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DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 1996
===============================================================================
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DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
Page
-------
Performance Charts .......................................... 1-2
Statements of Net Assets
VA Small Value Portfolio. .............................. 3-10
VA Large Value Portfolio. .............................. 11-12
VA International Value Portfolio. ...................... 13-16
VA International Small Portfolio. ...................... 17-21
VA Short-Term Fixed Portfolio .......................... 22-23
Schedule of Investments - VA Global Bond Portfolio .......... 24
Statement of Assets and Liabilities - VA Global Bond
Portfolio ................................................. 25
Statements of Operations .................................... 26-27
Statements of Changes in Net Assets. ........................ 28-30
Financial Highlights ........................................ 31-33
Notes to Financial Statements. .............................. 34-38
Report of Independent Accountants. .......................... 39
This report is submitted for the information of the Fund's stockholders. It
is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
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DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
VA Small Value Portfolio vs.
Fama-French Small Cap Value Index
October 1995-November 1996
The following reflects the growth of a $10,000 investment.
Fama-French Small
VA Small Value Portfolio Cap Value Index
9/30/95 10000 10000
10/31/95 9490 9554
11/30/95 9695.933 9822.4674
12/31/95 9853.007115 9976.680138
1/31/96 9773.197757 10117.35133
2/29/96 9994.072026 10275.18201
3/31/96 10334.86988 10621.45564
4/30/96 10825.7762 10987.89586
5/31/96 11306.44067 11419.72017
6/30/96 11046.39253 11238.14662
7/31/96 10354.88836 10639.1534
8/31/96 10765.97743 11079.61436
9/30/96 11096.49293 11362.14452
10/31/96 11196.36137 11329.1943
11/30/96 11777.45252 11848.0714
Annualized One From
Total Return(%) Year October 1995
- -------------------------------------------------------------------------------
21.47 15.05
* The portfolio seeks to capture return premiums associated with high
book-to-market ratios by investing 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 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.
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DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
VA Large Value Portfolio vs.
Fama-French Large Cap Value Index
February 1995-November 1996
The following reflects the growth of a $10,000 investment.
Fama-French Large
VA Large Value Portfolio Cap Value Index
1/31/95 10000 10000
2/28/95 10313 10465
3/31/95 10666.7359 10504.767
4/30/95 10989.938 10840.91954
5/31/95 11242.70657 11421.99283
6/30/95 11313.53562 11610.45571
7/31/95 11870.16158 11958.76938
8/31/95 11798.94061 12177.61486
9/30/95 12021.94058 12669.5905
10/31/95 11607.18363 12392.12647
11/30/95 12174.77491 12846.91751
12/31/95 12266.08573 13168.09045
1/31/96 12567.83143 13480.1742
2/29/96 12687.22583 13477.47816
3/31/96 13154.11574 13698.5088
4/30/96 13348.79666 13713.57716
5/31/96 13586.40524 13920.65218
6/30/96 13191.04084 13917.86805
7/31/96 12626.4643 13148.20994
8/31/96 13092.38083 13576.84159
9/30/96 13321.49749 13841.59
10/31/96 13746.45326 14259.60602
11/30/96 14661.96705 15062.42184
Annualized One From
Total Return(%) Year February 1995
- -------------------------------------------------------------------------------
20.43 23.21
* The portfolio seeks to capture return premiums associated with high
book-to-market ratios by investing 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 Large Cap Value Index courtesy of Fama-French and CRSP, University
of Chicago.
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DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
VA International Value Portfolio vs.
EAFE Index
October 1995-November 1996
The following reflects the growth of a $10,000 investment.
VA International
Value Portfolio EAFE Index
---------------- -----------
9/30/95 10000 10000
10/31/95 9800 9730
11/30/95 10030.3 10002.44
12/31/95 10554.88469 10412.54004
1/31/96 10615.04753 10454.1902
2/29/96 10624.60108 10496.00696
3/31/96 10825.40604 10716.42311
4/30/96 11246.51433 11027.19938
5/31/96 11186.9078 10828.70979
6/30/96 11196.97602 10893.68205
7/31/96 10856.58795 10577.76527
8/31/96 10916.29918 10598.9208
9/30/96 11096.41812 10885.09166
10/31/96 10926.64292 10776.24074
11/30/96 11427.08317 11207.29037
Annualized One From
Total Return(%) Year October 1995
- ----------------------------------------------------------------------------
13.93 12.11
* 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 VA International Value Portfolio provides access to
publicly traded large companies listed on the major exchanges of countries
outside the U.S.
* 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.
1
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DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
VA International Small Portfolio vs.
EAFE Index
October 1995-November 1996
The following reflects the growth of a $10,000 investment.
VA International
Small Portfolio EAFE Index
---------------- ----------
9/30/95 10000 10000
10/31/95 9640 9730
11/30/95 9710.372 10002.44
12/31/95 10110.43933 10412.54004
1/31/96 10430.94025 10454.1902
2/29/96 10561.32701 10496.00696
3/31/96 10841.20217 10716.42311
4/30/96 11601.17044 11027.19938
5/31/96 11430.63324 10828.70979
6/30/96 11230.59716 10893.68205
7/31/96 10640.99081 10577.76527
8/31/96 10640.99081 10598.9208
9/30/96 10640.99081 10885.09166
10/31/96 10461.15806 10776.24074
11/30/96 10481.03426 11207.29037
Annualized One From
Total Return(%) Year October 1995
- ---------------------------------------------------------------------------
7.94 4.11
* The portfolio invests in companies with market capitalization greater 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.
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DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
VA Short-Term Fixed Portfolio vs.
One Month CD's
October 1995-November 1996
The following reflects the growth of a $10,000 investment.
VA Short-Term
Fixed Portfolio One Month CD's
--------------- --------------
9/30/95 10000 10000
10/31/95 10039 10046
11/30/95 10081.1638 10089.1978
12/31/95 10127.53715 10130.56351
1/31/96 10173.11107 10177.1641
2/29/96 10213.80351 10216.85504
3/31/96 10241.38078 10255.67909
4/30/96 10269.03251 10297.72738
5/31/96 10285.46296 10337.88851
6/30/96 10342.03301 10375.10491
7/31/96 10384.43535 10420.75537
8/31/96 10425.97309 10462.4384
9/30/96 10491.65672 10504.28815
10/31/96 10566.14748 10547.35573
11/30/96 10620.03483 10587.43568
Annualized One From
Total Return(%) Year October 1995
- ----------------------------------------------------------------------------
5.35 5.29
* The portfolio maximizes expected returns by using 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
VA Global Bond Portfolio vs.
Salomon World Fixed Income Index
February 1995-November 1996
The following reflects the growth of a $10,000 investment.
Salomon World Fixed
VA Global Bond Portfolio Income Index
------------------------ -------------------
1/31/95 10000 10000
2/28/95 10155 10156
3/31/95 10338.8055 10321.5428
4/30/95 10483.54878 10475.33379
5/31/95 10712.09014 10840.92294
6/30/95 10718.51739 10857.18432
7/31/95 10816.0559 10931.01317
8/31/95 10852.83049 11022.83369
9/30/95 10991.74672 11174.94879
10/31/95 11079.6807 11311.28317
11/30/95 11268.03527 11526.19755
12/31/95 11314.23421 11644.91738
1/31/96 11404.74809 11755.5441
2/29/96 11242.80066 11588.61537
3/31/96 11296.76611 11628.01666
4/30/96 11350.99058 11673.36593
5/31/96 11415.69123 11731.73276
6/30/96 11453.36301 11844.35739
7/31/96 11540.40857 11905.94805
8/31/96 11715.82278 12009.5298
9/30/96 11934.90867 12237.71086
10/31/96 12144.96306 12462.88474
11/30/96 12299.20409 12687.21667
Annualized One From
Total Return(%) Year February 1995
- -------------------------------------------------------------------------------
9.15 11.95
* 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.
2
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DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENT OF NET ASSETS
VA SMALL VALUE PORTFOLIO
NOVEMBER 30, 1996
Shares Value+
-------- --------
COMMON STOCKS - (99.0%)
AAR Corp. ......................................... 1,400 $41,825
*ACX Technologies, Inc. ............................ 1,300 23,725
APL, Ltd. ......................................... 1,100 26,400
*AST Research, Inc. ................................ 800 3,525
*Accell International Corp. ........................ 400 1,175
*Acceptance Insurance Companies, Inc. .............. 1,300 26,650
*Acclaim Entertainment, Inc. ....................... 1,400 7,263
Aceto Corp. ....................................... 440 6,050
*Acme Metals, Inc. ................................. 1,000 20,750
*Adage, Inc. ....................................... 400 1,513
*Adflex Solutions, Inc. ............................ 200 2,125
*Advanced Logic Research, Inc. ..................... 1,000 12,125
*Advanced Marketing Services, Inc. ................. 500 5,125
*Advanced Technology Labs, Inc. .................... 1,100 31,625
Advantage Bancorp, Inc. ........................... 250 8,031
*Advest Group, Inc. ................................ 700 7,350
*Aeroflex, Inc. .................................... 1,000 4,500
*Aerovox, Inc. ..................................... 400 2,250
Airborne Freight Corp. ............................ 1,800 38,700
*Alamco, Inc. ...................................... 400 4,600
*Alaska Air Group, Inc. ............................ 1,100 26,538
Albank Financial Corp. ............................ 1,200 39,300
*Aldila, Inc. ...................................... 500 2,250
*Alliance Entertainment Corp. ...................... 1,300 3,088
*Alliance Semiconductor Corp. ...................... 1,800 14,400
Allied Healthcare Products, Inc. .................. 200 1,375
*Allied Holdings, Inc. ............................. 100 813
*Allwaste, Inc. .................................... 600 2,625
*Alpha Industries, Inc. ............................ 500 3,938
Alpharma, Inc. Class A ............................ 500 6,375
Amcast Industrial Corp. ........................... 700 16,538
Amcore Financial, Inc. ............................ 300 6,750
*America West Airlines, Inc. Class B ............... 1,800 26,325
*American Banknote Corp. ........................... 1,600 7,800
*American Ecology Corp. ............................ 700 722
*American Freightways Corp. ........................ 900 9,225
American Heritage Life Investment Corp. ........... 1,200 27,075
*American Mobile Satellite Corp. ................... 600 7,388
*American Pacific Corp. ............................ 700 4,813
American Recreation Centers, Inc. ................. 400 2,025
*American Software, Inc. Class A ................... 300 1,781
*American Travellers Corp. ......................... 1,350 47,588
*American Waste Services, Inc.
Class A .......................................... 2,100 4,463
*American White Cross, Inc. ........................ 600 141
*Ameriwood Industries International Corp. .......... 400 3,725
Ameron, Inc. ...................................... 300 14,475
*Ames Department Stores, Inc. ...................... 800 3,900
Ampco-Pittsburgh Corp. ............................ 400 5,550
*Amrep Corp. ....................................... 600 2,925
*Amtech Corp. ...................................... 800 6,050
*Amtran, Inc. ...................................... 300 2,175
Amvestors Financial Corp. ......................... 691 9,933
Analogic Corp. .................................... 100 2,750
Andover Bancorp, Inc. DE .......................... 480 12,870
Angelica Corp. .................................... 800 15,400
<PAGE>
Shares Value+
-------- --------
*Ann Taylor Stores Corp. ........................... 2,000 $40,500
*Antec Corp. ....................................... 1,000 9,625
*Apertus Technologies, Inc. ........................ 300 928
*Apogee, Inc. ...................................... 200 1,138
*Applied Extrusion Technologies, Inc. .............. 500 4,688
*Arch Communications Group, Inc. ................... 1,000 10,875
Arkansas Best Corp. ............................... 1,700 8,606
*Artistic Greetings, Inc. .......................... 500 2,344
Arvin Industries, Inc. ............................ 1,900 45,125
Ashland Coal, Inc. ................................ 1,200 30,900
*Astec Industries, Inc. ............................ 900 7,988
*Astrosystems, Inc. ................................ 400 2,225
*Astrotech International Corp. ..................... 800 4,150
*Atkinson (Guy F.) of California ................... 500 5,094
*Atlantic Gulf Communities Corp. ................... 500 2,188
*Atlantic Tele-Network, Inc. ....................... 1,000 19,188
*Au Bon Pain, Inc. Class A ......................... 100 769
*Audiovox Corp. Class A ............................ 800 4,200
Augat, Inc. ....................................... 1,700 48,025
*Autoinfo, Inc. .................................... 600 1,688
Aviall, Inc. ...................................... 800 7,900
*Avid Technology, Inc. ............................. 900 11,475
*Aydin Corp. ....................................... 400 3,600
*Aztar Corp. ....................................... 3,300 23,925
Aztec Manufacturing Co. ........................... 500 3,563
BEI Electronics, Inc. ............................. 600 6,563
*BMC West Corp. .................................... 500 6,000
*BPI Packaging Technologies, Inc. .................. 300 703
BSB Bancorp, Inc. ................................. 600 16,050
Badger Meter, Inc. ................................ 100 3,913
Bairnco Corp. ..................................... 900 5,625
Baker (J.), Inc. .................................. 1,200 7,425
*Baker (Michael) Corp. ............................. 700 4,463
*Baldwin Piano & Organ Co. ......................... 300 3,863
*Baldwin Technology, Inc. Class A .................. 1,400 3,675
*Bally Total Fitness Holding Corp. ................. 1,000 5,625
*Bank United Financial Corp. Class A ............... 200 1,813
Bankers Corp. ..................................... 1,100 21,313
*Banner Aerospace, Inc. ............................ 1,000 8,375
*Banyan System, Inc. ............................... 600 2,475
*Basin Exploration, Inc. ........................... 900 5,569
Bassett Furniture Industries, Inc. ................ 1,200 27,225
Bay View Capital Corp. ............................ 600 24,900
*Bayou Steel Corp. Class A ......................... 900 2,531
*Be Aerospace, Inc. ................................ 1,400 32,288
*Beazer Homes USA, Inc. ............................ 700 11,288
*Bel Fuse, Inc. .................................... 400 5,050
*Bell Microproducts, Inc. .......................... 500 3,938
*Bell Sports Corp. ................................. 300 1,894
*Bellwethwer Exporation Co. ........................ 500 3,875
*Ben & Jerry's Homemade, Inc. Class A .............. 200 2,563
*Ben Franklin Retail Stores, Inc. .................. 500 50
*Berlitz International, Inc. ....................... 900 17,325
*Bertuccis, Inc. ................................... 700 3,806
Bindley Western Industries, Inc. .................. 300 5,325
Binks Manufacturing Co. ........................... 300 8,400
*Bird Corp. ........................................ 400 2,150
Birmingham Steel Corp. ............................ 1,500 26,438
Blair Corp. ....................................... 500 9,813
3
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VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- --------
*Blowout Entertainment, Inc. ....................... 12 $ 46
*Bluegreen Corp. ................................... 700 2,013
*Bombay Co., Inc. .................................. 2,100 9,975
*Bon-Ton Stores, Inc. .............................. 900 5,175
*Boomtown, Inc. .................................... 800 5,250
*Borland International, Inc. ....................... 1,400 11,331
*Borror Corp. ...................................... 300 1,350
Bowne & Co., Inc. ................................. 300 7,350
*Brothers Gourmet Coffees, Inc. .................... 300 788
*Brown & Sharpe Manufacturing Co. Class A .......... 700 10,063
Brown Group, Inc. ................................. 600 11,400
Brush Wellman, Inc. ............................... 900 15,075
*Builders Transport, Inc. .......................... 400 1,200
*Burlington Coat Factory Warehouse Corp. ........... 1,200 14,400
*Buttrey Food & Drug Stores Co. .................... 700 5,775
CPB, Inc. ......................................... 200 5,925
*CSP, Inc. ......................................... 200 1,625
CTS Corp. ......................................... 400 15,850
*Calcomp Technology, Inc. .......................... 400 1,138
California Financial Holding Corp. ................ 400 11,650
*California Microwave, Inc. ........................ 700 10,500
Calmat Co. ........................................ 1,300 23,725
*Canandaigua Wine Co., Inc. Class A ................ 800 21,500
Capital Re Corp. .................................. 1,200 46,050
Capsure Holdings Corp. ............................ 1,300 12,350
Cardinal Health, Inc. ............................. 168 14,049
*Cardinal Realty Services, Inc. .................... 200 4,175
*Care Group, Inc. .................................. 700 1,225
Carpenter Technology Corp. ........................ 800 28,400
*Carson Pirie Scott & Co. .......................... 800 20,700
Carter-Wallace, Inc. .............................. 2,900 45,313
Cash America International, Inc. .................. 2,400 18,900
*Casino America, Inc. .............................. 800 2,800
*Casino Magic Corp. ................................ 1,900 5,403
*Catalina Lighting, Inc. ........................... 600 3,000
*Catherines Stores Corp. ........................... 500 2,875
Cato Corp. Class A ................................ 1,500 7,406
*Cell Genesys, Inc. ................................ 500 3,406
*Cellstar Corp. .................................... 300 3,544
Cenfed Financial Corp. ............................ 440 13,310
Cenit Bancorp, Inc. ............................... 100 3,950
*Centennial Cellular Corp. Class A ................. 600 7,013
*Central Sprinkler Corp. ........................... 200 3,725
*Central Tractor Farm & Country, Inc. .............. 300 4,200
Chaparral Steel Co. ............................... 1,500 19,313
*Charming Shoppes, Inc. ............................ 8,800 44,550
*Chart House Enterprises, Inc. ..................... 700 3,763
*Cherry Corp. Class A .............................. 600 6,675
*Cherry Corp. Class B .............................. 400 4,250
*Chic by His, Inc. ................................. 1,000 4,750
*Chock Full O' Nuts Corp. .......................... 500 2,313
Citfed Bancorp, Inc. .............................. 400 18,550
Citizens Bancorp MD ............................... 300 17,288
Citizens Banking Corp. ............................ 500 15,313
*Civic Bancorp ..................................... 400 4,175
*Clean Harbors, Inc. ............................... 800 1,800
Cleveland Cliffs, Inc. ............................ 600 26,550
*Cliffs Drilling Co. ............................... 300 15,525
*Clothestime, Inc. ................................. 1,200 338
*Coast Savings Financial, Inc. ..................... 1,600 56,747
*Coastal Physician Group, Inc. ..................... 1,000 3,750
Coeur d'Alene Mines Corp. ID ...................... 1,000 14,625
*Coho Energy, Inc. ................................. 1,400 10,675
<PAGE>
Shares Value+
-------- --------
Collagen Corp. .................................... 200 $ 4,013
Commercial Intertech Corp. ........................ 500 5,188
Commercial Metals Co. ............................. 1,300 41,438
*Community Psychiatric Centers ..................... 3,700 33,300
Computer Data Systems, Inc. ....................... 500 16,125
*Concord Fabrics, Inc. Class A ..................... 200 1,200
*Cone Mills Corp. NC ............................... 1,000 8,375
Continental Homes Holding Corp. ................... 600 12,300
Cooker Restaurant Corp. ........................... 500 5,563
Core Industries, Inc. ............................. 800 11,600
*Cortech, Inc. ..................................... 1,500 2,578
*Criticare Systems, Inc. ........................... 600 1,481
Cross (A.T.) Co. Class A .......................... 500 5,500
*Crosscomm Corp. ................................... 500 2,938
*Crown Central Petroleum Corp. Class A ............. 400 5,700
Crown Crafts, Inc. ................................ 700 6,475
*Crown-Andersen, Inc. .............................. 100 600
Cubic Corp. ....................................... 750 15,844
*Cybex International, Inc. ......................... 400 3,850
*Cygne Designs, Inc. ............................... 1,100 1,031
*Cyrk, Inc. ........................................ 300 3,769
*Cytrx Corp. ....................................... 200 694
