then
be recorded as realized.
At November 30, 1996, Enhanced had an outstanding equity index swap with
Morgan Stanley dated July 15, 1996 (which represents approximately 8% of the
net assets of Enhanced), terminating on January 15, 1997. The notional value
of the swap was $2,000,000 and Enhanced had recorded net unrealized
appreciation of $380,366 consisting of $42,394 owed to Morgan Stanley and
$422,760 owed to Enhanced. Payments made by Enhanced are based on the London
Interbank Offered Rate (LIBOR) plus 0.10% per annum calculated on the
original notional amount plus accumulated interest added on the monthly LIBOR
reset date. Payments received by Enhanced are based on the daily value of the
S & P 500 Index plus accumulated dividends as expressed in Index points
calculated on the original notional amount.
Risks may arise upon entering into equity index swaps in the event of the
default or bankruptcy of a swap agreement counter party.
H. LINE OF CREDIT
In July, 1996, the Trust, 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 between 25% and 33 1/3%
of its net assets as determined by its investment policies, up to a maximum
of $50 million per portfolio. Borrowings under the line are charged interest
at the current overnight federal funds rate plus a variable rate determined
at the rate of borrowing. Each portfolio is individually and not jointly
liable for its particular advances under the line. There is
227
<PAGE>
no commitment fee on the unused portion of the line of credit. For the year
ended November 30, 1996, The U.S. Large Company Series was the only portfolio
of the Trust that borrowed against the line of credit. The weighted average
interest rate during the term of the loan was 5.78%. The U.S. Large Company
Series borrowed a weighted average balance of $550,235 for 10 days and
incurred $1,502 in interest expense. There were no outstanding borrowings
under the line of credit at November 30, 1996.
I. SECURITIES LENDING:
Domestic security loans are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on
loan. International security loans are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on
loan. However, in the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject
to legal proceedings. 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 Series or, at the
opinion of the lending agent, replace the loaned securities. The market value
of securities on loan to brokers and the related collateral cash received at
November 30, 1996, is as follows:
<TABLE>
<CAPTION>
Value of Securities Value of
Securities on Loan Collateral
------------------- -----------------
<S> <C> <C>
Domestic Equity Portfolios
- --------------------------
The U.S. 6-10 Small Company Series .. $ 5,397,033 $ 5,504,974
The U.S. Large Company Series ....... 28,816,339 29,392,666
The U.S. Small Cap Value Series ..... 23,091,321 23,553,147
The U.S. Large Cap Value Series ..... 45,114,161 46,016,444
International Equity Portfolios
- -------------------------------
The Japanese Small Company Series ... 79,598,976 84,930,440
The Pacific Rim Small Company Series 12,603,563 13,891,700
The Continental Small Company Series 11,472,901 12,144,134
The DFA International Value Series .. 203,093,374 216,046,202
</TABLE>
228
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS, PARTNERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
We have audited the accompanying statement of assets and liabilities
including the schedule of investments of The DFA Investment Trust Company,
The Enhanced U.S. Large Company Series, and the statements of net assets of
The DFA Investment Trust Company (comprising, respectively, The U.S. 6-10
Small Company Series, The U.S. Large Company Series, The U.S. Small Cap Value
Series, The U.S. Large Cap Value Series, The Japanese Small Company Series,
The Pacific Rim Small Company Series, The United Kingdom Small Company
Series, The Continental Small Company Series, The DFA International Value
Series, The Emerging Markets Series, The DFA One-Year Fixed Income Series,
The DFA Two-Year Corporate Fixed Income Series, The DFA Two-Year Government
Series, and The DFA Two-Year Global Fixed Income Series) as of November 30,
1996, and the related statements of operations for the year (or period) then
ended, the statements of changes in net assets for each of the two years (or
periods) in the period then ended and the financial highlights for each of
the periods presented. These financial statements and financial highlights
are the responsibility of the Trust's management. Our responsibility is to
express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 1996, by correspondence with the
custodians and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
each of the aforementioned portfolios constituting The DFA Investment Trust
Company as of November 30, 1996, and the results of their operations for the
year (or period) then ended, the changes in their net assets for each of the
two years (or periods) in the period then ended and their financial
highlights for each of the periods presented, in conformity with generally
accepted accounting principles
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 17, 1997
229