*D&N Financial Corp. ............................... 600 9,263
*DBA Systems, Inc. ................................. 400 2,400
*DII Group, Inc. ................................... 200 4,925
*DIY Home Warehouse, Inc. .......................... 500 2,250
DS Bancor, Inc. ................................... 210 8,925
*Daka International, Inc. .......................... 500 4,688
*Damark International, Inc. Class A ................ 800 7,200
Daniel Industries, Inc. ........................... 300 4,200
*Data General Corp. ................................ 600 8,775
*Data Race, Inc. ................................... 400 6,775
*Dataflex Corp. .................................... 400 1,100
*Datakey, Inc. ..................................... 200 863
*Datascope Corp. ................................... 500 9,250
*Datron Systems, Inc. .............................. 200 1,913
*Datum, Inc. ....................................... 300 3,938
*Daxor Corp. ....................................... 400 5,400
Deb Shops, Inc. ................................... 1,100 5,019
*Deckers Outdoor Corp. ............................. 500 4,375
Defiance, Inc. .................................... 600 3,900
Delchamps, Inc. ................................... 200 4,175
Delta Woodside Industries, Inc. ................... 2,100 12,600
*Designs, Inc. ..................................... 1,300 8,734
*Detection Systems, Inc. ........................... 200 3,663
*Detroit Diesel Corp. .............................. 500 9,875
*Devcon International Corp. ........................ 400 2,625
*Dianon Systems, Inc. .............................. 500 4,000
*Digi International, Inc. .......................... 500 6,500
Dime Financial Corp. .............................. 400 7,150
*Discovery Zone, Inc. .............................. 1,000 375
*Dixie Yarns, Inc. ................................. 1,000 6,625
*Dominion Bridge Corp. ............................. 600 1,556
Downey Financial Corp. ............................ 800 23,000
*Dress Barn, Inc. .................................. 1,900 27,194
*Drug Emporium, Inc. ............................... 1,100 4,469
Dyersburg Corp. ................................... 1,100 6,600
Dynamics Corp. of America ......................... 300 8,550
*E-Z-Em, Inc. Class A .............................. 300 3,319
*E-Z-Em, Inc. Class B .............................. 9 97
*EIS International, Inc. ........................... 500 4,375
*ESCO Electronics Corp. Trust Receipts ............. 900 8,775
Eastern Bancorp, Inc. ............................. 300 6,713
4
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- --------
Eastern Co. ....................................... 200 $ 2,700
Eaton Vance Corp. ................................. 800 34,400
Ecology & Environment, Inc. Class A ............... 200 1,888
*Edison Brothers Stores, Inc. ...................... 1,900 2,613
*Edisto Resources Corp. ............................ 1,100 10,038
*Egghead, Inc. ..................................... 1,500 9,281
Ekco Group, Inc. .................................. 1,600 5,400
*Electroglas, Inc. ................................. 1,000 17,500
*Electromagnetic Sciences, Inc. .................... 600 12,375
*Emcon ............................................. 700 2,713
*Empire of Carolina, Inc. .......................... 200 1,300
Energen Corp. ..................................... 900 24,413
Enhance Financial Services Group, Inc. ............ 800 27,400
*Environmental Elements Corp. ...................... 600 1,500
*Envirotest Systems Corp. Class A .................. 1,000 2,281
*Equitrac Corp. .................................... 300 3,150
*Equity Oil Co. .................................... 300 984
*Evans & Sutherland Computer Corp. ................. 700 17,763
Evergreen Bancorp, Inc. DE ........................ 800 12,850
*Evergreen Resources, Inc. ......................... 500 3,281
*Exar Corp. ........................................ 500 7,906
Excel Industries, Inc. ............................ 900 13,500
Exide Corp. ....................................... 800 20,400
*Exide Electronics Group, Inc. ..................... 300 3,263
*Ezcorp, Inc. Class A Non-Voting ................... 600 4,613
*FM Properties, Inc. ............................... 500 1,438
*FSI International, Inc. ........................... 800 11,650
*FTP Software, Inc. ................................ 1,000 7,875
Fab Industries, Inc. .............................. 500 13,375
*Failure Group, Inc. ............................... 600 3,525
*Fairchild Corp. Class A ........................... 300 4,988
*Fairfield Communities, Inc. ....................... 300 7,350
Family Bancorp .................................... 300 10,538
*Fansteel, Inc. .................................... 700 4,638
*Farah, Inc. ....................................... 900 5,963
Farrel Corp. ...................................... 200 575
*Fibreboard Corp. .................................. 200 6,925
*Fieldcrest Cannon, Inc. ........................... 500 7,188
*Filenes Basement Corp. ............................ 1,700 8,341
*First Alert, Inc. ................................. 1,100 4,331
First American Financial Corp. .................... 1,000 36,625
*First Cash, Inc. .................................. 300 1,594
First Central Financial Corp. ..................... 1,000 3,813
*First Citizens Financial Corp. .................... 220 4,098
First Defiance Financial Corp. .................... 200 2,450
First Essex Bancorp ............................... 500 6,938
First Financial Corp. of Western Maryland ......... 200 6,375
First Northern Capital Corp. ...................... 400 6,800
*First Republic Bancorp, Inc. ...................... 600 10,725
First Union Corp. ................................. 474 36,199
*FirstFed Financial Corp. DE ....................... 900 21,488
Flexsteel Industries, Inc. ........................ 600 7,725
Florida Rock Industries, Inc. ..................... 800 24,600
Fluke Corp. ....................................... 200 8,625
*Fluor Daniel/GTI, Inc. ............................ 316 2,726
*Foster (L.B.) Co. Class A ......................... 800 3,275
*Foxmeyer Health Corp. ............................. 1,400 3,150
*Franklin Electronic Publishers, Inc. .............. 500 6,250
Freds, Inc. Class A ............................... 800 7,250
Fremont General Corp. ............................. 2,100 65,363
Friedman Industries, Inc. ......................... 525 3,150
Frisch's Restaurants, Inc. ........................ 649 8,761
*G-III Apparel Group, Ltd. ......................... 600 1,706
<PAGE>
Shares Value+
-------- --------
*GTI Corp. ......................................... 500 $ 2,688
*GZA Geoenvironmental Technologies, Inc. ........... 300 938
*Galey & Lord, Inc. ................................ 300 3,900
*Galileo Electro-Optics Corp. ...................... 600 14,475
*Gantos, Inc. ...................................... 500 1,859
Garan, Inc. ....................................... 400 7,150
*Garnet Resources Corp. ............................ 1,000 391
*Gasonics International, Inc. ...................... 300 3,263
*Gehl Co. .......................................... 500 4,188
*General Host Corp. ................................ 1,995 6,983
General Housewares Corp. .......................... 300 3,000
*Genicom Corp. ..................................... 500 1,984
*Genlyte Group, Inc. ............................... 1,100 9,900
*Genus, Inc. ....................................... 800 5,500
Gerber Scientific, Inc. ........................... 900 13,950
*Giant Group, Ltd. ................................. 400 3,350
Giant Industries, Inc. ............................ 1,000 15,250
*Gibraltar Packaging Group, Inc. ................... 400 1,450
*Gibson Greetings, Inc. ............................ 1,400 26,600
Giddings & Lewis, Inc. ............................ 1,700 19,763
Golden Poultry Co., Inc. .......................... 1,200 12,300
*Good Guys, Inc. ................................... 1,200 9,675
*Gottschalks, Inc. ................................. 300 2,025
*Government Technology Services, Inc. .............. 600 3,713
*Gradco Systems, Inc. .............................. 700 2,494
Graham-Field Health Products, Inc. ................ 1,100 8,938
*Grand Casinos, Inc. ............................... 1,500 19,125
Grand Premier Financial, Inc. ..................... 669 7,108
Granite State Bankshares, Inc. .................... 200 4,425
Graphic Industries, Inc. .......................... 900 8,156
*Greater New York Savings Bank NY .................. 1,100 14,575
Green (A.P.) Industries, Inc. ..................... 600 5,925
Greenbrier Companies, Inc. ........................ 1,300 12,513
*Ground Round Restaurants, Inc. .................... 1,000 2,516
Grovebank for Savings ............................. 100 4,913
Guilford Mills, Inc. .............................. 1,200 30,750
*Gundle/SLT Environmental, Inc. .................... 800 5,100
HF Financial Corp. ................................ 200 3,325
*HMG Worldwide Corp. ............................... 600 844
*HS Resources, Inc. ................................ 900 15,300
*Hamburger Hamlet Restaurants, Inc. ................ 400 8
*Hampton Industries, Inc. .......................... 400 2,100
*Handex Environmental Recovery, Inc. ............... 600 7,125
Handleman Co. ..................................... 2,900 23,925
*Hanger Orthopedic Group, Inc. ..................... 700 4,200
*Harding Lawson Associates Group, Inc. ............. 400 2,650
Harleysville Group, Inc. .......................... 1,200 36,900
*Hartmarx Corp. .................................... 500 2,625
Harvey's Casino Resorts ........................... 500 8,313
*Hathaway Corp. .................................... 400 1,575
*Hauser Chemical Research, Inc. .................... 900 5,288
Haverty Furniture Co., Inc. ....................... 700 9,188
Health Images, Inc. ............................... 1,000 15,625
*Health O Meter Products, Inc. ..................... 800 4,850
*Healthcare Services Group, Inc. ................... 500 4,875
Hechinger Co. Class A ............................. 2,600 6,988
Hechinger Co. Class B ............................. 200 863
*Hein-Werner Corp. ................................. 210 1,326
*Hi-Lo Automotive, Inc. ............................ 500 1,313
Hoenig Group, Inc. ................................ 500 2,188
Home Port Bancorp, Inc. ........................... 200 3,413
5
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- --------
*Home State Holdings, Inc. ........................... 500 $ 3,844
Horizon Financial Corp. ............................. 200 2,725
*Horizon/CMS Healthcare Corp. ........................ 1,500 16,125
*Hovnanian Enterprises, Inc. Class A ................. 1,300 7,638
Hudson Foods, Inc. Class A .......................... 500 9,125
Huffy Corp. ......................................... 800 11,000
Hughes Supply, Inc. ................................. 500 21,500
*Hugoton Energy Corp. ................................ 600 6,563
Hunt (J.B.) Transportation Services, Inc. ........... 1,100 15,400
Hunt Manufacturing Co. .............................. 300 5,288
*Hycor Biomedical, Inc. .............................. 100 356
*Hyde Athletic Industries, Inc. Class B .............. 300 1,425
ICO, Inc. ........................................... 800 5,250
*ICU Medical, Inc. ................................... 500 4,031
*Imperial Holly Corp. ................................ 200 3,100
*Inacom Corp. ........................................ 800 24,850
Indiana Federal Corp. ............................... 400 8,800
*Information Resources, Inc. ......................... 800 9,150
Ingles Market, Inc. Class A ......................... 400 5,800
*Innodata Corp. ...................................... 200 288
Insteel Industries, Inc. ............................ 700 5,600
*Insurance Auto Auctions, Inc. ....................... 1,000 9,375
Integrated Health Services, Inc. .................... 900 19,800
*Integrated Process Equipment Corp. .................. 500 8,531
Intelligent Electronics, Inc. ....................... 500 3,750
*Interface Systems, Inc. ............................. 400 2,250
Interface, Inc. Class A ............................. 1,300 25,838
*Intergraph Corp. .................................... 1,400 12,688
International Multifoods Corp. ...................... 1,500 23,625
*International Technology Corp. ...................... 150 1,519
*International Thoroughbred Breeders, Inc. ........... 800 2,750
Interpool, Inc. ..................................... 100 2,400
Interstate Johnson Lane, Inc. ....................... 200 2,625
*Intertan, Inc. ...................................... 900 5,175
Investors Financial Services Corp. .................. 223 6,105
Investors Financial Services Corp. Class A .......... 43 1,177
Isco, Inc. .......................................... 200 1,975
*Isolyser Co., Inc. .................................. 1,400 11,375
*Iwerks Entertainment, Inc. .......................... 900 5,794
*J & J Snack Foods Corp. ............................. 800 8,750
J & L Specialty Steel, Inc. ......................... 1,600 19,400
*JPE, Inc. ........................................... 200 1,525
JSB Financial, Inc. ................................. 900 32,738
*Jaclyn, Inc. ........................................ 200 1,063
Jacobson Stores, Inc. ............................... 500 4,813
*Jan Bell Marketing, Inc. ............................ 2,200 5,088
*Jean Philippe Fragrances, Inc. ...................... 500 3,500
John Alden Financial Corp. .......................... 1,200 21,150
Johnston Industries, Inc. ........................... 300 2,363
*Johnstown American Industries, Inc. ................. 300 1,238
*Jones Intercable, Inc. Class A ...................... 900 9,619
Justin Industries, Inc. ............................. 2,300 24,294
K Swiss, Inc. Class A ............................... 300 3,319
Kaman Corp. Class A ................................. 200 2,500
Katy Industries, Inc. ............................... 800 11,100
Kellwood Co. ........................................ 1,800 32,400
*Kerr Group, Inc. .................................... 300 825
*Key Production Co., Inc. ............................ 800 10,100
*Key Tronic Corp. .................................... 500 4,344
*Keystone Consolidated Industries, Inc. .............. 298 2,198
<PAGE>
Shares Value+
-------- --------
*Kinder-Care Learning Centers, Inc. .............. 1,700 $33,788
Knape & Vogt Manufacturing Co. .................. 500 8,000
*Kulicke & Soffa Industries, Inc. ................ 800 16,300
*LTX Corp. ....................................... 1,900 11,163
Ladd Furniture, Inc. ............................ 700 9,406
*Laserscope ...................................... 600 3,300
Lawyers Title Corp. ............................. 800 15,200
*Lechters, Inc. .................................. 1,500 7,125
Lennar Corp. .................................... 500 13,000
*Life USA Holdings, Inc. ......................... 1,000 10,000
Lillian Vernon Corp. ............................ 300 3,600
Lindberg Corp. .................................. 400 3,950
*Liuski International, Inc. ...................... 400 975
*Living Centers of America, Inc. ................. 900 22,838
*Logic Devices, Inc. ............................. 200 644
*Loronix Information Systems, Inc. ............... 200 913
*Louis Dreyfus Natural Gas Corp. ................. 350 5,994
Lufkin Industries, Inc. ......................... 600 12,675
Lukens, Inc. DE ................................. 1,300 23,888
MAF Bancorp, Inc. ............................... 826 28,291
MDC Holdings, Inc. .............................. 500 3,750
*MI Schottenstein Homes, Inc. .................... 800 7,900
*MK Gold Corp. ................................... 1,700 2,550
*MRS Technology, Inc. ............................ 200 475
*MS Carriers, Inc. ............................... 1,100 20,625
MTS Systems Corp. ............................... 800 16,300
Marcus Corp. .................................... 500 11,563
*Mariner Health Group, Inc. ...................... 1,600 11,800
Maritrans, Inc. ................................. 1,000 6,125
Marsh Supermarkets, Inc. Class A ................ 300 3,600
Marsh Supermarkets, Inc. Class B ................ 400 4,500
Maryland Federal Bancorp ........................ 315 10,415
*Matrix Pharmaceutical, Inc. ..................... 900 7,763
*Matrix Service Co. .............................. 800 4,600
*Maverick Tube Corp. ............................. 600 9,450
*Maxwell Technologies, Inc. ...................... 200 8,975
*Maxxam, Inc. .................................... 500 23,063
*Maxxim Medical, Inc. ............................ 700 8,925
*McFarland Energy, Inc. .......................... 400 4,475
Medex, Inc. ..................................... 500 11,656
*Medical Graphics Corp. .......................... 200 1,000
*Melamine Chemicals, Inc. ........................ 500 3,813
*Mercer International, Inc. ...................... 800 9,550
Merchants Bancorp, Inc. ......................... 200 6,150
Meridian Insurance Group, Inc. .................. 600 8,625
*Merisel, Inc. ................................... 2,500 4,688
*Mesa Air Group, Inc. ............................ 2,800 27,825
*Mesaba Holdings, Inc. ........................... 700 9,275
*Metrocall, Inc. ................................. 500 2,719
*Meyerson (M.H.) & Co., Inc. ..................... 200 563
Michael Foods, Inc. ............................. 1,700 19,550
*Michaels Stores, Inc. ........................... 900 9,028
*Microage, Inc. .................................. 1,200 27,000
*Microcom, Inc. .................................. 800 9,100
*Micronics Computers, Inc. ....................... 1,100 3,059
Mid America Banccorp ............................ 849 15,914
*MidAmerican Waste System, Inc. .................. 1,000 563
*Midisoft Corp. .................................. 300 975
*Midwest Grain Products, Inc. .................... 200 3,250
*Mikasa, Inc. .................................... 100 1,050
*Mikohn Gaming Corp. ............................. 800 5,500
*Miltope Group, Inc. ............................. 500 1,438
Mine Safety Appliances Co. ...................... 500 25,594
*Mobilemedia Corp. Class A ....................... 700 809
*Monarch Casino and Resort, Inc. ................. 500 1,469
6
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- --------
Monarch Machine Tool Co. ............................ 300 $ 2,513
*Moog, Inc. Class A .................................. 500 12,000
*Morgan Products, Ltd. ............................... 700 4,900
*Mountasia Entertainment International, Inc. ......... 500 1,594
Movado Group, Inc. .................................. 500 12,750
*Movie Gallery, Inc. ................................. 500 6,875
*Musicland Stores Corp. .............................. 2,900 4,350
NBT Bancorp ......................................... 772 14,567
NCH Corp. ........................................... 200 11,400
*NS Group, Inc. ...................................... 1,200 4,125
*NSA International, Inc. ............................. 200 338
NYMAGIC, Inc. ....................................... 1,000 18,000
Nacco Industries, Inc. Class A ...................... 600 28,650
Nash Finch Co. ...................................... 900 17,213
*Nashua Corp. ........................................ 500 7,938
*Nathans Famous, Inc. ................................ 400 1,525
*National Auto Credit, Inc. .......................... 1,630 16,708
*National City Bancorp ............................... 660 13,448
*National Home Centers, Inc. ......................... 500 1,063
*National Patent Development Corp. ................... 500 4,250
National Presto Industries, Inc. .................... 500 18,438
*National Steel Corp. Class B ........................ 1,100 10,313
*Natural Wonders, Inc. ............................... 700 3,806
*Neostar Retail Group, Inc. .......................... 100 8
*Netframe Systems, Inc. .............................. 500 1,531
*Netrix Corp. ........................................ 800 4,100
*Network Computing Devices, Inc. ..................... 300 2,513
*New Brunswick Scientific Co., Inc. .................. 315 2,166
New Jersey Resources Corp. .......................... 1,500 44,438
Newmil Bancorp, Inc. ................................ 200 1,825
Newport Corp. ....................................... 500 4,375
*Nexthealth, Inc. .................................... 700 2,078
*Noodle Kidoodle, Inc. ............................... 200 1,138
*Nord Resources Corp. ................................ 1,400 5,950
*Nortek, Inc. ........................................ 1,100 16,913
North American Mortgage Co. ......................... 300 6,900
North Side Savings Bank NY .......................... 400 20,950
*Norton McNaughton, Inc. ............................. 200 1,675
Norwich Financial Corp. ............................. 400 7,825
*Novacare, Inc. ...................................... 5,600 47,600
*Nview Corp. ......................................... 400 1,525
O'Sullivan Corp. .................................... 600 6,450
*O'Sullivan Industries Holdings, Inc. ................ 1,100 12,238
*O.I. Corp. .......................................... 400 1,350
*OHM Corp. ........................................... 400 3,400
*OMI Corp. ........................................... 2,600 19,825
*Oak Technology, Inc. ................................ 1,500 14,906
*Offshore Logistics, Inc. ............................ 700 14,088
*Old America Stores, Inc. ............................ 400 1,900
*Olympic Financial, Ltd. ............................. 1,200 16,650
*Olympic Steel, Inc. ................................. 700 17,019
OnbanCorp, Inc. ..................................... 1,200 46,200
*One Price Clothing Stores, Inc. ..................... 900 2,503
Oneida, Ltd. ........................................ 900 15,300
*Oneita Industries, Inc. ............................. 600 2,250
*Onyx Acceptance Corp. ............................... 100 813
*Opal, Inc. .......................................... 400 7,325
*Opinion Research Corp. .............................. 200 838
*Opti, Inc. .......................................... 700 3,697
*Option Care, Inc. ................................... 800 3,950
Orange Co., Inc. .................................... 700 5,338
Oregon Steel Mills, Inc. ............................ 1,700 29,113
Oshkosh Truck Corp. Class B ......................... 700 8,225
*Ostex International, Inc. ........................... 400 2,400
<PAGE>
Shares Value+
-------- --------
Outboard Marine Corp. ............................. 1,700 $27,625
*Outlook Group Corp. ............................... 400 1,875
Overseas Shipholding Group, Inc. .................. 1,300 20,800
Oxford Industries, Inc. ........................... 700 12,775
*PLM International, Inc. ........................... 1,000 3,250
*Pacific Rim Holding Corp. ......................... 800 2,363
Pacific Scientific Co. ............................ 300 3,450
Palfed, Inc. ...................................... 400 5,750
Pancho's Mexican Buffet, Inc. ..................... 400 813
*Paragon Trade Brands, Inc. ........................ 500 13,875
Park Electrochemical Corp. ........................ 300 6,825
*Park-Ohio Industries, Inc. ........................ 300 4,369
*Patterson Energy, Inc. ............................ 148 4,070
*Payless Cashways, Inc. ............................ 3,400 5,950
*Penn Traffic Co. .................................. 200 1,025
*Penn Treaty American Corp. ........................ 600 14,700
Penn Virginia Corp. ............................... 200 8,075
Peoples Heritage Financial Group, Inc. ............ 1,400 39,288
*Peoples Telephone Co., Inc. ....................... 1,400 5,163
*Perfumania, Inc. .................................. 600 1,913
*Perini Corp. ...................................... 400 3,600
*Petrocorp, Inc. ................................... 700 6,869
*Pharmaceutical Resources, Inc. .................... 1,000 5,750
*Pharmchem Laboratories, Inc. ...................... 500 1,977
Phillips-Van Heusen Corp. ......................... 1,500 19,313
Piccadilly Cafeterias, Inc. ....................... 900 8,100
*Pico Holdings, Inc. ............................... 500 1,891
Pilgrim Pride Corp. ............................... 1,300 11,375
Pillowtex Corp. ................................... 300 5,213
Pinnacle Bank Jasper, AL .......................... 100 1,763
*Pinnacle Systems, Inc. ............................ 200 2,075
Pioneer Financial Services, Inc. .................. 500 9,250
Piper Jaffray Companies, Inc. ..................... 800 11,700
*Pittencrieff Communications, Inc. ................. 600 2,456
Pittston Burlington Group ......................... 500 9,813
*Plasti-Line, Inc. ................................. 100 1,025
*Players International, Inc. ....................... 1,400 8,925
Ply-Gem Industries, Inc. DE ....................... 800 10,500
*Polymedica Industries, Inc. ....................... 500 2,156
*Pool Energy Services Co. .......................... 1,200 17,775
Pope & Talbot, Inc. ............................... 1,100 17,463
Portsmouth Bank Shares, Inc. ...................... 510 7,491
Poughkeepsie Savings Bank FSB NY .................. 1,100 5,844
*President Casinos, Inc. ........................... 100 81
Presidential Life Corp. ........................... 2,900 34,619
*Price Communications Corp. ........................ 500 4,063
Price Enterprises, Inc. ........................... 300 5,194
Prime Bancorp, Inc. ............................... 330 6,600
*Procyte Corp. ..................................... 1,100 2,406
*Proffitts, Inc. ................................... 900 36,338
*Progress Software Corp. ........................... 500 10,031
Progressive Bank, Inc. ............................ 200 6,900
Proler International Corp. ........................ 400 3,600
*Proteon, Inc. ..................................... 700 2,691
Provident Bankshares Corp. ........................ 630 24,294
*Proxima Corp. ..................................... 200 2,763
Pulte Corp. ....................................... 400 12,250
*QMS, Inc. ......................................... 900 5,288
Quaker Chemical Corp. ............................. 500 8,438
*Quaker Fabric Corp. ............................... 700 7,263
Quaker State Corp. ................................ 500 8,563
RCSB Financial, Inc. .............................. 1,300 39,081
RLI Corp. ......................................... 600 19,050
7
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- --------
*RPC Energy Services, Inc. ......................... 1,200 $18,600
*Rag Shops, Inc. ................................... 200 413
*Rally's Hamburgers, Inc. .......................... 1,300 5,484
*Ramsay Health Care, Inc. .......................... 700 1,881
Raymond Corp. ..................................... 200 3,550
*Read-Rite Corp. ................................... 700 15,531
*Reading Entertainment, Inc. ....................... 400 3,925
*Recoton Corp. ..................................... 300 4,463
*Redwood Empire Bancorp ............................ 200 2,150
Refac Technology Development Corp. ................ 300 1,969
*Rentrak Corp. ..................................... 100 381
*Republic Automotive Parts, Inc. ................... 300 4,800
*Republic Engineered Steels, Inc. .................. 100 225
*Rex Stores Corp. .................................. 500 4,875
Rexene Corp. ...................................... 300 3,975
*Rhodes, Inc. ...................................... 500 3,500
*Riddell Sports, Inc. .............................. 700 3,216
Riggs National Corp. .............................. 1,400 24,238
Roanoke Electric Steel Corp. ...................... 200 2,775
*Rodman & Renshaw Capital Group, Inc. .............. 600 900
*Rollins Environmental Services, Inc. .............. 5,200 10,400
Rollins Truck Leasing Corp. ....................... 3,900 46,800
Rouge Steel Co. Class A ........................... 600 12,975
*Ruby Tuesday, Inc. ................................ 1,000 16,125
*Ryans Family Steak Houses, Inc. ................... 2,900 20,028
Rykoff-Sexton, Inc. ............................... 100 1,450
Ryland Group, Inc. ................................ 500 6,938
*S&K Famous Brands, Inc. ........................... 400 3,675
SPX Corp. ......................................... 1,100 34,925
*STM Wireless, Inc. Class A ........................ 200 1,438
Saint Paul Bancorp, Inc. .......................... 1,600 45,100
*Salant Corp. DE ................................... 600 2,100
*San Filippo (John B.) & Son, Inc. ................. 800 4,150
Sanderson Farms, Inc. ............................. 100 1,594
Sands Regent Casino Hotel ......................... 400 1,225
*Schuler Homes, Inc. ............................... 800 4,700
*Scios-Nova, Inc. .................................. 3,100 17,631
*Seacor Holdings, Inc. ............................. 500 31,625
Seafield Capital Corp. ............................ 300 10,425
*Secom General Corp. ............................... 400 1,100
Security Capital Corp. W.I ........................ 200 14,275
Security Connecticut Corp. ........................ 500 17,250
Selective Insurance Group, Inc. ................... 500 17,063
*Sequent Computer Systems, Inc. .................... 2,100 35,569
*Sequoia Systems, Inc. ............................. 500 1,102
*Serv-Tech, Inc. ................................... 600 1,763
*Service Merchandise Co., Inc. ..................... 3,400 18,700
*Sharper Image Corp. ............................... 500 1,719
*Shiloh Industries, Inc. ........................... 1,100 18,425
*Shoe Carnival, Inc. ............................... 300 1,613
*Shoney's, Inc. .................................... 558 4,604
Shopko Stores, Inc. ............................... 2,700 41,850
Showboat, Inc. .................................... 100 1,863
Sifco Industries, Inc. ............................ 400 4,300
*Signal Technology Corp. ........................... 600 4,425
*Silicon Valley Group, Inc. ........................ 1,300 27,463
*Sizzler International, Inc. ....................... 2,400 6,900
Skyline Corp. ..................................... 900 23,400
Skywest, Inc. ..................................... 600 8,513
Smith (A.O.) Corp. ................................ 800 23,700
Smith (A.O.) Corp. Convertible Class A ............ 200 5,800
Snyder Oil Corp. .................................. 1,600 27,600
<PAGE>
Shares Value+
-------- --------
*Softech, Inc. ..................................... 300 $ 825
South Jersey Industries, Inc. ..................... 300 7,238
Southdown, Inc. ................................... 1,500 48,888
*Southwall Technologies, Inc. ...................... 500 3,344
Southwest Bancshares, Inc. DE ..................... 300 5,513
Southwest Securities Group, Inc ................... 200 2,563
Southwestern Energy Co. ........................... 2,200 35,200
*Spacelabs Medical, Inc. ........................... 500 10,063
*Spaghetti Warehouse, Inc. ......................... 500 2,500
Spartan Motors, Inc. .............................. 500 3,188
*Sparton Corp. ..................................... 500 4,000
*Spec's Music, Inc. ................................ 400 450
*Specialty Chemical Resources, Inc. ................ 300 525
*Spectran Corp. .................................... 500 8,781
*Speizman Industries, Inc. ......................... 300 1,659
*Sport Chalet, Inc. ................................ 600 2,025
*Sportmart, Inc. Class A ........................... 250 758
*Sports & Recreation, Inc. ......................... 1,700 14,663
*Sports Club Co., Inc. ............................. 600 1,575
*Staff Builders, Inc. Class A ...................... 400 975
*Standard Commercial Corp. ......................... 840 11,344
*Standard Management Corp. ......................... 200 938
*Standard Microsystems Corp. ....................... 1,100 12,100
Standard Motor Products, Inc. Class A ............. 1,100 15,125
Standard Pacific Corp. DE ......................... 2,600 15,275
Standard Products Co. ............................. 1,400 32,025
Stant Corp. ....................................... 1,000 12,500
*Staodyn, Inc. ..................................... 500 672
*Starcraft Corp. ................................... 200 763
Starrett (L.S.) Co. Class A ....................... 200 5,550
Steel Technologies, Inc. .......................... 500 6,313
*Steel of West Virginia, Inc. ...................... 600 3,375
Sterling Bancorp .................................. 500 7,438
*Sterling Financial Corp. WA ....................... 600 8,138
Stewart Information Services Corp. ................ 500 10,531
*Stokely USA, Inc. ................................. 1,000 1,875
Stone & Webster, Inc. ............................. 800 26,100
*Stratus Computer, Inc. ............................ 1,200 30,900
Strawbridge & Clothier Class A .................... 900 14,963
*Strouds, Inc. ..................................... 100 400
*Stuart Entertainment, Inc. ........................ 600 3,375
*Sulcus Computer Corp. ............................. 500 1,063
Sumitomo Bank of California ....................... 300 7,688
*Summit Care Corp. ................................. 200 3,000
*Summit Technology, Inc. ........................... 500 2,609
*Sun Coast Plastics, Inc. .......................... 200 700
*Sun Healthcare Group, Inc. ........................ 2,000 25,000
*Sun Sportswear, Inc. .............................. 500 1,031
Sun Television and Appliances, Inc. ............... 1,500 3,938
*Sunrise Medical, Inc. ............................. 700 10,063
*Sunrise Resources, Inc. ........................... 400 1,725
Susquehanna Bancshares, Inc. ...................... 500 17,688
*Swiss Army Brands, Inc. ........................... 700 9,800
*Syms Corp. ........................................ 1,500 13,125
*Syncor International Corp. DE ..................... 900 9,056
*Syntellect, Inc. .................................. 700 3,456
*Syquest Technology, Inc. .......................... 900 4,444
*Syratech Corp. .................................... 200 6,200
*TBC Corp. ......................................... 400 2,925
TCBY Enterprises, Inc. ............................ 2,200 9,350
TJ International, Inc. ............................ 1,400 30,450
TR Financial Corp. ................................ 500 14,656
Tab Products Co. DE ............................... 400 3,100
*Taco Cabana Inc. .................................. 1,300 8,694
8
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- --------
*Tandy Crafts, Inc. ................................ 1,000 $ 6,625
*Tanknology Environmental, Inc. .................... 1,200 2,475
Telxon Corp. ...................................... 500 6,031
*Tesoro Petroleum Corp. ............................ 1,100 15,950
*Theratx, Inc. ..................................... 500 5,250
Thomas Industries, Inc. ........................... 300 6,075
Thomaston Mills, Inc. ............................. 400 4,550
*Thorn Apple Valley, Inc. .......................... 500 6,375
*Tipperary Corp. ................................... 500 2,500
*Titan Corp. ....................................... 1,000 3,000
Titan Wheel International, Inc. ................... 1,200 15,900
Toastmaster, Inc. ................................. 600 1,800
*Todd Shipyards Corp. .............................. 800 5,500
Tower Air, Inc. ................................... 600 1,819
*Trans World Airlines, Inc. ........................ 1,700 13,175
*Trans World Entertainment Corp. ................... 800 6,400
Transnational RE Corp. Class A .................... 200 5,013
*Travel Ports of America, Inc. ..................... 200 525
*Tremont Corp. DE .................................. 600 21,825
*Trend-Lines, Inc. Class A ......................... 200 975
*Trism, Inc. ....................................... 500 1,906
*Truevision, Inc. .................................. 1,300 3,331
*Tuboscope Vetco International, Inc. ............... 1,600 24,800
*Tuesday Morning Corp. ............................. 700 15,225
*Tultex Corp. ...................................... 2,500 17,813
Twin Disc, Inc. ................................... 200 4,325
*Tyco Toys, Inc. ................................... 3,000 35,250
*Tyler Corp. ....................................... 1,700 2,763
U.S. Bancorp, Inc. ................................ 500 20,250
*UNC, Inc. ......................................... 1,500 13,875
*URS Corp. ......................................... 719 6,022
USX-Delhi Group ................................... 800 11,800
*Ultimate Electronics, Inc. ........................ 300 900
*Ultradata Corp. ................................... 100 488
*Ultratech Stepper, Inc. ........................... 300 6,844
Uni-Marts, Inc. ................................... 500 3,188
Unico American Corp. .............................. 500 4,656
*Union Switch & Signal, Inc. ....................... 250 1,859
*Uniroyal Technology Corp. ......................... 1,100 3,163
*United American Healthcare Corp. .................. 200 1,275
United Industrial Corp. ........................... 400 2,350
*United Retail Group, Inc. ......................... 500 1,500
*United States Home Corp. .......................... 1,000 24,750
*Universal Hospital Services, Inc. ................. 300 2,813
*Universal International, Inc. ..................... 400 925
*Universal Standard Medical Labs, Inc. ............. 500 1,969
*Uno Restaurant Corp. .............................. 300 2,063
*Utilx Corp. ....................................... 600 2,194
*V Band Systems, Inc. .............................. 500 1,000
*VLSI Technology, Inc. ............................. 800 18,400
*Value City Department Stores, Inc. ................ 1,800 22,950
*Valuevision International, Inc. Class A ........... 1,400 7,744
*Variflex, Inc. .................................... 200 1,025
Varlen Corp. ...................................... 110 2,214
<PAGE>
Shares Value+
-------- --------
*Ventura County National Bancorp ....................... 300 $ 1,463
*Venture Stores, Inc. .................................. 1,500 4,875
*Veritas DGC, Inc. ..................................... 900 19,238
*Vertex Communications Corp. ........................... 200 3,450
*Vicorp Restaurants, Inc. .............................. 800 11,200
*Video Display Corp. ................................... 300 1,144
*Video Lottery Technologies, Inc. ...................... 900 3,994
*Vie de France Corp. ................................... 700 1,444
Virginia Beach Federal Financial Corp. ................ 400 3,675
*WHX Corp. ............................................. 2,200 20,625
WLR Foods, Inc. ....................................... 300 3,825
Walden Bancorp, Inc. .................................. 300 10,369
*Wall Data, Inc. ....................................... 600 9,075
Warren Bancorp, Inc. .................................. 300 4,500
*Washington Homes, Inc. ................................ 700 3,150
Washington National Corp. ............................. 300 8,363
Washington Savings Bank FSB Waldorf, MD ............... 400 1,900
Watkins-Johnson Co. ................................... 500 13,000
Watts Industries, Inc. Class A ........................ 1,600 35,000
Webb (Del) Corp. ...................................... 800 13,500
Webster Financial Corp. ............................... 500 18,750
*Weirton Steel Corp. ................................... 3,600 9,450
*Welcome Home, Inc. .................................... 200 175
Wellman, Inc. ......................................... 1,000 16,125
*Wells-Gardner Electronics Corp. ....................... 200 800
Wesbanco, Inc. ........................................ 200 6,025
Westco Bancorp, Inc. .................................. 300 6,525
*Western Beef, Inc. .................................... 500 5,250
*Weston (Roy F.), Inc. Class A ......................... 600 2,250
*Whittaker Corp. ....................................... 700 9,800
*Wickes Lumber Co. ..................................... 200 713
Wilshire Oil Co. of Texas ............................. 500 2,688
Windmere Corp. ........................................ 1,400 20,125
Wiser Oil Co. ......................................... 800 13,900
Wolohan Lumber Co. .................................... 600 7,613
*Wonderware Corp. ...................................... 500 4,719
*Worldtex, Inc. ........................................ 1,200 9,900
Yankee Energy Systems, Inc. ........................... 900 19,800
*Yellow Corp. .......................................... 2,400 36,300
York Financial Corp. .................................. 605 10,134
*Zale Corp. ............................................ 3,000 59,625
*Zemex Corp. ........................................... 728 6,279
Zenith National Insurance Corp. ....................... 1,500 41,250
*Zilog, Inc. ........................................... 1,000 22,375
Zurn Industries, Inc. ................................. 300 8,588
---------
TOTAL COMMON STOCKS
(Cost $7,059,369) .................................... 7,977,024
---------
PREFERRED STOCKS - (0.0%)
Fedders Corp. Convertible
(Cost $1,251) ........................................ 500 2,938
---------
RIGHTS/WARRANTS - (0.0%)
*Amvestors Financial Corp. Warrants Class A 04/02/02
(Cost $0) ............................................. 46 230
---------
9
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
Face
Amount Value+
-------- -------------
(000)
TEMPORARY CASH INVESTMENTS - (2.8%)
Repurchase Agreement, PNC
Securities Corp. 5.45%,
12/02/96 (Collateralized
by U.S. Treasury Bills
4.93%, 01/16/97) (Cost $227,000) ........... $ 227 $ 227,000
-----------
TOTAL INVESTMENTS - (101.8%)
(Cost $7,287,620) ......................... 8,207,192
-----------
OTHER ASSETS AND LIABILITIES - (-1.8%)
Other Assets ................................ 11,659
Payable for Investment
Securities Purchased ...................... (153,513)
Other Liabilities ........................... (6,850)
-----------
(148,704)
-----------
NET ASSETS - (100.0%) Applicable
to 685,658 Outstanding
$.01 Par Value Shares
(100,000,000 Shares Authorized) ............ $ 8,058,488
===========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE .................. $ 11.75
===========
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements.
10
<PAGE>
STATEMENT OF NET ASSETS
VA LARGE VALUE PORTFOLIO
NOVEMBER 30, 1996
Shares Value+
------- --------
UNITED STATES - (98.3%)
COMMON STOCKS - (98.3%)
*AK Steel Holding Corp. .......................... 1,100 $ 41,938
*AMR Corp. ....................................... 2,200 200,750
*Advanced Micro Devices, Inc. .................... 2,800 67,900
Aetna, Inc. ..................................... 3,600 259,650
Ahmanson (H.F.) & Co. ........................... 2,400 79,200
Albemarle Corp. ................................. 1,100 19,938
Alexander & Baldwin, Inc. ....................... 600 15,975
Alleghany Corp. ................................. 100 21,150
*Alumax, Inc. .................................... 900 29,138
Ambac, Inc. ..................................... 700 47,950
*Amdahl Corp. .................................... 2,600 30,875
Amerada Hess Corp. .............................. 2,200 129,525
*America West Airlines, Inc. Class B ............. 1,100 16,088
American General Corp. .......................... 4,300 176,838
American National Insurance Co. ................. 600 45,075
Apple Computer, Inc. ............................ 2,900 70,325
Argonaut Group, Inc. ............................ 300 8,888
Asarco, Inc. .................................... 900 24,525
Astoria Financial Corp. ......................... 600 22,575
Avnet, Inc. ..................................... 800 46,800
*BHC Communications, Inc. Class A ................ 100 10,213
Ball Corp. ...................................... 600 14,700
Bancorp Hawaii, Inc. ............................ 600 26,175
Bankers Trust New York Corp. .................... 1,200 104,400
Bear Stearns Companies, Inc. .................... 2,711 74,553
Berkley (W.R.) Corp. ............................ 300 15,825
*Bethlehem Steel Corp. ........................... 2,500 22,500
*Beverly Enterprises ............................. 2,800 37,100
Boise Cascade Corp. ............................. 1,000 31,000
Borg Warner Automotive, Inc. .................... 400 16,000
Bowater, Inc. ................................... 1,200 45,150
*Burlington Industries, Inc. ..................... 1,100 11,963
Burlington Northern Santa Fe Corp. .............. 3,700 332,538
CIGNA Corp. ..................................... 1,600 226,200
*CNA Financial Corp. ............................. 1,500 161,250
CSX Corp. ....................................... 4,900 229,075
*Cal Fed Bancorp, Inc. ........................... 700 16,975
*Caliber Systems, Inc. ........................... 1,200 23,250
Centex Corp. .................................... 500 18,000
Champion International Corp. .................... 2,300 98,900
Chiquita Brands International, Inc. ............. 300 3,975
*Chris-Craft Industries, Inc. .................... 412 16,841
Chrysler Corp. .................................. 15,000 532,500
Cincinnati Financial Corp. ...................... 1,130 67,800
Citizens Corp. .................................. 200 4,375
Coca-Cola Enterprises, Inc. ..................... 2,600 117,325
Comdicso, Inc. .................................. 300 9,750
Commerce Bancshares, Inc. ....................... 746 33,454
Commerce Group, Inc. ............................ 600 14,400
Comsat Corp. Series 1 ........................... 1,000 26,250
Conrail, Inc. ................................... 1,600 155,600
Consolidated Freightways, Inc. .................. 900 21,713
Coors (Adolph) Co. Class B ...................... 700 13,825
Countrywide Credit Industries, Inc. ............. 2,100 60,638
Cummins Engine Co., Inc. ........................ 800 36,200
Cyprus Amax Minerals Co., Inc. .................. 2,100 51,975
*DSC Communications Corp. ........................ 3,200 57,800
Diamond Shamrock, Inc. .......................... 600 19,500
<PAGE>
Shares Value+
------- --------
*Digital Equipment Corp. ......................... 3,700 $ 135,975
Dillard Department Stores, Inc. Class A ......... 2,700 82,688
*Dime Bancorp, Inc. .............................. 1,800 28,575
Donaldson, Lufkin & Jenrette, Inc. .............. 1,500 53,438
Enserch Corp. ................................... 1,000 23,375
*Enserch Exploration, Inc. ....................... 3,600 40,950
Equitable Companies, Inc. ....................... 3,200 79,200
Equitable of Iowa Companies ..................... 600 26,850
*FHP International Corp. ......................... 300 10,781
*Federated Department Stores, Inc. ............... 5,000 170,625
Financial Security Assurance Holdings, Ltd. ..... 600 19,050
Fina, Inc. Class A .............................. 700 33,075
Finova Group, Inc. .............................. 400 26,400
First Colony Corp. .............................. 700 25,200
First Hawaiian, Inc. ............................ 200 6,488
First of America Bank Corp. ..................... 300 18,225
Florida East Coast Industries, Inc. ............. 300 26,400
Ford Motor Co. .................................. 28,000 917,000
*Fruit of The Loom, Inc. Class A ................. 800 28,500
GATX Corp. ...................................... 300 14,963
General Motors Corp. ............................ 17,900 1,031,467
General Motors Corp. Class H .................... 2,400 130,800
Georgia-Pacific Corp. ........................... 2,300 167,325
Golden West Financial Corp. ..................... 1,100 74,250
Great Atlantic & Pacific Tea Co., Inc. .......... 800 26,200
Great Western Financial Corp. ................... 2,900 90,263
Greenpoint Financial Corp. ...................... 1,500 72,375
Heilig-Meyers Co. ............................... 1,000 13,875
Helmerich & Payne, Inc. ......................... 400 21,500
Hollinger International, Inc. Class A ........... 1,700 18,700
Inland Steel Industries, Inc. ................... 1,200 22,350
International Paper Co. ......................... 7,200 306,000
*International Speciality Products, Inc. ......... 2,200 26,675
James River Corp. of Virginia ................... 2,100 67,200
K Mart Corp. .................................... 11,700 130,163
*Kaiser Aluminum Corp. ........................... 1,700 18,063
LTV Corp. ....................................... 2,900 31,175
Lafarge Corp. ................................... 5,900 113,575
Lehman Brothers Holdings, Inc. .................. 2,400 69,900
Lennar Corp. .................................... 500 13,000
Liberty Financial Companies, Inc. ............... 800 28,400
Lincoln National Corp. .......................... 2,300 123,913
Loews Corp. ..................................... 2,800 259,700
Longs Drug Stores Corp. ......................... 100 5,013
Longview Fibre Co. .............................. 1,100 20,075
Louisiana-Pacific Corp. ......................... 2,700 61,088
MBIA, Inc. ...................................... 900 91,013
MCI Communications Corp. ........................ 3,200 97,800
Mead Corp. ...................................... 1,100 65,175
Mercantile Stores Co., Inc. ..................... 700 35,175
*Meyer (Fred), Inc. DE ........................... 800 26,800
Mitchell Energy & Development Corp. Class A ..... 300 6,469
Mitchell Energy & Development Corp. Class B ..... 600 12,675
Morgan (J.P.) & Co., Inc. ....................... 1,000 94,375
Murphy Oil Corp. ................................ 200 10,200
11
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
Shares Value+
------- --------
*National Semiconductor Corp. ........................ 2,600 $ 63,700
*Navistar International Corp. ........................ 2,200 20,900
*Nextel Communications Corp. Class A ................. 5,100 76,819
Norfolk Southern Corp. .............................. 3,700 333,000
Occidental Petroleum Corp. .......................... 7,800 187,200
Ogden Corp. ......................................... 1,100 21,313
Ohio Casualty Corp. ................................. 700 24,063
Old Republic International Corp. .................... 2,100 56,963
Overseas Shipholding Group, Inc. .................... 500 8,000
PHH Corp. ........................................... 700 31,413
Paccar, Inc. ........................................ 300 20,025
Paine Webber Group, Inc. ............................ 1,300 35,263
Paul Revere Corp. ................................... 1,000 31,625
Phelps Dodge Corp. .................................. 1,400 101,675
Potlatch Corp. ...................................... 700 30,975
Pulte Corp. ......................................... 400 12,250
*Quantum Corp. ....................................... 900 24,188
RJR Nabisco Holdings Corp. .......................... 6,540 209,280
Rayonier, Inc. ...................................... 700 27,125
Reliance Group Holdings, Inc. ....................... 2,700 24,300
Reliastar Financial Corp. ........................... 200 11,150
Republic New York Corp. ............................. 300 26,475
Reynolds Metals Co. ................................. 1,600 95,200
Ryder System, Inc. .................................. 2,000 60,750
Safeco Corp. ........................................ 3,100 129,425
Saint Paul Companies, Inc. .......................... 1,900 111,863
Salomon, Inc. ....................................... 2,600 118,625
Sensormatic Electronics Corp. ....................... 1,300 26,000
Signet Banking Corp. ................................ 1,000 30,250
Smiths Food & Drug Centers, Inc. Class B ............ 49 1,482
Southern New England Telecommunications Corp. ....... 300 11,925
*Spiegel, Inc. Class A Non-Voting .................... 200 1,713
Springs Industries, Inc. Class A .................... 300 13,950
Standard Federal Bancorporation, Inc. ............... 200 11,275
Stone Container Corp. ............................... 2,400 36,900
Sun Company, Inc. ................................... 1,100 27,500
TIG Holdings, Inc. .................................. 900 27,450
*Tandem Computers, Inc. .............................. 2,600 35,425
Tecumseh Products Co. Class A ....................... 200 11,775
Telephone & Data Systems, Inc. ...................... 1,100 41,113
Temple-Inland, Inc. ................................. 1,400 75,250
*Teradyne, Inc. ...................................... 1,600 37,800
Timken Co. .......................................... 800 36,500
Transamerica Corp. .................................. 1,400 111,125
Tyson Foods, Inc. Class A ........................... 1,800 59,063
UMB Financial Corp. ................................. 300 11,850
USF&G Corp. ......................................... 3,600 72,000
USLIFE Corp. ........................................ 650 20,069
USX-Marathon Group, Inc. ............................ 7,100 162,413
USX-US Steel Group .................................. 2,100 63,263
Union Camp Corp. .................................... 1,700 83,513
Union Pacific Corp. ................................. 3,400 198,050
*Union Pacific Resources Group, Inc. ................. 2,879 86,010
Unionbancal Corp. ................................... 700 38,325
*Unisys Corp. ........................................ 2,500 19,063
*United States Cellular Corp. ........................ 1,400 39,200
Unitrin, Inc. ....................................... 700 37,363
Valero Energy Corp. ................................. 900 27,000
Valhi, Inc. ......................................... 1,200 7,350
<PAGE>
<TABLE>
<CAPTION>
Shares Value+
------- ---------
<S> <C> <C>
*Value Health, Inc. ....................................... 900 $ 16,313
*Viacom, Inc. Class B ..................................... 7,000 264,250
*Vishay Intertechnology, Inc. ............................. 1,600 33,600
*Waban, Inc. .............................................. 600 15,825
Washington Mutual, Inc. .................................. 1,200 52,275
Wellman, Inc. ............................................ 1,000 16,125
Wesco Financial Corp. .................................... 100 18,500
Westvaco Corp. ........................................... 2,300 64,975
Weyerhaeuser Co. ......................................... 2,000 92,000
*Wheelabrator Technologies, Inc. .......................... 3,600 58,950
Whirlpool Corp. .......................................... 300 15,000
*Woolworth Corp. .......................................... 2,000 48,000
*Zurich Reinsurance Centre Holdings, Inc. ................. 500 15,313
-----------
TOTAL UNITED STATES
(Cost $11,525,241) ....................................... 13,331,932
-----------
FRANCE - (0.0%)
INVESTMENT IN CURRENCY - (0.0%)
*French Francs (Cost $1,902) .............................. 1,886
-----------
GERMANY - (0.0%)
INVESTMENT IN CURRENCY - (0.0%)
*German Marks (Cost $850) ................................. 842
-----------
SPAIN - (0.0%)
INVESTMENT IN CURRENCY - (0.0%)
*Spanish Peseta (Cost $130) ............................... 126
-----------
UNITED KINGDOM - (0.0%)
INVESTMENT IN CURRENCY - (0.0%)
*British Pound Sterling (Cost $10) ........................ 11
-----------
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 $177,000) .......................................... $ 177 177,000
-----------
TOTAL INVESTMENTS - (99.6%) (Cost $11,705,133) ............ 13,511,797
-----------
OTHER ASSETS AND LIABILITIES - (0.4%)
Other Assets .............................................. 66,398
Liabilities ............................................... (8,081)
-----------
58,317
-----------
NET ASSETS - (100.0%) Applicable to 1,008,543 Outstanding
$.01 Par Value Shares (100,000,000 Shares Authorized) .... $13,570,114
===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE .. $ 13.46
===========
</TABLE>
------
+See Note B to Financial Statements.
*Non-Income Producing Securities
See accompanying Notes to Financial Statements.
12
<PAGE>
STATEMENT OF NET ASSETS
VA INTERNATIONAL VALUE PORTFOLIO
NOVEMBER 30, 1996
Shares Value+
-------- ----------
JAPAN -- (38.5%)
COMMON STOCKS -- (36.0%)
Aichi Steel Works, Ltd. ......... 4,000 $ 19,332
Aisin Seiki Co., Ltd. ........... 2,000 31,986
#Amada Co., Ltd. ................. 3,000 25,097
*Aoki Corp. ...................... 6,000 15,501
Aoyama Trading Co., Ltd. ........ 1,100 31,318
#Asahi Breweries, Ltd. ........... 4,000 42,882
*Ashikaga Bank, Ltd. ............. 3,000 16,397
Atsugi Nylon Industrial Co., Ltd. 5,000 19,464
Calpis Food Industry Co., Ltd. .. 2,000 13,040
Casio Computer Co., Ltd. ........ 3,000 24,359
Chugoku Bank, Ltd. .............. 2,000 32,865
#Chuo Trust and Banking Co., Ltd. 2,000 20,035
Citizen Watch Co., Ltd. ......... 3,000 23,409
Dai Tokyo Fire & Marine Insurance
Co., Ltd. ....................... 4,000 24,253
Daicel Chemical Industries, Ltd. 4,000 19,016
Daikyo, Inc. .................... 3,000 16,239
Daito Trust Construction Co.,
Ltd. ............................ 1,500 19,640
#Daiwa Bank, Ltd. ................ 15,000 86,995
Daiwa House Industry Co., Ltd. .. 5,000 69,420
Ezaki Glico Co., Ltd. ........... 2,000 18,102
Fuji Photo Film Co., Ltd. ....... 5,000 156,854
Fujisawa Pharmaceutical Co., Ltd. 2,000 17,750
Fujita Corp. .................... 9,000 28,471
Fujitsu, Ltd. ................... 15,000 143,673
Fukuoka City Bank, Ltd. ......... 4,000 28,647
Gunze, Ltd. ..................... 4,000 22,425
*Hanwa Co., Ltd. ................. 5,000 15,246
*Haseko Corp. .................... 8,000 24,605
Hiroshima Bank, Ltd. ............ 2,000 11,037
Hitachi Koki Co., Ltd. .......... 2,000 16,661
#Hitachi Maxell, Ltd. ............ 1,000 20,650
#Hitachi Transport System, Ltd. .. 2,000 19,332
Hitachi, Ltd. ................... 36,000 335,327
Hokkaido Bank, Ltd. ............. 7,000 17,715
*Hokkaido Takushoku Bank, Ltd.,
Takugin ......................... 16,000 35,149
Hokuriku Bank, Ltd. ............. 7,000 36,661
Hyakujushi Bank, Ltd. ........... 3,000 19,429
Inax Corp. ...................... 2,000 16,854
Katokichi Co., Ltd. ............. 1,000 20,387
Keiyo Bank, Ltd. ................ 5,000 24,605
Kinden Corp. .................... 2,000 27,768
Kiyo Bank, Ltd. ................. 5,000 21,090
Kokusai Securities Co., Ltd. .... 2,000 23,726
Komatsu, Ltd. ................... 9,000 75,844
*Kumagai Gumi Co., Ltd. .......... 6,000 16,977
Kureha Chemical Industry Co.,
Ltd. ............................ 4,000 18,629
Kyudenko Corp. .................. 2,000 21,441
#Long Term Credit Bank of Japan,
Ltd. ............................ 20,000 126,538
Maeda Corp. ..................... 2,000 15,571
Marubeni Corp. .................. 16,000 72,408
Maruetsu, Inc. .................. 3,000 21,907
Matsushita Electric Industrial
Co., Ltd. ....................... 22,000 380,844
#Matsushita Electric Works, Ltd. . 4,000 37,258
Mitsubishi Gas Chemical Co., Inc. 5,000 18,981
<PAGE>
Shares Value+
-------- ----------
Mitsubishi Oil Co., Ltd. ........ 4,000 $ 26,538
Mitsui Fudosan Co., Ltd. ........ 4,000 47,452
Mitsui Trust & Banking Co., Ltd. 2,000 19,156
#Mizuno Corp. .................... 2,000 15,606
Nagase & Co., Ltd. .............. 2,000 17,012
#Nihon Cement Co., Ltd. .......... 3,000 18,585
#Nippon Credit Bank, Ltd. ........ 12,000 30,580
Nippon Meat Packers, Inc., Osaka 2,000 26,186
Nippon Oil Co., Ltd. ............ 12,000 67,803
Nippon Sheet Glass Co., Ltd. .... 4,000 16,485
Nippon Shinpan Co., Ltd., Tokyo . 6,000 37,592
#Nisshin Steel Co., Ltd. ......... 5,000 15,334
Nisshinbo Industries, Inc. ...... 3,000 26,362
Nittetsu Mining Co., Ltd. ....... 2,000 17,223
*Nitto Boseki Co., Ltd. .......... 7,000 21,283
Noritz Corp. .................... 1,000 13,620
Pioneer Electronic Corp. ........ 2,000 43,058
San-In Godo Bank, Ltd. .......... 3,000 22,671
Sankyo Aluminum Industry Co.,
Ltd. ............................ 3,000 13,629
Sanyo Electric Co., Ltd. ........ 21,000 98,357
Sekisui House, Ltd. ............. 6,000 64,323
Shiga Bank, Ltd. ................ 4,000 21,722
Shinmaywa Industries, Ltd. ...... 2,000 16,696
Shionogi & Co., Ltd. ............ 3,000 23,515
#Shiseido Co., Ltd. .............. 4,000 48,155
Sumitomo Corp. .................. 10,000 84,798
Sumitomo Realty & Development
Co., Ltd. ....................... 7,000 48,594
Teijin, Ltd. .................... 4,000 19,086
#Tokyo Sowa Bank, Ltd. ........... 4,000 20,035
Tokyo Steel Manufacturing Co.,
Ltd. ............................ 1,500 22,144
Tokyo Style Co., Ltd. ........... 1,000 14,763
*Tokyo Tatemono Co., Ltd. ........ 4,000 18,348
Toyo Engineering Corp. .......... 3,000 16,081
Toyo Trust & Banking Co., Ltd. .. 7,000 60,466
Toyota Motor Corp. .............. 2,000 54,657
Toyota Tsusho Corp. ............. 4,000 24,077
Victor Co. of Japan, Ltd. ....... 2,000 20,914
Yamaguchi Bank, Ltd. ............ 2,000 29,877
Yamaichi Securities Co., Ltd. ... 12,000 63,374
Yamato Kogyo Co., Ltd. .......... 2,000 19,859
Yasuda Trust & Banking Co., Ltd. 8,000 37,750
-----------
TOTAL COMMON STOCKS
(Cost $3,958,866) ................ 3,783,576
-----------
INVESTMENT IN CURRENCY -- (2.5%)
*Japanese Yen (Cost $269,968) .... 267,211
-----------
TOTAL -- JAPAN (Cost $4,228,834) .. 4,050,787
-----------
UNITED KINGDOM -- (19.8%)
COMMON STOCKS -- (19.1%)
ASDA Group P.L.C. ............... 18,900 37,649
Abbey National P.L.C. ........... 4,000 46,934
Anglian Water P.L.C. ............ 2,100 20,598
Argyll Group P.L.C. ............. 5,000 32,695
Arjo Wiggins Appleton P.L.C. .... 5,400 14,569
Associated British Foods P.L.C. . 4,000 29,686
BAA P.L.C. ...................... 3,045 25,209
13
<PAGE>
THE VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- ----------
Barclays P.L.C. .................. 4,500 $ 77,650
Bass P.L.C. ..................... 5,800 76,438
British Gas P.L.C. .............. 22,000 80,991
British Land Co. P.L.C. ......... 3,500 28,447
British Steel P.L.C. ............ 16,300 45,553
British Telecommunications P.L.C. 42,000 267,229
Burton Group P.L.C. ............. 18,700 46,759
Commercial Union P.L.C. ......... 3,071 34,072
General Accident P.L.C. ......... 2,500 30,783
Great Universal Stores P.L.C. ... 6,100 70,343
Guardian Royal Exchange P.L.C. .. 7,266 32,734
Guinness P.L.C. ................. 7,000 52,598
ICI (Imperial Chemical Industries
P.L.C.) ......................... 4,300 55,839
Ladbroke Group P.L.C. ........... 7,698 26,528
Lasmo P.L.C. .................... 8,700 32,174
Lonrho P.L.C. ................... 6,237 14,102
National Power P.L.C. ........... 6,000 46,597
National Westminster Bank P.L.C. 8,430 97,991
North West Water Group P.L.C. ... 2,419 24,032
Pilkington P.L.C. ............... 7,830 19,546
Powergen P.L.C. ................. 3,000 29,275
Redland P.L.C. .................. 4,110 25,563
Royal & Sun Alliance Insurance
Group, Inc. P.L.C. .............. 9,948 75,001
Sainsbury (J.) P.L.C. ........... 9,000 56,809
Scottish & Newcastle P.L.C. ..... 2,000 21,483
Sears P.L.C. .................... 12,100 18,916
Severn Trent P.L.C. ............. 2,999 33,021
Shell Transport & Trading Co.
P.L.C. .......................... 7,500 124,688
Tesco P.L.C. .................... 14,200 81,159
Thames Water P.L.C. ............. 2,784 27,026
Unilever P.L.C. ................. 2,300 54,206
Welsh Water P.L.C. .............. 1,583 19,718
Whitbread P.L.C. ................ 4,200 54,116
Yorkshire Water P.L.C. .......... 1,652 18,981
-----------
TOTAL COMMON STOCKS
(Cost $1,698,058) ................ 2,007,708
-----------
INVESTMENT IN CURRENCY -- (0.7%)
*British Pound Sterling
(Cost $75,472) ................... 76,075
-----------
TOTAL -- UNITED KINGDOM
(Cost $1,773,530) ................ 2,083,783
-----------
GERMANY -- (7.8%)
COMMON STOCKS -- (7.6%)
BASF AG ......................... 4,000 148,103
#BHF Bank ........................ 1,000 24,243
Bankgesellschaft Berlin AG ...... 1,000 16,433
#Bayer AG ........................ 2,000 80,560
#Bayerische Hypotheken und
Wechselbank AG .................. 1,700 53,384
Bayerische Vereinsbank AG ....... 1,120 46,979
#Commerzbank AG .................. 2,000 49,203
Deutsche Bank AG ................ 3,300 157,429
Deutsche Lufthansa AG ........... 2,000 25,773
Dresdner Bank AG, Frankfurt ..... 2,900 86,160
#Man AG, Muenchen ................ 100 23,593
#Siemens AG ...................... 500 24,113
Vereins & Westbank AG ........... 112 26,096
<PAGE>
THE VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- ----------
Volkswagen AG ................... 100 $ 40,124
-----------
TOTAL COMMON STOCKS
(Cost $697,350) .................. 802,193
-----------
INVESTMENT IN CURRENCY -- (0.2%)
*German Marks (Cost $21,874) ..... 21,684
-----------
TOTAL -- GERMANY
(Cost $719,224) .................. 823,877
-----------
FRANCE -- (7.5%)
COMMON STOCKS -- (7.1%)
Alcatel Alsthom Cie Generale
d'Electricite SA ................ 567 51,498
Axa SA .......................... 700 42,126
Banque Nationale de Paris ....... 700 27,861
Elf Aquitaine SA ................ 1,609 140,529
Eridania Beghin-Say SA .......... 200 31,297
Financiere de Paribas SA Series A 446 30,642
Groupe Danone ................... 300 44,359
LaFarge Coppee SA ............... 308 19,609
Peugeot SA ...................... 200 24,593
Rhone-Poulenc SA Series A ....... 1,125 36,372
Saint Louis (SLB) ............... 100 25,455
Saint-Gobain .................... 307 43,983
*Societe Centrale des Assurances
Generales de France SA .......... 700 23,262
Societe Generale Paris .......... 510 55,679
Suez SA ......................... 624 26,915
Total SA Series B ............... 825 66,809
UAP SA .......................... 1,930 51,420
-----------
TOTAL COMMON STOCKS
(Cost $659,603) .................. 742,409
-----------
INVESTMENT IN CURRENCY -- (0.4%)
*French Francs (Cost $44,695) .... 44,140
-----------
TOTAL -- FRANCE (Cost $704,298) ... 786,549
-----------
SWITZERLAND -- (5.5%)
COMMON STOCKS -- (5.5%)
Baloise-Holding, Basel .......... 25 55,833
Banque Cantonale Vaudois ........ 110 29,463
CS Holding, Zuerich (Namen) ..... 800 85,188
*Julius Baer Holding AG, Zuerich . 20 21,489
*Oerlikon-Buehrle Holding AG,
Zuerich ......................... 500 51,612
Pargesa Holding SA, Geneve ...... 50 56,216
*SBG (Schweizerische
Bankgesellschaft) ............... 110 103,668
*SBV (Schweizerischer Bankverein)
(Namen) ......................... 300 59,286
SIG (Schweizerische Industrie
Gesellschaft Holding AG),
Neuhausen am Rheinfall ........... 10 24,098
Schindler Holding AG, Hergiswil . 25 24,962
Sulzer AG, Winterthur ........... 50 28,780
*Swissair Schweizerische
Luftverkehr AG, Zuerich .......... 50 37,989
-----------
TOTAL COMMON STOCKS
(Cost $559,447) .................. 578,584
-----------
14
<PAGE>
THE VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- ----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $1,548) ...... $ 1,508
-----------
TOTAL -- SWITZERLAND
(Cost $560,995) .................. 580,092
-----------
HONG KONG -- (4.4%)
COMMON STOCKS -- (4.4%)
#Amoy Properties, Ltd. ........... 40,000 55,883
Chinese Estates Holdings, Ltd. .. 24,645 28,533
*Evergo China Holdings, Ltd. ..... 3,838 725
#Great Eagle Holdings, Ltd. ...... 7,177 29,802
Hang Lung Development Co., Ltd. . 12,000 26,777
#Hong Kong & Shanghai Hotels, Ltd. 18,416 36,687
Hopewell Holdings, Ltd. ......... 70,000 46,180
Hysan Development Co., Ltd. ..... 10,000 38,225
Paliburg Holdings, Ltd. ......... 36,000 30,503
#Sino Land Co., Ltd. ............. 20,000 25,483
Wharf Holdings, Ltd. ............ 17,000 87,963
Wheelock and Co., Ltd. .......... 19,000 55,792
-----------
TOTAL COMMON STOCKS
(Cost $324,805) .................. 462,553
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $2,415) . 2,415
-----------
RIGHTS/WARRANTS -- (0.0%)
*Hong Kong & Shanghai Hotels, Ltd.
Warrants 12/10/98 ................ 1,416 82
-----------
TOTAL -- HONG KONG
(Cost $327,220) .................. 465,050
-----------
NETHERLANDS -- (3.6%)
COMMON STOCKS -- (3.6%)
ABN Amro Holding NV ............. 1,353 87,662
DSM NV .......................... 500 48,434
Fortis Amev NV .................. 2,321 77,412
Ing Groep NV .................... 2,914 102,092
KLM Royal Dutch Airlines NV ..... 828 21,372
Philips Electronics NV .......... 1,000 40,429
-----------
TOTAL COMMON STOCKS
(Cost $281,002) .................. 377,401
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $62) .. 62
-----------
TOTAL -- NETHERLANDS
(Cost $281,064) .................. 377,463
-----------
ITALY -- (3.2%)
COMMON STOCKS -- (3.2%)
Banca Commerciale Italiana SpA .. 26,000 47,788
*Banca di Roma ................... 30,000 27,570
#Credito Italiano ................ 20,000 21,950
Fiat SpA ........................ 49,000 144,425
Istituto Bancario San Paolo
Torino SpA ...................... 9,000 56,529
Italcementi Fabbriche Riunite
Cemento SpA, Bergamo ............ 5,000 29,273
*Olivetti (Ing C & C) SpA, Ivrea . 25,000 8,810
-----------
TOTAL COMMON STOCKS
(Cost $355,723) .................. 336,345
-----------
<PAGE>
Shares Value+
-------- ----------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $6) .......... $ 6
-----------
TOTAL -- ITALY (Cost $355,729) .... 336,351
-----------
AUSTRALIA -- (3.0%)
COMMON STOCKS -- (3.0%)
Australia and New Zealand Banking
Group, Ltd. ...................... 5,863 38,552
CSR, Ltd. ....................... 8,813 28,867
Commonwealth Bank of Australia .. 3,426 33,442
MIM Holdings, Ltd. .............. 11,281 16,086
National Australia Bank, Ltd .... 5,528 68,915
News Corp., Ltd. ................ 11,685 62,267
#Westpac Banking Corp. ........... 11,200 67,075
-----------
TOTAL COMMON STOCKS
(Cost $262,250) .................. 315,204
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $14) .... 14
-----------
TOTAL -- AUSTRALIA
(Cost $262,264) .................. 315,218
-----------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.9%)
*Diligentia AB ................... 560 8,967
*Naeckebro AB .................... 110 1,983
Skandinaviska Enskilda Banken
Series A ........................ 5,600 52,134
Stadshypotek AB Series A ........ 1,000 29,791
Stora Kopparbergs Bergslags AB
Series A ........................ 2,900 39,741
Svenka Cellulosa AB Series B .... 1,300 27,884
Svenska Handelsbanken Series A .. 2,400 65,777
*Swedish Match AB (Frueher Svenska
Taendsticks AB) ................. 900 2,949
Volvo AB Series A ............... 2,400 52,551
Volvo AB Series B ............... 900 19,774
-----------
TOTAL COMMON STOCKS
(Cost $242,185) .................. 301,551
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $21) ........ 21
-----------
TOTAL -- SWEDEN (Cost $242,206) ... 301,572
-----------
SPAIN -- (2.2%)
COMMON STOCKS -- (2.2%)
Banco Central Hispanoamericano SA 1,200 29,873
Fuerzas Electricas de Cataluna SA
Series A ........................ 2,900 23,169
Iberdrola SA .................... 9,200 106,167
Sevillana de Electricidad ....... 4,300 40,328
Union Electrica Fenosa SA ....... 4,000 30,135
-----------
TOTAL COMMON STOCKS
(Cost $173,289) .................. 229,672
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $471) ...... 461
-----------
TOTAL -- SPAIN (Cost $173,760) .... 230,133
-----------
15
<PAGE>
THE VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
Shares Value+
-------- --------------
BELGIUM -- (1.8%)
COMMON STOCKS -- (1.4%)
Banque Bruxelles Lambert ............... 100 $ 21,099
CMB (Cie Maritime Belge) ............... 300 22,789
Cofinimmo SA ........................... 200 22,489
Electrafina SA ......................... 200 18,509
Groupe Bruxelles Lambert SA ............ 200 25,395
Societe Generale de Belgique SA ........ 500 37,982
--------------
TOTAL COMMON STOCKS (Cost $147,459) ...... 148,263
--------------
INVESTMENT IN CURRENCY -- (0.4%)
*Belgian Francs (Cost $45,464) .......... 44,918
--------------
TOTAL -- BELGIUM (Cost $192,923) ......... 193,181
--------------
SINGAPORE -- (1.3%)
COMMON STOCKS -- (1.3%) ..................
Singapore Land, Ltd. ................... 9,000 51,639
Straits Steamship Land, Ltd. ........... 17,000 54,283
United Industrial Corp., Ltd. .......... 18,000 15,396
United Overseas Land, Ltd. ............. 12,000 18,988
--------------
TOTAL COMMON STOCKS (Cost $143,397) ...... 140,306
--------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $76) ........... 77
--------------
TOTAL -- SINGAPORE (Cost $143,473) ....... 140,383
--------------
Face
Amount
--------
(000)
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 $223,000) ......................... $ 223 223,000
--------------
TOTAL INVESTMENTS -- (103.7%)
(Cost $10,188,520) ......................... 10,907,439
--------------
OTHER ASSETS AND LIABILITIES -- (-3.7%)
Other Assets ................................ 554,178
Payable for Investment Securities Purchased . (939,860)
Other Liabilities ........................... (5,215)
--------------
(390,897)
--------------
NET ASSETS -- (100.0%) Applicable to 921,300 Outstanding
$.01 Par Value Shares (100,000,000 Shares Authorized) .... $10,516,542
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ... $ 11.41
==============
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements
16
<PAGE>
STATEMENT OF NET ASSETS
VA INTERNATIONAL SMALL PORTFOLIO
NOVEMBER 30, 1996
Shares Value+
--------- ----------
JAPAN -- (33.9%)
COMMON STOCKS -- (32.2%)
Achilles Corp. ............................. 6,000 $20,562
Aica Kogyo Co., Ltd. ....................... 3,000 17,373
Aichi Tokei Denki Co., Ltd. ................ 3,000 15,290
Aida Engineering, Ltd. ..................... 3,000 21,169
Asahi Kogyosha Co., Ltd. ................... 3,000 17,004
Asahi Organic Chemicals Industry Co., Ltd. 3,000 19,640
Ashimori Industry Co., Ltd. ................ 3,000 14,183
*Asics Corp. ................................ 7,000 17,592
*#Bank of Osaka, Ltd. ........................ 9,000 23,726
#CKD Corp. .................................. 2,000 13,866
*Central Finance Co., Ltd. .................. 4,000 13,638
*#Chori Co., Ltd. ............................ 5,000 16,696
Daisan Bank, Ltd. .......................... 4,000 19,227
*Daiwabo Co., Ltd. .......................... 8,000 28,822
Ehime Bank, Ltd. ........................... 5,000 23,682
*#Fuji Kosan Co., Ltd. ....................... 6,000 19,086
Fuji Oil Co., Ltd. ......................... 3,000 22,803
Fuji Spinning Co., Ltd., Tokyo ............. 4,000 19,578
Fujiko Co., Ltd. ........................... 4,000 12,830
*Furukawa Battery Co., Ltd. ................. 3,000 18,084
Gakken Co., Ltd. ........................... 3,000 19,772
*#Hitachi Seiki Co., Ltd. .................... 4,000 13,779
#Hokkaido Gas Co., Ltd. ..................... 4,000 16,696
Hokuriku Electric Industry Co., Ltd. ....... 4,000 19,895
Howa Machinery, Ltd. ....................... 5,000 17,267
Ichikoh Industries, Ltd. ................... 4,000 16,169
#Iwasaki Electric Co., Ltd. ................. 4,000 17,293
Iwatsu Electric Co., Ltd. .................. 3,000 14,025
JDC Corp. .................................. 6,000 19,139
*Japan Aviation Electronics Industry, Ltd. . 3,000 20,824
*Japan Coated Paper Manufacturing Co., Ltd. 3,000 10,677
Japan Paper Industry Co., Ltd. ............. 3,000 13,313
Japan Transcity Corp. ...................... 3,000 15,685
Japan Vilene Co., Ltd. ..................... 3,000 15,633
*Kansai Kisen Kaisha ........................ 9,000 16,134
Kanto Auto Works, Ltd., Yokosuka ........... 3,000 22,777
#Kanto Denka Kogyo Co., Ltd. ................ 4,000 19,859
Kawada Industries, Inc. .................... 2,000 14,763
#Kawai Musical Instruments
Manufacturing Co., Ltd. .................... 5,000 19,728
Keiyo Co., Ltd. ............................ 2,000 21,968
Kokusai Kogyo Co., Ltd. .................... 2,000 22,671
#Komatsu Forklift Co., Ltd., Tochigi ........ 3,000 19,007
Kosei Securities Co., Ltd. ................. 4,000 16,169
Kyodo Shiryo Co., Ltd. ..................... 5,000 17,399
*Kyotaru Co., Ltd. .......................... 3,000 17,135
#Kyushu Bank, Ltd. .......................... 4,000 15,501
Life Corp. ................................. 2,000 17,575
Maruyama Manufacturing Co., Inc. ........... 3,000 10,677
#Matsuo Bridge Co., Ltd. .................... 3,000 16,213
*Mitsubishi Shindoh Co., Ltd. ............... 3,000 11,757
Mitsui Construction Co., Ltd. .............. 6,000 19,772
*Mitsui Mining Co., Ltd. .................... 5,000 19,859
Mitsuuroko Co., Ltd. ....................... 3,000 21,063
Nakamuraya Co., Ltd. ....................... 3,000 16,661
<PAGE>
Shares Value+
--------- -----------
#Nichias Corp. ................................. 4,000 $18,032
Nichiei Construction Co., Ltd. ................ 2,000 14,534
*Nichimo Co., Ltd. ............................. 5,000 19,069
Nichireki Co., Ltd. ........................... 2,000 16,344
Nichiro Corp. ................................. 5,000 18,234
Nifco, Inc. ................................... 2,000 21,968
Nippon Beet Sugar Manufacturing Co., Ltd. .... 5,000 22,012
*Nippon Carbon Co., Ltd. ....................... 5,000 18,805
Nippon Chemical Industrial Co., Ltd. ......... 2,000 21,615
*#Nippon Columbia Co., Ltd. ..................... 3,000 16,793
Nippon Concrete Industries Co., Ltd. ......... 3,000 12,522
Nippon Densetsu Kogyo Co., Ltd. ............... 2,000 19,684
*#Nippon Kasei Chemical Co., Ltd. ............... 5,000 14,763
*Nippon Steel Chemical Co., Ltd. ............... 6,000 22,144
Nippon Synthetic Chemical Industry Co., Ltd. . 3,000 14,446
*Nitto Boseki Co., Ltd. ........................ 8,000 24,323
OSG Manufacturing Co., Ltd. ................... 3,000 18,401
*Odakyu Real Estate Co., Ltd. .................. 4,000 17,926
#Parco Co., Ltd. ............................... 2,000 18,453
Prima Meat Packers, Ltd. ...................... 5,000 15,158
#Rasa Industries, Ltd. ......................... 3,000 19,218
Rheon Automatic Machinery Co., Ltd. .......... 2,000 15,817
Sagami Co., Ltd. .............................. 3,000 20,088
Sakai Chemical Industry Co., Ltd. ............. 3,000 15,316
Sakata Inx Corp. .............................. 3,000 17,689
Sasebo Heavy Industries Co., Ltd., Tokyo ..... 7,000 16,854
Shikoku Chemicals Corp. ....................... 3,000 13,234
Shinagawa Fuel Co., Ltd. ...................... 3,000 21,617
*#Showa Line, Ltd. .............................. 10,000 14,938
#Sumitomo Precision Products Co., Ltd.,
Amagasaki City ................................ 2,000 15,905
#TOC Co., Ltd. ................................. 2,000 19,332
Taisei Rotec Corp. ............................ 3,000 16,424
Takaoka Electric Manufacturing Co., Ltd., Tokyo 4,000 16,344
Takasago International Corp. .................. 3,000 18,981
#Takashima & Co., Ltd. ......................... 4,000 20,457
Takiron Co., Ltd. ............................. 3,000 16,292
#Tasaki Shinju Co., Ltd. ....................... 2,000 16,046
Toa Doro Kogyo Co., Ltd. ...................... 3,000 15,026
*Toa Wool Spinning & Weaving Co., Ltd. ........ 6,000 17,821
*Tokai Kogyo Co., Ltd. ......................... 7,000 30,448
Tokico, Ltd. .................................. 4,000 15,677
#Tokyo Kikai Seisakusho Ltd. ................... 3,000 23,278
Tokyo Rope Manufacturing Co., Ltd. ........... 4,000 17,856
*Tokyo Securities Co., Ltd. .................... 4,000 15,220
*Tokyo Tekko Co., Ltd. ......................... 3,000 13,761
#Tokyo Theatres Co., Inc., Tokyo ............... 6,000 16,661
#Tonami Transportation Co., Ltd. ............... 3,000 17,109
Totoku Electric Co., Ltd., Tokyo .............. 3,000 17,399
Toyo Chemical Co., Ltd. ....................... 3,000 19,666
*Toyo Electric Co., Ltd. ....................... 5,000 17,135
17
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Shares Value+
--------- -----------
#Toyo Umpanki Co., Ltd. ........................ 5,000 $ 22,891
Wakachiku Construction Co., Ltd. .............. 4,000 18,594
Yondenko Corp. ................................ 2,000 17,926
#Zenchiku Co., Ltd. ............................ 4,000 13,533
-----------
TOTAL COMMON STOCKS
(Cost $2,011,580) .............................. 1,931,485
-----------
INVESTMENT IN CURRENCY -- (1.7%)
*Japanese Yen (Cost $100,809) .................. 100,083
-----------
TOTAL -- JAPAN (Cost $2,112,389) 2,031,568
-----------
UNITED KINGDOM -- (14.0%)
COMMON STOCKS -- (13.9%)
APV P.L.C. .................................... 15,000 18,533
Ash & Lacy P.L.C. ............................. 7,000 20,592
Bluebird Toys P.L.C. .......................... 5,000 15,927
Bodycote International P.L.C. ................. 3,000 35,679
*Bodycote International P.L.C. Issue 96 ....... 1,000 1,807
Bradstock Group P.L.C. ........................ 21,000 20,828
British Polythene Industries P.L.C. ........... 2,000 24,593
CRT Group P.L.C. .............................. 5,750 26,727
Canadian Pizza P.L.C. ......................... 12,000 16,440
Carpetright P.L.C. ............................ 4,000 43,101
Cattle's Holdings P.L.C. ...................... 5,400 23,238
Davis Service Group P.L.C. .................... 6,666 25,100
Dawson Group P.L.C. ........................... 4,000 10,590
Dawson International P.L.C. ................... 10,000 9,582
Dewhirst Group P.L.C. ......................... 6,000 19,063
Diploma P.L.C. ................................ 3,000 18,659
Etam P.L.C. ................................... 7,000 15,709
Greene King P.L.C. ............................ 2,000 22,643
Henderson Administration Group P.L.C. ........ 1,000 19,668
Heywood Williams Group P.L.C. ................. 5,000 18,785
Higgs & Hill P.L.C. ........................... 13,000 16,499
How Group P.L.C. .............................. 29,000 18,525
Johnston Press P.L.C. ......................... 7,010 21,211
MacFarlane Group Clansman P.L.C. ............. 6,000 17,852
Mersey Docks & Harbour Co. P.L.C. ............ 3,580 23,470
Molins P.L.C. ................................. 1,360 20,575
*Oxford Molecular Group P.L.C. ................. 5,714 34,483
Photo-Me International P.L.C. ................. 6,000 12,103
Polypipe P.L.C. ............................... 8,000 28,980
Quick Group P.L.C. ............................ 8,000 19,836
Redrow Group P.L.C. ........................... 11,000 25,055
Renishaw P.L.C. ............................... 2,420 14,197
Senior Engineering Group P.L.C. ............... 12,000 22,391
Serco Group P.L.C. ............................ 2,400 26,830
St. Modwen Properties P.L.C. .................. 23,000 24,358
Staveley Industries P.L.C. .................... 6,000 19,163
T & S Stores P.L.C. ........................... 7,690 22,428
Triplex Lloyd P.L.C. .......................... 7,317 25,645
Vardon P.L.C. ................................. 9,000 12,028
Vinten Group P.L.C. ........................... 2,000 23,685
-----------
TOTAL COMMON STOCKS
(Cost $768,424) ................................ 836,578
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling (Cost $1,375) .......... 1,440
-----------
<PAGE>
Shares Value+
--------- -----------
TOTAL -- UNITED KINGDOM
(Cost $769,799) .............................. $838,018
-----------
FRANCE -- (10.2%)
COMMON STOCKS -- (9.0%)
Bis SA ...................................... 200 20,188
Bollore Technologies SA ..................... 200 21,490
Canal Plus SA ............................... 50 11,492
DMC (Dollfus Mieg et Cie) ................... 300 6,637
Degremont ................................... 300 23,271
EBF SA ...................................... 714 26,871
France SA ................................... 80 18,541
*GTM Entrepose ............................... 500 25,043
Gaumont ..................................... 401 33,256
Groupe Andre SA ............................. 304 22,301
Groupe du Louvre SA ......................... 700 19,038
Groupement pour le Financement de la
Construction SA ............................ 300 25,984
Guyenne et Gascogne SA ...................... 60 21,835
Havas Advertising SA ........................ 203 22,357
Legris Industries SA ........................ 400 17,468
Lille-Bonnieres & Colombes .................. 330 28,759
*Metaleurop SA ............................... 1,500 13,216
*Moulinex SA ................................. 1,200 29,190
*SAGA (Societe Anonyme de
Gerance et d'Armement) ..................... 300 4,654
SAT SA (SA des
Telecommunications) ........................ 57 17,468
SFIM (Societe de Fabrication d'Instruments
de Mesure) ................................ 102 20,494
*SGE (Societe Generale d'Enterprise SA) ..... 1,000 22,352
Skis Rossignol SA ........................... 648 17,376
Strafor Facom SA ............................ 283 20,771
Union Immobiliere de France ................. 300 24,013
*Union Industrielle de Credit SA, Paris ..... 1,364 5,643
Vallourec (Usines a Tubes de
Lorraine Escaut et Vallourec
Reunies) ................................... 400 21,766
-----------
TOTAL COMMON STOCKS
(Cost $524,015) .............................. 541,474
-----------
INVESTMENT IN CURRENCY -- (1.2%)
*French Francs (Cost $72,872) ................ 72,292
-----------
RIGHTS/WARRANTS -- (0.0%)
*Union Industrielle de Credit SA,
Paris Rights 12/12/96
(Cost $2,992) ................................ 1,364 105
-----------
TOTAL -- FRANCE (Cost $599,879) 613,871
-----------
GERMANY -- (7.6%)
COMMON STOCKS -- (7.6%)
Aachener und Muenchener
Versicherungs AG ........................... 100 27,984
*Concordia Bau und Boden AG .................. 496 5,811
*DLW AG ...................................... 100 6,508
DSL Holding AG .............................. 150 16,694
*Didier-Werke AG ............................. 200 15,321
Dyckerhoff & Widmann AG ..................... 100 12,691
Fag Kugelfischer Georg Schaeffer AG ........ 1,250 15,620
Felten & Guilleaume Energietechnik AG ...... 100 11,064
Gerresheimer Glas AG ........................ 1,000 21,996
Goldschmidt AG .............................. 50 20,989
18
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Shares Value+
--------- -----------
Harpener AG ............................... 100 $ 16,922
Holsten-Brauerei AG, Hamburg .............. 100 22,454
Iwka AG ................................... 100 22,096
*Kali und Salz Beteiligungs AG ............. 200 20,957
*Kaufhalle AG .............................. 200 21,868
*Linotype-Hell AG .......................... 100 8,331
Phoenix AG, Hamburg ....................... 1,000 11,975
Plettac AG ................................ 70 13,513
Rheinboden Hypothekenbank AG .............. 100 16,271
Salamander AG, Kornwesteim ................ 100 10,088
*Schmalbach-Lubeca AG ...................... 140 30,843
*Strabag AG ................................ 100 7,813
Tarkett AG ................................ 1,200 25,851
Verseidag AG .............................. 200 15,295
WCM Beteiligungs und Grundbesitz AG ...... 3,000 28,331
*Walter AG ................................. 100 27,205
-----------
TOTAL COMMON STOCKS
(Cost $540,916) ............................ 454,491
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $9) .................... 9
-----------
TOTAL -- GERMANY
(Cost $540,925) ............................ 454,500
-----------
MALAYSIA -- (6.0%)
COMMON STOCKS -- (5.3%)
Ban Hin Lee Bank Berhad ................... 6,000 28,735
Bandar Raya Developments
Berhad ................................... 11,000 22,422
Batu Kawan Berhad ......................... 10,500 22,027
Berjaya Group Berhad ...................... 29,000 21,350
Berjaya Leisure Berhad .................... 17,000 21,397
*Gadek Capital Berhad ...................... 2,000 5,304
Guinness Anchor Berhad .................... 11,000 26,994
Hap Seng Consolidated Berhad .............. 11,000 21,987
Ho Hup Construction Co. Berhad ............ 5,000 13,754
Kelang Container Terminal Berhad .......... 7,000 17,039
Kemayan Corp. Berhad ...................... 11,000 14,803
Landmarks Berhad .......................... 15,000 22,205
MCB Holdings Berhad ....................... 25,000 19,098
Phileo Allied Berhad ...................... 12,000 22,133
*Sri Hartamas Corp. Berhad ................. 30,000 20,661
Westmont Land (Asia) Berhad ............... 12,600 18,752
-----------
TOTAL COMMON STOCKS
(Cost $290,230) ............................ 318,661
-----------
INVESTMENT IN CURRENCY -- (0.7%)
*Malaysian Ringetts (Cost $43,651) ......... 43,605
-----------
TOTAL -- MALAYSIA
(Cost $333,881) ............................ 362,266
-----------
NETHERLANDS -- (4.9%)
COMMON STOCKS -- (4.9%)
ACF Holding NV (Certificate) .............. 800 12,947
Ahrend NV ................................. 618 31,904
Capital Gemini NV ......................... 2,100 61,879
Grolsche NV ............................... 800 30,858
Internatio-Mueller NV ..................... 1,200 30,000
Koninklijke Frans Maas Groep NV ........... 715 28,948
Otra NV ................................... 1,000 17,285
Schuttersveld Holding ..................... 617 24,837
Twentsche Kabel Holding NV ................ 606 30,757
Wegener NV ................................ 305 27,510
-----------
<PAGE>
Shares Value+
--------- -----------
TOTAL COMMON STOCKS
(Cost $225,208) ................................ $296,925
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $7) ................. 7
-----------
TOTAL -- NETHERLANDS
(Cost $225,215) ................................ 296,932
-----------
ITALY -- (3.5%)
COMMON STOCKS -- (3.5%)
*#Ansaldo Trasporti SpA ......................... 7,000 8,169
Banca Toscana ................................. 11,000 20,291
#Cartiere Burgo SpA ............................ 4,000 19,174
*Cogefar-Impresit Costruzioni
Generali SpA ................................. 19,000 15,213
*Dalmine SpA ................................... 82,000 18,433
Gewiss SpA .................................... 2,000 25,388
Milano Assicurazioni SpA ...................... 5,000 14,050
*Premafin Finanziaria SpA ...................... 37,000 12,280
Previdente Cia Italiana
Assicurazione SpA ............................. 3,000 14,876
Sorin Biomedica SpA ........................... 7,500 27,521
#Tecnost SpA ................................... 8,000 19,306
Vianini Lavori SpA ............................ 10,000 17,190
-----------
TOTAL COMMON STOCKS
(Cost $234,436) ................................ 211,891
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $11) ....................... 11
-----------
TOTAL -- ITALY (Cost $234,447) 211,902
-----------
SWITZERLAND -- (3.4%)
COMMON STOCKS -- (3.4%)
Attisholz Holding AG, Attisholz ............... 24 9,504
EGL (Elektrizitaets-Gesellschaft
Laufenberg) AG, Laufenberg ................... 100 21,949
Forbo Holding AG, Eglisau ..................... 51 20,744
*Helvetia Patria Holding, St. Gallen ........... 50 20,721
Kraftwerk Laufenburg, Laufenburg .............. 100 21,566
Phoenix Mecano AG, Stein am Rhein ............ 50 25,326
Porst Holding AG, Jegenstorf .................. 94 13,563
*Saurer AG, Arbon .............................. 56 24,325
Schweizerische National
Versicherungs Gesellschaft, Basel ............ 10 19,417
*Von Roll AG, Gerlafingen ...................... 759 13,223
Zuercher Ziegeleien Holding,
Zuerich ....................................... 27 14,919
-----------
TOTAL COMMON STOCKS
(Cost $224,676) ................................ 205,257
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $80) ....................... 76
-----------
TOTAL -- SWITZERLAND
(Cost $224,756) ................................ 205,333
-----------
HONG KONG -- (3.2%)
COMMON STOCKS -- (3.2%)
Dynamic Holdings, Ltd. ........................ 92,000 20,232
Four Seas Mercantile Holdings, Ltd. .......... 60,000 29,686
Grande Holdings, Ltd. ......................... 28,000 11,138
19
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Shares Value+
--------- -----------
#Great Wall Electronic International, Ltd. ...... 101,886 $ 14,498
Liu Chong Hing Bank, Ltd. ....................... 16,000 26,699
Semi-Tech (Global) Co., Ltd. .................... 14,039 24,426
Shell Electric Manufacturing
(Holdings) Co., Ltd. ............................ 38,000 23,718
Tai Cheung Holdings, Ltd. ....................... 25,000 24,093
Varitronix International, Ltd. .................. 10,000 18,563
-----------
TOTAL COMMON STOCKS
(Cost $159,384) .................................. 193,053
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $201) ................... 201
-----------
RIGHTS/WARRANTS -- (0.0%)
*Four Seas Mercantile Holdings, Ltd.
Warrants 09/30/98
(Cost $0) ........................................ 12,000 1,382
-----------
TOTAL -- HONG KONG
(Cost $159,585) .................................. 194,636
-----------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.8%)
*Celsius Industrier AB Series B .................. 1,400 18,455
*#Enator AB ....................................... 1,400 34,201
Foereningsbanken AB Series A .................... 10,400 48,797
Garphyttan Industrier AB ........................ 1,400 17,517
Marieberg Tidnings AB Series A .................. 1,400 36,285
Rottneros Bruk AB ............................... 11,700 14,116
-----------
TOTAL COMMON STOCKS
(Cost $119,233) .................................. 169,371
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Swedish Krona (Cost $2,853) ..................... 2,871
-----------
RIGHTS/WARRANTS -- (0.1%)
*Enator AB Rights 12/11/96
(Cost $0) ...................................... 1,400 3,024
-----------
TOTAL -- SWEDEN (Cost $122,086) ................... 175,266
-----------
AUSTRALIA -- (2.9%)
COMMON STOCKS -- (2.9%)
*Aurora Gold, Ltd. ............................... 15,600 31,014
Bank of Queensland, Ltd. ........................ 5,717 26,319
Caltex Australia, Ltd. .......................... 5,760 20,838
Capral Aluminium, Ltd. .......................... 7,483 22,560
Iama, Ltd. ...................................... 12,717 29,324
#Metal Manufactures, Ltd. ........................ 7,600 18,578
#Pacific Magazines and Printing, Ltd. ........... 8,900 24,656
-----------
TOTAL COMMON STOCKS
(Cost $132,003) .................................. 173,289
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $1,722) ................. 1,785
-----------
TOTAL -- AUSTRALIA
(Cost $133,725) .................................. 175,074
-----------
SPAIN -- (2.7%)
COMMON STOCKS -- (2.7%)
Banco Zaragozano SA ............................. 1,200 24,593
Cementos Portland SA ............................ 500 17,464
Ebro Agricolas Compania de
Alimentacion SA ................................. 1,700 23,620
Europistas Concesionaria Espanola SA ........... 2,300 20,594
<PAGE>
Shares Value+
--------- -----------
Fabricacion de Automoviles Renault
de Espana SA .............................. 800 $ 15,747
GESA (Gas y Electricidad SA) ................ 400 22,540
*Huarte SA ................................... 2,000 2,794
Uralita SA .................................. 1,900 14,080
Viscofan Industria Navarra de
Envolturas Celulosicas SA .................. 1,300 20,069
-----------
TOTAL COMMON STOCKS
(Cost $174,943) .............................. 161,501
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $939) .................. 918
-----------
TOTAL -- SPAIN (Cost $175,882) ................ 162,419
-----------
KOREA -- (2.1%)
COMMON STOCKS -- (2.1%)
Daelim Industrial Co., Ltd. ................. 1,030 11,993
Hankuk Paper Manufacturing Co., Ltd. ....... 500 11,342
Hanmi Pharmaceutical Co., Ltd. .............. 714 29,291
Kumho Electric Co., Ltd. .................... 330 12,940
Pang Rim Spinning ........................... 300 18,098
*Se Poong Corp. .............................. 1,200 17,519
*Ssangyong Investment Securities Co., Ltd. .. 1,020 12,430
Union Steel Manufacturing Co., Ltd. ........ 200 13,996
-----------
TOTAL COMMON STOCKS
(Cost $160,384) .............................. 127,609
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won (Cost $1) ........................ 1
-----------
TOTAL -- KOREA (Cost $160,385) ................ 127,610
-----------
SINGAPORE -- (1.9%)
COMMON STOCKS -- (1.9%)
Amtek Engineering, Ltd. ..................... 15,000 29,401
Hitachi Zosen (Singapore), Ltd. ............. 22,000 13,015
Hotel Plaza, Ltd. ........................... 25,000 16,215
Scotts Holdings, Ltd. ....................... 25,000 22,274
Tuan Sing Holdings, Ltd. .................... 44,000 16,465
Van Der Horst, Ltd. ......................... 4,000 17,819
-----------
TOTAL COMMON STOCKS
(Cost $109,472) .............................. 115,189
-----------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $1,180) ............. 1,188
-----------
TOTAL -- SINGAPORE
(Cost $110,652) .............................. 116,377
-----------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.0%)
Ackermans & Van Haaren SA ................... 120 21,112
CMB (Cie Maritime Belge) .................... 300 22,789
*Immobel (Cie Immobiliere de
Belgique SA) ............................... 200 13,392
-----------
TOTAL COMMON STOCKS
(Cost $59,083) ............................... 57,293
-----------
INVESTMENT IN CURRENCY -- (0.1%)
*Belgian Francs (Cost $3,125) ................ 3,098
-----------
TOTAL -- BELGIUM (Cost $62,208) ............... 60,391
----------
20
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
Face
Amount Value+
-------- -------------
(000)
TEMPORARY CASH INVESTMENTS -- (5.0%)
Repurchase Agreement, PNC Securities
Corp. 5.45%, 12/02/96
(Collateralized by U.S. Treasury
Notes 5.01%, 01/16/97)
(Cost $299,000) .............................. $ 299 $ 299,000
-------------
TOTAL INVESTMENTS -- (105.3%)
(Cost $6,264,814) ............................ 6,325,163
-------------
OTHER ASSETS AND LIABILITIES -- (-5.3%)
Other Assets ................................... 76,083
Payable for Investment
Securities Purchased ......................... (388,762)
Other Liabilities .............................. (5,301)
-------------
(317,980)
-------------
NET ASSETS -- (100.0%) Applicable
to 573,172 Outstanding
$.01 Par Value Shares
(100,000,000 Shares Authorized) ............... $6,007,183
=============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE .............................. $ 10.48
=============
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Securities on Loan
See accompanying Notes to Financial Statements.
21
<PAGE>
STATEMENT OF NET ASSETS
VA SHORT-TERM FIXED PORTFOLIO
NOVEMBER 30, 1996
Face
Amount Value+
-------- ------------
(000)
BONDS -- (42.8%)
Albertson's, Inc. Medium Term Notes
5.650%, 03/26/98 .................. $170 $169,864
Bayerische Landesbank U.S. Finance,
Inc. Medium Term Notes
6.250%, 07/01/98 .................. 150 151,305
Canada (Government of) Bonds
6.400%, 09/10/98 .................. 160 161,880
Chevron Canada Financial, Ltd.
Corporate Bonds
5.600%, 04/01/98 .................. 150 149,796
Colgate-Palmolive Co. Medium Term
Notes
6.630%, 02/16/98 .................. 160 161,570
DuPont (E.I.) de Nemours & Co.
Corporate Bonds
8.650%, 12/01/97 .................. 150 154,309
FCC National Bank Medium Term Notes
6.000%, 04/02/98 .................. 150 150,543
Ford Motor Credit Co. Corporate
Bonds
6.250%, 02/26/98 .................. 150 150,906
General Electric Capital Corp.
Medium Term Notes
7.950%, 02/02/98 .................. 150 153,662
Interamerican Development Bank
Corporate Bonds
9.450%, 09/15/98 .................. 150 159,285
KFW International Finance, Inc.
Medium Term Notes
8.250%, 03/18/98 .................. 150 154,737
Morgan Guaranty Trust Corporate
Bonds
6.000%, 10/01/98 .................. 150 150,557
National Rural Utilities Cooperative
Finance Corp. Medium Term Notes
8.500%, 02/15/98 .................. 150 154,827
Ontario Hydro Medium Term Notes
5.800%, 03/31/98 .................. 150 150,120
Paccar Financial Corp. Medium Term
Notes
7.350%, 02/02/98 .................. 180 183,323
Pepsico, Inc. Corporate Bonds
6.125%, 01/15/98 .................. 150 150,707
Pitney Bowes Credit Medium Term
Notes
6.305%, 09/23/98 .................. 170 171,382
Rockwell International Corp.
Corporate Bonds
7.625%, 02/17/98 .................. 150 153,399
WMX Technologies, Inc. Medium Term
Notes
8.125%, 02/01/98 .................. 150 153,930
Wachovia Bank Medium Term Notes
5.375%, 04/15/98 .................. 150 149,249
Wal-Mart Stores, Inc. Corporate
Bonds
5.500%, 03/01/98 .................. 200 199,599
------------
<PAGE>
Face
Amount Value+
-------- ------------
(000)
TOTAL BONDS (Cost $3,315,994) ...... $3,334,950
------------
COMMERCIAL PAPER -- (37.7%)
Barclays U.S. C.P.
5.300%, 01/10/97 .................. $180 178,862
Barton Capital Corp. C.P.
5.310%, 01/10/97 .................. 200 198,735
Beta Finance, Inc. C.P.
5.480%, 12/06/96 .................. 160 159,830
Caisse des Depots et Consignments
C.P.
5.250%, 12/06/96 .................. 170 169,819
Ciesco Corp. C.P.
5.400%, 12/05/96 .................. 160 159,854
Commerzbank U.S. Finance C.P.
5.310%, 01/03/97 .................. 200 198,946
Corporate Asset Funding Corp. C.P.
5.400%, 12/17/96 .................. 170 169,535
Glaxo Wellcome P.L.C. C.P.
5.300%, 01/27/97 .................. 210 208,124
McKenna Triangle C.P.
5.420%, 12/13/96 .................. 160 159,660
Michelin Tire Corp. C.P.
5.300%, 12/20/96 .................. 200 199,362
Sheffield Receivables Corp. C.P.
5.320%, 01/17/97 .................. 200 198,527
Siemens Corp. C.P.
5.300%, 01/07/97 .................. 180 178,943
St. Michael Finance, Ltd. C.P.
5.320%, 01/07/97 .................. 180 178,943
Stanley Works C.P.
5.260%, 12/16/96 .................. 170 169,558
Triple-A-One Plus Funding C.P.
5.350%, 01/10/97 .................. 200 198,735
USAA Capital Corp. C.P.
5.320%, 01/16/97 .................. 210 208,482
------------
TOTAL COMMERCIAL PAPER
(Cost $2,937,084) ................. 2,935,915
------------
U.S. TREASURY OBLIGATIONS -- (7.1%)
U.S. Treasury Notes
6.125%, 03/31/98 .................. 150 151,148
5.875%, 10/31/98 .................. 200 200,969
5.500%, 11/15/98 .................. 200 199,594
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $549,542) ................... 551,711
------------
AGENCY OBLIGATIONS -- (5.8%)
Federal Home Loan Bank
5.715%, 03/20/98 .................. 150 150,283
Student Loan Marketing Association
7.000%, 03/03/98 .................. 150 152,583
6.250%, 06/30/98 .................. 150 151,338
------------
TOTAL AGENCY OBLIGATIONS
(Cost $451,623) ................... 454,204
------------
22
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
Face
Amount Value+
-------- ------------
(000)
SUPRANATIONAL OBLIGATIONS -- (2.0%)
African Development Bank
(Cost $155,293)
10.000%, 11/01/97 ............................. $150 $ 155,784
-------------
TEMPORARY CASH INVESTMENTS -- (3.7%)
Repurchase Agreement, PNC
Securities Corp. 5.45%, 12/02/96
(Collateralized by U.S.
Treasury Bills 4.93%, 01/16/97)
(Cost $286,000) ............................. 286 286,000
-------------
TOTAL INVESTMENTS -- (99.1%) (Cost $7,695,536) . 7,718,564
-------------
OTHER ASSETS AND LIABILITIES -- (0.9%)
Other Assets ................................... 78,812
Payable for Fund Shares Redeemed ............... (3,752)
Other Liabilities .............................. (4,893)
-------------
70,167
-------------
NET ASSETS -- (100.0%) Applicable to
772,580 Outstanding $.01 Par Value Shares
(100,000,000 Shares Authorized) ............. $7,788,731
=============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE .............................. $ 10.08
=============
- ------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements
23
<PAGE>
SCHEDULE OF INVESTMENTS
VA GLOBAL BOND PORTFOLIO
NOVEMBER 30, 1996
Face
Amount Value+
--------- ----------
(000)
JAPAN -- (24.3%)
BONDS -- (24.3%)
Asian Development Bank
5.000%, 02/05/03 .................... 14,000 $142,645
Austria (Republic of)
6.250%, 10/16/03 .................... 13,000 143,925
Credit Local de France SA
6.000%, 10/31/01 .................... 9,000 94,848
European Investment Bank
4.625%, 02/26/03 .................... 16,000 160,070
Export-Import Bank of Japan
4.375%, 10/01/03 .................... 15,000 150,040
World Bank (International Bank for
Reconstruction and Development)
4.500%, 03/20/03 .................... 16,000 161,589
----------
TOTAL -- JAPAN (Cost $890,643) ....... 853,117
----------
FRANCE -- (18.3%)
BONDS -- (18.3%)
Abbey National Treasury Services
P.L.C.
6.000%, 02/17/04 .................... 500 98,228
Credit Local de France SA
7.000%, 05/12/03 .................... 700 147,656
France (Republic of)
8.500%, 04/25/03 .................... 600 135,330
6.750%, 10/25/03 .................... 500 103,572
Regie Autonome des Transports
Parisiens SA
6.000%, 09/24/03 .................... 800 158,744
----------
TOTAL BONDS (Cost $622,255) .......... 643,530
----------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $24) ........... 24
----------
TOTAL -- FRANCE (Cost $622,279) ...... 643,554
----------
CANADA -- (17.8%)
BONDS -- (17.8%)
Canada (Government of)
8.500%, 04/01/02 .................... 400 340,586
Kansai International Airport Co., Ltd.
8.000%, 07/02/03 .................... 200 165,191
Victoria (Treasury Corp.)
7.250%, 11/24/03 .................... 150 119,989
----------
TOTAL -- CANADA (Cost $580,523) ...... 625,766
----------
GERMANY -- (17.5%)
BONDS -- (17.5%)
Germany (Republic of)
8.000%, 01/21/02 .................... 550 409,753
<PAGE>
Face
Amount Value+
--------- ----------
(000)
World Bank (International Bank for
Reconstruction and Development)
6.125%, 09/27/02 .................... 300 $204,621
----------
TOTAL BONDS (Cost $620,096) .......... 614,374
----------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $3) ............. 3
----------
TOTAL -- GERMANY (Cost $620,099) ..... 614,377
----------
NETHERLANDS -- (8.9%)
BONDS -- (8.9%)
Bank Nederlandse Gemeenten
7.625%, 12/16/02 .................... 250 161,035
Netherlands (Kingdom of)
6.500%, 04/15/03 .................... 250 154,220
----------
TOTAL BONDS (Cost $314,578) .......... 315,255
----------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $4) ...... 3
----------
TOTAL -- NETHERLANDS
(Cost $314,582) ..................... 315,258
----------
UNITED KINGDOM -- (7.9%)
BONDS -- (7.9%)
Nippon Telegraph & Telephone Corp.
10.875%, 05/10/01 ................... 75 141,708
Oesterreichische Kontrollbank AG
9.250%, 07/15/02 .................... 75 135,972
----------
TOTAL BONDS (Cost $251,908) .......... 277,680
----------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $3) ... 3
----------
TOTAL -- UNITED KINGDOM
(Cost $251,911) ..................... 277,683
----------
UNITED STATES -- (5.3%)
U.S. TREASURY OBLIGATIONS -- (5.3%)
U.S. Treasury Notes (Cost $183,394) ..
6.875%, 03/31/00 .................... 180 186,131
----------
AUSTRALIA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $9) ........ 9
----------
TOTAL INVESTMENTS -- (100%)
(Cost $3,463,440) ................... $3,515,895
============
- ------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@denominated in Local Currency
See accompanying Notes to Financial Statements
24
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
VA GLOBAL BOND PORTFOLIO
NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
ASSETS:
Investments at Value ................................... $ 3,516
Cash ................................................... 53
Interest Receivable .................................... 99
Unrealized Gain on Foreign Forward Currency Contracts .. 18
Prepaid Expenses and Other Assets ...................... 22
---------
Total Assets ............................ 3,708
---------
LIABILITIES:
Payable for Fund Shares Redeemed ....................... 5
---------
NET ASSETS ............................................. $ 3,703
=========
SHARES OUTSTANDING $.01 PAR VALUE
(100,000,000 Shares Authorized) ...................... 332,470
=========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
$ 11.14
=========
Investments at Cost .................................... $ 3,463
=========
See accompanying Notes to Financial Statements
25
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA Small VA Large VA International
Value Value Value
Portfolio Portfolio Portfolio
------------- ------------- --------------------
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes withheld of $0, $0 and
$14, respectively) .................................... $ 73 $ 208 $153
Interest ................................................ 5 17 16
Income from Securities Lending .......................... -- -- 2
------------- ------------- --------------------
Total Investment Income ............................ 78 225 171
------------- ------------- --------------------
Expenses
Investment Advisory Services ............................ 28 20 28
Accounting & Transfer Agent Fees ........................ 19 33 21
Custodians' Fees ........................................ 1 7 16
Legal Fees .............................................. 2 4 2
Audit Fees .............................................. 1 2 1
Filing Fees ............................................. 2 2 2
Shareholders' Report .................................... 3 7 3
Directors' Fees and Expenses ............................ 1 2 1
Organization Costs ...................................... 1 7 3
Other ................................................... 1 4 4
------------- ------------- --------------------
Total Expenses ..................................... 59 88 81
------------- ------------- --------------------
Net Investment Income ................................... 19 137 90
------------- ------------- --------------------
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Net Realized Gain on Investment Securities .............. 76 479 58
Net Realized Gain (Loss) on Foreign Currency Transactions -- (1) 2
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ......... 1,079 1,191 694
Translation of Foreign Currency Denominated Amounts -- -- 3
------------- ------------- --------------------
Net Gain on Investment Securities and Foreign Currency .. 1,155 1,669 757
------------- ------------- --------------------
Net Increase in Net Assets Resulting from Operations ......... $1,174 $1,806 $847
============= ============= ====================
</TABLE>
See accompanying Notes to Financial Statements
26
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA VA
International Short-Term VA Global
Small Fixed Bond
Portfolio Portfolio Portfolio
----------------- -------------- -------------
<S> <C> <C> <C>
Investment Income
Dividends (Net of Foreign Taxes withheld of $8, $0 and
$0, respectively) .................................... $ 91 -- --
Interest ............................................... 9 $310 $180
Income from Securities Lending ......................... 3 -- --
----------------- -------------- -------------
Total Investment Income ........................... 103 310 180
----------------- -------------- -------------
Expenses
Investment Advisory Services ........................... 27 14 9
Accounting & Transfer Agent Fees ....................... 19 13 30
Custodians' Fees ....................................... 10 1 2
Legal Fees ............................................. 2 2 2
Audit Fees ............................................. 1 1 2
Filing Fees ............................................ 2 2 1
Shareholders' Report ................................... 3 2 4
Directors' Fees and Expenses ........................... 1 1 2
Organization Costs ..................................... 1 1 6
Other .................................................. 3 2 3
----------------- -------------- -------------
Total Expenses . .................................. 69 39 61
----------------- -------------- -------------
Net Investment Income .................................. 34 271 119
----------------- -------------- -------------
Net Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency
Net Realized Gain (Loss) on Investment Securities ...... 136 (1) 93
Net Realized Gain on Foreign Currency Transactions ..... 1 -- 206
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency ........ 204 24 (86)
Translation of Foreign Currency Denominated Amounts 2 -- (22)
----------------- -------------- -------------
Net Gain on Investment Securities and Foreign Currency . 343 23 191
----------------- -------------- -------------
Net Increase in Net Assets Resulting from Operations ........ $377 $294 $310
================= ============== =============
</TABLE>
See accompanying Notes to Financial Statements
27
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA Small VA Large
Value Portfolio Value Portfolio
------------------------------- -------------------------------
Year Oct. 3, Year Jan. 13,
Ended to Ended to
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 ..................... $ 19 $ 7 $ 137 $ 102
Net Realized Gain on Investment Securities . 76 -- 479 324
Net Realized Loss on Foreign Currency
Transactions ........................... -- -- (1) (12)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 1,079 (159) 1,191 616
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations ............ 1,174 (152) 1,806 1,030
-------------- -------------- -------------- --------------
Distributions From:
Net Investment Income ..................... (9) (3) (86) (87)
Net Realized Gains ........................ -- -- (2) (322)
-------------- -------------- -------------- --------------
Total Distributions .................. (9) (3) (88) (409)
-------------- -------------- -------------- --------------
Capital Share Transactions (1):
Shares Issued ............................. 2,156 5,000 5,754 8,833
Shares Issued in Lieu of Cash Distributions 9 3 88 409
Shares Redeemed ........................... (120) -- (552) (3,301)
-------------- -------------- -------------- --------------
Net Increase From Capital Share
Transactions ......................... 2,045 5,003 5,290 5,941
-------------- -------------- -------------- --------------
Total Increase ....................... 3,210 4,848 7,008 6,562
Net Assets
Beginning of Period ....................... 4,848 -- 6,562 --
-------------- -------------- -------------- --------------
End of Period ............................... $8,058 $4,848 $13,570 $ 6,562
============== ============== ============== ==============
(1) Shares Issued and Redeemed:
Shares Issued ............................. 195 500 465 808
Shares Issued in Lieu of Cash Distributions . 1 -- 7 36
Shares Redeemed ........................... (11) -- (45) (263)
-------------- -------------- -------------- --------------
185 500 427 581
============== ============== ============== ==============
</TABLE>
See accompanying Notes to Financial Statements
28
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA International VA International
Value Portfolio Small Portfolio
------------------------------- -------------------------------
Year Oct. 3, Year Oct. 3,
Ended to Ended to
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 (Loss) .............. $ 90 $ (2) $ 34 $ (3)
Net Realized Gain on Investment Securities . 58 -- 136 --
Net Realized Gain (Loss) on Foreign Currency
Transactions ........................... 2 (10) 1 2
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency 694 25 204 (144)
Translation of Foreign Currency
Denominated Amounts .................. 3 1 2 1
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations ............ 847 14 377 (144)
-------------- -------------- -------------- --------------
Distributions From:
Net Realized Gains ........................ (8) -- -- --
-------------- -------------- -------------- --------------
Capital Share Transactions (1):
Shares Issued ............................. 5,279 5,000 802 5,000
Shares Issued in Lieu of Cash Distributions . 8 -- -- --
Shares Redeemed ........................... (623) -- (28) --
-------------- -------------- -------------- --------------
Net Increase From Capital Share
Transactions ......................... 4,664 5,000 774 5,000
-------------- -------------- -------------- --------------
Total Increase ....................... 5,503 5,014 1,151 4,856
Net Assets
Beginning of Period ....................... 5,014 -- 4,856 --
-------------- -------------- -------------- --------------
End of Period ............................... $10,517 $5,014 $6,007 $4,856
============== ============== ============== ==============
(1) Shares Issued and Redeemed:
Shares Issued ............................. 477 500 75 500
Shares Issued in Lieu of Cash Distributions . 1 -- -- --
Shares Redeemed ........................... (57) -- (3) --
-------------- -------------- -------------- --------------
421 500 72 500
============== ============== ============== ==============
</TABLE>
See accompanying Notes to Financial Statements
29
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA Short-Term VA Global
Fixed Portfolio Bond Portfolio
------------------------------- -------------------------------
Year Oct. 3, Year Jan. 13,
Ended to Ended to
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 ......................... $ 271 $ 42 $ 119 $ 144
Net Realized Gain (Loss) on Investment Securities (1) -- 93 34
Net Realized Gain on Foreign Currency
Transactions ............................... -- -- 206 35
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency . 24 (1) (86) 139
Translation of Foreign Currency
Denominated Amounts ...................... -- -- (22) 41
-------------- -------------- -------------- --------------
Net Increase in Net Assets
Resulting from Operations ................ 294 41 310 393
-------------- -------------- -------------- --------------
Distributions From:
Net Investment Income ......................... (262) (20) (132) (175)
Net Realized Gains ............................ -- -- -- (34)
-------------- -------------- -------------- --------------
Total Distributions ...................... (262) (20) (132) (209)
-------------- -------------- -------------- --------------
Capital Share Transactions (1):
Shares Issued ................................. 3,072 5,000 -- 3,235
Shares Issued in Lieu of Cash Distributions ... 262 20 132 209
Shares Redeemed ............................... (618) -- -- (235)
-------------- -------------- -------------- --------------
Net Increase From Capital Share
Transactions ............................. 2,716 5,020 132 3,209
-------------- -------------- -------------- --------------
Total Increase ........................... 2,748 5,041 310 3,393
Net Assets
Beginning of Period ........................... 5,041 -- 3,393 --
-------------- -------------- -------------- --------------
End of Period ................................... $7,789 $5,041 $3,703 $3,393
============== ============== ============== ==============
(1) Shares Issued and Redeemed:
Shares Issued ................................. 306 502 -- 320
Shares Issued in Lieu of Cash Distributions ... 26 -- 12 20
Shares Redeemed ............................... (61) -- -- (20)
-------------- -------------- -------------- --------------
271 502 12 320
============== ============== ============== ==============
</TABLE>
See accompanying Notes to Financial Statements
30
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA Small VA Large
Value Portfolio Value Portfolio
------------------------------- -------------------------------
Year Oct. 3, Year Jan. 13,
Ended to Ended To
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1995
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ........ $ 9.69 $10.00 $ 11.29 $10.00
------------ ------------ ------------ ------------
Income from Investment Operations
- ---------------------------------
Net Investment Income ..................... 0.03 0.01 0.17 0.19
Net Gains (Losses) on Securities (Realized
and Unrealized) ........................ 2.05 (0.31) 2.12 1.85
------------ ------------ ------------ ------------
Total from Investment Operations ....... 2.08 (0.30) 2.29 2.04
-----------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ..................... (0.02) (0.01) (0.12) (0.16)
Net Realized Gains ........................ -- -- -- (0.59)
------------ ------------ ------------ ------------
Total Distributions ....................... (0.02) (0.01) (0.12) (0.75)
-----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .............. $ 11.75 $ 9.69 $ 13.46 $11.29
================================================================ ============ ==============================
Total Return ................................ 21.47% (3.04)%# 20.45% 20.41%#
-----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) ....... $ 8,058 $4,848 $13,570 $6,562
Ratio of Expenses to Average Net Assets ..... 1.05% 0.99%* 1.03% 1.20%*
Ratio of Net Investment Income to Average Net
Assets .................................... 0.34% 0.91%* 1.59% 2.03%*
Portfolio Turnover Rate ..................... 5.19% 0.00%* 18.54% 65.38%*
Average Commission Rate (1) ................. $0.0678 N/A $0.0484 N/A
-----------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-Annualized
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
31
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA International VA International
Value Portfolio Small Portfolio
------------------------------- -------------------------------
Year Oct. 3, Year Oct. 3,
Ended to Ended To
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1995
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ........ $ 10.03 $ 10.00 $ 9.71 $ 10.00
-------------- -------------- -------------- --------------
Income from Investment Operations
- ---------------------------------
Net Investment Income (Loss) .............. 0.11 -- 0.06 (0.01)
Net Gains (Losses) on Securities (Realized
and Unrealized) ........................ 1.29 0.03 0.71 (0.28)
-------------- -------------- -------------- --------------
Total from Investment Operations ....... 1.40 0.03 0.77 (0.29)
- ------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Realized Gains ........................ (0.02) -- -- --
-------------- -------------- -------------- --------------
Net Asset Value, End of Period .............. $ 11.41 $ 10.03 $ 10.48 $ 9.71
==================================================================================================================
Total Return ................................ 13.92% 0.30%# 7.93% (2.90)%#
- ------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) ....... $ 10,517 $5,014 $ 6,007 $ 4,856
Ratio of Expenses to Average Net Assets ..... 1.17% 1.32%* 1.27% 2.52%*
Ratio of Net Investment Income to Average Net
Assets .................................... 1.29% (0.20)%* 0.63% (0.39)%*
Portfolio Turnover Rate ..................... 4.14% 0.00%* 6.40% 0.00%*
Average Commission Rate (1) ................. $ 0.0080 N/A $ 0.0200 N/A
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized
#Non-Annualized
(1) Computed by dividing the total amount of brokerage commissions paid by
the total shares of investment securities purchased and sold during the
period for which commissions were charged, as required by the SEC for
fiscal years beginning after September 1, 1995.
See accompanying Notes to Financial Statements
32
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA Short-Term VA Global
Fixed Portfolio Bond Portfolio
------------------------------- -------------------------------
Year Oct. 3, Year Jan. 13,
Ended to Ended To
Nov. 30, Nov. 30, Nov. 30, Nov. 30,
1996 1995 1996 1995
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ........ $ 10.04 $ 10.00 $ 10.61 $ 10.00
-------------- -------------- -------------- --------------
Income from Investment Operations
- ---------------------------------
Net Investment Income ..................... 0.48 0.08 0.37 0.48
Net Gains (Losses) on Securities (Realized
and Unrealized) ........................ 0.04 -- 0.57 0.81
-------------- -------------- -------------- --------------
Total from Investment Operations ....... 0.52 0.08 0.94 1.29
- ------------------------------------------------------------------------------------------------------------------
Less Distributions
- ------------------
Net Investment Income ..................... (0.48) (0.04) (0.41) (0.57)
Net Realized Gains. ....................... -- -- -- (0.11)
-------------- -------------- -------------- --------------
Total Distributions .................... (0.48) (0.04) (0.41) (0.68)
- ------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period .............. $ 10.08 $ 10.04 $ 11.14 $ 10.61
==================================================================================================================
Total Return ................................ 5.34% 0.81%# 9.16% 13.09%#
- ------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands) ....... $ 7,789 $ 5,041 $ 3,703 $ 3,393
Ratio of Expenses to Average Net Assets ..... 0.70% 0.63%* 1.73% 1.31%*
Ratio of Net Investment Income to Average Net
Assets .................................... 4.93% 5.11%* 3.43% 5.08%*
Portfolio Turnover Rate ..................... 29.27% 0.00%* 88.93% 60.09%*
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(Restated to reflect a 900% stock dividend as of January 2, 1996.)
*Annualized
#Non-Annualized
See accompanying Notes to Financial Statements
33
<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 Emerging Markets Portfolio, The
RWB/DFA International High Book to Market Portfolio, The International Small
Company 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") VA Small Value Portfolio, VA Large Value Portfolio, VA
International Value Portfolio, VA International Small Portfolio, VA
Short-Term Fixed Portfolio and VA Global Bond Portfolio (the "VA
Portfolios"). At 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 related solely to the VA Portfolios.
On December 20, 1995, the Board of Directors of DFA Investment Group Inc.
approved a 900% stock dividend under Maryland Corporate Law which is treated
as a 10 for 1 stock split for financial reporting purposes for VA Short-Term
Fixed Portfolio and VA Global Bond Portfolio. The record date of the stock
dividend was January 1, 1996, and the ex-date and payable dates were January
2, 1996. This was a tax-free event to the shareholders of these portfolios.
All share and per share data as of and for the period ended November 30, 1995
have been restated to reflect the stock dividend.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Fund in preparation of its
financial statements. The preparation of financial statements in accordance
with generally accepted accounting principles may require management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
1. Security Valuation: Securities held by VA Small Value Portfolio and
VA Large Value Portfolio (the "Domestic Equity Portfolios") which are listed
on a securities exchange and for which market quotations are readily
available are valued at the last quoted sale price of the day, or if there is
no such reported sale, at the mean between the most recent bid and asked
prices. Securities held by VA International Value Portfolio and VA
International Small Portfolio (the "International Equity Portfolios") which
are listed on a securities exchange are valued at the last quoted sale price.
Price information on listed securities is taken from the exchange where the
security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities
for which quotations are not readily available are valued in good faith at
fair value using methods determined by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio are valued on the basis of prices provided by a pricing service
when such prices are believed to reflect the fair market value of such
securities. Securities for which quotations are not readily available are
valued in good faith at fair value using methods determined by the Board of
Directors.
2. Foreign Currency: Securities, other assets and liabilities of the
International Equity Portfolios and VA Global Bond Portfolio whose values are
initially expressed in foreign currencies are translated to U.S. dollars at
the bid price of such currency against U.S. dollars last quoted by a major
bank. Dividend and interest income and
34
<PAGE>
certain expenses are translated to U.S. dollars at the rate of exchange on
their respective accrual dates. Receivables and payables denominated in
foreign currencies are marked to market daily based on daily exchange rates
and exchange gains or losses are realized upon ultimate receipt or
disbursement. VA Global Bond Portfolio also enters into forward foreign
currency contracts solely for the purpose of hedging against fluctuations in
currency exchange rates. These contracts are also market to market daily
based on daily exchange rates.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA
Global Bond Portfolio does isolate the effect of fluctuations in foreign
currency rates when determining the gain or loss upon the sale or maturity of
foreign currency denominated debt obligations pursuant to U.S. Federal income
tax regulations; such amounts are categorized as foreign exchange gains or
loss for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amount of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S.
dollar equivalent amounts actually received or paid.
3. Federal Income Taxes: It is the VA Portfolios' intention to continue
to qualify as a regulated investment company and distribute all of their
taxable income. Accordingly, no provision for Federal taxes is required in
the financial statements.
4. Other: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains
and losses on the sale of investment securities are those of specific
securities sold. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Discount and premium on debt securities purchased are amortized over
the lives of the respective securities. Expenses directly attributable to a
VA Portfolio are directly charged. Common expenses are allocated using
methods determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("the Advisor") provides investment
advisory services to the VA Portfolios. For the year ended November 30, 1996,
the VA Portfolios' advisory fees were computed daily and paid monthly to the
Advisor based on the following effective annual rates of:
VA Small Value Portfolio .............................. .50 of 1%
VA Large Value Portfolio .............................. .25 of 1%
VA International Value Portfolio ...................... .40 of 1%
VA International Small Portfolio ...................... .50 of 1%
VA Short-Term Fixed Portfolio ......................... .25 of 1%
VA Global Bond Portfolio .............................. .25 of 1%
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
35
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1996, the VA Portfolios made the following
purchases and sales of investment securities (amounts in thousands):
<TABLE>
<CAPTION>
Other
U.S. Government Investment
Securities Securities
---------------------- ----------------------
Purchases Sales Purchases Sales
<S> <C> <C> <C> <C>
VA Small Value Portfolio ........ -- -- $2,326 $ 290
VA Large Value Portfolio ........ -- -- 6,818 1,480
VA International Value Portfolio -- -- 4,904 279
VA International Small Portfolio -- -- 1,147 335
VA Short-Term Fixed Portfolio ... $1,455 $609 3,783 298
VA Global Bond Portfolio ........ 184 282 3,182 2,591
</TABLE>
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 was as follows (amounts in thousands):
<TABLE>
<CAPTION>
Gross Unrealized Gross Unrealized
Appreciation Depreciation Net
---------------- ---------------- -------
<S> <C> <C> <C>
VA Small Value Portfolio ........ $1,417 $(497) $ 920
VA Large Value Portfolio ........ 1,929 (122) 1,807
VA International Value Portfolio 1,085 (366) 719
VA International Small Portfolio 609 (549) 60
VA Short-Term Fixed Portfolio ... 24 (1) 23
VA Global Bond Portfolio ........ 53 -- 53
</TABLE>
At November 30, 1996, VA Short-Term Fixed Portfolio had a capital loss
carryover for federal income tax purposes of approximately $1,500 which
expires on November 30, 2004.
F. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies,
the VA Portfolios may invest in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments
and their significant corresponding risks are described below:
1. Repurchase Agreements. The VA Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry
system or with the Fund's custodian or a third party sub-custodian. All open
repurchase agreements were entered into on November 29, 1996.
36
<PAGE>
2. Forward Foreign Currency Contracts: VA Global Bond Portfolio may
enter into forward foreign currency contracts to hedge against adverse
changes in the relationship of the U.S. dollar to foreign currencies. At
November 30, 1996, VA Global Bond Portfolio had entered into the following
contracts and the related net unrealized foreign exchange gain is reflected
in the accompanying financial statements:
<TABLE>
<CAPTION>
Unrealized
Value at Foreign
Expiration Contract November 30, Exchange Gain
Date Currency Sold Amount 1996 (Loss)
------------ --------------------------------- ------------ -------------- ---------------
<S> <C> <C> <C> <C>
12/09/96 835,500 French Francs $ 162,929 $ 159,856 $ 3,073
12/09/96 2,614,944 French Francs 504,815 500,468 4,347
12/30/96 98,484,845 Japanese Yen 869,623 865,046 4,577
12/30/96 985,018 German Marks 645,279 640,936 4,343
12/31/96 557,075 Netherlands Guilder 325,015 323,015 2,000
12/31/96 858,728 Canadian Dollar 637,748 636,632 1,116
12/31/96 173,500 British Pound Sterling 290,526 291,605 (1,079)
------------ -------------- ---------------
$3,435,935 $3,417,558 $18,377
============ ============== ===============
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. VA Global Bond Portfolio will enter into forward contracts only for
hedging purposes.
3. Foreign 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.
G. LINE OF CREDIT
In July, 1996, the VA Portfolios, together with other DFA-advised
portfolios, entered into a $50 million unsecured line of credit with its
domestic custodian bank. Each portfolio is permitted to borrow 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.
H. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
At November 30, 1996 Net Assets Consist of:
----------------------------------------------------
(Amounts in thousands)
VA Small VA Large VA International
Value Value Value
Portfolio Portfolio Portfolio
-------------- -------------- ------------------
<S> <C> <C> <C>
Paid-In Capital ........................................... $7,048 $11,231 $ 9,652
Undistributed Net Investment Income ....................... 14 54 90
Undistributed Net Realized Gain ........................... 76 479 50
Accumulated Net Realized Foreign Exchange Gain (Loss) ..... -- (1) 2
Unrealized Appreciation of Investment Securities and
Foreign Currency ......................................... 920 1,807 719
Unrealized Net Foreign Exchange Gain ...................... -- -- 4
-------------- -------------- ------------------
$8,058 $13,570 $10,517
============== ============== ==================
</TABLE>
37
<PAGE>
<TABLE>
<CAPTION>
VA International VA Short-Term VA Global
Small Fixed Bond
Portfolio Portfolio Portfolio
---------------- --------------- -----------
<S> <C> <C> <C>
Paid-In Capital ........................................... $5,773 $7,736 $3,341
Undistributed Net Investment Income (Loss) ................ 34 31 (9)
Undistributed Net Realized Gain (Loss) .................... 136 (1) 93
Undistributed Net Realized Foreign Exchange Gain .......... 1 -- 206
Unrealized Appreciation of Investment Securities and
Foreign Currency ......................................... 60 23 53
Unrealized Net Foreign Exchange Gain ...................... 3 -- 19
---------------- --------------- -----------
$6,007 $7,789 $3,703
================ =============== ===========
</TABLE>
I. SECURITIES LENDING
Loans of international securities are required at all times to be secured
by collateral at least equal to 105% of the market value of the securities on
loan. However, in the event of default or bankruptcy by the other party to
the agreement, realization and/or retention of the collateral may be subject
to legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities, and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the VA Portfolios or,
at the option of the lending agent, replace the loaned securities. The market
value of securities on loan to brokers and the related collateral cash
received at November 30, 1996 is as follows:
Value of Value of
Securities on Loan Collateral
------------------ ------------------
VA International Value Portfolio... $887,197 $947,042
VA International Small Portfolio... 577,843 630,526
38
<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 net assets of The DFA
Investment Dimensions Group Inc. (comprising, respectively, VA Small Value,
VA Large Value, VA International Value, VA International Small and VA
Short-Term Fixed Portfolios) and the statement of assets and liabilities
including the schedule of investments of the DFA Investment Dimensions Group
Inc., VA Global Bond Portfolio as of November 30, 1996, and the related
statements of operations for the year then ended, and the statements of
changes in net assets and financial highlights for each of the periods
presented. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
investments owned as of November 30, 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 then ended and the changes in their net assets 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
39
